SPXS Options History — November 2015

In November 2015, SPXS traded between $7915.00 and $8970.00. ATM implied volatility averaged 42.1%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 3.5% (HV 20d: 38.6%). Max pain ranged from $7500.00 to $8000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2015-11-13: Highest Volume — 30 contracts
  • 2015-11-09: Largest IV spike — 31.6% change
  • 2015-11-13: Highest IV Rank — 47.7%
  • 2015-11-13: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8249.50$7915.00$8970.00$8060.00$8185.00
Max Pain$7925.00$7500.00$8000.00$8000.00$8000.00
ATM IV42.1%35.0%54.5%36.8%41.7%
Expected Move12.2%10.5%15.6%10.5%12.0%
HV 20d38.6%34.8%45.2%35.3%38.0%
HV 60d57.8%47.6%63.3%62.7%47.7%
IV Rank36.1%29.5%47.7%31.1%35.7%
IV Percentile52.4%17.1%82.9%26.2%55.2%
Term Structure1.9%-0.7%4.0%1.9%-0.6%
VWIV45.0%35.0%54.9%38.5%50.6%
Skew 25d-17.7%-24.5%-11.3%-23.2%-18.0%
Skew 10d-33.6%-41.5%-25.1%-25.1%-32.1%
Call IV 25d53.5%45.0%66.1%45.0%54.3%
Put IV 25d35.8%20.5%47.2%21.9%36.4%
Bid-Ask Spread %48.4211.9884.6711.9831.11
Gamma HHI0.220.140.390.230.14
Net GEX778.7K149.6K1.5M706.7K179.4K
Net DEX1.3M-21.0M9.4M6.7M8.6M
Net VEX-143.6K-173.0K-121.4K-139.6K-121.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.000.810.470.41
Total Volume15230182
Total OI196.1164212198167

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$8060.00$8000.0036.8%10.5%35.3%31.1%38.5%-23.2%1.9%706.7K6.7M-139.6K0.4711.98N/AN/A12615048
2015-11-03$7915.00$8000.0038.8%11.1%34.8%33.1%42.8%-24.5%1.5%728.2K7.4M-138.0K0.4512.54N/AN/A12515448
2015-11-04$8080.00$8000.0041.6%11.9%36.3%35.7%44.0%-11.3%-0.7%943.8K1.3M-157.7K0.6019.38N/AN/A10615749
2015-11-05$8060.00$8000.0039.9%12.2%35.4%34.0%48.7%-22.0%1.6%950.1K206.3K-160.0K0.5281.68N/AN/A10515749
2015-11-06$8080.00$8000.0035.0%11.4%35.6%29.5%43.0%-14.9%4.0%1.0M1.3M-151.1K0.0080.20N/AN/A2015849
2015-11-09$8305.00$8000.0046.1%13.4%37.6%39.9%47.2%-14.1%0.8%1.2M-4.6M-158.9K0.1084.67N/AN/A6115949
2015-11-10$8290.00$8000.0042.3%12.9%36.6%36.3%39.6%-14.7%0.9%1.3M-3.1M-155.4K0.4781.51N/AN/A12515850
2015-11-11$8230.00$8000.0039.7%11.4%35.6%33.9%35.5%-15.7%2.3%1.2M-154.6K-148.6K0.5483.92N/AN/A10515850
2015-11-12$8685.00$7500.0047.9%13.7%38.3%41.5%52.1%-19.0%2.3%1.5M-12.7M-150.4K0.2481.16N/AN/A23515950
2015-11-13$8970.00$7500.0054.5%15.6%39.9%47.7%51.5%-18.9%0.4%1.3M-21.0M-173.0K0.3779.10N/AN/A22815450
2015-11-16$8575.00$8000.0048.0%13.8%43.0%41.6%54.9%-17.6%3.2%1.1M-3.8M-140.7K0.8181.95N/AN/A6515152
2015-11-17$8575.00$8000.0049.7%14.2%42.9%43.1%54.4%-20.7%-0.5%1.1M-6.6M-162.3K0.4247.64N/AN/A18815253
2015-11-18$8175.00$8000.0040.6%11.6%45.2%34.7%48.1%-19.0%2.7%797.0K5.2M-136.5K0.4655.49N/AN/A17815553
2015-11-19$8205.00$8000.0043.7%12.5%42.0%37.6%46.5%-17.1%3.0%679.0K5.1M-141.2K0.7123.30N/AN/A11815853
2015-11-20$8125.00$7500.0039.6%11.4%40.1%33.8%42.2%-15.8%3.7%175.2K6.9M-131.5K0.5730.67N/AN/A11615953
2015-11-23$8150.00$8000.0038.7%11.1%40.0%32.9%47.4%-15.3%2.9%176.4K7.9M-130.3K0.0816.76N/AN/A2011549
2015-11-24$8120.00$8000.0039.8%11.4%39.8%33.9%41.6%-14.8%2.2%167.7K9.0M-123.5K0.3120.30N/AN/A4111649
2015-11-25$8110.00$8000.0037.6%10.8%37.9%31.9%35.0%-16.8%2.7%149.6K9.4M-124.9K0.6014.76N/AN/A10611550
2015-11-27$8095.00$8000.0040.2%11.5%37.9%34.4%35.7%-21.5%3.9%162.9K9.0M-127.1K0.6530.21N/AN/A7511650
2015-11-30$8185.00$8000.0041.7%12.0%38.0%35.7%50.6%-18.0%-0.6%179.4K8.6M-121.4K0.4131.11N/AN/A1111750