SPXS Options History — June 2016

In June 2016, SPXS traded between $6910.00 and $8085.00. ATM implied volatility averaged 44.1%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 12.8% (HV 20d: 31.4%). Max pain ranged from $6500.00 to $7000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.41.

Notable Days

2016-06-27: Highest Volume — 43 contracts
2016-06-24: Largest IV spike — 40.9% change
2016-06-24: Highest IV Rank — 42.4%
2016-06-24: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7236.36	$6910.00	$8085.00	$7135.00	$7005.00
Max Pain	$6750.00	$6500.00	$7000.00	$7000.00	$7000.00
ATM IV	44.1%	28.5%	63.0%	30.4%	38.4%
Expected Move	12.9%	8.7%	18.1%	8.7%	11.0%
HV 20d	31.4%	20.4%	54.5%	30.3%	54.5%
HV 60d	30.7%	27.8%	39.1%	30.3%	39.1%
IV Rank	19.7%	0.8%	42.4%	3.2%	12.7%
IV Percentile	42.5%	0.4%	82.9%	3.2%	21.4%
Term Structure	4.4%	-3.2%	16.2%	5.6%	3.2%
VWIV	45.2%	33.6%	59.8%	33.6%	43.1%
Skew 25d	-19.4%	-31.3%	-9.4%	-9.4%	-23.9%
Skew 10d	-34.1%	-46.6%	-19.3%	-19.3%	-39.3%
Call IV 25d	55.8%	36.6%	75.6%	36.6%	48.8%
Put IV 25d	36.4%	25.0%	56.5%	27.1%	25.0%
Bid-Ask Spread %	47.58	16.06	88.15	22.84	85.43
Gamma HHI	0.34	0.20	0.46	0.39	0.35
Net GEX	1.4M	950.2K	2.1M	1.5M	1.4M
Net DEX	-19.0M	-48.2M	-5.1M	-12.3M	-11.9M
Net VEX	-229.1K	-262.9K	-196.2K	-226.3K	-217.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.11	0.90	0.61	0.21
Total Volume	20.364	11	43	11	24
Total OI	204.818	184	217	197	214

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-06-01	$7135.00	$7000.00	30.4%	8.7%	30.3%	3.2%	33.6%	-9.4%	5.6%	1.5M	-12.3M	-226.3K	0.61	22.84	N/A	N/A	7	4	144	53
2016-06-02	$7070.00	$7000.00	31.0%	9.8%	29.4%	3.8%	34.4%	-16.7%	16.2%	1.5M	-10.6M	-226.3K	0.56	25.43	N/A	N/A	7	4	145	53
2016-06-03	$7105.00	$7000.00	28.5%	9.7%	29.5%	0.8%	38.7%	-17.8%	14.7%	1.6M	-12.5M	-225.7K	0.50	23.16	N/A	N/A	8	4	145	53
2016-06-06	$7000.00	$7000.00	30.9%	10.0%	29.6%	3.7%	34.7%	-15.6%	10.4%	1.4M	-5.1M	-196.7K	0.74	24.41	N/A	N/A	6	5	146	53
2016-06-07	$6980.00	$7000.00	31.1%	10.3%	29.6%	3.9%	40.5%	-15.1%	9.3%	1.4M	-6.1M	-210.9K	0.61	22.81	N/A	N/A	7	4	148	54
2016-06-08	$6910.00	$7000.00	37.3%	10.7%	27.0%	11.4%	37.5%	-17.3%	8.1%	1.2M	-5.4M	-209.7K	0.52	19.66	N/A	N/A	9	4	151	54
2016-06-09	$6935.00	$7000.00	37.9%	10.9%	25.0%	12.1%	36.8%	-17.2%	9.7%	1.4M	-5.7M	-196.2K	0.90	23.80	N/A	N/A	7	6	154	54
2016-06-10	$7130.00	$7000.00	41.0%	11.8%	27.4%	15.9%	41.0%	-15.4%	6.7%	1.7M	-13.5M	-212.1K	0.40	43.15	N/A	N/A	14	6	157	56
2016-06-13	$7310.00	$6500.00	56.0%	16.1%	27.5%	33.9%	54.4%	-27.3%	-1.9%	1.9M	-25.8M	-250.5K	0.34	33.35	N/A	N/A	15	5	161	56
2016-06-14	$7340.00	$6500.00	54.6%	15.7%	25.8%	32.3%	50.2%	-20.3%	1.2%	2.1M	-28.4M	-243.3K	0.19	83.79	N/A	N/A	31	6	161	56
2016-06-15	$7390.00	$6500.00	53.0%	15.2%	25.8%	30.3%	48.9%	-21.5%	1.7%	2.0M	-23.4M	-228.1K	0.50	63.07	N/A	N/A	10	5	158	55
2016-06-16	$7300.00	$6500.00	52.6%	15.1%	24.6%	29.9%	52.3%	-19.0%	-1.3%	2.0M	-26.1M	-238.4K	0.31	59.55	N/A	N/A	16	5	158	55
2016-06-17	$7375.00	$6500.00	52.1%	14.9%	24.9%	29.2%	48.1%	-23.7%	2.3%	950.2K	-22.2M	-240.6K	0.41	16.06	N/A	N/A	14	6	154	55
2016-06-20	$7250.00	$6500.00	41.9%	12.0%	25.1%	17.0%	46.0%	-18.6%	5.1%	1.0M	-14.8M	-227.3K	0.31	25.13	N/A	N/A	17	5	131	53
2016-06-21	$7180.00	$6500.00	43.6%	12.5%	25.1%	19.0%	44.5%	-31.3%	2.5%	1.1M	-17.0M	-225.4K	0.29	19.12	N/A	N/A	16	5	138	53
2016-06-22	$7205.00	$6500.00	51.6%	14.8%	20.4%	28.6%	54.7%	-25.8%	-3.2%	1.1M	-20.6M	-239.7K	0.34	34.35	N/A	N/A	16	6	144	53
2016-06-23	$6955.00	$6500.00	44.7%	12.8%	22.8%	20.4%	44.7%	-21.1%	-0.8%	1.2M	-13.0M	-216.9K	0.33	88.15	N/A	N/A	16	5	146	54
2016-06-24	$7600.00	$6500.00	63.0%	18.1%	39.4%	42.4%	59.8%	-23.4%	-2.6%	1.2M	-37.0M	-257.8K	0.24	81.89	N/A	N/A	32	8	155	54
2016-06-27	$8085.00	$6500.00	60.4%	17.3%	44.2%	39.2%	52.3%	-18.4%	-0.6%	1.0M	-48.2M	-262.9K	0.11	82.48	N/A	N/A	39	4	150	56
2016-06-28	$7665.00	$7000.00	44.8%	12.8%	49.0%	20.5%	52.0%	-15.1%	7.3%	1.2M	-36.2M	-251.9K	0.37	87.35	N/A	N/A	11	4	150	57
2016-06-29	$7275.00	$7000.00	46.4%	13.3%	52.8%	22.4%	45.6%	-13.4%	2.1%	1.3M	-21.6M	-234.8K	0.17	81.80	N/A	N/A	21	4	152	57
2016-06-30	$7005.00	$7000.00	38.4%	11.0%	54.5%	12.7%	43.1%	-23.9%	3.2%	1.4M	-11.9M	-217.7K	0.21	85.43	N/A	N/A	20	4	157	57