SPXS Options History — April 2017

In April 2017, SPXS traded between $4355.00 and $4690.00. ATM implied volatility averaged 29.4%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 10.4% (HV 20d: 19.0%). Max pain ranged from $4000.00 to $4500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.34.

Notable Days

2017-04-11: Highest Volume — 20 contracts
2017-04-12: Largest IV spike — 40.5% change
2017-04-13: Highest IV Rank — 32.2%
2017-04-13: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4539.47	$4355.00	$4690.00	$4545.00	$4395.00
Max Pain	$4421.05	$4000.00	$4500.00	$4000.00	$4500.00
ATM IV	29.4%	23.8%	36.9%	24.4%	29.5%
Expected Move	8.7%	7.0%	10.6%	7.0%	8.5%
HV 20d	19.0%	12.8%	21.2%	20.9%	20.4%
HV 60d	21.3%	20.9%	22.4%	21.2%	22.0%
IV Rank	19.8%	10.7%	32.2%	11.7%	20.0%
IV Percentile	34.1%	2.8%	66.3%	4.4%	38.9%
Term Structure	2.0%	-3.8%	5.7%	5.3%	2.4%
VWIV	32.9%	20.7%	44.4%	25.2%	21.3%
Skew 25d	-10.7%	-17.0%	3.5%	-5.2%	-1.3%
Skew 10d	-13.8%	-31.5%	5.5%	-6.3%	5.5%
Call IV 25d	38.1%	22.2%	50.1%	31.9%	26.1%
Put IV 25d	27.4%	17.1%	35.1%	26.7%	24.8%
Bid-Ask Spread %	42.29	10.05	103.87	11.41	10.05
Gamma HHI	0.37	0.21	0.65	0.44	0.27
Net GEX	461.0K	230.2K	994.6K	480.2K	364.5K
Net DEX	-8.7M	-13.1M	-1.2M	-9.3M	-3.8M
Net VEX	-86.2K	-95.0K	-73.0K	-87.7K	-84.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.15	0.65	0.24	0.58
Total Volume	10.895	5	20	12	5
Total OI	132.737	103	145	134	119

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
2017-04-03	$4545.00	$4000.00	24.4%	7.0%	20.9%	11.7%	25.2%	-5.2%	5.3%	480.2K	-9.3M	-87.7K	0.24	11.41	N/A	N/A	10	2	106	28
2017-04-04	$4545.00	$4000.00	24.3%	7.0%	20.2%	11.5%	24.6%	-7.4%	4.7%	478.2K	-8.9M	-80.4K	0.27	10.26	N/A	N/A	9	2	106	28
2017-04-05	$4560.00	$4000.00	25.7%	7.4%	20.2%	13.9%	25.7%	3.5%	5.7%	516.3K	-11.6M	-91.6K	0.47	93.16	N/A	N/A	9	4	109	28
2017-04-06	$4555.00	$4500.00	28.1%	8.3%	20.2%	17.8%	30.3%	-12.9%	5.0%	505.5K	-10.7M	-95.0K	0.39	40.23	N/A	N/A	6	3	110	28
2017-04-07	$4555.00	$4500.00	24.0%	9.0%	20.0%	11.1%	35.3%	-7.1%	1.4%	544.1K	-10.8M	-93.2K	0.41	103.87	N/A	N/A	6	2	112	28
2017-04-10	$4550.00	$4500.00	29.3%	9.0%	19.9%	19.8%	38.7%	-14.2%	1.8%	573.9K	-11.0M	-92.3K	0.44	59.61	N/A	N/A	6	2	113	28
2017-04-11	$4595.00	$4500.00	23.8%	9.6%	19.9%	10.7%	40.4%	-12.2%	1.7%	583.2K	-12.4M	-89.4K	0.15	88.86	N/A	N/A	17	3	114	28
2017-04-12	$4635.00	$4500.00	33.4%	9.6%	17.1%	26.4%	44.4%	-14.9%	0.9%	575.0K	-10.8M	-89.9K	0.29	74.67	N/A	N/A	8	2	112	28
2017-04-13	$4685.00	$4500.00	36.9%	10.6%	17.3%	32.2%	43.2%	-16.5%	-3.8%	598.6K	-12.7M	-93.5K	0.24	12.53	N/A	N/A	14	3	114	28
2017-04-17	$4690.00	$4500.00	36.5%	10.5%	17.3%	31.5%	43.4%	-15.0%	1.4%	370.8K	-13.1M	-93.9K	0.21	82.00	N/A	N/A	12	3	116	29
2017-04-18	$4630.00	$4500.00	31.6%	9.1%	18.1%	23.4%	37.0%	-16.8%	1.0%	459.1K	-11.8M	-86.8K	0.35	30.24	N/A	N/A	8	3	116	29
2017-04-19	$4675.00	$4500.00	34.8%	10.0%	12.8%	28.7%	37.3%	-11.1%	-0.6%	392.7K	-11.7M	-90.3K	0.42	16.08	N/A	N/A	7	3	115	29
2017-04-20	$4530.00	$4500.00	33.1%	9.5%	17.0%	25.9%	36.9%	-17.0%	-0.4%	994.6K	-8.5M	-85.5K	0.26	11.86	N/A	N/A	7	2	115	29
2017-04-21	$4580.00	$4500.00	32.8%	9.4%	17.3%	25.4%	36.7%	-16.7%	2.3%	238.6K	-9.3M	-77.5K	0.21	87.13	N/A	N/A	11	2	113	30
2017-04-24	$4440.00	$4500.00	27.7%	7.9%	20.4%	17.1%	28.7%	-10.8%	3.1%	230.2K	-2.7M	-77.4K	0.65	19.59	N/A	N/A	6	4	77	26
2017-04-25	$4355.00	$4500.00	26.0%	7.5%	21.2%	14.4%	20.7%	-14.6%	2.8%	250.4K	-1.2M	-73.9K	0.21	12.68	N/A	N/A	7	1	80	27
2017-04-26	$4365.00	$4500.00	28.5%	8.2%	20.3%	18.5%	28.1%	-8.0%	1.6%	282.4K	-1.9M	-73.0K	0.36	21.33	N/A	N/A	6	2	83	27
2017-04-27	$4365.00	$4500.00	27.3%	7.8%	20.3%	16.4%	26.5%	-5.2%	1.6%	320.0K	-3.1M	-82.6K	0.24	17.93	N/A	N/A	8	2	86	28
2017-04-28	$4395.00	$4500.00	29.5%	8.5%	20.4%	20.0%	21.3%	-1.3%	2.4%	364.5K	-3.8M	-84.2K	0.58	10.05	N/A	N/A	3	2	91	28