SPXS Options History — August 2014

In August 2014, SPXS traded between $11890.00 and $13860.00. ATM implied volatility averaged 34.7%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 2.4% (HV 20d: 32.4%). Max pain ranged from $10500.00 to $19000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2014-08-07: Highest Volume — 5 contracts
  • 2014-08-08: Largest IV drop — 28.1% change
  • 2014-08-07: Highest IV Rank — 87.4%
  • 2014-08-07: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12759.05$11890.00$13860.00$13560.00$11890.00
Max Pain$15666.67$10500.00$19000.00$19000.00$11000.00
ATM IV34.7%27.8%52.8%42.7%29.7%
Expected Move14.2%12.4%16.3%14.5%14.9%
HV 20d32.4%23.5%35.6%30.4%23.5%
HV 60d25.3%24.5%26.2%24.5%25.1%
IV Rank38.4%19.0%87.4%60.5%24.1%
IV Percentile45.0%7.9%99.2%89.3%21.4%
Term Structure3.0%-1.8%5.3%1.6%4.8%
VWIV50.4%35.4%59.7%54.1%53.2%
Skew 25d-13.6%-20.3%-9.0%-12.0%-10.0%
Skew 10d-23.3%-36.5%-4.2%-4.2%-20.2%
Call IV 25d43.0%34.1%55.9%52.8%34.7%
Put IV 25d29.4%16.9%40.8%40.8%24.6%
Bid-Ask Spread %38.7815.66113.5671.3253.87
Gamma HHI0.110.070.180.080.18
Net GEX327.5K158.3K460.8K377.5K319.0K
Net DEX-3.8M-14.3M2.2M-12.7M1.3M
Net VEX-82.3K-100.0K-65.3K-87.0K-70.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.051.300.070.08
Total Volume2.1430542
Total OI58.76250685068

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$13560.00$19000.0042.7%14.5%30.4%60.5%0.0%-12.0%1.6%377.5K-12.7M-87.0K0.0771.32N/AN/A403812
2014-08-04$13255.00$19000.0040.8%14.8%31.8%55.4%54.1%-17.8%3.4%434.4K-11.1M-84.5K0.1832.00N/AN/A204012
2014-08-05$13655.00$19000.0044.8%14.1%32.8%66.0%0.0%-19.6%3.3%419.9K-14.3M-92.2K0.1651.89N/AN/A204012
2014-08-06$13640.00$19000.0042.8%15.0%32.3%60.8%57.0%-16.1%-0.8%424.0K-10.5M-90.5K0.1420.91N/AN/A303812
2014-08-07$13860.00$18500.0052.8%16.3%32.4%87.4%47.2%-18.6%-1.8%460.8K-11.7M-96.9K1.3017.20N/AN/A234012
2014-08-08$13375.00$18500.0037.9%15.1%35.2%47.7%55.4%-11.4%0.7%430.0K-8.8M-100.0K0.1021.82N/AN/A304115
2014-08-11$13260.00$18500.0040.6%15.4%34.9%54.8%46.4%-13.9%0.7%439.2K-6.5M-95.0K0.1615.66N/AN/A204315
2014-08-12$13310.00$18500.0039.2%15.2%34.8%51.0%51.2%-14.8%1.1%436.6K-6.6M-97.8K0.1815.79N/AN/A104315
2014-08-13$13025.00$18500.0029.1%15.3%35.6%23.9%55.9%-17.3%4.4%360.6K-3.8M-84.6K0.2644.55N/AN/A104415
2014-08-14$12860.00$18500.0034.1%14.7%33.9%37.4%59.7%-13.8%3.5%318.5K-2.5M-84.4K0.0727.40N/AN/A404315
2014-08-15$12850.00$18500.0035.3%14.6%31.9%40.6%59.3%-13.3%2.6%323.4K-2.9M-87.0K0.0736.86N/AN/A304615
2014-08-18$12540.00$0.0030.3%13.8%33.2%25.9%0.0%-12.9%3.1%173.2K687.3K-74.8K0.4550.16N/AN/A104414
2014-08-19$12340.00$0.0030.3%12.7%33.3%25.7%0.0%-20.3%4.4%158.3K2.2M-65.3K0.2528.26N/AN/A104414
2014-08-20$12240.00$0.0028.0%12.4%33.3%19.6%36.0%-10.4%3.1%202.4K912.0K-76.1K0.7142.09N/AN/A114514
2014-08-21$12130.00$10500.0027.8%12.4%33.5%19.0%41.6%-12.8%5.0%194.6K1.4M-75.0K0.0930.82N/AN/A204615
2014-08-22$12190.00$11000.0028.0%12.6%33.2%19.6%51.1%-9.0%4.9%223.9K975.5K-79.5K0.1232.35N/AN/A104815
2014-08-25$12000.00$11000.0028.4%12.6%33.5%20.5%35.4%-11.0%4.3%224.4K1.8M-71.5K0.09113.56N/AN/A304815
2014-08-26$11970.00$11000.0029.3%12.6%33.1%23.2%52.8%-10.1%4.2%305.6K715.3K-74.2K0.2732.81N/AN/A105115
2014-08-27$11990.00$11000.0028.9%12.5%33.2%22.0%50.6%-10.5%5.3%331.6K232.7K-75.6K0.0527.07N/AN/A005115
2014-08-28$12000.00$11000.0028.6%15.7%24.1%21.2%0.0%-10.6%4.9%319.1K967.6K-66.6K0.0748.05N/AN/A205115
2014-08-29$11890.00$11000.0029.7%14.9%23.5%24.1%53.2%-10.0%4.8%319.0K1.3M-70.2K0.0853.87N/AN/A205315