SPXS Options History — January 2016

In January 2016, SPXS traded between $8775.00 and $10995.00. ATM implied volatility averaged 66.7%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 8.0% (HV 20d: 58.7%). Max pain ranged from $7500.00 to $10000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-01-15: Highest Volume — 50 contracts
  • 2016-01-07: Largest IV spike — 29.1% change
  • 2016-01-08: Highest IV Rank — 60.8%
  • 2016-01-21: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10084.21$8775.00$10995.00$8860.00$9605.00
Max Pain$8263.16$7500.00$10000.00$7500.00$9000.00
ATM IV66.7%52.4%78.5%62.1%52.4%
Expected Move18.2%15.0%21.3%16.6%15.0%
HV 20d58.7%50.8%69.1%55.9%69.1%
HV 60d49.7%44.8%54.8%45.1%54.8%
IV Rank46.5%29.2%60.8%41.0%29.2%
IV Percentile89.9%73.8%98.0%89.7%73.8%
Term Structure0.5%-2.8%4.9%0.3%3.4%
VWIV63.2%34.3%73.6%34.3%56.0%
Skew 25d-22.5%-29.1%-15.7%-21.3%-17.9%
Skew 10d-38.8%-51.2%-25.2%-49.1%-25.2%
Call IV 25d77.0%64.5%87.6%68.9%64.7%
Put IV 25d54.5%43.4%63.1%47.6%46.8%
Bid-Ask Spread %50.7721.1384.7433.5984.74
Gamma HHI0.130.080.230.170.17
Net GEX462.9K92.5K998.7K314.9K311.6K
Net DEX-26.7M-46.7M-5.9M-12.7M-16.5M
Net VEX-163.5K-198.1K-127.7K-135.8K-186.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.252.510.250.45
Total Volume24.89511503011
Total OI149.05390202187112

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$8860.00$7500.0062.1%16.6%55.9%41.0%34.3%-21.3%0.3%314.9K-12.7M-135.8K0.2533.59N/AN/A24613552
2016-01-05$8775.00$7500.0057.7%15.1%50.8%35.6%46.5%-21.0%2.7%92.5K-5.9M-127.7K0.5559.81N/AN/A181013152
2016-01-06$9150.00$7500.0057.4%15.8%52.4%35.3%59.4%-22.0%1.8%357.6K-15.0M-135.0K0.7333.00N/AN/A151113453
2016-01-07$9660.00$7500.0074.1%18.4%55.0%55.5%65.5%-27.3%-1.9%663.0K-27.6M-152.1K0.4421.13N/AN/A21913655
2016-01-08$10110.00$7500.0078.5%19.5%56.3%60.8%69.2%-29.1%-2.8%904.0K-34.7M-148.8K0.3123.66N/AN/A20613455
2016-01-11$10025.00$7500.0077.6%17.7%56.4%59.7%62.4%-24.5%1.3%971.9K-35.8M-147.6K0.3562.68N/AN/A19613856
2016-01-12$9795.00$7500.0077.3%17.8%54.6%59.4%59.0%-21.5%-0.4%890.3K-28.9M-147.8K0.3568.27N/AN/A17613757
2016-01-13$10530.00$7500.0068.0%19.5%59.2%48.1%68.6%-24.9%-0.6%998.7K-42.7M-146.7K0.5070.06N/AN/A17813757
2016-01-14$10035.00$7500.0062.3%17.9%60.4%41.2%67.9%-20.0%-0.2%901.0K-31.6M-150.7K0.5767.81N/AN/A181013659
2016-01-15$10660.00$7500.0069.7%20.0%59.7%50.2%73.6%-26.6%-0.4%298.0K-46.7M-171.8K1.6021.17N/AN/A193113963
2016-01-19$10575.00$8500.0067.8%19.4%59.2%47.9%72.4%-24.4%2.6%287.7K-28.2M-168.6K2.5127.74N/AN/A10245931
2016-01-20$10995.00$9000.0072.2%20.7%58.4%53.2%73.1%-25.2%-1.9%233.3K-31.0M-179.7K0.6726.11N/AN/A15105834
2016-01-21$10770.00$10000.0074.4%21.3%58.8%55.9%71.7%-24.6%-1.2%194.3K-24.2M-174.0K0.4568.84N/AN/A1155635
2016-01-22$10210.00$9500.0057.1%16.4%61.6%34.9%57.4%-21.3%4.9%216.6K-19.9M-172.9K0.8424.51N/AN/A13115936
2016-01-25$10665.00$9000.0065.0%18.6%60.0%44.4%67.8%-20.2%0.4%277.9K-27.0M-184.0K0.9333.17N/AN/A11116542
2016-01-26$10265.00$9000.0063.5%18.2%62.7%42.7%65.7%-18.7%-1.1%276.2K-25.3M-189.3K0.8475.71N/AN/A866742
2016-01-27$10565.00$9000.0066.4%19.0%63.0%46.1%68.2%-20.7%-0.0%300.5K-27.4M-198.1K0.6981.62N/AN/A1186842
2016-01-28$10350.00$9000.0063.5%18.2%61.9%42.7%62.8%-15.7%1.7%304.8K-25.5M-189.7K0.7081.07N/AN/A1076842
2016-01-29$9605.00$9000.0052.4%15.0%69.1%29.2%56.0%-17.9%3.4%311.6K-16.5M-186.2K0.4584.74N/AN/A837042