SPXS Options History — September 2015

In September 2015, SPXS traded between $9700.00 and $11420.00. ATM implied volatility averaged 67.5%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 9.9% (HV 20d: 77.3%). Max pain ranged from $10000.00 to $10500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-09-18: Highest Volume — 43 contracts
  • 2015-09-28: Largest IV spike — 29.3% change
  • 2015-09-01: Highest IV Rank — 80.9%
  • 2015-09-01: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10515.24$9700.00$11420.00$11170.00$10770.00
Max Pain$10095.24$10000.00$10500.00$10500.00$10500.00
ATM IV67.5%55.2%90.3%90.3%69.6%
Expected Move19.2%15.8%25.9%25.9%19.9%
HV 20d77.3%60.3%86.8%76.1%60.3%
HV 60d55.7%51.6%59.2%51.6%59.2%
IV Rank59.7%48.3%80.9%80.9%61.6%
IV Percentile93.1%87.3%99.2%99.2%93.7%
Term Structure-1.4%-5.5%3.6%-4.8%-1.8%
VWIV70.2%57.5%90.9%90.9%74.4%
Skew 25d-27.3%-35.7%-20.4%-30.1%-20.4%
Skew 10d-50.9%-73.6%-22.3%-50.2%-44.3%
Call IV 25d83.1%70.0%107.6%107.6%78.6%
Put IV 25d55.8%45.2%77.5%77.5%58.2%
Bid-Ask Spread %31.5119.1951.1828.4051.18
Gamma HHI0.090.060.160.060.08
Net GEX461.2K196.3K763.5K275.7K569.6K
Net DEX-22.4M-47.7M3.9M-33.5M-23.8M
Net VEX-269.5K-314.6K-223.0K-301.6K-264.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.101.100.730.66
Total Volume27.4299433724
Total OI192.857175211175206

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$11170.00$10500.0090.3%25.9%76.1%80.9%90.9%-30.1%-4.8%275.7K-33.5M-301.6K0.7328.40N/AN/A211610669
2015-09-02$10615.00$10500.0072.8%20.9%78.8%64.6%74.0%-26.0%0.7%236.4K-22.1M-264.8K1.0035.48N/AN/A151610970
2015-09-03$10455.00$10000.0069.3%20.0%79.2%61.4%76.8%-33.9%-2.1%260.6K-20.9M-301.5K0.9527.66N/AN/A141411073
2015-09-04$10870.00$10000.0080.3%21.7%80.0%71.6%80.4%-35.7%-3.4%328.6K-31.8M-314.6K0.9638.39N/AN/A191811373
2015-09-08$10140.00$10000.0067.2%18.3%83.2%59.4%67.7%-33.7%3.1%196.3K-8.0M-247.3K0.5237.51N/AN/A11611374
2015-09-09$10600.00$10000.0070.5%20.2%84.0%62.5%79.7%-34.1%-5.5%334.4K-23.5M-271.5K0.8329.92N/AN/A181511674
2015-09-10$10425.00$10000.0069.6%20.0%84.4%61.7%74.5%-32.0%-4.2%366.8K-22.8M-303.8K0.9522.61N/AN/A131212076
2015-09-11$10300.00$10000.0066.6%19.1%84.7%58.9%70.8%-26.0%-1.1%347.2K-15.6M-255.5K0.8019.19N/AN/A131112277
2015-09-14$10395.00$10000.0068.7%19.7%84.5%60.9%67.5%-31.4%-2.2%446.1K-19.4M-289.6K1.0521.43N/AN/A101012477
2015-09-15$9960.00$10000.0062.5%17.9%86.0%55.1%66.3%-24.4%-0.4%355.2K-7.6M-258.5K0.1024.14N/AN/A8112377
2015-09-16$9700.00$10000.0055.2%15.8%86.8%48.3%63.3%-25.7%1.5%418.0K3.9M-223.7K0.9525.71N/AN/A10912877
2015-09-17$9795.00$10000.0060.3%17.3%86.6%53.0%61.0%-24.5%-2.6%576.1K3.1M-223.0K0.7145.80N/AN/A171212977
2015-09-18$10240.00$10000.0058.8%16.8%85.6%51.6%64.7%-30.1%-0.4%486.9K-19.3M-271.1K0.3025.07N/AN/A331013675
2015-09-21$10115.00$10000.0055.8%16.0%79.5%48.8%57.5%-24.8%0.3%518.8K-17.6M-267.5K0.5326.07N/AN/A18911762
2015-09-22$10650.00$10000.0063.3%18.1%73.9%55.8%67.5%-23.8%-2.6%581.1K-25.2M-248.6K0.5320.73N/AN/A16912163
2015-09-23$10520.00$10000.0060.0%17.2%72.9%52.8%58.4%-22.6%0.1%600.8K-23.2M-245.2K0.5428.77N/AN/A16912262
2015-09-24$10630.00$10000.0062.0%17.8%66.3%54.6%62.2%-20.8%1.8%763.5K-34.9M-278.6K0.8239.57N/AN/A171412763
2015-09-25$10645.00$10000.0060.4%17.3%60.8%53.1%68.2%-25.6%3.6%722.9K-34.3M-257.8K1.1043.00N/AN/A151712662
2015-09-28$11405.00$10000.0078.1%22.4%65.1%69.6%72.6%-22.4%-5.5%698.7K-47.7M-277.7K0.3333.91N/AN/A21713171
2015-09-29$11420.00$10500.0075.9%21.8%65.0%67.6%76.2%-24.9%-4.7%601.6K-45.6M-292.7K0.4537.18N/AN/A221012871
2015-09-30$10770.00$10500.0069.6%19.9%60.3%61.6%74.4%-20.4%-1.8%569.6K-23.8M-264.1K0.6651.18N/AN/A141013472