SPXS Options History — February 2016

In February 2016, SPXS traded between $9235.00 and $11235.00. ATM implied volatility averaged 63.8%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 0.1% (HV 20d: 63.9%). Max pain ranged from $9000.00 to $10000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-02-03: Highest Volume — 25 contracts
  • 2016-02-29: Largest IV spike — 14.1% change
  • 2016-02-09: Highest IV Rank — 67.0%
  • 2016-02-09: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10030.75$9235.00$11235.00$9585.00$9415.00
Max Pain$9300.00$9000.00$10000.00$9000.00$9000.00
ATM IV63.8%52.1%83.6%54.6%59.4%
Expected Move18.2%14.9%22.4%15.6%17.0%
HV 20d63.9%53.6%69.3%69.0%53.6%
HV 60d57.2%54.7%59.2%54.7%58.9%
IV Rank43.0%28.8%67.0%31.8%37.7%
IV Percentile83.1%67.5%98.4%77.8%77.0%
Term Structure-0.7%-9.6%4.1%1.3%-2.0%
VWIV65.1%52.3%84.1%52.3%57.5%
Skew 25d-21.3%-28.3%-13.5%-14.7%-13.5%
Skew 10d-37.7%-54.4%-24.1%-28.3%-28.6%
Call IV 25d75.5%61.0%97.7%61.0%66.0%
Put IV 25d54.3%36.6%69.4%46.3%52.5%
Bid-Ask Spread %48.8524.9483.6442.5779.53
Gamma HHI0.130.090.180.180.15
Net GEX394.1K293.9K555.1K333.0K555.1K
Net DEX-21.0M-42.7M-7.8M-15.1M-13.1M
Net VEX-202.4K-212.2K-182.6K-182.6K-212.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.442.100.911.71
Total Volume19.0513251713
Total OI124.85105142117124

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$9585.00$9000.0054.6%15.6%69.0%31.8%52.3%-14.7%1.3%333.0K-15.1M-182.6K0.9142.57N/AN/A987443
2016-02-02$10140.00$9000.0060.3%17.3%69.1%38.8%57.7%-19.5%0.4%391.0K-25.8M-195.0K1.7038.96N/AN/A9157544
2016-02-03$9985.00$10000.0062.1%17.8%69.3%40.9%59.8%-16.4%-0.6%313.5K-19.1M-198.3K1.8783.64N/AN/A9167551
2016-02-04$9950.00$9500.0063.4%18.0%68.1%42.6%67.6%-24.9%-0.0%382.0K-22.6M-201.4K2.1031.32N/AN/A7147747
2016-02-05$10545.00$9500.0068.3%19.9%68.5%48.5%71.1%-26.4%-1.1%414.6K-30.3M-201.1K1.5530.45N/AN/A9147748
2016-02-08$10920.00$9500.0077.9%21.5%67.7%60.1%75.8%-24.9%-3.4%430.8K-37.3M-202.2K0.7547.52N/AN/A1197748
2016-02-09$10910.00$9500.0083.6%22.4%67.6%67.0%81.8%-22.6%-5.6%423.9K-36.7M-205.1K0.8851.61N/AN/A987748
2016-02-10$10920.00$9500.0076.3%21.9%66.8%58.1%84.1%-27.6%-5.7%394.5K-35.5M-201.1K1.0449.75N/AN/A777849
2016-02-11$11235.00$9500.0077.9%22.3%62.7%60.1%82.5%-28.3%3.0%441.3K-42.7M-206.0K0.6224.94N/AN/A1597849
2016-02-12$10680.00$10000.0070.0%20.1%63.0%50.5%76.2%-24.0%0.6%374.9K-32.0M-202.0K1.1745.73N/AN/A11137951
2016-02-16$10175.00$10000.0064.7%18.5%61.7%44.1%67.7%-20.4%1.0%293.9K-20.0M-211.5K1.0549.02N/AN/A12138158
2016-02-17$9625.00$9000.0059.8%17.2%64.5%38.2%59.5%-25.2%-0.9%295.3K-7.8M-200.5K0.4439.23N/AN/A1468158
2016-02-18$9765.00$9000.0061.6%17.7%62.9%40.4%62.7%-22.5%1.1%345.7K-10.6M-206.5K0.6959.43N/AN/A1078358
2016-02-19$9765.00$9000.0059.0%16.9%62.7%37.2%56.0%-17.9%0.8%353.5K-13.3M-206.2K0.6558.13N/AN/A1068458
2016-02-22$9335.00$9000.0054.4%15.6%61.9%31.6%55.2%-16.3%1.2%366.3K-10.2M-198.7K0.5535.85N/AN/A1066441
2016-02-23$9645.00$9000.0055.4%15.9%60.9%32.8%58.1%-20.6%2.0%418.0K-14.2M-203.0K0.4935.29N/AN/A1056842
2016-02-24$9545.00$9000.0058.2%16.7%59.6%36.2%58.6%-16.2%-1.1%478.5K-16.3M-206.3K0.6555.78N/AN/A967342
2016-02-25$9235.00$9000.0057.5%16.5%59.2%35.3%57.2%-25.8%-9.6%439.9K-10.6M-201.5K1.0973.65N/AN/A897343
2016-02-26$9240.00$9000.0052.1%14.9%59.0%28.8%60.7%-17.9%4.1%435.9K-7.8M-205.9K0.8544.56N/AN/A1087546
2016-02-29$9415.00$9000.0059.4%17.0%53.6%37.7%57.5%-13.5%-2.0%555.1K-13.1M-212.2K1.7179.53N/AN/A587846