SPXS Options History — May 2015

In May 2015, SPXS traded between $8705.00 and $9470.00. ATM implied volatility averaged 37.6%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.6% (HV 20d: 32.0%). Max pain ranged from $8000.00 to $9000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-05-06: Highest Volume — 15 contracts
  • 2015-05-21: Largest IV drop — 28.0% change
  • 2015-05-07: Highest IV Rank — 59.5%
  • 2015-05-06: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8974.00$8705.00$9470.00$9100.00$8945.00
Max Pain$8325.00$8000.00$9000.00$9000.00$8000.00
ATM IV37.6%29.9%46.5%33.8%36.9%
Expected Move10.9%8.6%13.0%9.7%10.6%
HV 20d32.0%27.6%35.4%28.0%32.4%
HV 60d33.8%32.6%34.7%33.2%34.7%
IV Rank47.3%36.7%59.5%42.0%46.3%
IV Percentile53.4%19.8%86.5%39.3%48.0%
Term Structure2.7%-0.9%5.7%1.9%3.2%
VWIV38.0%29.7%47.8%38.4%38.0%
Skew 25d-16.1%-23.7%-10.8%-15.6%-12.1%
Skew 10d-28.5%-39.0%-20.4%-31.9%-27.1%
Call IV 25d44.5%37.1%54.8%41.9%42.7%
Put IV 25d28.4%19.4%36.5%26.3%30.6%
Bid-Ask Spread %47.4515.9095.6515.9045.38
Gamma HHI0.220.130.380.190.25
Net GEX305.3K82.0K477.8K248.3K368.1K
Net DEX1.0M-4.7M4.6M933.6K570.9K
Net VEX-99.2K-115.3K-80.3K-110.2K-86.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.070.910.850.50
Total Volume7.521596
Total OI74.9566817077

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$9100.00$9000.0033.8%9.7%28.0%42.0%38.4%-15.6%1.9%248.3K933.6K-110.2K0.8515.90N/AN/A544426
2015-05-04$9000.00$8500.0036.0%10.8%27.6%45.1%38.9%-15.3%3.0%249.4K2.8M-98.9K0.1126.41N/AN/A204526
2015-05-05$9310.00$8500.0044.3%12.1%30.3%56.6%40.8%-15.1%2.4%337.4K-1.2M-103.8K0.9136.53N/AN/A544726
2015-05-06$9470.00$8500.0046.2%13.0%30.9%59.1%47.8%-18.3%3.0%359.2K-4.5M-111.6K0.4831.75N/AN/A1054726
2015-05-07$9310.00$8500.0046.5%12.7%31.2%59.5%46.4%-17.1%0.6%400.5K-4.7M-115.3K0.8734.26N/AN/A554927
2015-05-08$8945.00$8500.0033.7%10.6%33.8%41.9%37.7%-13.8%2.3%293.2K2.7M-98.8K0.0841.88N/AN/A504927
2015-05-11$9080.00$8500.0033.8%11.2%34.0%42.1%40.2%-17.3%1.9%404.8K1.3M-96.4K0.1132.46N/AN/A205127
2015-05-12$9130.00$8500.0037.6%11.0%34.1%47.3%43.2%-14.0%5.0%407.9K-611.9K-104.5K0.7683.72N/AN/A645227
2015-05-13$9150.00$8500.0037.7%10.8%33.6%47.4%40.8%-19.7%3.0%381.1K-830.6K-104.8K0.7952.21N/AN/A645227
2015-05-14$8870.00$8500.0037.7%10.8%35.4%47.5%38.5%-15.0%2.8%477.8K2.9M-97.8K0.7065.69N/AN/A755327
2015-05-15$8835.00$8500.0036.9%10.6%32.5%46.3%34.2%-10.8%2.4%82.0K4.6M-95.6K0.4753.06N/AN/A635427
2015-05-18$8755.00$8500.0036.7%10.5%31.3%46.0%35.9%-23.7%1.9%104.7K4.5M-93.4K0.0747.92N/AN/A504125
2015-05-19$8760.00$8000.0037.5%10.7%31.3%47.1%34.4%-17.6%2.3%181.8K3.6M-90.8K0.0995.65N/AN/A204426
2015-05-20$8765.00$8000.0041.6%11.9%31.0%52.8%35.7%-19.0%-0.9%214.9K3.6M-90.7K0.5591.01N/AN/A424626
2015-05-21$8705.00$8000.0029.9%8.6%30.9%36.7%32.5%-18.5%4.4%223.9K4.3M-80.3K0.3425.15N/AN/A724726
2015-05-22$8755.00$8000.0034.5%9.9%31.0%43.1%29.7%-16.3%4.7%331.5K1.2M-102.3K0.5023.65N/AN/A424926
2015-05-26$9025.00$8000.0035.9%10.3%32.6%44.9%38.5%-13.5%5.7%330.2K-2.5M-105.5K0.2620.26N/AN/A825026
2015-05-27$8765.00$8000.0037.3%10.7%34.0%46.9%34.8%-15.2%1.9%350.4K1.4M-93.1K0.3435.83N/AN/A525126
2015-05-28$8805.00$8000.0037.6%10.8%33.9%47.3%33.9%-14.7%3.0%359.3K454.8K-103.8K0.4990.36N/AN/A425126
2015-05-29$8945.00$8000.0036.9%10.6%32.4%46.3%38.0%-12.1%3.2%368.1K570.9K-86.4K0.5045.38N/AN/A425126