SPXS Options History — May 2017

In May 2017, SPXS traded between $4182.00 and $4490.00. ATM implied volatility averaged 38.8%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 17.5% (HV 20d: 21.3%). Max pain ranged from $800.00 to $900.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-05-19: Highest Volume — 70 contracts
  • 2017-05-02: Largest IV drop — 79.8% change
  • 2017-05-01: Highest IV Rank — 100.0%
  • 2017-05-02: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4313.68$4182.00$4490.00$4343.00$4208.00
Max Pain$831.82$800.00$900.00$900.00$900.00
ATM IV38.8%20.3%281.4%281.4%24.8%
Expected Move8.0%6.6%16.3%16.3%7.1%
HV 20d21.3%19.5%26.1%20.7%21.5%
HV 60d21.8%20.7%23.3%22.1%20.7%
IV Rank8.2%1.2%100.0%100.0%2.9%
IV Percentile26.0%0.8%100.0%100.0%12.3%
Term Structure1.1%-35.4%4.2%-35.4%3.1%
VWIV27.3%20.3%36.1%24.6%20.3%
Skew 25d-10.5%-17.3%-7.1%-8.0%-9.9%
Skew 10d-25.2%-38.1%-15.3%-15.3%-23.5%
Call IV 25d32.8%27.1%43.7%29.5%31.1%
Put IV 25d22.3%19.4%27.3%21.5%21.2%
Bid-Ask Spread %56.9010.5285.5110.5277.00
Gamma HHI0.330.120.780.120.23
Net GEX307.1K64.5K842.4K64.5K531.0K
Net DEX-170.0M-193.7M-133.7M-189.4M-135.2M
Net VEX-29.5K-153.6K-9.4K-153.6K-27.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.250.890.560.82
Total Volume35.27327702731
Total OI535.318443598598466

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$4343.00$900.00281.4%0.0%20.7%100.0%0.0%0.0%0.0%64.5K-189.4M-153.6K0.5610.52N/AN/A1710460138
2017-05-02$4366.00$900.0057.0%16.3%20.4%15.0%24.6%-8.0%-35.4%163.2K-192.8M-41.0K0.5546.26N/AN/A1810449131
2017-05-03$4370.00$900.0026.1%7.5%20.5%3.4%29.4%-7.1%3.3%178.9K-193.7M-36.5K0.4338.85N/AN/A209450131
2017-05-04$4361.00$800.0025.7%8.0%20.4%3.2%26.5%-10.3%2.4%214.4K-192.9M-41.9K0.4617.36N/AN/A2110452131
2017-05-05$4320.00$800.0023.9%7.8%20.5%2.5%28.5%-11.7%2.3%236.2K-191.3M-43.4K0.3819.14N/AN/A2510454132
2017-05-08$4322.00$800.0020.3%7.3%20.5%1.2%28.2%-9.1%3.2%327.5K-191.6M-44.2K0.4318.25N/AN/A2310459132
2017-05-09$4331.00$800.0022.4%7.5%20.6%2.0%27.7%-9.3%2.5%174.6K-179.4M-9.4K0.4720.80N/AN/A2210423133
2017-05-10$4303.00$800.0026.1%7.5%20.1%3.4%28.3%-9.7%4.1%177.6K-180.8M-11.1K0.4969.00N/AN/A2111431137
2017-05-11$4321.00$800.0026.1%7.5%19.8%3.4%27.4%-10.7%3.4%194.8K-181.8M-11.3K0.5470.24N/AN/A2011431137
2017-05-12$4350.00$800.0025.5%7.3%19.5%3.1%26.4%-10.9%3.1%225.3K-183.1M-11.3K0.5467.85N/AN/A2011432137
2017-05-15$4287.00$800.0025.6%7.3%19.8%3.2%28.9%-9.6%3.0%144.3K-179.8M-10.5K0.5585.51N/AN/A2011432137
2017-05-16$4287.00$800.0025.0%7.2%19.6%2.9%24.6%-10.1%3.0%133.2K-179.6M-11.0K0.5569.52N/AN/A2011433122
2017-05-17$4490.00$800.0034.9%10.0%26.1%6.7%36.1%-15.1%0.2%317.4K-190.3M-12.3K0.2578.59N/AN/A4411433122
2017-05-18$4442.00$800.0032.5%9.3%24.0%5.8%34.4%-17.3%2.1%842.4K-183.4M-15.5K0.4564.50N/AN/A2612430122
2017-05-19$4385.00$800.0029.4%8.4%23.9%4.6%29.8%-14.6%1.5%180.8K-178.4M-15.5K0.3269.64N/AN/A5317429123
2017-05-22$4306.00$800.0025.6%7.3%22.2%3.2%26.4%-11.7%3.7%336.1K-138.6M-19.2K0.3466.84N/AN/A4014340103
2017-05-23$4291.00$800.0026.4%7.6%21.2%3.5%26.4%-10.8%2.4%419.1K-138.5M-24.2K0.6268.87N/AN/A2113346107
2017-05-24$4253.00$800.0025.0%7.2%21.4%3.0%22.8%-7.2%3.0%527.9K-137.4M-26.7K0.8976.46N/AN/A1715352107
2017-05-25$4182.00$900.0023.1%6.6%22.1%2.2%26.3%-8.4%4.2%417.4K-133.7M-27.1K0.7070.67N/AN/A1913353109
2017-05-26$4192.00$900.0023.0%6.6%21.9%2.2%25.9%-8.5%3.6%471.4K-134.5M-28.8K0.8572.28N/AN/A1613356110
2017-05-30$4191.00$900.0023.8%6.8%21.6%2.5%25.4%-10.7%3.7%479.1K-134.4M-26.5K0.8573.67N/AN/A1614355110
2017-05-31$4208.00$900.0024.8%7.1%21.5%2.9%20.3%-9.9%3.1%531.0K-135.2M-27.1K0.8277.00N/AN/A1714356110