SPXS Options History — May 2016

In May 2016, SPXS traded between $7125.00 and $7780.00. ATM implied volatility averaged 38.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 8.6% (HV 20d: 30.0%). Max pain ranged from $7000.00 to $7000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2016-05-02: Highest Volume — 51 contracts
  • 2016-05-25: Largest IV drop — 18.2% change
  • 2016-05-19: Highest IV Rank — 22.3%
  • 2016-05-05: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7525.48$7125.00$7780.00$7415.00$7125.00
Max Pain$7000.00$7000.00$7000.00$7000.00$7000.00
ATM IV38.6%29.8%46.4%40.4%31.2%
Expected Move11.3%8.5%14.7%11.6%8.9%
HV 20d30.0%26.2%34.8%32.1%31.8%
HV 60d33.7%30.3%39.0%39.0%30.3%
IV Rank13.0%2.3%22.3%15.1%4.0%
IV Percentile29.8%1.6%57.9%38.1%4.4%
Term Structure3.8%-0.4%6.8%2.3%5.1%
VWIV40.3%32.5%46.0%32.5%34.2%
Skew 25d-14.3%-17.5%-9.3%-10.3%-17.4%
Skew 10d-28.4%-38.8%-5.1%-29.5%-30.7%
Call IV 25d48.4%37.8%54.0%44.1%43.4%
Put IV 25d34.0%25.0%41.3%33.8%26.1%
Bid-Ask Spread %46.0811.7984.5517.8830.66
Gamma HHI0.300.230.380.280.38
Net GEX1.5M914.2K2.0M1.1M1.4M
Net DEX-26.4M-38.6M-10.7M-10.7M-11.3M
Net VEX-253.3K-279.9K-217.8K-234.3K-224.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.101.000.100.55
Total Volume19.3818515114
Total OI201.81173221173191

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$7415.00$7000.0040.4%11.6%32.1%15.1%32.5%-10.3%2.3%1.1M-10.7M-234.3K0.1017.88N/AN/A46512152
2016-05-03$7595.00$7000.0039.0%11.2%31.4%13.5%39.0%-13.4%5.5%1.6M-30.0M-267.7K0.2211.79N/AN/A18415552
2016-05-04$7725.00$7000.0042.1%12.1%29.4%17.3%43.6%-9.3%-0.4%1.6M-34.1M-273.2K0.4121.22N/AN/A11415452
2016-05-05$7755.00$7000.0045.1%14.7%26.2%20.8%45.6%-12.6%0.6%1.6M-34.7M-279.9K0.4180.63N/AN/A9415152
2016-05-06$7665.00$7000.0037.0%12.0%26.4%11.1%46.0%-13.1%2.1%1.6M-33.9M-273.3K0.3533.14N/AN/A13515252
2016-05-09$7635.00$7000.0039.4%11.5%26.4%13.9%40.1%-15.7%5.0%1.6M-29.6M-260.9K0.3629.79N/AN/A12415053
2016-05-10$7355.00$7000.0036.6%11.1%28.3%10.6%36.0%-15.4%4.2%1.6M-24.4M-256.8K0.4424.80N/AN/A10515553
2016-05-11$7545.00$7000.0041.1%11.8%27.6%16.0%42.4%-15.3%4.8%1.7M-28.0M-261.7K0.3677.62N/AN/A11415754
2016-05-12$7555.00$7000.0040.4%11.6%27.6%15.1%44.6%-16.9%6.5%1.7M-27.8M-253.4K0.4927.01N/AN/A9416154
2016-05-13$7740.00$7000.0040.2%11.5%28.8%14.8%43.6%-16.2%5.1%1.9M-38.6M-266.3K0.7846.23N/AN/A7516254
2016-05-16$7520.00$7000.0041.6%11.9%29.8%16.5%40.7%-13.2%2.6%1.9M-27.6M-240.4K0.4334.21N/AN/A11516253
2016-05-17$7575.00$7000.0041.8%12.0%29.7%16.8%41.9%-15.6%3.0%1.9M-31.8M-261.8K0.5323.20N/AN/A9516754
2016-05-18$7740.00$7000.0041.4%11.9%30.2%16.4%44.1%-16.4%5.0%1.9M-33.7M-248.5K0.3483.88N/AN/A14515754
2016-05-19$7780.00$7000.0046.4%13.3%29.8%22.3%39.9%-14.2%3.0%2.0M-38.2M-262.4K0.1379.72N/AN/A36516054
2016-05-20$7665.00$7000.0039.6%11.4%30.5%14.2%39.5%-17.5%4.6%914.2K-26.3M-251.1K0.2170.03N/AN/A22514955
2016-05-23$7690.00$7000.0037.6%10.8%30.3%11.8%41.7%-10.9%5.5%1.2M-26.8M-254.0K0.1936.24N/AN/A22413251
2016-05-24$7370.00$7000.0038.9%11.1%34.1%13.3%39.5%-16.0%1.5%1.3M-20.7M-244.5K0.4084.55N/AN/A12513351
2016-05-25$7215.00$7000.0031.8%9.1%34.8%4.8%37.6%-12.7%5.3%1.4M-16.7M-243.2K0.2551.91N/AN/A20513851
2016-05-26$7230.00$7000.0029.8%8.5%32.6%2.3%35.5%-16.1%6.8%1.4M-15.2M-242.5K0.7570.27N/AN/A6413852
2016-05-27$7140.00$7000.0029.9%8.6%32.5%2.5%38.1%-12.8%2.0%1.4M-14.3M-217.8K1.0032.86N/AN/A4413852
2016-05-31$7125.00$7000.0031.2%8.9%31.8%4.0%34.2%-17.4%5.1%1.4M-11.3M-224.7K0.5530.66N/AN/A9513952