SPXS Options History — August 2015

In August 2015, SPXS traded between $8770.00 and $11845.00. ATM implied volatility averaged 55.4%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 14.0% (HV 20d: 41.4%). Max pain ranged from $8500.00 to $11000.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-08-27: Highest Volume — 56 contracts
  • 2015-08-24: Largest IV spike — 44.8% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9555.95$8770.00$11845.00$8880.00$10190.00
Max Pain$9095.24$8500.00$11000.00$8500.00$10500.00
ATM IV55.4%33.5%110.8%35.0%72.3%
Expected Move15.9%9.6%31.8%10.0%20.7%
HV 20d41.4%29.5%69.9%34.5%69.9%
HV 60d35.6%30.2%48.5%31.3%48.3%
IV Rank60.8%41.7%100.0%43.7%64.2%
IV Percentile67.8%20.6%100.0%27.8%96.8%
Term Structure-1.5%-19.3%6.2%6.2%-4.2%
VWIV53.6%28.8%97.3%33.8%75.4%
Skew 25d-21.4%-45.9%-10.0%-11.9%-31.8%
Skew 10d-40.0%-77.2%-15.8%-25.5%-54.8%
Call IV 25d66.4%38.5%134.7%38.6%92.9%
Put IV 25d45.0%26.7%88.8%26.7%61.1%
Bid-Ask Spread %49.9616.1782.8732.6033.64
Gamma HHI0.120.060.270.140.07
Net GEX363.5K-204.4K543.4K482.2K153.1K
Net DEX-13.9M-43.8M-764.4K-7.8M-12.3M
Net VEX-187.9K-285.1K-127.9K-127.9K-276.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.192.510.250.72
Total Volume27.0485561129
Total OI137.857108170108170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$8880.00$8500.0035.0%10.0%34.5%43.7%33.8%-11.9%6.2%482.2K-7.8M-127.9K0.2532.60N/AN/A927929
2015-08-04$8970.00$8500.0033.5%9.6%34.3%41.7%28.8%-11.5%6.1%532.7K-10.9M-154.7K0.4617.87N/AN/A1888531
2015-08-05$8850.00$8500.0035.4%10.2%30.5%44.3%34.2%-10.0%3.7%543.4K-9.4M-154.2K0.7716.17N/AN/A15128932
2015-08-06$9015.00$8500.0036.9%11.2%31.4%46.3%36.9%-16.8%3.6%541.5K-9.0M-155.1K0.9032.49N/AN/A14139137
2015-08-07$9120.00$8500.0035.4%11.4%29.5%44.3%44.1%-13.9%2.6%493.1K-12.3M-183.1K0.7238.05N/AN/A1299240
2015-08-10$8785.00$9000.0038.0%10.8%30.4%47.9%37.7%-12.9%3.3%443.0K-4.9M-165.8K0.7260.81N/AN/A1399240
2015-08-11$9000.00$8500.0041.0%11.5%31.2%51.9%39.6%-20.1%3.6%512.4K-9.3M-173.9K0.1934.99N/AN/A419541
2015-08-12$8980.00$8500.0041.0%11.8%31.2%52.0%34.9%-14.7%1.8%484.7K-7.5M-161.0K0.6147.01N/AN/A1599441
2015-08-13$8980.00$9000.0041.0%11.8%29.6%52.0%43.2%-15.2%1.4%420.7K-7.5M-174.2K0.6956.54N/AN/A1289443
2015-08-14$8915.00$9000.0040.0%11.5%29.7%50.6%41.6%-13.0%2.0%391.2K-5.3M-172.2K0.7078.53N/AN/A1289443
2015-08-17$8770.00$9000.0039.8%11.4%30.4%50.3%40.7%-14.4%2.1%377.9K-764.4K-151.0K0.5948.91N/AN/A1389443
2015-08-18$8830.00$9000.0041.4%11.9%30.3%52.5%40.5%-14.7%1.8%374.5K-2.7M-164.6K0.6136.51N/AN/A1389643
2015-08-19$9035.00$8500.0041.0%11.8%31.2%52.0%35.3%-18.3%1.8%466.9K-8.8M-178.6K0.8526.79N/AN/A979843
2015-08-20$9570.00$8500.0053.5%15.3%36.6%69.2%50.8%-20.5%-4.3%-204.4K-19.4M-172.1K0.8071.16N/AN/A16139850
2015-08-21$10460.00$9000.0076.5%21.9%47.0%100.0%65.9%-31.3%-8.9%299.2K-35.4M-199.6K0.4771.14N/AN/A28139554
2015-08-24$11495.00$9000.00110.8%31.8%56.2%100.0%93.7%-45.9%-19.3%391.2K-43.8M-237.3K0.5779.52N/AN/A24148945
2015-08-25$11845.00$10000.00110.7%31.7%53.3%99.9%97.3%-38.4%-11.0%410.2K-39.7M-216.1K0.6282.87N/AN/A16108649
2015-08-26$10850.00$10000.0088.6%25.4%63.3%79.3%83.0%-32.0%-8.8%238.9K-24.5M-218.9K1.4973.29N/AN/A17258751
2015-08-27$10100.00$10000.0074.8%21.4%69.6%66.5%80.5%-29.0%-10.0%149.2K-9.2M-224.8K1.6476.36N/AN/A21359361
2015-08-28$10035.00$11000.0076.3%21.9%69.8%67.9%87.5%-33.6%-4.4%131.8K-10.6M-285.1K2.5134.00N/AN/A13339969
2015-08-31$10190.00$10500.0072.3%20.7%69.9%64.2%75.4%-31.8%-4.2%153.1K-12.3M-276.4K0.7233.64N/AN/A171210169