SPXS Options History — June 2017

In June 2017, SPXS traded between $3992.00 and $4134.00. ATM implied volatility averaged 25.7%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.6% (HV 20d: 20.1%). Max pain ranged from $900.00 to $1000.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2017-06-13: Highest Volume — 60 contracts
  • 2017-06-29: Largest IV spike — 24.3% change
  • 2017-06-12: Highest IV Rank — 4.7%
  • 2017-06-14: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4083.86$3992.00$4134.00$4129.00$4087.00
Max Pain$940.91$900.00$1000.00$900.00$1000.00
ATM IV25.7%21.9%29.6%23.4%24.8%
Expected Move7.3%6.3%8.1%6.7%7.1%
HV 20d20.1%15.2%23.5%22.3%20.0%
HV 60d20.2%18.9%21.0%20.8%20.8%
IV Rank3.2%1.8%4.7%2.3%2.9%
IV Percentile23.0%1.2%50.4%4.0%15.1%
Term Structure2.7%1.1%5.8%1.9%1.9%
VWIV27.9%23.9%32.7%25.8%25.6%
Skew 25d-11.4%-15.9%-7.3%-7.3%-10.5%
Skew 10d-25.6%-30.5%-16.5%-23.4%-22.6%
Call IV 25d32.3%27.8%38.0%28.2%30.9%
Put IV 25d20.8%18.5%22.5%20.9%20.4%
Bid-Ask Spread %72.0464.0598.1069.7777.14
Gamma HHI0.180.140.320.220.14
Net GEX287.5K-42.0K713.5K431.1K157.9K
Net DEX-125.0M-133.2M-115.5M-131.2M-120.9M
Net VEX-41.1K-53.3K-26.3K-26.3K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.240.740.530.63
Total Volume4131603135
Total OI486.182455520468486

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$4129.00$900.0023.4%6.7%22.3%2.3%25.8%-7.3%1.9%431.1K-131.2M-26.3K0.5369.77N/AN/A2011358110
2017-06-02$4072.00$900.0023.8%6.8%22.7%2.5%26.0%-7.9%1.9%429.7K-128.9M-26.8K0.7070.95N/AN/A2316362110
2017-06-05$4073.00$900.0024.3%7.4%22.6%2.7%24.8%-10.0%2.5%427.6K-128.1M-34.7K0.6864.05N/AN/A2517366116
2017-06-06$4111.00$900.0026.1%7.8%23.0%3.4%27.5%-13.1%2.6%580.1K-131.5M-45.2K0.7068.55N/AN/A2014371117
2017-06-07$4082.00$900.0026.2%7.7%23.0%3.4%25.7%-11.7%3.3%506.0K-129.9M-35.8K0.7369.23N/AN/A1914372120
2017-06-08$4094.00$900.0025.2%7.5%23.0%3.0%28.4%-12.3%3.3%523.0K-129.2M-44.6K0.6068.08N/AN/A2414373120
2017-06-09$4124.00$900.0029.4%7.5%23.2%4.6%26.7%-14.4%4.1%693.2K-132.3M-42.8K0.4773.93N/AN/A3517378120
2017-06-12$4133.00$900.0029.6%7.7%23.0%4.7%30.6%-13.7%2.8%713.5K-133.2M-38.5K0.2771.23N/AN/A4312383125
2017-06-13$4056.00$900.0027.4%7.4%23.3%3.8%30.1%-11.9%3.2%266.6K-127.1M-38.2K0.2469.66N/AN/A4812384126
2017-06-14$4077.00$900.0028.1%8.1%23.5%4.1%28.6%-13.9%5.8%384.7K-128.4M-40.1K0.4098.10N/AN/A3414391126
2017-06-15$4100.00$900.0026.8%7.7%15.3%3.6%31.1%-11.5%1.1%349.9K-129.7M-37.8K0.3873.51N/AN/A4115393127
2017-06-16$4099.00$900.0025.7%7.4%15.2%3.2%28.1%-12.5%2.7%614.5K-129.5M-36.1K0.3573.70N/AN/A4114389127
2017-06-19$3992.00$900.0023.5%6.8%16.9%2.4%27.4%-9.3%3.0%-34.9K-115.5M-37.4K0.6371.24N/AN/A2415333122
2017-06-20$4057.00$1000.0027.0%7.7%17.6%3.7%27.4%-10.8%1.6%-42.0K-117.0M-49.2K0.5670.23N/AN/A2514335133
2017-06-21$4069.00$1000.0026.4%7.6%17.8%3.5%32.7%-11.3%2.9%12.0K-118.6M-46.0K0.7470.19N/AN/A1914336134
2017-06-22$4071.00$1000.0025.0%7.2%17.6%3.0%31.9%-10.0%3.3%-6.5K-118.4M-46.8K0.6772.24N/AN/A1913337134
2017-06-23$4067.00$1000.0024.8%7.1%16.8%2.9%28.1%-10.6%2.1%16.2K-119.0M-44.2K0.6666.50N/AN/A2114338135
2017-06-26$4047.00$1000.0021.9%6.3%16.8%1.8%25.5%-9.0%2.5%-28.1K-118.0M-42.9K0.6773.75N/AN/A2014339135
2017-06-27$4127.00$1000.0025.7%7.4%18.4%3.2%30.4%-12.6%1.8%138.1K-122.4M-43.2K0.5867.51N/AN/A2414340135
2017-06-28$4044.00$1000.0022.3%6.4%19.5%1.9%23.9%-10.7%2.6%1.7K-118.0M-45.8K0.5767.76N/AN/A2313343136
2017-06-29$4134.00$1000.0027.7%7.9%20.2%4.0%27.5%-15.9%1.8%189.8K-124.0M-49.5K0.5777.61N/AN/A2414345136
2017-06-30$4087.00$1000.0024.8%7.1%20.0%2.9%25.6%-10.5%1.9%157.9K-120.9M-53.3K0.6377.14N/AN/A2114349137