SPXS Options History — September 2014

In September 2014, SPXS traded between $11680.00 and $12465.00. ATM implied volatility averaged 33.4%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 13.6% (HV 20d: 19.8%). Max pain ranged from $10500.00 to $18000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2014-09-19: Highest Volume — 6 contracts
  • 2014-09-25: Largest IV spike — 26.5% change
  • 2014-09-30: Highest IV Rank — 63.2%
  • 2014-09-30: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12022.86$11680.00$12465.00$11920.00$12340.00
Max Pain$17642.86$10500.00$18000.00$10500.00$18000.00
ATM IV33.4%27.3%44.0%29.9%44.0%
Expected Move13.1%12.0%14.1%13.4%14.1%
HV 20d19.8%14.7%28.6%22.9%28.5%
HV 60d25.7%24.6%28.2%25.0%28.0%
IV Rank34.2%17.5%63.2%24.8%63.2%
IV Percentile46.6%7.9%91.7%22.2%91.7%
Term Structure4.6%0.6%9.8%5.0%0.6%
VWIV47.9%26.5%64.1%53.0%64.1%
Skew 25d-12.2%-16.4%-5.7%-9.8%-16.4%
Skew 10d-22.5%-30.9%-5.9%-19.2%-26.2%
Call IV 25d41.3%34.7%51.3%35.4%51.3%
Put IV 25d29.1%23.8%36.2%25.6%34.9%
Bid-Ask Spread %42.4826.41117.8531.95117.85
Gamma HHI0.190.150.240.190.16
Net GEX415.6K309.7K538.9K338.9K405.7K
Net DEX248.4K-3.3M2.8M464.8K-1.5M
Net VEX-78.1K-84.6K-67.9K-74.1K-84.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.033.533.530.34
Total Volume2.2381631
Total OI75.33369796979

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$11920.00$10500.0029.9%13.4%22.9%24.8%53.0%-9.8%5.0%338.9K464.8K-74.1K3.5331.95N/AN/A125415
2014-09-03$11940.00$18000.0028.7%12.9%19.0%21.6%0.0%-7.1%6.4%309.7K2.5M-69.2K0.3128.13N/AN/A215417
2014-09-04$11980.00$18000.0033.0%13.8%19.2%33.2%55.2%-9.3%1.5%347.4K2.2M-74.9K0.0441.02N/AN/A205617
2014-09-05$11830.00$18000.0028.4%12.7%17.4%20.6%0.0%-15.5%7.0%416.5K971.3K-81.5K0.0327.84N/AN/A105717
2014-09-08$11905.00$18000.0030.8%12.8%14.7%27.1%43.8%-13.4%6.6%433.1K517.8K-80.2K0.0926.41N/AN/A105717
2014-09-09$12135.00$18000.0031.5%12.8%17.1%29.1%44.2%-10.7%3.7%473.5K-1.2M-83.1K0.2736.23N/AN/A105817
2014-09-10$12000.00$18000.0031.5%12.7%17.0%29.2%44.1%-13.1%4.3%450.5K1.3M-70.0K0.0336.81N/AN/A105817
2014-09-11$11965.00$18000.0034.8%12.8%15.8%38.1%51.3%-12.2%3.4%475.8K235.8K-81.7K3.1829.94N/AN/A015817
2014-09-12$12160.00$18000.0034.0%13.0%17.1%36.0%44.9%-12.7%5.3%478.2K-200.1K-76.0K0.1138.31N/AN/A205817
2014-09-15$12200.00$18000.0034.5%12.9%17.2%37.3%44.8%-10.6%5.8%538.9K-1.4M-83.1K0.3032.92N/AN/A105918
2014-09-16$11915.00$18000.0034.0%13.1%17.0%35.8%54.7%-12.2%5.0%367.1K2.7M-70.3K0.0937.14N/AN/A305818
2014-09-17$11870.00$18000.0031.6%14.1%16.3%29.5%52.7%-5.7%8.8%490.8K725.2K-82.0K0.08102.05N/AN/A306018
2014-09-18$11680.00$18000.0027.5%12.0%16.9%18.2%41.1%-12.2%9.0%415.1K2.5M-69.1K0.1248.43N/AN/A306117
2014-09-19$11700.00$18000.0027.3%12.2%16.8%17.5%26.5%-12.9%9.8%411.9K2.8M-67.9K0.9833.29N/AN/A336117
2014-09-22$11980.00$18000.0034.2%12.8%19.0%36.5%41.8%-11.2%2.5%376.1K-615.0K-81.3K0.1147.32N/AN/A305419
2014-09-23$12190.00$18000.0034.7%13.0%19.2%37.8%46.0%-15.0%3.7%409.2K-1.0M-78.1K0.2630.17N/AN/A205519
2014-09-24$11895.00$18000.0034.1%13.1%21.2%36.2%52.2%-13.6%1.0%438.5K-1.2M-83.6K0.1734.46N/AN/A205619
2014-09-25$12465.00$18000.0043.2%13.5%27.0%60.9%54.2%-14.7%2.1%400.7K-3.3M-82.5K0.3238.99N/AN/A415620
2014-09-26$12165.00$18000.0035.5%13.2%28.6%40.1%0.0%-14.5%1.7%400.6K-851.0K-81.9K1.2637.30N/AN/A115721
2014-09-29$12245.00$18000.0037.5%13.4%28.4%45.3%64.1%-13.5%3.8%349.7K-491.1K-84.5K0.4835.51N/AN/A105722
2014-09-30$12340.00$18000.0044.0%14.1%28.5%63.2%0.0%-16.4%0.6%405.7K-1.5M-84.6K0.34117.85N/AN/A105722