SPXS Options History — February 2015

In February 2015, SPXS traded between $9230.00 and $10715.00. ATM implied volatility averaged 42.3%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.6% (HV 20d: 42.9%). Max pain ranged from $9000.00 to $10000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.35.

Notable Days

2015-02-24: Highest Volume — 12 contracts
2015-02-26: Largest IV spike — 18.4% change
2015-02-02: Highest IV Rank — 70.4%
2015-02-02: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9733.95	$9230.00	$10715.00	$10715.00	$9360.00
Max Pain	$9473.68	$9000.00	$10000.00	$10000.00	$9000.00
ATM IV	42.3%	32.3%	54.4%	54.4%	36.3%
Expected Move	12.4%	9.3%	15.6%	15.6%	10.4%
HV 20d	42.9%	32.6%	51.9%	51.9%	32.6%
HV 60d	42.2%	40.4%	42.8%	40.4%	42.5%
IV Rank	53.8%	40.0%	70.4%	70.4%	45.4%
IV Percentile	73.6%	32.5%	94.4%	94.4%	55.6%
Term Structure	3.4%	0.7%	7.4%	1.5%	6.4%
VWIV	46.0%	35.2%	58.2%	35.2%	38.1%
Skew 25d	-15.1%	-23.9%	5.3%	-12.4%	-12.3%
Skew 10d	-30.9%	-48.2%	25.9%	-41.2%	-26.2%
Call IV 25d	52.7%	41.9%	63.5%	63.5%	41.9%
Put IV 25d	37.6%	25.7%	58.8%	51.1%	29.6%
Bid-Ask Spread %	52.93	33.08	83.58	83.58	40.96
Gamma HHI	0.12	0.07	0.22	0.08	0.09
Net GEX	218.3K	12.7K	414.1K	221.8K	102.6K
Net DEX	3.0M	-5.0M	8.0M	-5.0M	6.1M
Net VEX	-123.3K	-143.3K	-109.1K	-139.6K	-120.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.20	0.67	0.25	0.51
Total Volume	9.263	2	12	3	9
Total OI	73.211	65	80	67	72

Daily Data (19 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
2015-02-02	$10715.00	$10000.00	54.4%	15.6%	51.9%	70.4%	35.2%	-12.4%	1.5%	221.8K	-5.0M	-139.6K	0.25	83.58	N/A	N/A	2	1	40	27
2015-02-03	$10260.00	$10000.00	45.1%	12.9%	49.9%	57.6%	45.6%	-12.8%	2.2%	198.3K	-726.0K	-136.6K	0.27	76.42	N/A	N/A	9	2	41	28
2015-02-04	$10385.00	$10000.00	47.5%	13.6%	49.1%	60.9%	47.2%	5.3%	4.4%	232.1K	-2.2M	-143.3K	0.20	82.48	N/A	N/A	9	2	42	28
2015-02-05	$10045.00	$9500.00	43.1%	13.4%	48.8%	54.9%	53.9%	-21.8%	2.1%	272.7K	984.3K	-127.4K	0.23	53.04	N/A	N/A	9	2	43	28
2015-02-06	$10150.00	$9500.00	43.1%	13.1%	45.3%	54.8%	57.6%	-23.9%	6.9%	341.6K	-1.3M	-136.0K	0.26	42.09	N/A	N/A	9	2	45	28
2015-02-09	$10250.00	$9500.00	44.2%	13.9%	44.9%	56.4%	58.2%	-20.8%	1.4%	414.1K	-2.5M	-136.4K	0.26	38.40	N/A	N/A	9	2	47	28
2015-02-10	$9915.00	$9500.00	43.4%	13.7%	45.4%	55.3%	55.2%	-22.7%	3.7%	398.5K	23.2K	-131.0K	0.31	46.52	N/A	N/A	7	2	47	28
2015-02-11	$9930.00	$9500.00	47.8%	13.7%	44.9%	61.4%	52.4%	-19.6%	0.7%	399.1K	907.4K	-123.4K	0.24	46.87	N/A	N/A	7	2	48	28
2015-02-12	$9625.00	$9500.00	42.0%	12.0%	45.4%	53.4%	47.1%	-19.3%	2.4%	352.4K	4.2M	-114.7K	0.27	57.75	N/A	N/A	8	2	48	28
2015-02-13	$9510.00	$9500.00	39.9%	11.4%	43.6%	50.5%	46.3%	-19.6%	4.2%	320.1K	4.3M	-120.7K	0.38	41.24	N/A	N/A	8	3	48	28
2015-02-17	$9480.00	$9500.00	44.7%	12.8%	42.0%	57.1%	51.0%	-14.1%	1.6%	260.3K	6.0M	-115.4K	0.33	55.72	N/A	N/A	8	3	49	29
2015-02-18	$9470.00	$9500.00	44.3%	12.7%	42.1%	56.5%	48.5%	5.3%	2.2%	206.6K	5.6M	-119.5K	0.35	70.65	N/A	N/A	7	3	50	29
2015-02-19	$9470.00	$9500.00	41.6%	11.9%	41.9%	52.8%	46.7%	-18.3%	2.8%	207.1K	5.9M	-112.5K	0.67	69.72	N/A	N/A	1	1	50	29
2015-02-20	$9305.00	$9500.00	39.7%	11.4%	39.8%	50.2%	37.1%	-22.8%	7.4%	12.7K	8.0M	-109.1K	0.27	52.52	N/A	N/A	3	1	50	30
2015-02-23	$9330.00	$9500.00	40.1%	11.5%	39.4%	50.8%	40.2%	-10.8%	3.9%	53.2K	6.0M	-111.0K	0.57	35.39	N/A	N/A	6	4	37	28
2015-02-24	$9230.00	$9000.00	36.6%	10.5%	39.4%	45.9%	38.9%	-15.4%	2.3%	27.9K	7.1M	-112.5K	0.43	45.06	N/A	N/A	8	4	38	29
2015-02-25	$9245.00	$9000.00	32.3%	9.3%	36.1%	40.0%	36.0%	-15.6%	5.5%	53.9K	6.9M	-116.3K	0.42	33.08	N/A	N/A	8	3	40	31
2015-02-26	$9270.00	$9000.00	38.3%	11.0%	32.6%	48.3%	38.0%	-15.7%	3.0%	73.0K	6.5M	-117.7K	0.46	34.25	N/A	N/A	7	3	41	31
2015-02-27	$9360.00	$9000.00	36.3%	10.4%	32.6%	45.4%	38.1%	-12.3%	6.4%	102.6K	6.1M	-120.3K	0.51	40.96	N/A	N/A	6	3	41	31