SPXS Options History — April 2015

In April 2015, SPXS traded between $8985.00 and $9830.00. ATM implied volatility averaged 37.5%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 3.8% (HV 20d: 33.6%). Max pain ranged from $9000.00 to $9500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2015-04-17: Highest Volume — 13 contracts
  • 2015-04-02: Largest IV drop — 18.0% change
  • 2015-04-01: Highest IV Rank — 57.7%
  • 2015-04-06: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9305.71$8985.00$9830.00$9830.00$9410.00
Max Pain$9023.81$9000.00$9500.00$9500.00$9000.00
ATM IV37.5%32.7%45.2%45.2%43.0%
Expected Move10.9%9.4%13.0%13.0%12.3%
HV 20d33.6%24.0%44.9%44.5%26.1%
HV 60d36.8%32.6%40.6%40.6%32.6%
IV Rank47.1%40.5%57.7%57.7%54.8%
IV Percentile54.5%34.5%82.1%82.1%75.4%
Term Structure4.4%-4.2%10.6%2.6%-1.4%
VWIV40.4%35.3%49.3%40.2%43.3%
Skew 25d-13.6%-18.6%-9.5%-12.5%-13.5%
Skew 10d-25.8%-37.8%-13.2%-20.1%-13.2%
Call IV 25d45.6%38.5%52.5%51.5%48.3%
Put IV 25d32.0%27.3%38.9%38.9%34.8%
Bid-Ask Spread %41.1823.8990.6837.6426.14
Gamma HHI0.160.100.320.100.18
Net GEX138.2K15.3K260.5K163.8K260.5K
Net DEX3.8M-2.2M9.3M-1.2M-2.2M
Net VEX-107.8K-121.8K-99.1K-119.4K-115.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.231.150.360.66
Total Volume8.2381131011
Total OI76.23858898370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$9830.00$9500.0045.2%13.0%44.5%57.7%40.2%-12.5%2.6%163.8K-1.2M-119.4K0.3637.64N/AN/A734934
2015-04-02$9685.00$9000.0037.1%12.0%44.9%46.6%49.3%-16.3%5.8%100.7K1.3M-121.8K0.3944.98N/AN/A624834
2015-04-06$9505.00$9000.0039.8%13.0%42.4%50.3%43.6%-16.2%4.1%88.5K4.5M-111.2K0.3241.60N/AN/A724834
2015-04-07$9575.00$9000.0038.4%12.1%42.2%48.4%47.4%-18.0%4.4%173.2K2.2M-115.5K0.4543.42N/AN/A525034
2015-04-08$9490.00$9000.0041.5%11.9%37.9%52.6%39.4%-16.6%4.3%187.4K2.6M-114.9K0.2327.19N/AN/A105034
2015-04-09$9370.00$9000.0039.0%11.2%37.9%49.1%40.5%-14.2%4.3%130.0K5.5M-109.9K0.4228.80N/AN/A525034
2015-04-10$9225.00$9000.0036.8%10.5%35.8%46.2%39.7%-12.8%3.3%129.7K7.7M-105.4K0.4031.73N/AN/A735134
2015-04-13$9335.00$9000.0040.7%11.7%35.5%51.6%42.4%-12.8%1.4%227.3K5.7M-106.1K0.4123.89N/AN/A635335
2015-04-14$9315.00$9000.0040.5%11.6%32.6%51.3%40.6%-13.1%5.2%200.3K5.9M-109.8K0.3860.38N/AN/A625435
2015-04-15$9160.00$9000.0035.1%10.1%32.8%43.8%40.6%-18.6%6.8%46.1K9.0M-101.7K0.4938.57N/AN/A535335
2015-04-16$9155.00$9000.0033.8%9.7%30.1%42.0%37.6%-15.3%6.6%119.0K9.3M-102.5K0.4632.57N/AN/A635335
2015-04-17$9485.00$9000.0039.3%11.3%32.4%49.6%39.7%-13.8%8.3%238.0K3.1M-109.8K0.4658.26N/AN/A945435
2015-04-20$9220.00$9000.0033.8%9.7%32.7%42.0%37.1%-12.4%10.6%15.3K3.5M-103.4K0.5527.03N/AN/A423424
2015-04-21$9245.00$9000.0033.2%9.5%32.7%41.3%37.9%-12.5%7.2%85.1K2.9M-104.1K0.6034.35N/AN/A433624
2015-04-22$9115.00$9000.0032.7%9.4%32.4%40.5%38.5%-11.4%4.9%66.2K3.7M-101.2K0.4646.73N/AN/A533724
2015-04-23$9035.00$9000.0035.3%10.1%27.8%44.1%37.9%-12.4%3.8%90.1K4.0M-102.7K0.6842.76N/AN/A433824
2015-04-24$8985.00$9000.0033.4%9.6%27.6%41.4%35.3%-10.7%4.7%90.6K4.7M-100.9K0.6737.62N/AN/A433925
2015-04-27$9115.00$9000.0036.2%10.4%28.4%45.4%39.4%-9.5%3.0%144.0K2.4M-104.8K1.1528.45N/AN/A454025
2015-04-28$9040.00$9000.0034.5%9.9%25.3%43.0%36.3%-11.1%5.6%152.4K3.3M-99.1K1.0790.68N/AN/A454126
2015-04-29$9125.00$9000.0037.5%10.7%24.0%47.1%41.6%-11.6%-4.2%194.0K1.6M-104.4K0.9761.91N/AN/A554226
2015-04-30$9410.00$9000.0043.0%12.3%26.1%54.8%43.3%-13.5%-1.4%260.5K-2.2M-115.6K0.6626.14N/AN/A744426