SPXS Options History — October 2014

In October 2014, SPXS traded between $11270.00 and $14440.00. ATM implied volatility averaged 48.5%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 1.4% (HV 20d: 49.9%). Max pain ranged from $13500.00 to $18000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2014-10-15: Highest Volume — 26 contracts
2014-10-15: Largest IV spike — 49.1% change
2014-10-13: Highest IV Rank — 100.0%
2014-10-16: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12877.39	$11270.00	$14440.00	$12840.00	$11270.00
Max Pain	$15152.17	$13500.00	$18000.00	$18000.00	$13500.00
ATM IV	48.5%	35.5%	75.9%	46.8%	38.5%
Expected Move	15.3%	13.4%	18.4%	14.7%	13.6%
HV 20d	49.9%	31.5%	59.9%	31.5%	58.0%
HV 60d	36.3%	28.8%	41.2%	29.0%	39.9%
IV Rank	58.4%	26.6%	100.0%	70.7%	32.2%
IV Percentile	90.6%	64.3%	100.0%	95.6%	77.4%
Term Structure	0.9%	-9.8%	7.5%	1.9%	0.8%
VWIV	51.5%	32.8%	66.0%	48.4%	45.7%
Skew 25d	-18.3%	-35.4%	-10.2%	-16.7%	-13.6%
Skew 10d	-30.7%	-42.3%	-12.7%	-30.9%	-27.2%
Call IV 25d	58.1%	42.9%	89.9%	56.0%	46.4%
Put IV 25d	39.8%	26.5%	54.5%	39.3%	32.8%
Bid-Ask Spread %	48.54	32.86	122.06	37.05	36.64
Gamma HHI	0.12	0.07	0.24	0.12	0.10
Net GEX	380.8K	136.7K	672.7K	441.6K	136.7K
Net DEX	-6.8M	-24.9M	4.2M	-7.7M	3.6M
Net VEX	-107.7K	-126.1K	-86.5K	-100.1K	-102.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.02	1.11	0.17	0.82
Total Volume	10.87	1	26	5	17
Total OI	83.217	70	94	80	87

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-10-01	$12840.00	$18000.00	46.8%	14.7%	31.5%	70.7%	48.4%	-16.7%	1.9%	441.6K	-7.7M	-100.1K	0.17	37.05	N/A	N/A	4	1	58	22
2014-10-02	$12825.00	$16500.00	43.3%	14.4%	31.5%	61.4%	46.9%	-12.1%	0.2%	428.8K	-5.2M	-94.1K	0.16	34.26	N/A	N/A	4	1	59	22
2014-10-03	$12405.00	$16500.00	37.5%	15.5%	33.7%	45.5%	49.7%	-10.2%	2.8%	482.6K	-2.3M	-87.1K	0.23	41.85	N/A	N/A	2	0	60	22
2014-10-06	$12455.00	$16500.00	40.5%	13.8%	33.7%	53.8%	46.0%	-17.1%	1.8%	510.6K	-4.2M	-97.4K	0.59	32.86	N/A	N/A	1	0	60	22
2014-10-07	$13025.00	$16500.00	46.3%	15.1%	36.5%	69.4%	49.5%	-15.3%	-2.6%	439.5K	-7.4M	-86.5K	0.13	38.50	N/A	N/A	2	0	60	23
2014-10-08	$12310.00	$16500.00	41.1%	13.8%	42.0%	55.4%	43.6%	-15.7%	7.5%	513.7K	-6.1M	-95.0K	1.05	64.80	N/A	N/A	9	9	62	24
2014-10-09	$13075.00	$16500.00	51.8%	15.0%	46.9%	84.8%	32.8%	-16.4%	-2.2%	477.8K	-9.3M	-97.3K	0.08	43.46	N/A	N/A	2	0	61	24
2014-10-10	$13525.00	$16500.00	54.1%	15.1%	47.9%	91.2%	59.8%	-15.9%	-4.1%	459.8K	-14.2M	-98.8K	0.17	44.16	N/A	N/A	5	1	61	24
2014-10-13	$14175.00	$16500.00	72.5%	16.6%	50.1%	100.0%	59.3%	-21.1%	-9.8%	540.0K	-20.3M	-109.4K	0.21	47.51	N/A	N/A	7	2	63	24
2014-10-14	$13705.00	$15000.00	50.9%	16.2%	51.1%	58.1%	52.6%	-24.4%	1.8%	659.2K	-18.1M	-117.1K	1.10	39.94	N/A	N/A	8	9	67	27
2014-10-15	$14395.00	$15000.00	75.9%	18.4%	53.0%	100.0%	58.4%	-35.4%	-5.2%	656.7K	-24.9M	-126.1K	0.53	51.17	N/A	N/A	17	9	66	27
2014-10-16	$14440.00	$15000.00	65.3%	18.4%	52.2%	80.9%	66.0%	-27.5%	-2.7%	645.5K	-15.4M	-119.3K	0.19	50.75	N/A	N/A	6	1	63	27
2014-10-17	$13900.00	$15000.00	54.2%	16.7%	54.9%	60.7%	55.6%	-22.9%	1.8%	672.7K	-12.8M	-124.1K	0.44	42.11	N/A	N/A	5	2	65	27
2014-10-20	$13505.00	$15000.00	50.2%	15.8%	56.2%	53.3%	55.7%	-20.5%	-2.8%	182.7K	-7.8M	-118.5K	0.88	47.61	N/A	N/A	10	9	43	27
2014-10-21	$12790.00	$14500.00	45.3%	15.3%	59.9%	44.4%	50.1%	-18.5%	4.3%	147.7K	-3.0M	-116.5K	0.81	42.13	N/A	N/A	10	8	46	27
2014-10-22	$12980.00	$14000.00	48.7%	15.8%	59.2%	50.5%	50.3%	-14.8%	0.9%	175.2K	-4.6M	-118.4K	1.08	42.90	N/A	N/A	8	9	50	28
2014-10-23	$12555.00	$14000.00	43.9%	14.6%	58.4%	41.9%	50.4%	-23.1%	4.0%	195.6K	-1.7M	-113.2K	0.77	41.93	N/A	N/A	11	8	50	27
2014-10-24	$12255.00	$13500.00	44.5%	14.8%	58.4%	43.0%	49.3%	-25.1%	6.6%	227.0K	-1.6M	-116.1K	1.06	49.77	N/A	N/A	8	9	54	27
2014-10-27	$12295.00	$13500.00	47.0%	15.3%	58.3%	47.5%	57.1%	-17.3%	2.0%	219.7K	1.2M	-109.0K	0.02	37.76	N/A	N/A	1	0	53	26
2014-10-28	$11865.00	$13500.00	41.0%	13.4%	59.6%	36.6%	52.2%	-14.3%	3.3%	143.3K	4.2M	-101.9K	0.16	63.11	N/A	N/A	3	1	54	26
2014-10-29	$11900.00	$13500.00	41.0%	14.7%	57.6%	36.6%	54.0%	-11.4%	5.5%	251.0K	-363.6K	-121.4K	1.01	122.06	N/A	N/A	8	8	57	27
2014-10-30	$11690.00	$13500.00	35.5%	14.4%	57.8%	26.6%	50.8%	-10.8%	5.8%	151.9K	2.4M	-106.4K	1.11	64.15	N/A	N/A	7	8	58	27
2014-10-31	$11270.00	$13500.00	38.5%	13.6%	58.0%	32.2%	45.7%	-13.6%	0.8%	136.7K	3.6M	-102.4K	0.82	36.64	N/A	N/A	9	8	59	28