SPXS Options History — December 2014

In December 2014, SPXS traded between $9845.00 and $11800.00. ATM implied volatility averaged 40.9%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 9.6% (HV 20d: 31.3%). Max pain ranged from $9000.00 to $11500.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2014-12-16: Highest Volume — 19 contracts
  • 2014-12-15: Largest IV spike — 1589.9% change
  • 2014-12-16: Highest IV Rank — 84.8%
  • 2014-12-17: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10496.36$9845.00$11800.00$10575.00$10300.00
Max Pain$10023.81$9000.00$11500.00$10500.00$9000.00
ATM IV40.9%3.3%64.8%37.0%49.5%
Expected Move13.5%11.1%17.9%12.7%14.1%
HV 20d31.3%14.6%45.8%14.6%45.8%
HV 60d41.5%39.2%44.9%39.3%42.9%
IV Rank45.4%0.0%84.8%29.4%63.7%
IV Percentile73.2%0.0%98.8%69.4%94.0%
Term Structure4.8%-9.1%53.7%1.4%-3.1%
VWIV46.8%35.4%65.2%41.7%35.4%
Skew 25d-15.9%-22.6%-8.7%-11.4%-20.3%
Skew 10d-29.7%-48.1%2.2%-25.5%-37.4%
Call IV 25d50.8%35.8%69.1%44.5%57.1%
Put IV 25d34.9%24.7%47.8%33.1%36.8%
Bid-Ask Spread %60.2532.89123.0159.1444.30
Gamma HHI0.160.090.280.160.09
Net GEX265.2K-1.6K833.5K172.9K111.9K
Net DEX5.2M-14.1M12.1M8.2M8.2M
Net VEX-120.0K-136.4K-109.3K-116.9K-121.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.011.370.860.03
Total Volume11.909119135
Total OI99.864941089596

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$10575.00$10500.0037.0%12.7%14.6%29.4%41.7%-11.4%1.4%172.9K8.2M-116.9K0.8659.14N/AN/A765936
2014-12-02$10405.00$10000.0035.6%12.5%15.3%26.7%42.1%-12.8%0.1%201.6K8.5M-116.4K1.0036.51N/AN/A666136
2014-12-03$10245.00$10000.0031.8%11.1%15.2%19.8%43.5%-12.2%-2.3%141.8K9.6M-114.3K1.0265.17N/AN/A666137
2014-12-04$10290.00$10000.0034.7%12.5%14.8%25.2%42.9%-13.7%1.6%170.7K11.4M-115.9K0.0132.89N/AN/A105936
2014-12-05$10280.00$10000.0034.0%12.0%14.7%24.0%44.8%-8.7%5.6%195.1K8.6M-114.9K0.9346.70N/AN/A666237
2014-12-08$10465.00$10000.0039.3%12.7%16.5%33.6%48.1%-14.5%3.3%272.7K7.1M-117.4K0.6039.42N/AN/A1066237
2014-12-09$10465.00$10000.0039.2%12.7%16.3%33.3%40.5%-13.6%4.4%379.6K5.5M-115.9K0.5035.05N/AN/A1266437
2014-12-10$11000.00$10000.0057.3%14.2%24.6%66.2%46.2%-20.9%-2.1%366.9K540.5K-133.3K0.5247.03N/AN/A1166537
2014-12-11$10870.00$10000.0052.3%12.8%25.0%57.2%48.8%-19.1%-3.2%568.9K-260.4K-123.6K0.6669.04N/AN/A966837
2014-12-12$11310.00$10000.003.3%17.3%28.7%0.0%65.2%-17.2%53.7%628.3K-7.7M-136.4K0.47108.36N/AN/A1267037
2014-12-15$11495.00$10000.0055.3%17.2%29.0%71.6%55.2%-18.0%5.2%750.4K-10.2M-136.2K0.7645.32N/AN/A977037
2014-12-16$11800.00$10000.0064.8%17.0%30.1%84.8%52.9%-21.3%-9.1%730.1K-14.1M-130.3K0.4948.65N/AN/A1367038
2014-12-17$11110.00$10000.0052.1%17.9%37.1%67.2%61.6%-12.7%21.4%833.5K-3.8M-135.1K0.64103.32N/AN/A1066938
2014-12-18$10375.00$10500.0044.4%14.6%44.8%56.6%48.9%-21.3%8.9%172.5K8.1M-119.3K0.8840.09N/AN/A876838
2014-12-19$10185.00$10000.0038.7%13.5%45.2%48.8%50.4%-22.6%8.9%39.3K12.1M-116.0K0.3338.68N/AN/A216736
2014-12-22$10075.00$0.0038.5%12.9%45.0%48.5%53.4%-17.8%-4.6%-99610.7M-111.1K1.37123.01N/AN/A465836
2014-12-23$9965.00$11500.0038.9%11.7%45.0%49.1%41.9%-14.4%0.8%-1.6K11.0M-109.3K1.0669.97N/AN/A555836
2014-12-24$9980.00$9500.0037.5%12.4%45.0%47.2%43.0%-12.4%5.0%19.1K9.7M-115.8K1.1967.68N/AN/A556036
2014-12-26$9880.00$10000.0037.5%11.6%45.1%47.2%41.2%-15.9%2.8%24.1K10.0M-114.9K1.1666.36N/AN/A566036
2014-12-29$9845.00$10000.0040.3%12.2%45.0%51.0%39.4%-15.7%4.0%6.8K10.9M-109.7K1.1473.39N/AN/A666037
2014-12-30$10005.00$9500.0038.0%12.0%44.8%47.8%42.3%-14.2%4.0%50.4K11.2M-115.7K0.1165.48N/AN/A105936
2014-12-31$10300.00$9000.0049.5%14.1%45.8%63.7%35.4%-20.3%-3.1%111.9K8.2M-121.2K0.0344.30N/AN/A506036