SPXS Options History — August 2016

In August 2016, SPXS traded between $6060.00 and $6375.00. ATM implied volatility averaged 28.8%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 11.1% (HV 20d: 17.8%). Max pain ranged from $5500.00 to $6000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2016-08-02: Highest Volume — 17 contracts
  • 2016-08-05: Largest IV drop — 28.8% change
  • 2016-08-01: Highest IV Rank — 10.7%
  • 2016-08-04: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6166.52$6060.00$6375.00$6270.00$6195.00
Max Pain$5760.87$5500.00$6000.00$6000.00$6000.00
ATM IV28.8%24.7%34.8%34.8%25.4%
Expected Move8.4%7.3%10.9%10.0%7.3%
HV 20d17.8%15.4%24.3%24.3%15.7%
HV 60d36.3%35.2%38.1%37.9%35.4%
IV Rank4.8%0.0%10.7%10.7%1.1%
IV Percentile4.5%0.0%10.3%10.3%0.8%
Term Structure5.6%3.3%10.8%3.9%6.7%
VWIV32.2%27.3%39.3%29.3%34.0%
Skew 25d-14.4%-22.4%-6.7%-9.9%-13.1%
Skew 10d-23.2%-34.6%-8.0%-18.0%-21.8%
Call IV 25d39.6%35.1%43.3%36.9%38.4%
Put IV 25d25.3%20.2%32.4%27.0%25.2%
Bid-Ask Spread %33.3811.3477.9562.0762.20
Gamma HHI0.250.190.340.240.24
Net GEX714.7K454.9K958.4K762.3K958.4K
Net DEX-224.4K-7.4M5.1M-3.0M-6.2M
Net VEX-177.1K-210.1K-144.9K-192.8K-200.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.041.950.960.45
Total Volume10.565417109
Total OI210.739193240195211

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$6270.00$6000.0034.8%10.0%24.3%10.7%29.3%-9.9%3.9%762.3K-3.0M-192.8K0.9662.07N/AN/A5513758
2016-08-02$6375.00$6000.0033.5%9.6%23.5%9.2%34.1%-6.7%3.4%856.1K-7.4M-208.0K0.5333.93N/AN/A11613958
2016-08-03$6325.00$6000.0033.9%9.7%23.0%9.7%29.8%-7.7%4.7%913.0K-5.8M-191.8K0.7223.73N/AN/A7514359
2016-08-04$6300.00$5500.0034.7%10.9%22.8%10.7%39.3%-16.1%4.3%902.5K-5.5M-197.2K0.8425.95N/AN/A6514459
2016-08-05$6145.00$5500.0024.7%8.2%17.8%0.0%31.3%-15.4%4.8%716.8K3.8M-157.2K0.4319.01N/AN/A9414659
2016-08-08$6155.00$5500.0025.2%8.5%17.7%0.5%31.1%-19.1%4.3%687.0K5.1M-148.2K0.4022.06N/AN/A8315060
2016-08-09$6145.00$5500.0025.6%8.0%16.7%1.1%29.8%-21.2%6.3%630.2K634.6K-179.3K0.4444.86N/AN/A6315160
2016-08-10$6195.00$5500.0030.0%8.6%17.1%6.1%31.4%-20.0%3.6%711.5K-778.7K-178.4K0.4720.07N/AN/A7315260
2016-08-11$6090.00$5500.0028.1%8.1%17.0%4.0%29.0%-15.6%6.5%562.8K5.1M-144.9K0.4035.93N/AN/A9415561
2016-08-12$6115.00$5500.0029.4%8.4%17.0%5.5%31.1%-22.4%6.4%767.5K-419.3K-181.8K0.5020.34N/AN/A6315861
2016-08-15$6060.00$5500.0028.7%8.2%17.0%4.6%30.7%-8.2%3.3%694.6K5.1M-144.9K0.8158.65N/AN/A6516062
2016-08-16$6135.00$5500.0030.2%8.7%17.5%6.3%33.1%-10.5%6.1%718.8K-879.0K-172.4K0.4115.31N/AN/A7316264
2016-08-17$6125.00$5500.0028.0%8.0%16.6%3.8%34.4%-16.6%8.0%609.7K891.6K-150.5K1.9530.91N/AN/A51016364
2016-08-18$6075.00$6000.0027.1%7.8%16.1%2.8%31.4%-12.5%8.9%627.3K1.1M-182.1K0.4216.06N/AN/A3116574
2016-08-19$6105.00$6000.0028.4%8.1%15.8%4.2%29.0%-14.0%3.8%454.9K4.7M-154.0K0.3515.99N/AN/A11416674
2016-08-22$6110.00$5500.0027.7%8.0%15.4%3.5%31.9%-10.5%3.8%566.5K-965.8K-200.2K0.3618.73N/AN/A7212667
2016-08-23$6070.00$6000.0027.0%7.7%15.5%2.6%27.3%-15.8%6.4%573.8K1.1M-189.8K0.2811.34N/AN/A8213067
2016-08-24$6155.00$6000.0029.7%8.5%16.4%5.8%31.0%-16.8%4.2%549.3K3.8M-168.4K0.0416.62N/AN/A7013167
2016-08-25$6195.00$6000.0029.8%8.6%16.5%7.8%34.3%-16.6%3.3%732.8K-4.4M-210.1K0.3019.17N/AN/A8213667
2016-08-26$6210.00$6000.0028.0%8.0%16.4%5.0%35.1%-14.5%8.5%743.4K942.1K-156.1K0.2671.85N/AN/A9213767
2016-08-29$6125.00$6000.0027.5%7.9%16.8%4.1%36.3%-14.6%5.5%833.7K-2.9M-197.6K0.6177.95N/AN/A5314068
2016-08-30$6155.00$6000.0025.7%7.4%15.6%1.5%35.5%-12.8%10.8%865.4K962.9K-168.0K0.7445.09N/AN/A5414168
2016-08-31$6195.00$6000.0025.4%7.3%15.7%1.1%34.0%-13.1%6.7%958.4K-6.2M-200.0K0.4562.20N/AN/A6314368