SPXS Options History — April 2016

In April 2016, SPXS traded between $7190.00 and $7895.00. ATM implied volatility averaged 38.1%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.7% (HV 20d: 30.4%). Max pain ranged from $7000.00 to $8000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-04-29: Highest Volume — 31 contracts
  • 2016-04-07: Largest IV spike — 52.7% change
  • 2016-04-11: Highest IV Rank — 26.6%
  • 2016-04-11: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7508.33$7190.00$7895.00$7570.00$7575.00
Max Pain$7214.29$7000.00$8000.00$8000.00$7000.00
ATM IV38.1%27.8%49.9%27.8%40.5%
Expected Move11.2%8.0%13.4%8.0%11.6%
HV 20d30.4%27.6%33.9%27.6%31.5%
HV 60d46.0%38.8%53.0%53.0%38.8%
IV Rank12.4%0.0%26.6%0.0%15.3%
IV Percentile27.8%0.0%63.9%0.0%38.1%
Term Structure3.9%0.4%7.5%7.5%3.4%
VWIV39.8%33.2%52.0%33.8%40.1%
Skew 25d-15.5%-20.7%-11.9%-13.9%-14.3%
Skew 10d-30.3%-41.7%-3.8%-24.4%-24.5%
Call IV 25d47.3%37.0%56.8%37.0%49.5%
Put IV 25d31.7%23.1%38.7%23.1%35.2%
Bid-Ask Spread %30.329.3488.9148.6218.22
Gamma HHI0.310.250.390.310.31
Net GEX994.0K625.2K1.3M807.9K1.2M
Net DEX-2.5M-16.5M5.3M3.2M-16.5M
Net VEX-212.4K-240.0K-195.5K-203.5K-240.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.181.281.280.18
Total Volume15.61910311831
Total OI176.619140213177171

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$7570.00$8000.0027.8%8.0%27.6%0.0%33.8%-13.9%7.5%807.9K3.2M-203.5K1.2848.62N/AN/A81012156
2016-04-04$7655.00$7000.0032.1%10.9%28.2%5.1%41.9%-16.2%3.3%1.0M2.1M-207.1K1.2739.05N/AN/A7912456
2016-04-05$7885.00$7000.0044.0%13.1%30.7%19.4%44.3%-16.4%1.5%1.3M-4.4M-220.1K0.8824.90N/AN/A9812757
2016-04-06$7610.00$7000.0029.0%11.1%30.2%1.4%38.5%-15.9%4.2%1.0M1.9M-197.0K1.0355.85N/AN/A8812957
2016-04-07$7895.00$7500.0044.3%13.3%33.9%19.9%52.0%-18.0%3.7%1.3M-7.9M-228.4K0.9631.24N/AN/A101013157
2016-04-08$7845.00$7000.0042.6%13.1%33.9%17.8%44.5%-15.4%6.5%1.3M-4.2M-215.3K0.9620.21N/AN/A9813158
2016-04-11$7855.00$7500.0049.9%13.4%28.5%26.6%50.6%-20.7%3.0%1.3M-4.5M-212.2K0.7728.00N/AN/A11813458
2016-04-12$7665.00$7500.0038.2%11.0%29.5%12.5%39.7%-16.6%2.4%1.1M660.8K-200.9K0.9936.93N/AN/A9914059
2016-04-13$7425.00$7500.0038.1%10.9%30.9%12.4%39.8%-16.6%5.5%881.2K5.3M-197.8K0.4725.70N/AN/A13614359
2016-04-14$7420.00$7500.0037.2%10.7%30.5%11.3%38.5%-16.7%5.7%1.0M4.4M-204.8K0.8914.63N/AN/A6615160
2016-04-15$7445.00$7500.0037.1%10.6%30.2%11.2%37.9%-17.1%6.7%625.2K5.0M-206.1K1.1826.46N/AN/A6715459
2016-04-18$7300.00$7500.0038.4%11.0%30.5%12.8%35.7%-16.0%4.4%638.6K-348.8K-197.6K0.4914.39N/AN/A949050
2016-04-19$7240.00$7000.0031.9%9.2%30.5%4.9%40.4%-11.9%3.9%694.1K610.6K-200.3K0.4114.71N/AN/A1259651
2016-04-20$7190.00$7000.0032.7%9.4%30.4%5.9%35.8%-13.8%3.3%723.8K1.3M-195.5K0.5263.97N/AN/A10510151
2016-04-21$7315.00$7000.0037.8%10.8%30.5%12.0%36.7%-14.0%5.5%869.8K-3.5M-217.6K0.6915.49N/AN/A7510652
2016-04-22$7305.00$7000.0039.4%11.3%30.3%14.0%38.9%-14.7%1.6%875.7K-3.9M-215.7K0.9817.17N/AN/A5510852
2016-04-25$7385.00$7000.0038.9%11.1%30.8%13.3%37.6%-14.5%4.9%984.1K-6.9M-221.4K0.859.34N/AN/A6510952
2016-04-26$7325.00$7000.0039.4%11.3%29.6%13.9%35.7%-14.9%3.2%984.5K-7.1M-229.3K0.5915.57N/AN/A8511252
2016-04-27$7265.00$7000.0037.4%10.7%29.3%11.5%33.2%-13.3%0.4%1.1M-7.1M-222.0K0.7188.91N/AN/A6411552
2016-04-28$7505.00$7000.0043.1%12.4%31.8%18.4%40.1%-15.7%1.7%1.1M-11.0M-227.5K0.5827.43N/AN/A7411652
2016-04-29$7575.00$7000.0040.5%11.6%31.5%15.3%40.1%-14.3%3.4%1.2M-16.5M-240.0K0.1818.22N/AN/A26511952