SPXS Options History — August 2017

In August 2017, SPXS traded between $3843.00 and $4065.00. ATM implied volatility averaged 27.2%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.1% (HV 20d: 20.2%). Max pain ranged from $3700.00 to $3900.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-08-18: Highest Volume — 55 contracts
  • 2017-08-08: Largest IV spike — 38.4% change
  • 2017-08-18: Highest IV Rank — 7.1%
  • 2017-08-18: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3938.87$3843.00$4065.00$3866.00$3852.00
Max Pain$3795.65$3700.00$3900.00$3800.00$3900.00
ATM IV27.2%17.6%35.9%20.9%26.2%
Expected Move8.0%6.0%10.3%6.0%7.5%
HV 20d20.2%9.8%27.5%18.0%27.5%
HV 60d20.7%19.1%21.9%20.1%21.8%
IV Rank3.8%0.2%7.1%1.4%3.4%
IV Percentile42.1%0.4%81.7%1.6%39.7%
Term Structure3.8%-1.6%7.6%3.5%4.0%
VWIV29.2%17.8%41.5%18.5%27.1%
Skew 25d-13.8%-20.1%-7.7%-7.7%-8.8%
Skew 10d-29.1%-43.4%-17.0%-21.6%-23.7%
Call IV 25d35.3%25.2%47.9%25.5%29.6%
Put IV 25d21.5%17.4%27.8%17.8%20.7%
Bid-Ask Spread %28.2616.9159.5924.3122.74
Gamma HHI0.160.080.270.170.21
Net GEX147.3K-396.8K840.7K-169.5K26.7K
Net DEX-88.4M-99.0M-80.7M-81.0M-82.7M
Net VEX-53.5K-61.1K-48.4K-54.2K-52.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.491.271.170.49
Total Volume39.47828553934
Total OI418.391384453400411

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$3866.00$3800.0020.9%6.0%18.0%1.4%18.5%-7.7%3.5%-169.5K-81.0M-54.2K1.1724.31N/AN/A1821269131
2017-08-02$3866.00$3800.0021.1%6.1%17.9%1.5%17.8%-7.8%3.5%-370.7K-81.3M-52.4K1.1535.60N/AN/A1820272141
2017-08-03$3884.00$3700.0021.3%7.0%13.8%1.5%28.0%-13.0%4.6%-275.0K-83.6M-48.4K1.2726.44N/AN/A1620274143
2017-08-04$3869.00$3700.0020.2%7.2%12.1%1.1%29.2%-13.1%4.6%-332.8K-81.9M-54.4K1.0722.28N/AN/A1920274143
2017-08-07$3843.00$3700.0017.6%6.4%12.2%0.2%32.2%-13.4%4.8%-396.8K-80.7M-58.6K1.0121.99N/AN/A2020279143
2017-08-08$3870.00$3700.0024.4%7.6%12.3%2.7%30.3%-15.3%4.0%-180.0K-83.4M-53.1K0.7834.44N/AN/A2620282143
2017-08-09$3876.00$3700.0028.5%8.2%9.8%4.3%31.8%-16.0%3.9%-95.0K-84.3M-55.0K0.7128.89N/AN/A2820285143
2017-08-10$4025.00$3700.0035.5%10.2%17.0%6.9%36.5%-19.5%-1.6%126.3K-94.3M-57.3K0.6349.07N/AN/A3220289143
2017-08-11$4011.00$3700.0035.8%10.3%15.9%7.1%41.5%-20.1%2.7%332.5K-95.3M-61.1K0.8721.94N/AN/A2320299143
2017-08-14$3898.00$3700.0028.5%8.2%19.0%4.3%25.1%-16.5%3.1%238.1K-88.1M-57.6K0.8731.22N/AN/A2320301144
2017-08-15$3885.00$3700.0026.8%7.7%19.1%3.6%27.5%-15.4%4.4%229.3K-88.3M-53.7K1.2133.67N/AN/A2024304144
2017-08-16$3884.00$3800.0026.3%7.5%18.3%3.4%28.0%-14.6%7.6%255.7K-88.1M-52.6K1.0145.79N/AN/A2424305148
2017-08-17$4043.00$3800.0034.1%9.8%23.1%6.4%37.5%-18.6%1.4%840.7K-99.0M-49.8K0.7359.59N/AN/A2820303148
2017-08-18$4055.00$3800.0035.9%10.3%23.0%7.1%36.3%-17.6%1.9%363.8K-98.4M-48.9K0.7125.15N/AN/A3223300148
2017-08-21$4065.00$3800.0033.9%9.7%22.9%6.3%33.6%-14.0%3.0%391.1K-94.3M-49.8K0.6824.09N/AN/A1913278106
2017-08-22$3943.00$3900.0026.1%7.5%25.7%3.3%31.7%-12.6%4.1%378.3K-88.3M-53.0K0.5724.21N/AN/A1911280107
2017-08-23$3976.00$3900.0029.0%8.3%25.8%4.4%27.7%-12.8%3.7%416.6K-90.3M-53.1K0.4922.02N/AN/A2211283107
2017-08-24$4011.00$3900.0029.3%8.4%25.9%4.6%24.5%-13.0%3.9%448.0K-92.2M-51.8K0.7619.27N/AN/A2016285108
2017-08-25$3978.00$3900.0027.0%7.7%26.1%3.7%22.1%-11.4%4.4%341.6K-90.3M-51.3K0.7620.83N/AN/A2116286113
2017-08-28$3994.00$3900.0026.8%7.7%26.1%3.6%30.7%-13.1%5.0%324.5K-90.7M-54.5K0.6116.91N/AN/A1711287118
2017-08-29$3972.00$3900.0027.8%8.0%26.2%4.0%30.0%-14.2%4.6%284.3K-89.3M-54.6K0.6520.86N/AN/A1711287118
2017-08-30$3928.00$3900.0023.8%6.8%26.6%2.5%23.8%-9.7%5.2%209.9K-87.3M-54.1K0.6918.72N/AN/A1813290118
2017-08-31$3852.00$3900.0026.2%7.5%27.5%3.4%27.1%-8.8%4.0%26.7K-82.7M-52.0K0.4922.74N/AN/A2311291120