SPXS Options History — December 2015 In December 2015, SPXS traded between $7950.00 and $8980.00. ATM implied volatility averaged 48.3%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 0.5% (HV 20d: 48.8%). Max pain ranged from $8000.00 to $9000.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.51.
Notable Days 2015-12-18 : Highest Volume — 32 contracts2015-12-03 : Largest IV spike — 28.9% change2015-12-11 : Highest IV Rank — 57.2%2015-12-11 : Largest Expected Move — 18.6%Monthly Statistics Metric Avg Min Max Open Close Price $8412.27 $7950.00 $8980.00 $7950.00 $8380.00 Max Pain $8795.45 $8000.00 $9000.00 $8000.00 $8500.00 ATM IV 48.3% 38.8% 64.8% 39.9% 46.7% Expected Move 13.7% 11.1% 18.6% 11.4% 13.4% HV 20d 48.8% 38.1% 55.5% 38.1% 54.2% HV 60d 46.8% 43.5% 49.3% 47.1% 43.7% IV Rank 32.0% 12.8% 57.2% 34.0% 22.3% IV Percentile 67.2% 32.9% 91.3% 44.0% 70.6% Term Structure 3.5% -1.9% 8.1% 1.3% 3.2% VWIV 49.5% 39.9% 70.9% 39.9% 45.0% Skew 25d -18.5% -26.7% -13.0% -14.3% -16.5% Skew 10d -37.3% -51.3% -16.4% -28.9% -32.3% Call IV 25d 58.4% 47.9% 79.2% 47.9% 56.5% Put IV 25d 39.9% 27.0% 52.5% 33.6% 40.1% Bid-Ask Spread % 26.05 12.21 42.41 24.31 42.41 Gamma HHI 0.18 0.12 0.25 0.17 0.20 Net GEX 201.7K -35.1K 533.3K 100.8K 211.0K Net DEX 1.8M -14.7M 12.6M 12.6M -1.1M Net VEX -129.9K -152.6K -104.6K -108.3K -125.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.08 0.78 0.08 0.60 Total Volume 19.727 2 32 2 21 Total OI 179.455 167 190 167 189
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-12-01 $7950.00 $8000.00 39.9% 11.4% 38.1% 34.0% 39.9% -14.3% 1.3% 100.8K 12.6M -108.3K 0.08 24.31 N/A N/A 2 0 116 51 2015-12-02 $8205.00 $8000.00 42.1% 12.1% 39.1% 36.1% 43.8% -16.8% -0.5% 61.6K 12.0M -104.6K 0.54 22.29 N/A N/A 10 5 117 51 2015-12-03 $8545.00 $9000.00 54.3% 14.1% 41.0% 47.4% 50.3% -24.3% 7.4% 302.0K 227.4K -139.4K 0.38 20.56 N/A N/A 16 6 118 51 2015-12-04 $8030.00 $9000.00 40.6% 11.7% 47.0% 34.7% 40.5% -14.8% 5.1% 112.8K 10.7M -117.0K 0.63 24.39 N/A N/A 12 8 122 52 2015-12-07 $8175.00 $9000.00 46.1% 12.6% 47.5% 39.8% 52.0% -17.9% 6.7% 230.2K 7.4M -119.4K 0.29 17.91 N/A N/A 4 1 123 50 2015-12-08 $8315.00 $9000.00 54.5% 14.1% 46.8% 47.6% 52.6% -19.9% 5.5% 314.2K 2.6M -134.6K 0.48 21.96 N/A N/A 14 7 125 51 2015-12-09 $8545.00 $9000.00 51.4% 14.7% 47.8% 44.7% 55.4% -21.0% 4.7% 336.2K -1.5M -135.2K 0.45 24.69 N/A N/A 12 6 127 53 2015-12-10 $8500.00 $9000.00 50.4% 14.5% 47.8% 43.8% 55.1% -21.1% 1.1% 368.8K -1.5M -139.5K 0.67 24.15 N/A N/A 9 6 128 53 2015-12-11 $8980.00 $9000.00 64.8% 18.6% 47.9% 57.2% 70.9% -26.7% -0.1% 478.0K -14.7M -152.6K 0.31 25.27 N/A N/A 21 6 129 53 2015-12-14 $8855.00 $9000.00 61.6% 17.7% 46.8% 54.2% 60.8% -26.3% -1.9% 533.3K -8.9M -140.4K 0.45 42.17 N/A N/A 17 8 130 54 2015-12-15 $8535.00 $9000.00 54.9% 15.7% 45.8% 32.2% 60.0% -19.8% 2.5% 335.3K -1.5M -138.4K 0.37 28.84 N/A N/A 18 6 133 55 2015-12-16 $8155.00 $9000.00 44.6% 12.8% 48.6% 19.8% 46.0% -15.8% 8.1% 105.8K 7.0M -124.9K 0.57 41.96 N/A N/A 15 8 133 55 2015-12-17 $8495.00 $9000.00 48.2% 13.8% 47.8% 24.1% 47.4% -17.3% 1.5% 193.8K 1.6M -129.2K 0.38 23.00 N/A N/A 16 6 134 55 2015-12-18 $8930.00 $9000.00 55.8% 16.0% 50.8% 33.3% 50.4% -19.7% 4.5% 173.1K -9.9M -138.1K 0.35 20.53 N/A N/A 24 8 135 55 2015-12-21 $8805.00 $9000.00 53.3% 15.3% 50.9% 30.3% 53.2% -19.3% 0.8% 173.4K -3.8M -140.2K 0.57 24.04 N/A N/A 14 8 121 49 2015-12-22 $8565.00 $9000.00 44.9% 12.9% 52.2% 20.1% 47.2% -13.8% 3.5% 58.9K 3.1M -130.0K 0.63 40.45 N/A N/A 13 8 122 51 2015-12-23 $8235.00 $9000.00 39.2% 11.2% 54.2% 13.2% 43.0% -23.8% 6.6% -35.1K 7.8M -126.8K 0.38 18.35 N/A N/A 20 8 122 51 2015-12-24 $8270.00 $8500.00 43.9% 12.6% 54.2% 18.9% 42.6% -15.6% 5.5% 110.0K 3.2M -137.5K 0.76 12.21 N/A N/A 10 7 130 51 2015-12-28 $8330.00 $8500.00 46.2% 13.3% 54.3% 21.7% 49.9% -13.0% 2.6% 108.9K 2.1M -127.2K 0.75 32.06 N/A N/A 10 8 131 52 2015-12-29 $8055.00 $8500.00 40.6% 11.6% 55.5% 14.9% 42.4% -16.8% 2.6% 57.1K 8.7M -118.4K 0.78 26.32 N/A N/A 10 8 132 52 2015-12-30 $8215.00 $8500.00 38.8% 11.1% 54.9% 12.8% 40.8% -13.1% 5.6% 107.6K 3.8M -129.7K 0.75 15.23 N/A N/A 10 8 134 52 2015-12-31 $8380.00 $8500.00 46.7% 13.4% 54.2% 22.3% 45.0% -16.5% 3.2% 211.0K -1.1M -125.5K 0.60 42.41 N/A N/A 13 8 137 52
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