SPXS Options History — November 2014

In November 2014, SPXS traded between $10305.00 and $11355.00. ATM implied volatility averaged 34.2%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 2.6% (HV 20d: 31.6%). Max pain ranged from $10500.00 to $13500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2014-11-03: Highest Volume — 16 contracts
  • 2014-11-13: Largest IV spike — 24.6% change
  • 2014-11-03: Highest IV Rank — 36.9%
  • 2014-11-04: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10787.11$10305.00$11355.00$11275.00$10370.00
Max Pain$11078.95$10500.00$13500.00$13500.00$10500.00
ATM IV34.2%29.9%41.1%41.1%36.2%
Expected Move12.6%10.7%14.4%12.7%12.6%
HV 20d31.6%16.3%58.0%58.0%16.5%
HV 60d39.1%38.9%39.5%39.4%39.1%
IV Rank24.3%16.5%36.9%36.9%27.9%
IV Percentile50.6%23.8%82.1%82.1%67.5%
Term Structure3.2%-0.1%7.9%0.2%0.8%
VWIV43.3%36.1%52.4%43.4%52.4%
Skew 25d-13.1%-18.2%-4.7%-13.7%-13.9%
Skew 10d-25.5%-35.2%-12.7%-29.0%-28.9%
Call IV 25d42.6%36.4%48.7%47.6%40.3%
Put IV 25d29.5%22.6%35.3%33.9%26.3%
Bid-Ask Spread %46.0028.0180.3050.9630.95
Gamma HHI0.140.090.240.090.15
Net GEX175.8K66.1K317.0K203.3K75.6K
Net DEX6.4M2.3M12.6M3.6M11.3M
Net VEX-94.4K-118.3K-79.7K-100.6K-118.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.031.691.340.04
Total Volume10.474016161
Total OI93.895791039191

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$11275.00$13500.0041.1%12.7%58.0%36.9%43.4%-13.7%0.2%203.3K3.6M-100.6K1.3450.96N/AN/A796229
2014-11-04$11355.00$13500.0039.8%14.4%55.2%34.4%43.8%-13.4%2.9%244.6K2.3M-108.0K1.2343.39N/AN/A786329
2014-11-05$11160.00$11000.0034.4%13.3%52.2%24.6%44.2%-9.5%6.1%180.1K3.6M-102.6K1.3235.05N/AN/A796429
2014-11-06$11040.00$11000.0032.4%13.5%46.1%20.9%45.0%-10.9%6.0%167.8K4.3M-99.1K1.4531.85N/AN/A686528
2014-11-07$11025.00$11000.0032.2%13.4%43.5%20.6%44.1%-14.9%3.1%211.6K4.5M-97.6K1.6933.28N/AN/A586528
2014-11-10$10915.00$11000.0031.1%12.9%37.9%18.6%38.1%-18.2%4.7%137.2K6.6M-93.3K1.3734.77N/AN/A686728
2014-11-11$10885.00$11000.0030.8%12.5%37.2%18.1%36.1%-13.3%2.7%125.5K5.7M-81.7K1.4530.80N/AN/A586426
2014-11-12$10885.00$11000.0030.6%12.6%30.0%17.6%44.1%-15.0%3.4%162.6K6.2M-88.1K1.6232.78N/AN/A586829
2014-11-13$10875.00$11000.0038.1%13.1%29.7%31.3%43.1%-12.9%0.7%165.7K6.2M-92.2K1.6235.88N/AN/A586929
2014-11-14$10835.00$11000.0037.7%11.2%28.5%30.6%37.3%-14.4%1.3%176.1K8.5M-87.7K0.4173.46N/AN/A106828
2014-11-17$10835.00$11000.0036.9%13.2%28.2%29.2%43.5%-12.1%1.4%199.9K6.3M-92.2K1.5329.96N/AN/A587029
2014-11-18$10635.00$11000.0035.3%12.3%23.3%26.2%40.0%-14.9%-0.1%150.5K7.8M-85.8K1.3239.62N/AN/A687129
2014-11-19$10685.00$10500.0033.4%12.3%22.2%22.8%44.0%-12.1%4.6%228.4K9.6M-89.3K0.0480.30N/AN/A307128
2014-11-20$10650.00$10500.0029.9%12.3%20.4%16.5%37.5%-13.3%7.9%317.0K4.1M-91.1K1.3780.00N/AN/A687428
2014-11-21$10485.00$10500.0032.3%12.7%19.8%20.7%45.9%-4.7%3.4%181.0K6.2M-89.0K0.8035.25N/AN/A867528
2014-11-24$10365.00$10500.0032.8%12.3%19.3%21.7%50.9%-12.7%5.3%160.4K7.6M-79.7K0.0328.01N/AN/A105425
2014-11-25$10375.00$10500.0032.7%11.6%16.7%21.6%41.2%-13.8%3.6%187.6K5.1M-83.2K1.2668.51N/AN/A565726
2014-11-26$10305.00$10500.0032.7%10.7%16.3%21.5%48.7%-14.7%3.2%66.1K12.6M-113.9K0.0879.22N/AN/A005535
2014-11-28$10370.00$10500.0036.2%12.6%16.5%27.9%52.4%-13.9%0.8%75.6K11.3M-118.3K0.0430.95N/AN/A105635