SPXS Options History — January 2017

In January 2017, SPXS traded between $4985.00 and $5305.00. ATM implied volatility averaged 25.7%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.7% (HV 20d: 22.0%). Max pain ranged from $5000.00 to $6500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2017-01-20: Highest Volume — 13 contracts
  • 2017-01-11: Largest IV spike — 75.6% change
  • 2017-01-03: Highest IV Rank — 22.7%
  • 2017-01-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5151.50$4985.00$5305.00$5305.00$5120.00
Max Pain$5150.00$5000.00$6500.00$6500.00$5000.00
ATM IV25.7%17.2%33.8%33.8%25.0%
Expected Move7.8%6.9%9.7%9.7%7.2%
HV 20d22.0%19.6%26.4%25.5%20.7%
HV 60d25.5%25.1%26.7%26.4%25.1%
IV Rank12.2%0.0%22.7%22.7%11.7%
IV Percentile8.0%0.0%31.3%31.3%4.8%
Term Structure4.5%-1.8%11.2%2.1%5.2%
VWIV31.0%24.2%37.3%35.8%26.1%
Skew 25d-11.1%-18.0%-6.3%-6.3%-7.3%
Skew 10d-19.7%-28.5%-5.0%-12.6%-10.6%
Call IV 25d36.7%31.2%42.2%38.8%31.9%
Put IV 25d25.6%23.3%32.5%32.5%24.7%
Bid-Ask Spread %27.6411.7375.8515.0322.43
Gamma HHI0.390.320.490.370.43
Net GEX451.5K314.3K560.0K538.3K530.7K
Net DEX8.0M-7.3M17.1M13.0M-5.5M
Net VEX-59.8K-70.9K-47.9K-70.9K-55.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.260.720.320.26
Total Volume8.5513810
Total OI158.76721119283

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$5305.00$6500.0033.8%9.7%25.5%22.7%35.8%-6.3%2.1%538.3K13.0M-70.9K0.3215.03N/AN/A6213557
2017-01-04$5175.00$6500.0025.0%7.2%26.1%9.0%27.0%-7.6%3.2%489.1K16.7M-53.7K0.4615.63N/AN/A7313757
2017-01-05$5205.00$5000.0025.9%8.6%26.4%10.4%36.3%-18.0%1.3%491.1K15.1M-69.2K0.5027.74N/AN/A6313959
2017-01-06$5125.00$5000.0024.6%8.7%23.1%8.3%35.5%-15.2%-1.8%371.8K16.3M-68.1K0.7224.30N/AN/A6413960
2017-01-09$5175.00$5000.0022.6%8.6%23.4%5.3%35.1%-13.5%9.4%513.2K15.9M-57.4K0.6515.31N/AN/A6414261
2017-01-10$5180.00$5000.0017.2%8.2%22.7%0.0%35.4%-13.7%-0.4%532.3K15.3M-68.3K0.4518.16N/AN/A5214461
2017-01-11$5165.00$5000.0030.2%8.7%22.6%19.6%32.1%-14.1%1.6%498.1K17.1M-54.8K0.4715.12N/AN/A5214461
2017-01-12$5185.00$5000.0025.5%7.3%20.8%12.4%28.1%-11.9%11.2%560.0K14.5M-68.2K0.3339.64N/AN/A7214560
2017-01-13$5145.00$5000.0025.7%7.4%19.6%12.9%26.0%-7.8%4.5%413.2K15.4M-61.7K0.4113.18N/AN/A6314560
2017-01-17$5215.00$5000.0026.1%7.5%20.2%13.4%30.5%-11.8%6.6%332.0K13.8M-60.7K0.3343.31N/AN/A7214860
2017-01-18$5175.00$5000.0027.4%7.8%20.1%15.3%32.1%-11.6%6.6%336.6K14.3M-51.0K0.6675.85N/AN/A3215060
2017-01-19$5230.00$5000.0027.6%7.9%20.4%15.6%37.3%-14.1%5.8%314.3K14.3M-51.1K0.4366.96N/AN/A5215060
2017-01-20$5190.00$5000.0025.0%7.2%20.3%11.7%30.9%-11.2%6.7%347.5K14.4M-51.1K0.2713.00N/AN/A10315160
2017-01-23$5205.00$5000.0024.8%7.1%20.3%11.4%30.8%-11.8%4.6%407.5K-6.9M-68.0K0.3117.38N/AN/A525512
2017-01-24$5105.00$5000.0025.4%7.3%21.1%12.3%32.0%-12.1%3.7%414.7K-4.4M-50.3K0.3526.26N/AN/A625712
2017-01-25$4985.00$5000.0026.1%7.5%22.6%13.3%26.3%-8.0%3.9%425.6K-3.0M-47.9K0.5311.73N/AN/A636013
2017-01-26$5000.00$5000.0024.2%6.9%22.5%10.5%24.2%-7.8%6.7%467.6K-4.3M-64.7K0.6716.43N/AN/A436314
2017-01-27$5025.00$5000.0024.5%7.0%20.3%10.9%29.0%-8.0%5.8%501.7K-4.1M-55.0K0.5636.19N/AN/A426415
2017-01-30$5120.00$5000.0028.0%8.0%21.7%16.2%28.9%-10.1%3.9%545.5K-7.3M-68.9K0.2739.20N/AN/A826615
2017-01-31$5120.00$5000.0025.0%7.2%20.7%11.7%26.1%-7.3%5.2%530.7K-5.5M-55.0K0.2622.43N/AN/A826815