SPXS Options History — October 2016

In October 2016, SPXS traded between $6150.00 and $6460.00. ATM implied volatility averaged 40.2%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 10.0% (HV 20d: 30.2%). 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 16 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2016-10-13: Highest Volume — 19 contracts
  • 2016-10-11: Largest IV spike — 65.9% change
  • 2016-10-31: Highest IV Rank — 50.7%
  • 2016-10-31: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6315.95$6150.00$6460.00$6175.00$6450.00
Max Pain$5904.76$5500.00$6000.00$6000.00$6000.00
ATM IV40.2%25.6%53.2%31.1%53.2%
Expected Move11.9%8.8%15.3%8.9%15.3%
HV 20d30.2%20.8%42.3%41.7%20.8%
HV 60d27.8%27.0%28.3%27.1%27.7%
IV Rank29.5%5.7%50.7%14.7%50.7%
IV Percentile48.6%2.4%79.4%17.9%79.4%
Term Structure1.6%-6.0%7.3%5.2%-6.0%
VWIV42.4%33.3%58.4%33.3%58.4%
Skew 25d-18.2%-28.7%-11.0%-12.5%-23.3%
Skew 10d-30.7%-47.5%-18.2%-20.1%-34.4%
Call IV 25d50.1%41.0%66.5%41.8%66.5%
Put IV 25d32.0%19.9%43.2%29.3%43.2%
Bid-Ask Spread %46.9110.9594.1958.1422.64
Gamma HHI0.290.230.400.290.23
Net GEX949.8K406.7K1.3M1.3M589.9K
Net DEX-7.1M-13.0M808.2K-8.3M-7.6M
Net VEX-164.0K-183.8K-137.7K-181.6K-153.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.180.620.440.34
Total Volume11.238819108
Total OI215.81167236235180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$6175.00$6000.0031.1%8.9%41.7%14.7%33.3%-12.5%5.2%1.3M-8.3M-181.6K0.4458.14N/AN/A7317164
2016-10-04$6275.00$6000.0041.9%12.0%41.9%32.2%34.6%-14.1%4.1%1.3M-12.3M-179.3K0.3531.95N/AN/A10317363
2016-10-05$6185.00$6000.0030.7%8.8%42.3%14.1%39.6%-11.9%3.5%1.2M-5.1M-159.8K0.5491.99N/AN/A6317063
2016-10-06$6180.00$5500.0029.5%9.8%42.3%12.1%36.8%-20.9%7.3%1.3M-8.1M-174.6K0.2451.21N/AN/A12317263
2016-10-07$6230.00$5500.0026.6%10.4%35.6%7.4%40.8%-24.3%3.6%1.1M-5.9M-165.5K0.6259.61N/AN/A5316663
2016-10-10$6150.00$5500.0025.6%10.2%32.9%5.7%38.7%-28.7%2.3%1.1M-2.3M-151.5K0.4018.02N/AN/A7316663
2016-10-11$6380.00$5500.0042.4%12.6%31.0%33.1%44.5%-18.9%2.9%1.2M-12.4M-162.0K0.2330.85N/AN/A15316963
2016-10-12$6340.00$6000.0045.5%13.0%31.0%38.1%42.1%-20.8%2.8%1.0M-8.9M-180.5K0.5394.19N/AN/A6316464
2016-10-13$6400.00$6000.0044.6%12.8%28.9%36.6%45.1%-18.6%0.6%1.1M-12.3M-181.1K0.1847.40N/AN/A16316564
2016-10-14$6375.00$6000.0045.8%13.1%28.7%38.7%45.4%-20.8%0.8%1.1M-11.1M-183.8K0.3630.68N/AN/A10416764
2016-10-17$6460.00$6000.0046.5%13.3%29.1%39.7%49.1%-16.0%-0.1%1.1M-13.0M-173.8K0.5915.52N/AN/A6416964
2016-10-18$6350.00$6000.0044.2%12.7%29.7%35.9%42.3%-19.5%0.1%1.1M-6.4M-163.1K0.4825.06N/AN/A8416864
2016-10-19$6285.00$6000.0043.1%12.4%27.7%34.2%42.4%-21.8%3.3%1.1M-4.7M-153.2K0.4692.05N/AN/A7316964
2016-10-20$6335.00$6000.0041.2%11.8%26.8%31.1%41.3%-14.1%2.0%1.1M-6.5M-157.8K0.3930.87N/AN/A7317164
2016-10-21$6335.00$6000.0040.5%11.6%26.2%29.9%38.0%-17.3%2.5%406.7K-4.6M-151.0K0.4410.95N/AN/A9417165
2016-10-24$6245.00$6000.0032.4%9.3%25.1%16.8%34.9%-14.0%4.3%456.6K808.2K-142.1K0.2941.21N/AN/A6211156
2016-10-25$6310.00$6000.0041.1%11.8%24.4%31.0%40.9%-13.3%0.3%495.3K-923.9K-137.7K0.3468.01N/AN/A8311456
2016-10-26$6325.00$6000.0043.6%12.5%23.8%35.1%45.9%-18.0%-0.1%514.2K-4.3M-154.5K0.2623.41N/AN/A9211757
2016-10-27$6395.00$6000.0045.4%13.0%23.1%37.9%46.5%-11.0%-1.1%593.9K-6.7M-168.1K0.3471.15N/AN/A6212057
2016-10-28$6455.00$6000.0049.1%14.1%21.2%44.0%49.5%-21.5%-3.6%590.4K-7.9M-170.3K0.2470.15N/AN/A8212157
2016-10-31$6450.00$6000.0053.2%15.3%20.8%50.7%58.4%-23.3%-6.0%589.9K-7.6M-153.3K0.3422.64N/AN/A6212357