SPXS Options History — September 2017

In September 2017, SPXS traded between $3634.00 and $3918.00. ATM implied volatility averaged 22.6%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.2% (HV 20d: 22.3%). Max pain ranged from $800.00 to $3900.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2017-09-15: Highest Volume — 68 contracts
  • 2017-09-05: Largest IV spike — 51.4% change
  • 2017-09-05: Highest IV Rank — 4.4%
  • 2017-09-05: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3751.15$3634.00$3918.00$3825.00$3634.00
Max Pain$1085.00$800.00$3900.00$3900.00$1100.00
ATM IV22.6%18.7%28.8%19.0%18.7%
Expected Move6.8%5.4%9.0%5.5%5.4%
HV 20d22.3%16.9%28.9%27.6%16.9%
HV 60d21.9%20.1%23.0%21.9%20.1%
IV Rank2.0%0.6%4.4%0.7%0.6%
IV Percentile12.7%0.8%56.7%0.8%0.8%
Term Structure4.4%2.7%8.0%8.0%5.6%
VWIV25.3%19.5%39.9%21.4%22.8%
Skew 25d-13.8%-20.1%-7.4%-11.0%-7.4%
Skew 10d-25.4%-39.3%-14.8%-20.7%-14.8%
Call IV 25d31.6%25.1%43.7%26.7%25.1%
Put IV 25d17.8%11.7%23.6%15.7%17.6%
Bid-Ask Spread %57.1115.4078.4715.4064.98
Gamma HHI0.190.120.380.250.14
Net GEX517.0K-8.8K901.1K-8.8K663.6K
Net DEX-81.9M-90.3M-77.6M-81.1M-77.6M
Net VEX-52.1K-58.1K-45.4K-58.1K-52.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.331.470.610.52
Total Volume46.329682941
Total OI427.4386461417432

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$3825.00$3900.0019.0%5.5%27.6%0.7%21.4%-11.0%8.0%-8.8K-81.1M-58.1K0.6115.40N/AN/A1811296121
2017-09-05$3918.00$800.0028.8%9.0%28.8%4.4%39.9%-20.1%3.6%275.3K-88.0M-55.6K0.3358.46N/AN/A3411298121
2017-09-06$3879.00$800.0024.5%8.8%28.9%2.8%31.1%-15.5%2.7%309.8K-88.1M-53.9K0.3758.29N/AN/A3112310122
2017-09-07$3880.00$800.0024.2%8.6%28.9%2.7%33.2%-18.3%3.6%298.8K-89.0M-53.8K0.5656.29N/AN/A2112312122
2017-09-08$3895.00$800.0027.8%8.8%25.4%4.0%31.7%-18.9%4.3%358.6K-90.3M-52.9K0.4555.53N/AN/A2612313122
2017-09-11$3777.00$800.0022.1%7.7%27.4%1.9%29.3%-13.7%3.8%173.1K-81.6M-45.7K0.4560.49N/AN/A3114317122
2017-09-12$3737.00$800.0021.0%6.7%25.9%1.4%24.8%-13.0%4.4%398.7K-78.8M-47.4K0.4259.02N/AN/A3113322124
2017-09-13$3730.00$800.0023.2%6.7%25.9%2.3%24.6%-12.7%4.9%552.3K-78.1M-48.0K0.5659.53N/AN/A2615328125
2017-09-14$3735.00$800.0022.9%6.6%25.9%2.2%26.1%-12.1%4.3%901.1K-78.4M-46.4K0.4158.96N/AN/A3615330127
2017-09-15$3721.00$800.0021.8%6.2%20.6%1.7%23.0%-18.0%4.9%605.8K-78.8M-45.4K0.7859.16N/AN/A3830332129
2017-09-18$3696.00$900.0021.8%6.2%20.4%1.7%21.0%-10.9%4.3%630.6K-80.9M-48.2K0.7661.41N/AN/A241828898
2017-09-19$3687.00$1000.0022.6%6.5%20.2%2.1%23.4%-11.5%3.7%581.3K-79.9M-50.1K1.3459.56N/AN/A2230290105
2017-09-20$3677.00$1000.0022.7%6.5%17.9%2.1%21.7%-10.1%3.3%563.3K-79.9M-51.7K1.4778.47N/AN/A2131293115
2017-09-21$3712.00$1100.0021.2%6.1%18.0%1.5%21.6%-9.1%4.2%595.2K-81.2M-55.3K1.3327.81N/AN/A2432295117
2017-09-22$3703.00$1100.0021.1%6.0%17.4%1.5%20.7%-15.1%4.9%608.3K-80.9M-56.0K1.3663.46N/AN/A2332298119
2017-09-25$3733.00$1100.0021.0%6.0%17.8%1.4%22.4%-13.9%4.9%687.7K-83.3M-52.0K1.1062.17N/AN/A2931300119
2017-09-26$3729.00$1100.0022.2%6.4%17.6%1.9%19.5%-12.6%3.4%729.4K-83.0M-56.0K1.3764.41N/AN/A2331307121
2017-09-27$3681.00$1100.0022.8%6.5%17.9%2.1%24.7%-16.9%3.5%694.5K-80.0M-56.9K0.5858.06N/AN/A2414307121
2017-09-28$3674.00$1100.0021.6%6.2%17.7%1.7%22.5%-14.7%5.2%722.3K-79.6M-57.6K0.5760.69N/AN/A2514309121
2017-09-29$3634.00$1100.0018.7%5.4%16.9%0.6%22.8%-7.4%5.6%663.6K-77.6M-52.0K0.5264.98N/AN/A2714311121