SPXS Options History — November 2016

In November 2016, SPXS traded between $5670.00 and $6830.00. ATM implied volatility averaged 43.1%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 13.8% (HV 20d: 29.3%). 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 11 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2016-11-10: Highest Volume — 24 contracts
  • 2016-11-09: Largest IV drop — 54.8% change
  • 2016-11-04: Highest IV Rank — 91.7%
  • 2016-11-04: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6082.14$5670.00$6830.00$6590.00$5725.00
Max Pain$5857.14$5500.00$6000.00$6000.00$5500.00
ATM IV43.1%25.7%78.5%57.3%29.5%
Expected Move11.3%7.4%16.7%16.4%8.5%
HV 20d29.3%20.7%31.7%21.4%29.5%
HV 60d31.3%28.0%32.4%28.0%32.2%
IV Rank34.2%5.9%91.7%57.3%12.1%
IV Percentile43.8%3.6%99.6%84.5%13.9%
Term Structure0.9%-8.1%21.5%-8.1%2.3%
VWIV42.6%30.3%60.1%57.6%37.6%
Skew 25d-15.9%-26.3%11.3%-26.3%-13.9%
Skew 10d-21.3%-48.2%85.3%-29.9%-23.4%
Call IV 25d50.1%36.0%72.1%69.7%41.8%
Put IV 25d34.3%20.4%51.2%43.3%27.9%
Bid-Ask Spread %49.6222.1398.0342.5353.08
Gamma HHI0.270.200.370.240.26
Net GEX611.8K460.1K787.5K603.9K624.7K
Net DEX1.6M-18.7M12.4M-9.1M6.6M
Net VEX-123.8K-185.2K-77.1K-159.7K-108.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.180.830.230.26
Total Volume10.571524156
Total OI195.048177219183187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$6590.00$6000.0057.3%16.4%21.4%57.3%57.6%-26.3%-8.1%603.9K-9.1M-159.7K0.2342.53N/AN/A12312657
2016-11-02$6675.00$6000.0054.1%15.5%20.7%52.1%56.1%-21.8%-4.0%638.7K-14.8M-172.1K0.4064.19N/AN/A6212557
2016-11-03$6820.00$6000.0076.8%16.4%21.5%89.0%60.1%-20.5%-4.1%627.9K-18.7M-185.2K0.3380.82N/AN/A7212657
2016-11-04$6830.00$6000.0078.5%16.7%21.5%91.7%51.0%-24.6%-4.1%579.7K-18.2M-172.5K0.2530.81N/AN/A11312558
2016-11-07$6420.00$6000.0066.8%14.4%31.5%72.7%51.0%-26.1%-3.7%610.2K-6.5M-151.6K0.1861.08N/AN/A18312759
2016-11-08$6260.00$6000.0069.1%14.5%30.1%76.5%49.1%-22.0%-2.4%632.8K-3.2M-151.0K0.2339.69N/AN/A17413359
2016-11-09$6085.00$6000.0031.2%8.9%31.6%14.9%32.7%-5.3%21.5%718.5K3.8M-119.7K0.2298.03N/AN/A17414461
2016-11-10$6045.00$6000.0040.5%11.6%31.4%30.0%49.7%-25.2%-3.0%708.0K3.8M-126.3K0.1841.77N/AN/A20414861
2016-11-11$6075.00$6000.0039.1%11.2%31.5%27.7%46.3%-19.9%-0.5%787.5K709.1K-136.9K0.4033.72N/AN/A7315161
2016-11-14$6095.00$6000.0039.1%11.2%31.0%27.7%46.8%-17.0%0.2%648.1K5.3M-117.1K0.2653.56N/AN/A8215262
2016-11-15$5945.00$6000.0035.0%10.0%31.6%21.0%38.4%-13.4%3.4%616.2K6.5M-107.9K0.4150.06N/AN/A6215561
2016-11-16$5965.00$6000.0038.3%11.0%31.6%26.4%39.8%-9.7%-2.1%689.0K6.1M-113.0K0.4369.57N/AN/A4215661
2016-11-17$5880.00$6000.0036.8%10.6%31.6%24.0%37.8%-20.6%1.6%693.1K7.4M-113.2K0.4643.61N/AN/A4215761
2016-11-18$5895.00$6000.0036.6%10.5%31.7%23.7%35.8%-21.5%0.1%460.1K9.1M-103.5K0.8327.39N/AN/A4315861
2016-11-21$5800.00$6000.0036.2%10.4%31.7%23.0%35.6%-10.7%0.4%462.9K8.9M-102.4K0.2349.56N/AN/A6112156
2016-11-22$5735.00$5500.0025.8%7.4%31.4%6.1%33.6%-13.8%5.6%492.4K9.3M-89.9K0.2555.59N/AN/A5112455
2016-11-23$5730.00$5500.0029.0%8.3%31.3%11.2%36.3%-10.5%2.4%527.8K8.3M-96.5K0.2351.75N/AN/A5112655
2016-11-25$5670.00$5500.0029.7%8.5%30.8%12.4%30.3%-8.3%1.7%523.5K12.4M-77.1K0.2122.13N/AN/A5112855
2016-11-28$5750.00$5500.0025.7%7.4%31.2%5.9%33.5%11.3%12.0%604.2K8.1M-102.8K0.4525.40N/AN/A3212955
2016-11-29$5735.00$5500.0030.2%8.7%31.1%13.3%35.1%-13.3%-0.9%598.9K8.8M-92.0K0.3547.69N/AN/A4213056
2016-11-30$5725.00$5500.0029.5%8.5%29.5%12.1%37.6%-13.9%2.3%624.7K6.6M-108.5K0.2653.08N/AN/A5113156