SPXS Options History — October 2015

In October 2015, SPXS traded between $8225.00 and $10980.00. ATM implied volatility averaged 44.9%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 9.1% (HV 20d: 54.0%). Max pain ranged from $8000.00 to $10500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2015-10-16: Highest Volume — 26 contracts
  • 2015-10-13: Largest IV spike — 37.6% change
  • 2015-10-01: Highest IV Rank — 61.4%
  • 2015-10-01: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9148.18$8225.00$10980.00$10980.00$8290.00
Max Pain$8636.36$8000.00$10500.00$10500.00$8000.00
ATM IV44.9%35.0%69.3%69.3%41.3%
Expected Move13.3%10.1%19.9%19.9%11.8%
HV 20d54.0%39.7%63.9%57.8%39.7%
HV 60d61.5%58.8%62.7%58.8%62.5%
IV Rank38.7%29.5%61.4%61.4%35.4%
IV Percentile58.3%16.7%93.3%93.3%55.6%
Term Structure2.4%-3.3%6.8%-3.3%0.8%
VWIV48.1%37.3%74.2%74.2%37.3%
Skew 25d-19.7%-29.2%-14.4%-18.1%-16.9%
Skew 10d-37.0%-51.1%-24.8%-25.6%-33.0%
Call IV 25d56.2%45.8%79.7%79.7%45.8%
Put IV 25d36.5%20.5%61.7%61.7%28.8%
Bid-Ask Spread %35.6512.2072.3770.8420.16
Gamma HHI0.170.080.410.080.18
Net GEX814.1K399.1K1.7M659.9K930.1K
Net DEX-2.0M-36.8M9.5M-36.8M-574.9K
Net VEX-194.8K-283.1K-156.9K-283.1K-166.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.330.890.670.70
Total Volume18.40914261514
Total OI205.591170238207197

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$10980.00$10500.0069.3%19.9%57.8%61.4%74.2%-18.1%-3.3%659.9K-36.8M-283.1K0.6770.84N/AN/A9613572
2015-10-02$10310.00$10500.0060.1%17.2%62.0%52.9%58.8%-19.7%-0.9%582.6K-15.0M-240.4K0.5372.37N/AN/A13713671
2015-10-05$9680.00$9500.0050.6%15.2%63.9%44.0%51.9%-26.2%0.3%399.1K2.3M-213.5K0.3469.19N/AN/A13513671
2015-10-06$9770.00$8500.0054.7%16.1%59.5%47.8%57.9%-21.9%-0.1%767.4K-6.8M-242.8K0.4334.42N/AN/A14614671
2015-10-07$9575.00$8500.0047.5%14.8%57.2%41.1%55.8%-20.3%3.9%788.5K-2.0M-224.2K0.6135.48N/AN/A12715071
2015-10-08$9295.00$8500.0045.8%14.4%57.7%39.6%49.9%-21.4%0.6%766.6K4.9M-206.9K0.5938.54N/AN/A12715371
2015-10-09$9280.00$8500.0042.5%14.2%57.7%36.5%51.5%-20.6%2.5%853.5K8.5M-194.0K0.5736.36N/AN/A10615671
2015-10-12$9240.00$8500.0035.0%12.9%57.4%29.5%50.6%-15.0%2.9%905.5K7.4M-200.1K0.7141.69N/AN/A9715971
2015-10-13$9405.00$8500.0048.1%14.2%56.3%41.7%54.1%-20.6%0.7%1.1M2.9M-201.7K0.8944.00N/AN/A9816171
2015-10-14$9565.00$8500.0050.5%14.5%56.0%44.0%51.4%-18.1%1.1%1.1M1.6M-190.4K0.6044.62N/AN/A14816369
2015-10-15$9105.00$8500.0043.2%12.4%58.4%37.1%44.2%-18.7%6.8%873.8K9.5M-178.4K0.4335.08N/AN/A14616769
2015-10-16$8990.00$8500.0042.2%12.1%55.6%36.2%45.9%-23.3%5.2%1.7M6.5M-194.8K0.7233.16N/AN/A151117068
2015-10-19$8990.00$8500.0040.0%11.5%55.6%34.2%44.4%-19.2%2.3%669.1K-7.3M-188.0K0.6136.48N/AN/A10612446
2015-10-20$9045.00$8500.0041.6%11.9%51.6%35.6%47.5%-21.2%4.1%685.9K-7.6M-185.7K0.5916.31N/AN/A9612646
2015-10-21$9180.00$8500.0042.8%12.3%52.2%36.8%41.5%-14.4%4.0%756.6K-11.2M-190.5K0.4017.74N/AN/A13512946
2015-10-22$8720.00$8500.0038.3%11.0%54.1%32.6%41.0%-29.2%4.8%677.5K-1.7M-160.9K0.5023.27N/AN/A12613246
2015-10-23$8400.00$8500.0038.6%11.1%54.7%32.9%37.4%-17.6%4.1%636.5K1.1M-169.0K0.4730.49N/AN/A15713647
2015-10-26$8450.00$8000.0042.3%12.1%46.3%36.3%43.8%-17.3%0.6%762.6K523.4K-157.7K0.5721.38N/AN/A10614348
2015-10-27$8530.00$8000.0041.6%11.9%46.8%35.6%41.3%-16.4%1.6%898.2K-5.1M-178.7K0.3321.89N/AN/A17614548
2015-10-28$8235.00$8500.0037.3%10.7%44.5%31.6%38.4%-15.7%6.0%651.5K2.8M-156.9K0.4728.65N/AN/A14614248
2015-10-29$8225.00$8000.0035.2%10.1%43.1%29.7%38.8%-22.1%4.0%825.3K1.2M-161.2K0.6112.20N/AN/A9614848
2015-10-30$8290.00$8000.0041.3%11.8%39.7%35.4%37.3%-16.9%0.8%930.1K-574.9K-166.5K0.7020.16N/AN/A8614948