SPXS Options History — January 2015

In January 2015, SPXS traded between $10135.00 and $11270.00. ATM implied volatility averaged 50.8%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 1.9% (HV 20d: 48.9%). Max pain ranged from $9000.00 to $10000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2015-01-08: Highest Volume — 17 contracts
  • 2015-01-13: Largest IV spike — 40.7% change
  • 2015-01-15: Highest IV Rank — 86.0%
  • 2015-01-15: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10688.00$10135.00$11270.00$10285.00$11130.00
Max Pain$9675.00$9000.00$10000.00$9000.00$10000.00
ATM IV50.8%40.1%65.7%48.2%56.0%
Expected Move14.9%11.7%18.8%14.5%16.0%
HV 20d48.9%42.3%55.7%45.5%49.7%
HV 60d39.3%37.6%42.1%41.8%39.7%
IV Rank65.5%50.7%86.0%61.9%72.6%
IV Percentile90.3%73.4%99.2%92.5%95.6%
Term Structure1.3%-5.1%4.6%3.4%2.8%
VWIV52.2%40.2%59.1%54.9%55.7%
Skew 25d-17.7%-23.9%4.8%4.8%-15.9%
Skew 10d-34.5%-53.3%-1.9%-23.9%-25.0%
Call IV 25d60.7%34.6%69.9%34.6%67.1%
Put IV 25d43.0%32.0%51.3%39.4%51.3%
Bid-Ask Spread %72.2762.0993.2864.9181.14
Gamma HHI0.110.060.240.090.09
Net GEX247.6K118.0K368.8K196.5K269.9K
Net DEX-351.7K-8.5M8.1M4.6M-8.5M
Net VEX-126.6K-140.6K-112.5K-121.6K-139.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.040.860.790.26
Total Volume10.351171611
Total OI86.75511010267

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$10285.00$9000.0048.2%14.5%45.5%61.9%54.9%4.8%3.4%196.5K4.6M-121.6K0.7964.91N/AN/A976537
2015-01-05$10890.00$9000.0052.8%15.4%49.8%68.2%59.0%-22.4%2.1%270.0K1.7M-118.4K0.1862.94N/AN/A516437
2015-01-06$11180.00$9000.0049.6%15.6%50.5%63.9%56.1%-22.9%-0.6%303.8K-2.3M-129.1K0.7564.74N/AN/A546637
2015-01-07$10775.00$9500.0047.4%15.0%52.2%60.8%51.8%-23.3%2.4%279.8K1.6M-120.7K0.1266.91N/AN/A206638
2015-01-08$10220.00$9500.0040.1%12.4%55.7%50.7%47.7%-17.8%4.6%176.1K8.1M-112.5K0.8664.92N/AN/A986839
2015-01-09$10420.00$9500.0042.1%13.5%52.9%53.5%49.8%-19.1%3.6%258.7K5.4M-119.8K0.8175.12N/AN/A986939
2015-01-12$10665.00$9500.0045.0%14.1%53.6%57.5%57.5%-18.4%1.9%364.2K2.2M-116.1K0.7668.30N/AN/A977039
2015-01-13$10815.00$9500.0063.3%17.2%51.8%82.7%55.4%-18.2%0.1%368.8K1.0M-119.5K0.7573.45N/AN/A977040
2015-01-14$10965.00$9500.0056.9%16.3%51.6%73.8%55.0%-23.9%2.4%361.8K-1.3M-126.5K0.6662.09N/AN/A1077040
2015-01-15$11270.00$9500.0065.7%18.8%51.7%86.0%59.1%-18.8%-5.1%339.5K-3.3M-123.2K0.7765.66N/AN/A977040
2015-01-16$10830.00$10000.0054.6%15.7%49.1%70.7%51.2%-21.4%2.2%262.9K3.6M-124.4K0.6569.28N/AN/A436739
2015-01-20$10760.00$10000.0056.3%16.1%42.4%73.1%55.7%-19.4%2.0%118.0K-3.0M-124.5K0.0771.39N/AN/A302827
2015-01-21$10580.00$10000.0050.6%14.5%42.3%65.2%49.2%-21.3%3.3%134.4K-2.0M-125.6K0.0468.30N/AN/A703027
2015-01-22$10135.00$10000.0042.1%12.1%45.0%53.5%45.8%-19.8%2.3%150.4K543.1K-132.7K0.1974.91N/AN/A1023527
2015-01-23$10275.00$10000.0045.4%13.0%45.0%58.0%40.2%-21.2%2.5%163.7K888.6K-126.1K0.2286.82N/AN/A923527
2015-01-26$10220.00$10000.0040.7%11.7%45.1%51.6%44.8%-15.3%1.6%185.0K294.9K-130.5K0.2678.93N/AN/A103727
2015-01-27$10615.00$10000.0046.2%13.2%46.7%59.1%45.6%-11.8%-0.8%218.3K-3.2M-140.6K0.0676.64N/AN/A303727
2015-01-28$11005.00$10000.0060.4%17.3%48.0%78.7%58.7%-9.0%-3.4%265.9K-6.6M-139.6K0.2793.28N/AN/A823927
2015-01-29$10725.00$10000.0053.0%15.2%49.1%68.4%51.7%-18.3%-0.6%263.7K-6.8M-140.5K0.3175.73N/AN/A824027
2015-01-30$11130.00$10000.0056.0%16.0%49.7%72.6%55.7%-15.9%2.8%269.9K-8.5M-139.2K0.2681.14N/AN/A924027