SPXS Options History — March 2015

In March 2015, SPXS traded between $9200.00 and $10215.00. ATM implied volatility averaged 39.5%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 4.8% (HV 20d: 34.7%). Max pain ranged from $9000.00 to $10000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.29.

Notable Days

2015-03-10: Highest Volume — 15 contracts
2015-03-03: Largest IV spike — 35.4% change
2015-03-10: Highest IV Rank — 59.2%
2015-03-06: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9617.05	$9200.00	$10215.00	$9200.00	$9680.00
Max Pain	$9522.73	$9000.00	$10000.00	$9000.00	$9500.00
ATM IV	39.5%	28.3%	46.3%	28.3%	39.3%
Expected Move	11.5%	8.1%	14.0%	8.1%	11.3%
HV 20d	34.7%	23.6%	44.4%	28.3%	44.4%
HV 60d	42.3%	40.5%	43.7%	42.5%	42.3%
IV Rank	50.0%	34.5%	59.2%	34.5%	49.7%
IV Percentile	63.2%	11.5%	85.7%	11.5%	64.3%
Term Structure	4.6%	-1.8%	11.7%	11.7%	1.9%
VWIV	40.6%	33.9%	47.8%	33.9%	43.2%
Skew 25d	-15.3%	-21.2%	-9.1%	-9.1%	-21.2%
Skew 10d	-28.8%	-42.3%	-16.8%	-25.2%	-20.6%
Call IV 25d	48.1%	36.3%	56.1%	36.3%	51.9%
Put IV 25d	32.8%	26.0%	40.4%	27.2%	30.7%
Bid-Ask Spread %	43.48	19.12	82.08	26.54	27.16
Gamma HHI	0.13	0.09	0.21	0.12	0.10
Net GEX	199.1K	75.2K	349.5K	75.2K	137.7K
Net DEX	1.3M	-5.5M	7.2M	7.2M	1.4M
Net VEX	-124.7K	-140.5K	-111.9K	-111.9K	-121.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.05	0.90	0.33	0.37
Total Volume	6.409	1	15	9	8
Total OI	82	73	91	73	83

Daily Data (22 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
2015-03-02	$9200.00	$9000.00	28.3%	8.1%	28.3%	34.5%	33.9%	-9.1%	11.7%	75.2K	7.2M	-111.9K	0.33	26.54	N/A	N/A	7	2	42	31
2015-03-03	$9310.00	$9000.00	38.3%	11.0%	27.2%	48.3%	42.9%	-15.2%	3.3%	107.4K	5.7M	-119.4K	0.29	23.36	N/A	N/A	8	2	43	31
2015-03-04	$9430.00	$9000.00	35.4%	10.1%	24.4%	44.3%	36.8%	-12.0%	1.9%	130.3K	4.8M	-117.6K	0.32	40.25	N/A	N/A	8	2	44	31
2015-03-05	$9380.00	$10000.00	37.1%	11.5%	23.6%	46.7%	47.4%	-19.5%	5.6%	143.4K	4.9M	-119.6K	0.37	77.19	N/A	N/A	6	2	44	31
2015-03-06	$9805.00	$10000.00	43.6%	14.0%	27.1%	55.5%	47.8%	-14.3%	-1.8%	201.6K	1.2M	-122.9K	0.26	82.08	N/A	N/A	9	2	44	31
2015-03-09	$9660.00	$10000.00	36.4%	11.4%	27.2%	45.7%	42.6%	-19.7%	7.7%	141.8K	2.8M	-122.9K	0.05	56.83	N/A	N/A	3	0	44	31
2015-03-10	$10150.00	$10000.00	46.3%	13.2%	32.6%	59.2%	42.7%	-15.9%	3.8%	180.7K	-2.2M	-131.7K	0.90	48.93	N/A	N/A	8	7	46	31
2015-03-11	$10215.00	$9500.00	45.9%	13.2%	30.3%	58.7%	43.5%	-16.6%	4.8%	241.2K	-5.4M	-130.4K	0.29	54.25	N/A	N/A	6	2	50	34
2015-03-12	$9820.00	$9500.00	42.9%	12.3%	33.6%	54.6%	40.2%	-15.4%	4.3%	325.6K	-3.5M	-138.8K	0.23	41.61	N/A	N/A	4	1	54	34
2015-03-13	$9990.00	$9500.00	44.6%	12.8%	32.1%	56.9%	46.0%	-16.5%	6.6%	349.5K	-5.5M	-140.5K	0.08	36.02	N/A	N/A	3	0	54	34
2015-03-16	$9590.00	$9500.00	40.7%	11.7%	35.2%	51.6%	41.7%	-16.8%	8.5%	292.1K	3.1K	-131.8K	0.24	41.42	N/A	N/A	2	1	54	34
2015-03-17	$9680.00	$9500.00	42.7%	12.3%	35.4%	54.4%	44.6%	-16.7%	4.4%	296.5K	-191.1K	-130.9K	0.36	80.51	N/A	N/A	1	0	54	34
2015-03-18	$9325.00	$9500.00	38.4%	11.0%	37.9%	48.4%	35.8%	-18.7%	6.3%	230.3K	3.7M	-126.7K	0.20	76.89	N/A	N/A	6	1	54	34
2015-03-19	$9450.00	$9500.00	38.0%	10.9%	38.2%	47.9%	39.1%	-12.5%	7.4%	310.1K	2.2M	-121.1K	0.38	52.31	N/A	N/A	1	0	57	34
2015-03-20	$9210.00	$9500.00	32.0%	9.2%	38.8%	39.6%	34.1%	-15.4%	11.1%	155.2K	6.0M	-120.9K	0.37	32.91	N/A	N/A	3	1	56	34
2015-03-23	$9250.00	$9500.00	32.7%	9.4%	38.9%	40.6%	35.0%	-9.2%	2.6%	182.1K	5.1M	-118.6K	0.25	35.13	N/A	N/A	4	1	49	33
2015-03-24	$9415.00	$9500.00	36.5%	10.5%	39.2%	45.7%	36.6%	-13.0%	6.5%	185.6K	3.0M	-118.7K	0.08	20.47	N/A	N/A	4	0	48	33
2015-03-25	$9830.00	$9500.00	44.1%	12.7%	41.9%	56.3%	34.2%	-12.6%	0.9%	208.2K	-1.9M	-125.9K	0.15	21.59	N/A	N/A	7	1	49	33
2015-03-26	$9880.00	$9500.00	45.8%	13.1%	41.9%	58.5%	45.3%	-14.2%	-0.8%	175.1K	-2.5M	-129.5K	0.32	32.39	N/A	N/A	7	2	49	33
2015-03-27	$9840.00	$9500.00	43.5%	12.5%	41.9%	55.5%	39.6%	-15.5%	1.6%	161.8K	-1.6M	-128.0K	0.15	19.12	N/A	N/A	1	0	49	34
2015-03-30	$9465.00	$9500.00	37.0%	10.6%	43.9%	46.5%	40.0%	-15.9%	3.1%	148.0K	3.6M	-113.4K	0.38	29.51	N/A	N/A	6	2	48	34
2015-03-31	$9680.00	$9500.00	39.3%	11.3%	44.4%	49.7%	43.2%	-21.2%	1.9%	137.7K	1.4M	-121.2K	0.37	27.16	N/A	N/A	6	2	49	34