SPXS Options History — March 2016

In March 2016, SPXS traded between $7665.00 and $8845.00. ATM implied volatility averaged 42.7%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 0.8% (HV 20d: 41.9%). Max pain ranged from $8000.00 to $9000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-03-11: Highest Volume — 21 contracts
  • 2016-03-02: Largest IV drop — 17.9% change
  • 2016-03-08: Highest IV Rank — 37.8%
  • 2016-03-08: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8215.23$7665.00$8845.00$8845.00$7695.00
Max Pain$8568.18$8000.00$9000.00$9000.00$8000.00
ATM IV42.7%31.1%59.8%53.2%31.1%
Expected Move12.2%8.9%16.8%15.2%8.9%
HV 20d41.9%27.4%57.9%57.9%27.5%
HV 60d56.4%53.0%60.1%60.1%53.0%
IV Rank17.2%2.9%37.8%30.2%2.9%
IV Percentile42.0%2.4%77.0%68.3%2.4%
Term Structure5.9%-1.7%15.0%-1.7%5.6%
VWIV46.2%35.2%58.4%57.0%37.1%
Skew 25d-16.5%-22.1%-11.1%-22.1%-16.4%
Skew 10d-32.5%-44.0%-19.9%-35.1%-31.7%
Call IV 25d51.2%39.5%63.6%60.3%43.2%
Put IV 25d34.8%26.8%44.0%38.3%26.8%
Bid-Ask Spread %33.1710.1279.1379.1341.37
Gamma HHI0.200.160.260.160.25
Net GEX631.9K470.5K939.4K508.9K890.8K
Net DEX1.4M-5.3M9.9M-4.6M3.0M
Net VEX-199.9K-217.3K-184.6K-196.1K-205.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.471.540.541.28
Total Volume15.81812211516
Total OI150.182126174126174

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$8845.00$9000.0053.2%15.2%57.9%30.2%57.0%-22.1%-1.7%508.9K-4.6M-196.1K0.5479.13N/AN/A1057947
2016-03-02$8710.00$9000.0043.7%12.5%53.4%18.3%50.4%-21.2%7.7%600.5K-3.4M-202.2K0.7442.76N/AN/A868448
2016-03-03$8590.00$9000.0046.6%13.2%53.4%21.8%49.8%-18.1%0.8%535.1K-1.3M-194.3K1.5353.95N/AN/A578448
2016-03-04$8500.00$9000.0048.0%13.7%53.4%23.6%51.3%-20.3%2.8%492.2K-144.1K-198.8K1.0937.71N/AN/A788550
2016-03-07$8525.00$9000.0050.7%13.6%47.6%26.9%50.1%-18.1%5.2%537.5K-567.1K-197.7K1.2938.61N/AN/A678850
2016-03-08$8770.00$9000.0059.8%16.8%46.8%37.8%58.4%-18.9%7.6%622.6K-4.3M-202.4K0.8268.85N/AN/A978951
2016-03-09$8670.00$9000.0049.6%14.2%46.6%25.5%55.7%-21.5%4.3%666.5K-5.3M-206.6K1.0240.90N/AN/A779251
2016-03-10$8660.00$9000.0046.7%13.4%46.6%22.0%51.1%-16.9%7.7%616.0K-2.3M-198.8K0.6646.96N/AN/A1079251
2016-03-11$8205.00$9000.0043.5%12.5%46.4%18.0%48.7%-18.6%6.6%476.6K4.4M-185.4K0.6331.78N/AN/A1389352
2016-03-14$8210.00$9000.0042.2%12.1%44.8%16.5%46.3%-15.8%7.3%548.7K5.0M-188.3K1.0810.12N/AN/A779753
2016-03-15$8275.00$9000.0046.6%13.4%43.3%21.8%49.7%-18.3%6.3%563.1K6.1M-198.4K1.5413.08N/AN/A8129857
2016-03-16$8125.00$8500.0038.3%11.0%40.1%11.8%43.7%-16.4%13.0%470.5K7.4M-193.7K0.4845.71N/AN/A11510057
2016-03-17$7985.00$8500.0038.1%10.9%39.3%11.6%44.8%-13.7%7.3%531.1K8.8M-189.7K0.4720.69N/AN/A11510557
2016-03-18$7860.00$8500.0038.6%11.1%39.1%12.1%41.0%-17.2%9.4%479.7K9.9M-193.8K0.5424.33N/AN/A10511657
2016-03-21$7820.00$8000.0038.4%11.0%37.0%11.8%39.6%-14.9%15.0%541.5K5.5M-184.6K0.6130.40N/AN/A859051
2016-03-22$7840.00$8000.0039.2%11.2%33.9%12.9%44.1%-13.8%4.5%614.5K3.5M-203.9K0.6815.69N/AN/A1179454
2016-03-23$7975.00$8000.0039.0%11.2%35.3%12.6%41.7%-13.3%3.8%748.7K-1.0M-217.3K0.9618.11N/AN/A8710154
2016-03-24$8020.00$8000.0039.8%11.4%34.5%13.5%40.8%-11.1%2.2%845.2K-3.1M-216.9K0.7414.98N/AN/A10810454
2016-03-28$8000.00$8000.0038.7%11.1%34.4%12.3%41.9%-11.7%5.7%939.4K-2.1M-216.4K1.1416.97N/AN/A7710855
2016-03-29$7790.00$8000.0037.4%10.7%33.6%10.6%38.5%-11.7%3.3%865.5K79.0K-207.5K1.1021.98N/AN/A7811055
2016-03-30$7665.00$8000.0031.1%8.9%27.4%2.9%35.2%-11.8%6.0%808.3K4.8M-199.3K0.8115.66N/AN/A12911356
2016-03-31$7695.00$8000.0031.1%8.9%27.5%2.9%37.1%-16.4%5.6%890.8K3.0M-205.9K1.2841.37N/AN/A7911856