SPXS Options History — December 2016

In December 2016, SPXS traded between $5185.00 and $5845.00. ATM implied volatility averaged 32.3%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.4% (HV 20d: 23.9%). Max pain ranged from $5500.00 to $7000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2016-12-07: Highest Volume — 11 contracts
  • 2016-12-07: Largest IV spike — 56.0% change
  • 2016-12-01: Highest IV Rank — 40.0%
  • 2016-12-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5387.14$5185.00$5845.00$5845.00$5435.00
Max Pain$6452.38$5500.00$7000.00$5500.00$6500.00
ATM IV32.3%19.2%46.7%46.7%37.3%
Expected Move9.8%7.1%13.4%13.4%10.7%
HV 20d23.9%20.4%30.3%30.3%24.4%
HV 60d27.8%25.7%32.6%32.6%26.0%
IV Rank19.8%0.0%40.0%40.0%28.1%
IV Percentile25.8%0.0%69.4%69.4%42.5%
Term Structure2.5%-4.1%8.4%-4.1%2.8%
VWIV35.4%28.1%42.1%34.9%37.6%
Skew 25d-10.6%-20.1%-5.0%-15.7%-6.5%
Skew 10d-19.6%-31.4%-5.9%-13.5%-15.3%
Call IV 25d39.7%31.9%52.2%52.2%43.9%
Put IV 25d29.1%19.0%37.4%36.6%37.4%
Bid-Ask Spread %31.866.5794.8052.2712.25
Gamma HHI0.320.250.400.250.32
Net GEX505.9K383.0K771.2K670.2K559.2K
Net DEX12.6M3.7M16.4M3.7M10.4M
Net VEX-72.7K-109.1K-1.3K-109.1K-80.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.180.630.180.31
Total Volume7.42941189
Total OI194.238179215189192

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$5845.00$5500.0046.7%13.4%30.3%40.0%34.9%-15.7%-4.1%670.2K3.7M-109.1K0.1852.27N/AN/A7113356
2016-12-02$5820.00$5500.0041.6%11.9%28.4%31.7%42.1%-10.2%-2.3%695.5K4.7M-107.4K0.2420.85N/AN/A6113456
2016-12-05$5720.00$7000.0025.6%10.4%28.4%5.7%42.1%-6.7%0.6%704.3K6.9M-102.3K0.2533.63N/AN/A6113656
2016-12-06$5670.00$7000.0019.2%8.8%20.4%0.0%36.0%-19.1%4.3%589.4K9.7M-95.3K0.3114.90N/AN/A6213756
2016-12-07$5445.00$6500.0030.0%10.1%22.8%16.7%36.5%-20.1%1.1%405.3K15.7M-64.9K0.2624.85N/AN/A9214057
2016-12-08$5390.00$6500.0029.2%10.0%21.4%15.5%37.0%-18.9%4.4%424.4K14.6M-72.9K0.4513.89N/AN/A6314357
2016-12-09$5300.00$6500.0028.8%10.1%21.8%14.9%36.1%-12.8%2.1%396.2K16.4M-61.1K0.2974.73N/AN/A6214557
2016-12-12$5320.00$6500.0038.5%10.3%21.7%29.9%37.3%-12.3%4.4%443.0K15.4M-63.5K0.4411.18N/AN/A4214957
2016-12-13$5185.00$6500.0030.7%9.6%22.4%17.8%36.9%-12.8%3.8%425.4K14.7M-75.0K0.357.75N/AN/A8315057
2016-12-14$5290.00$6500.0034.3%9.8%23.5%23.4%33.1%-8.2%2.3%528.4K14.1M-74.3K0.2143.30N/AN/A7215458
2016-12-15$5260.00$6500.0036.0%10.3%23.3%26.0%33.4%-10.7%3.6%545.1K13.7M-76.3K0.3614.11N/AN/A4115658
2016-12-16$5300.00$6500.0033.4%9.6%23.6%22.0%34.1%-8.8%4.8%383.0K14.4M-74.6K0.449.74N/AN/A5215758
2016-12-19$5270.00$6500.0032.0%9.2%23.4%19.9%35.7%-11.1%2.8%406.3K14.2M-67.7K0.4911.62N/AN/A3112455
2016-12-20$5215.00$6500.0029.1%8.4%23.2%15.4%33.3%-7.7%3.0%389.8K14.3M-72.6K0.336.57N/AN/A4112555
2016-12-21$5230.00$6500.0030.1%8.6%23.2%16.9%32.4%-7.1%-2.3%422.1K13.9M-72.7K0.4682.01N/AN/A3112655
2016-12-22$5270.00$6500.0024.7%7.1%23.6%8.5%28.1%-5.1%8.4%411.2K15.4M-58.1K0.3977.89N/AN/A5212755
2016-12-23$5265.00$6500.0032.4%9.3%23.5%20.4%31.7%-8.4%0.4%771.2K12.3M-1.3K0.6394.80N/AN/A3213055
2016-12-27$5210.00$6500.0029.0%8.3%22.6%15.1%32.0%-9.5%3.2%446.0K14.7M-59.1K0.4115.70N/AN/A5213055
2016-12-28$5340.00$6500.0034.6%9.9%25.0%24.0%38.0%-5.4%5.1%496.1K12.9M-63.0K0.3236.94N/AN/A6213356
2016-12-29$5350.00$6500.0034.3%9.8%25.0%23.3%34.7%-5.0%4.4%511.1K11.9M-74.8K0.349.98N/AN/A8313356
2016-12-30$5435.00$6500.0037.3%10.7%24.4%28.1%37.6%-6.5%2.8%559.2K10.4M-80.0K0.3112.25N/AN/A7213557