SPXS Options History — June 2015

In June 2015, SPXS traded between $8695.00 and $9495.00. ATM implied volatility averaged 39.7%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.9% (HV 20d: 27.8%). Max pain ranged from $8000.00 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 0.51.

Notable Days

  • 2015-06-29: Highest Volume — 22 contracts
  • 2015-06-29: Largest IV spike — 38.5% change
  • 2015-06-29: Highest IV Rank — 70.1%
  • 2015-06-29: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9026.36$8695.00$9495.00$8930.00$9390.00
Max Pain$9500.00$8000.00$10000.00$8000.00$9500.00
ATM IV39.7%28.6%54.2%38.0%52.8%
Expected Move11.3%8.2%15.5%10.9%15.1%
HV 20d27.8%24.1%33.1%30.2%33.1%
HV 60d30.6%27.8%34.7%34.7%30.0%
IV Rank50.2%35.0%70.1%47.9%68.2%
IV Percentile57.6%10.3%94.0%56.7%92.9%
Term Structure4.0%-4.1%10.0%0.5%-4.1%
VWIV40.8%31.6%55.7%38.7%53.0%
Skew 25d-15.1%-19.9%-6.3%-10.8%-18.4%
Skew 10d-27.3%-40.4%-1.6%-27.0%-36.7%
Call IV 25d47.2%36.9%64.6%42.6%61.6%
Put IV 25d32.1%22.1%44.8%31.8%43.2%
Bid-Ask Spread %47.4219.4485.6827.1426.85
Gamma HHI0.240.130.370.250.13
Net GEX399.6K173.5K559.4K399.9K173.5K
Net DEX-711.3K-7.9M5.3M680.7K-4.0M
Net VEX-93.6K-116.5K-73.9K-83.1K-113.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.030.880.560.74
Total Volume9.318122812
Total OI83.59178937885

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$8930.00$8000.0038.0%10.9%30.2%47.9%38.7%-10.8%0.5%399.9K680.7K-83.1K0.5627.14N/AN/A535226
2015-06-02$8940.00$8500.0038.6%11.1%30.0%48.7%41.2%-12.1%0.1%382.2K-1.2M-97.8K0.0320.60N/AN/A105327
2015-06-03$8875.00$8500.0036.0%10.3%27.2%45.1%39.2%-11.9%6.4%441.0K-566.9K-102.0K0.5222.78N/AN/A535427
2015-06-04$9130.00$10000.0041.2%11.7%28.5%52.2%41.8%-15.7%5.5%421.6K-4.0M-98.9K0.3142.76N/AN/A835427
2015-06-05$9135.00$10000.0040.7%11.3%28.0%51.6%37.3%-16.8%4.1%335.0K-3.0M-105.9K0.4635.43N/AN/A635227
2015-06-08$9300.00$10000.0047.2%12.8%24.6%60.6%44.5%-15.9%1.8%418.7K-4.6M-104.1K0.5538.57N/AN/A535327
2015-06-09$9300.00$10000.0044.4%12.7%24.1%56.6%43.4%-11.8%5.0%417.8K-5.1M-100.2K0.7063.88N/AN/A435427
2015-06-10$8965.00$10000.0038.3%11.0%27.5%48.3%38.6%-17.8%4.9%405.7K1.3M-82.5K0.5868.50N/AN/A645427
2015-06-11$8940.00$10000.0038.0%10.9%27.5%47.9%39.0%-17.7%4.5%420.0K2.2M-80.7K0.4538.73N/AN/A635628
2015-06-12$9085.00$10000.0036.8%10.6%25.7%46.2%31.6%-18.2%10.0%508.1K-842.7K-90.2K0.5462.61N/AN/A535728
2015-06-15$9220.00$10000.0039.4%11.3%26.1%49.7%44.0%-15.9%5.7%547.4K-5.3M-102.8K0.4250.20N/AN/A635728
2015-06-16$9080.00$10000.0037.7%10.8%26.5%47.5%45.0%-15.0%6.3%559.4K-3.0M-96.3K0.4880.29N/AN/A635828
2015-06-17$9015.00$10000.0040.6%11.6%26.7%51.4%42.2%-18.7%4.4%558.1K-1.8M-97.1K0.5885.68N/AN/A535928
2015-06-18$8755.00$10000.0039.5%11.3%28.9%49.9%39.4%-14.4%3.9%495.9K3.5M-76.8K0.3568.59N/AN/A1046028
2015-06-19$8845.00$9500.0037.3%10.7%29.0%46.9%36.8%-6.3%7.7%282.6K4.6M-73.9K0.4164.61N/AN/A636528
2015-06-22$8700.00$9500.0028.6%8.2%29.5%35.0%36.2%-17.3%8.6%265.4K5.3M-75.2K0.2768.13N/AN/A825227
2015-06-23$8695.00$9500.0029.9%8.6%27.2%36.7%33.4%-14.8%6.0%392.2K3.0M-90.4K0.7133.53N/AN/A325527
2015-06-24$8865.00$9000.0036.3%10.4%26.2%45.5%36.1%-12.6%4.8%355.4K2.1M-87.2K0.4819.44N/AN/A525627
2015-06-25$8950.00$9000.0038.1%10.9%26.3%47.9%41.1%-13.3%1.5%357.5K769.8K-94.3K0.8826.56N/AN/A555627
2015-06-26$8970.00$9000.0039.1%11.2%25.8%49.4%40.0%-17.2%3.9%353.7K2.2M-89.8K0.8328.47N/AN/A655930
2015-06-29$9495.00$9000.0054.2%15.5%32.7%70.1%55.7%-19.9%-3.0%300.3K-7.9M-116.5K0.2769.88N/AN/A1755930
2015-06-30$9390.00$9500.0052.8%15.1%33.1%68.2%53.0%-18.4%-4.1%173.5K-4.0M-113.3K0.7426.85N/AN/A755530