SPXS Options History — September 2016

In September 2016, SPXS traded between $6065.00 and $6540.00. ATM implied volatility averaged 35.9%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.7% (HV 20d: 31.2%). Max pain ranged from $5500.00 to $6000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2016-09-13: Highest Volume — 35 contracts
  • 2016-09-13: Largest IV spike — 174.1% change
  • 2016-09-13: Highest IV Rank — 62.4%
  • 2016-09-13: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6251.43$6065.00$6540.00$6215.00$6090.00
Max Pain$5904.76$5500.00$6000.00$6000.00$6000.00
ATM IV35.9%22.1%60.5%27.7%34.1%
Expected Move10.4%7.3%14.1%7.9%9.8%
HV 20d31.2%13.9%41.7%15.7%41.7%
HV 60d33.8%28.1%39.4%35.3%28.6%
IV Rank21.5%0.0%62.4%5.1%19.6%
IV Percentile30.6%0.0%85.7%4.4%21.8%
Term Structure4.2%-1.5%9.8%5.5%1.9%
VWIV38.2%30.7%44.6%37.2%36.7%
Skew 25d-18.1%-27.7%-6.5%-15.6%-12.6%
Skew 10d-31.5%-46.4%-12.0%-23.0%-24.1%
Call IV 25d47.0%33.0%59.9%42.7%40.3%
Put IV 25d28.8%16.9%39.8%27.0%27.7%
Bid-Ask Spread %50.597.12103.3830.9175.38
Gamma HHI0.250.160.330.230.28
Net GEX1.0M758.9K1.3M993.5K1.1M
Net DEX-8.1M-19.6M3.9M-7.6M-4.2M
Net VEX-185.0K-212.9K-141.9K-203.3K-175.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.150.570.570.28
Total Volume15.818351113
Total OI221.143204238212230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$6215.00$6000.0027.7%7.9%15.7%5.1%37.2%-15.6%5.5%993.5K-7.6M-203.3K0.5730.91N/AN/A7414468
2016-09-02$6125.00$6000.0025.4%7.3%14.0%1.1%33.7%-6.5%9.8%1.0M-3.8M-200.6K0.2534.16N/AN/A9214568
2016-09-06$6080.00$6000.0025.9%9.0%14.2%2.1%37.4%-27.3%5.8%957.7K3.9M-141.9K0.5717.07N/AN/A5315068
2016-09-07$6070.00$6000.0027.2%9.1%14.2%4.1%37.6%-26.4%5.1%978.5K-421.9K-171.9K0.4154.67N/AN/A7315169
2016-09-08$6095.00$6000.0024.1%9.2%13.9%0.0%37.3%-27.7%1.9%1.1M-1.6M-174.3K0.5369.56N/AN/A5315469
2016-09-09$6490.00$6000.0054.9%12.6%25.6%51.8%43.9%-19.0%5.7%1.3M-18.1M-202.3K0.1679.53N/AN/A21315669
2016-09-12$6235.00$6000.0022.1%9.0%29.8%0.0%38.0%-20.6%-0.1%952.7K-6.2M-181.3K0.2231.00N/AN/A21515269
2016-09-13$6540.00$6000.0060.5%14.1%33.8%62.4%39.9%-20.1%-1.5%1.0M-14.1M-190.1K0.1579.72N/AN/A30515370
2016-09-14$6535.00$5500.0046.7%13.4%33.7%40.1%31.8%-19.3%0.9%1.1M-19.6M-212.9K0.2431.54N/AN/A18415771
2016-09-15$6325.00$5500.0046.7%13.4%36.0%40.1%30.7%-18.1%1.2%1.1M-17.5M-203.1K0.2456.07N/AN/A18416771
2016-09-16$6395.00$5500.0042.9%12.3%36.0%33.8%36.8%-19.0%6.0%758.9K-14.1M-194.7K0.2747.30N/AN/A16416571
2016-09-19$6395.00$5500.0043.8%12.6%36.0%35.3%35.8%-20.8%4.3%823.2K-10.9M-182.7K0.1530.89N/AN/A14214960
2016-09-20$6375.00$6000.0045.3%13.0%36.0%37.8%44.6%-18.4%2.7%799.2K-10.7M-201.0K0.3617.55N/AN/A8314460
2016-09-21$6180.00$6000.0028.5%8.2%37.8%10.5%42.0%-17.3%9.6%841.5K-3.1M-163.9K0.22103.38N/AN/A15314761
2016-09-22$6065.00$6000.0030.1%8.6%38.1%13.1%38.2%-16.1%6.5%874.9K1.8M-159.0K0.217.12N/AN/A15315361
2016-09-23$6170.00$6000.0030.1%8.6%38.5%13.1%37.2%-16.9%5.8%1.1M-6.2M-187.5K0.2810.89N/AN/A10315961
2016-09-26$6330.00$6000.0041.0%11.8%39.6%30.9%40.7%-12.8%5.6%1.1M-8.9M-180.3K0.2534.17N/AN/A12316161
2016-09-27$6210.00$6000.0029.8%8.5%39.9%12.5%38.5%-15.8%4.6%1.1M-10.0M-187.2K0.3979.56N/AN/A8316261
2016-09-28$6120.00$6000.0033.5%9.6%40.2%18.6%41.6%-13.2%0.6%1.1M-7.5M-177.3K0.4679.07N/AN/A7316562
2016-09-29$6240.00$6000.0034.1%9.8%40.8%19.5%43.3%-17.6%5.8%1.1M-10.6M-194.8K0.3792.97N/AN/A7316763
2016-09-30$6090.00$6000.0034.1%9.8%41.7%19.6%36.7%-12.6%1.9%1.1M-4.2M-175.1K0.2875.38N/AN/A10316763