SPXS Options History — February 2017

In February 2017, SPXS traded between $4520.00 and $5105.00. ATM implied volatility averaged 27.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 9.3% (HV 20d: 18.2%). Max pain ranged from $4500.00 to $5000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.44.

Notable Days

2017-02-21: Highest Volume — 14 contracts
2017-02-14: Largest IV drop — 19.4% change
2017-02-10: Highest IV Rank — 25.1%
2017-02-10: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4779.21	$4520.00	$5105.00	$5100.00	$4565.00
Max Pain	$4710.53	$4500.00	$5000.00	$5000.00	$4500.00
ATM IV	27.4%	22.8%	32.6%	24.8%	31.4%
Expected Move	8.1%	6.5%	9.3%	7.1%	9.0%
HV 20d	18.2%	15.7%	19.3%	19.1%	15.7%
HV 60d	21.3%	20.7%	24.6%	24.6%	20.9%
IV Rank	16.3%	9.0%	25.1%	11.4%	23.2%
IV Percentile	18.8%	1.6%	41.3%	4.4%	41.3%
Term Structure	1.8%	-1.3%	6.3%	2.4%	-0.3%
VWIV	29.7%	25.0%	33.8%	26.5%	32.2%
Skew 25d	-10.8%	-21.0%	-5.1%	-8.1%	-7.1%
Skew 10d	-17.1%	-28.8%	-6.7%	-11.4%	-10.9%
Call IV 25d	35.8%	32.7%	39.1%	32.8%	38.5%
Put IV 25d	25.0%	17.2%	31.4%	24.7%	31.4%
Bid-Ask Spread %	31.07	8.25	108.00	43.29	26.39
Gamma HHI	0.43	0.30	0.61	0.46	0.30
Net GEX	541.9K	343.5K	822.4K	576.3K	513.6K
Net DEX	-4.7M	-13.7M	65.3K	-5.7M	-13.7M
Net VEX	-59.7K	-73.7K	-49.4K	-56.1K	-57.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.17	0.79	0.55	0.33
Total Volume	10	5	14	6	11
Total OI	104.474	86	125	86	117

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$5100.00	$5000.00	24.8%	7.1%	19.1%	11.4%	26.5%	-8.1%	2.4%	576.3K	-5.7M	-56.1K	0.55	43.29	N/A	N/A	4	2	71	15
2017-02-02	$5105.00	$5000.00	25.4%	8.3%	17.1%	12.4%	31.0%	-15.9%	2.2%	569.9K	-5.9M	-57.1K	0.43	57.09	N/A	N/A	4	2	72	16
2017-02-03	$4990.00	$5000.00	25.5%	8.2%	18.6%	12.5%	26.3%	-14.2%	4.6%	579.9K	-3.9M	-53.7K	0.38	63.96	N/A	N/A	7	3	73	16
2017-02-06	$5025.00	$5000.00	23.2%	8.5%	18.2%	9.0%	30.2%	-21.0%	3.3%	724.8K	-4.6M	-54.4K	0.53	20.15	N/A	N/A	6	3	77	17
2017-02-07	$5030.00	$5000.00	26.2%	8.9%	17.8%	13.6%	33.0%	-14.6%	1.2%	707.7K	-5.2M	-54.0K	0.53	8.25	N/A	N/A	6	3	80	17
2017-02-08	$5000.00	$5000.00	28.5%	8.2%	17.8%	16.9%	27.9%	-14.1%	6.3%	822.4K	-5.9M	-64.4K	0.66	8.50	N/A	N/A	3	2	82	17
2017-02-09	$4915.00	$5000.00	30.7%	8.8%	18.6%	22.0%	27.0%	-16.3%	2.6%	780.2K	-3.1M	-52.6K	0.34	14.32	N/A	N/A	9	3	83	17
2017-02-10	$4860.00	$4500.00	32.6%	9.3%	18.7%	25.1%	31.6%	-11.1%	-0.2%	740.1K	-4.3M	-63.2K	0.79	9.09	N/A	N/A	5	4	87	18
2017-02-13	$4775.00	$5000.00	30.3%	8.7%	19.3%	21.4%	29.9%	-7.2%	2.3%	593.8K	-2.4M	-65.6K	0.29	12.71	N/A	N/A	9	3	90	19
2017-02-14	$4725.00	$4500.00	24.4%	7.0%	18.4%	11.8%	28.2%	-8.6%	1.7%	383.6K	-2.2M	-66.4K	0.67	12.68	N/A	N/A	5	3	96	20
2017-02-15	$4645.00	$4500.00	26.7%	7.7%	18.8%	15.5%	28.2%	-8.0%	0.4%	343.5K	65.3K	-50.4K	0.40	11.53	N/A	N/A	7	3	97	20
2017-02-16	$4670.00	$4500.00	27.4%	7.8%	18.3%	16.6%	33.3%	-10.4%	-0.5%	405.4K	-1.1M	-53.0K	0.58	12.83	N/A	N/A	6	3	102	21
2017-02-17	$4650.00	$4500.00	22.8%	6.5%	18.3%	9.0%	27.4%	-9.6%	5.6%	424.5K	-2.6M	-67.5K	0.44	20.24	N/A	N/A	9	4	104	21
2017-02-21	$4545.00	$4500.00	26.6%	7.6%	19.0%	15.4%	31.4%	-5.1%	1.6%	369.7K	-1.9M	-49.4K	0.19	69.85	N/A	N/A	12	2	77	15
2017-02-22	$4570.00	$4500.00	29.8%	8.5%	18.9%	20.5%	33.8%	-5.1%	-1.3%	444.1K	-6.0M	-71.6K	0.24	108.00	N/A	N/A	10	2	82	16
2017-02-23	$4565.00	$4500.00	30.6%	8.8%	17.7%	21.8%	31.7%	-9.1%	-0.4%	394.1K	-4.0M	-55.1K	0.17	16.40	N/A	N/A	12	2	87	16
2017-02-24	$4550.00	$4500.00	24.8%	7.1%	17.5%	12.4%	25.0%	-8.6%	1.2%	439.2K	-8.5M	-68.4K	0.33	34.44	N/A	N/A	8	3	96	16
2017-02-27	$4520.00	$4500.00	29.4%	8.4%	17.1%	19.8%	30.5%	-11.2%	0.6%	483.8K	-7.8M	-73.7K	0.48	40.54	N/A	N/A	7	3	99	16
2017-02-28	$4565.00	$4500.00	31.4%	9.0%	15.7%	23.2%	32.2%	-7.1%	-0.3%	513.6K	-13.7M	-57.0K	0.33	26.39	N/A	N/A	8	3	100	17