SPXS Options History — July 2017

In July 2017, SPXS traded between $3860.00 and $4194.00. ATM implied volatility averaged 24.0%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.7% (HV 20d: 22.3%). Max pain ranged from $1000.00 to $4000.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-07-21: Highest Volume — 62 contracts
  • 2017-07-05: Largest IV spike — 37.2% change
  • 2017-07-05: Highest IV Rank — 7.3%
  • 2017-07-05: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3967.60$3860.00$4194.00$4105.00$3870.00
Max Pain$3620.00$1000.00$4000.00$1000.00$3800.00
ATM IV24.0%20.8%36.6%26.7%21.9%
Expected Move7.0%6.0%10.5%7.6%6.3%
HV 20d22.3%18.1%24.7%20.1%18.1%
HV 60d21.1%20.2%22.3%20.9%20.2%
IV Rank2.6%1.4%7.3%3.6%1.8%
IV Percentile14.1%1.2%81.7%35.3%4.0%
Term Structure2.2%-12.5%3.8%2.1%3.3%
VWIV24.5%16.7%36.5%28.4%18.9%
Skew 25d-10.7%-16.6%-7.0%-8.5%-7.0%
Skew 10d-26.0%-36.2%-20.3%-24.4%-23.7%
Call IV 25d30.2%25.2%40.3%31.6%25.2%
Put IV 25d19.5%13.8%23.7%23.1%18.2%
Bid-Ask Spread %37.1419.66120.7271.6723.47
Gamma HHI0.280.110.820.140.20
Net GEX-396.7K-3.6M623.2K137.9K70.7K
Net DEX-104.6M-129.3M-78.0M-122.1M-81.9M
Net VEX-37.4K-46.4K-31.1K-46.4K-44.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.461.910.611.33
Total Volume37.231623745
Total OI459.1344520487382

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$4105.00$1000.0026.7%7.6%20.1%3.6%28.4%-8.5%2.1%137.9K-122.1M-46.4K0.6171.67N/AN/A2314350137
2017-07-05$4074.00$1000.0036.6%10.5%20.0%7.3%36.5%-14.5%-12.5%84.8K-121.5M-38.8K0.63120.72N/AN/A2013352138
2017-07-06$4194.00$3900.0030.8%9.0%22.4%5.1%29.4%-16.6%1.6%623.2K-129.3M-44.2K0.6433.72N/AN/A2013353138
2017-07-07$4104.00$3900.0025.3%7.8%23.8%3.1%27.7%-14.3%3.6%301.5K-123.4M-42.0K0.7821.89N/AN/A1814355139
2017-07-10$4083.00$3900.0024.6%7.6%23.7%2.8%29.8%-13.1%2.6%233.1K-122.2M-36.0K0.7839.53N/AN/A1915354141
2017-07-11$4106.00$4000.0024.4%7.8%23.8%2.7%29.8%-13.3%2.9%240.8K-123.2M-37.3K0.7532.93N/AN/A1915353141
2017-07-12$4012.00$4000.0024.5%7.0%24.3%2.8%28.5%-11.6%3.3%-189.7K-116.9M-34.7K0.8339.31N/AN/A2117353141
2017-07-13$3994.00$4000.0023.5%6.7%24.2%2.4%27.7%-9.9%3.7%-306.8K-114.8M-36.4K0.5720.97N/AN/A2213353144
2017-07-14$3930.00$4000.0021.3%6.1%24.7%1.6%25.3%-10.2%3.4%-808.8K-109.6M-37.1K0.7731.05N/AN/A2116356141
2017-07-17$3943.00$4000.0021.8%6.2%24.7%1.7%21.6%-9.0%3.1%-923.5K-109.9M-36.1K0.8024.01N/AN/A2016358145
2017-07-18$3938.00$4000.0020.8%6.0%23.0%1.4%22.2%-10.5%3.8%-957.9K-109.5M-37.1K0.6622.98N/AN/A2013364145
2017-07-19$3878.00$3900.0022.9%6.6%22.6%2.2%20.6%-9.0%2.2%-1.5M-103.9M-31.1K0.7323.80N/AN/A2216365146
2017-07-20$3865.00$3900.0022.9%6.6%22.5%2.2%24.0%-9.2%2.7%-1.7M-101.7M-32.5K0.6826.63N/AN/A2114367151
2017-07-21$3890.00$3900.0021.5%6.2%22.7%1.6%21.4%-8.5%3.5%-3.6M-104.4M-31.8K1.9119.66N/AN/A2141368152
2017-07-24$3878.00$3900.0021.8%6.2%22.7%1.7%21.3%-7.6%2.8%127.5K-78.5M-31.4K0.7421.95N/AN/A1813242102
2017-07-25$3860.00$3900.0021.8%6.3%22.7%1.8%17.8%-8.5%2.9%82.3K-78.0M-32.5K1.0220.02N/AN/A2121244105
2017-07-26$3865.00$3800.0021.3%6.1%21.3%1.5%16.7%-13.3%3.6%-6.7K-78.9M-35.8K1.1272.66N/AN/A1921250114
2017-07-27$3884.00$3800.0023.5%6.7%20.5%2.4%22.3%-9.8%1.5%53.8K-81.0M-37.1K0.4650.41N/AN/A2411253114
2017-07-28$3879.00$3800.0022.4%6.4%18.4%2.0%21.0%-9.6%3.2%135.9K-81.8M-46.4K0.7125.40N/AN/A2014261115
2017-07-31$3870.00$3800.0021.9%6.3%18.1%1.8%18.9%-7.0%3.3%70.7K-81.9M-44.3K1.3323.47N/AN/A1926264118