SPXS Options History — March 2017

In March 2017, SPXS traded between $4345.00 and $4640.00. ATM implied volatility averaged 27.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.9% (HV 20d: 24.7%). Max pain ranged from $4000.00 to $4500.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.35.

Notable Days

  • 2017-03-02: Highest Volume — 17 contracts
  • 2017-03-13: Largest IV spike — 28.9% change
  • 2017-03-14: Highest IV Rank — 26.7%
  • 2017-03-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4510.22$4345.00$4640.00$4345.00$4500.00
Max Pain$4065.22$4000.00$4500.00$4500.00$4000.00
ATM IV27.6%23.6%33.6%33.2%24.6%
Expected Move7.9%6.9%9.5%9.5%7.0%
HV 20d24.7%20.7%28.3%21.9%20.7%
HV 60d22.0%20.7%22.9%22.3%21.1%
IV Rank16.9%10.4%26.7%26.2%12.0%
IV Percentile21.7%2.4%50.0%45.2%5.2%
Term Structure6.3%-0.5%12.6%1.6%5.0%
VWIV29.3%21.2%36.3%33.4%23.8%
Skew 25d-8.9%-18.7%3.5%-13.0%-7.8%
Skew 10d-15.5%-29.3%5.2%-9.8%-12.0%
Call IV 25d35.4%24.4%42.0%38.4%33.6%
Put IV 25d26.4%19.7%33.8%25.4%25.7%
Bid-Ask Spread %17.198.0254.618.0211.23
Gamma HHI0.400.270.570.310.39
Net GEX674.6K424.2K1.1M424.2K477.7K
Net DEX-12.0M-16.3M-6.1M-6.1M-8.4M
Net VEX-84.0K-95.0K-69.1K-74.6K-91.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.170.660.170.66
Total Volume12.4358171416
Total OI134.696112158121132

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$4345.00$4500.0033.2%9.5%21.9%26.2%33.4%-13.0%1.6%424.2K-6.1M-74.6K0.178.02N/AN/A12210417
2017-03-02$4435.00$4500.0029.9%8.6%24.1%20.7%29.9%-5.2%4.4%574.6K-8.8M-80.2K0.2019.97N/AN/A14311217
2017-03-03$4445.00$4500.0024.2%6.9%24.2%11.4%24.4%3.5%7.1%706.7K-9.7M-79.3K0.1910.16N/AN/A13311617
2017-03-06$4455.00$4000.0027.7%8.4%23.6%17.1%32.3%-3.7%9.3%724.4K-10.6M-69.1K0.2918.86N/AN/A10312017
2017-03-07$4525.00$4000.0026.5%8.2%24.4%15.1%29.7%-12.7%10.1%890.1K-12.8M-82.7K0.2122.25N/AN/A9212518
2017-03-08$4540.00$4000.0023.6%7.7%24.5%10.4%30.3%-1.9%12.6%887.2K-14.0M-90.9K0.3621.60N/AN/A6212518
2017-03-09$4525.00$4000.0027.8%8.1%24.5%17.3%29.3%-6.9%11.1%834.5K-12.9M-73.5K0.2917.72N/AN/A7212818
2017-03-10$4495.00$4000.0025.1%8.2%24.1%12.8%31.6%-18.7%11.1%926.3K-12.8M-83.9K0.309.23N/AN/A7212918
2017-03-13$4475.00$4000.0032.3%8.2%24.0%24.6%21.2%-13.1%8.6%940.4K-11.9M-71.4K0.189.17N/AN/A12213018
2017-03-14$4520.00$4000.0033.6%8.3%23.9%26.7%30.1%-15.5%12.0%995.0K-14.4M-83.4K0.389.15N/AN/A9413118
2017-03-15$4400.00$4000.0026.8%7.7%25.3%15.6%27.0%-3.8%11.3%930.8K-10.1M-75.9K0.3833.72N/AN/A9413320
2017-03-16$4435.00$4000.0028.7%8.2%25.1%18.7%31.2%-13.2%11.6%1.1M-11.2M-84.6K0.328.73N/AN/A6213719
2017-03-17$4440.00$4000.0026.8%7.7%24.9%15.7%27.4%-3.5%9.5%472.5K-9.8M-84.4K0.5654.61N/AN/A7413820
2017-03-20$4465.00$4000.0027.0%7.7%25.1%16.0%26.3%-10.9%3.8%505.7K-12.1M-72.6K0.5812.14N/AN/A539616
2017-03-21$4635.00$4000.0026.6%7.6%27.4%15.3%29.9%-8.6%3.7%546.7K-15.4M-89.5K0.2313.21N/AN/A1239716
2017-03-22$4610.00$4000.0027.6%7.9%27.5%17.0%35.2%-11.7%1.2%500.3K-14.7M-92.9K0.3913.37N/AN/A839922
2017-03-23$4640.00$4000.0029.5%8.5%27.6%20.0%35.3%-14.0%-0.5%482.6K-15.3M-94.7K0.4610.40N/AN/A7310022
2017-03-24$4630.00$4000.0029.5%8.5%27.5%20.0%36.3%-10.2%1.3%490.6K-14.7M-93.0K0.3312.50N/AN/A9310223
2017-03-27$4640.00$4000.0027.6%7.9%27.4%16.9%30.5%-10.2%0.4%548.7K-16.3M-95.0K0.2116.75N/AN/A13310523
2017-03-28$4545.00$4000.0026.7%7.6%28.3%15.4%30.4%-8.0%-0.2%550.0K-13.9M-94.1K0.3144.24N/AN/A11310523
2017-03-29$4535.00$4000.0024.7%7.1%21.5%12.2%25.8%-10.0%3.8%495.2K-10.5M-87.0K0.589.46N/AN/A7410223
2017-03-30$4500.00$4000.0024.1%6.9%20.7%11.2%22.8%-6.5%6.5%479.9K-10.3M-87.9K0.568.97N/AN/A11610524
2017-03-31$4500.00$4000.0024.6%7.0%20.7%12.0%23.8%-7.8%5.0%477.7K-8.4M-91.4K0.6611.23N/AN/A10610428