SPXS Options History — October 2017

In October 2017, SPXS traded between $3378.00 and $3591.00. ATM implied volatility averaged 22.2%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.9% (HV 20d: 12.3%). Max pain ranged from $1100.00 to $3700.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2017-10-19: Highest Volume — 65 contracts
  • 2017-10-25: Largest IV spike — 22.5% change
  • 2017-10-25: Highest IV Rank — 4.2%
  • 2017-10-25: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3470.18$3378.00$3591.00$3591.00$3392.00
Max Pain$3386.36$1100.00$3700.00$1100.00$3300.00
ATM IV22.2%18.7%28.4%20.4%23.0%
Expected Move6.5%5.8%8.1%5.8%6.6%
HV 20d12.3%10.4%17.2%17.2%13.0%
HV 60d19.5%19.2%19.9%19.8%19.9%
IV Rank1.9%0.6%4.2%1.2%2.2%
IV Percentile15.9%0.8%65.1%2.8%21.8%
Term Structure3.0%1.0%4.4%4.2%2.4%
VWIV25.7%18.8%32.1%18.8%28.3%
Skew 25d-9.9%-13.7%-4.6%-7.8%-10.2%
Skew 10d-21.7%-27.9%-12.6%-12.6%-23.1%
Call IV 25d28.9%23.3%36.1%24.8%28.9%
Put IV 25d19.0%15.7%22.4%17.1%18.7%
Bid-Ask Spread %27.0117.1563.9463.9418.81
Gamma HHI0.140.120.180.130.17
Net GEX564.0K275.5K719.1K596.3K719.1K
Net DEX-69.6M-74.9M-64.7M-74.9M-65.9M
Net VEX-57.0K-63.2K-50.9K-50.9K-55.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.290.760.760.37
Total Volume47.40930654643
Total OI446.455386498435398

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$3591.00$1100.0020.4%5.8%17.2%1.2%18.8%-7.8%4.2%596.3K-74.9M-50.9K0.7663.94N/AN/A2620314121
2017-10-03$3567.00$3500.0020.2%5.8%13.9%1.1%21.4%-4.6%4.4%464.5K-73.2M-53.7K0.6217.67N/AN/A2516317127
2017-10-04$3554.00$3500.0020.9%6.0%13.7%1.4%22.4%-6.6%3.9%426.5K-72.8M-54.1K0.4817.15N/AN/A3215320127
2017-10-05$3490.00$3700.0018.9%6.6%14.5%0.7%28.2%-10.2%4.1%275.5K-68.8M-54.7K0.4921.66N/AN/A3517326127
2017-10-06$3504.00$3700.0018.7%6.5%14.5%0.6%28.1%-10.1%3.4%464.6K-71.6M-59.3K0.5327.83N/AN/A3116333127
2017-10-09$3521.00$3600.0020.2%6.6%11.3%1.1%26.3%-10.6%4.0%564.8K-74.1M-60.9K0.5527.39N/AN/A3218340127
2017-10-10$3497.00$3600.0020.5%6.7%11.1%1.2%28.7%-10.5%3.4%558.0K-72.2M-62.4K0.6221.75N/AN/A3019344129
2017-10-11$3477.00$3600.0023.1%6.6%11.1%2.2%26.4%-10.8%3.4%430.1K-69.7M-57.7K0.5825.86N/AN/A3219346130
2017-10-12$3494.00$3500.0022.8%6.5%11.4%2.1%25.6%-9.3%3.1%509.7K-71.8M-59.2K0.6425.91N/AN/A2818349130
2017-10-13$3485.00$3500.0022.8%6.5%11.4%2.1%26.9%-9.1%2.6%478.8K-70.4M-58.0K0.5628.50N/AN/A3218352130
2017-10-16$3465.00$3500.0022.2%6.4%11.3%1.9%24.6%-10.1%3.1%467.8K-68.9M-53.9K0.5933.49N/AN/A3420355130
2017-10-17$3458.00$3500.0022.8%6.5%11.4%2.1%23.6%-13.2%2.9%555.7K-69.0M-57.1K0.5830.53N/AN/A3219359131
2017-10-18$3451.00$3500.0022.7%6.5%11.4%2.1%23.9%-8.9%3.3%529.9K-67.8M-54.2K0.5724.75N/AN/A3419361131
2017-10-19$3453.00$3500.0022.8%6.5%10.4%2.1%22.0%-10.6%3.2%625.3K-69.2M-56.3K0.7631.61N/AN/A3728367131
2017-10-20$3405.00$3400.0020.6%5.9%11.1%1.3%21.5%-10.3%2.6%666.0K-67.9M-53.1K0.4720.01N/AN/A4219371123
2017-10-23$3434.00$3400.0022.8%6.5%11.1%2.1%25.1%-10.4%1.9%655.5K-67.0M-56.9K0.5124.47N/AN/A2010279107
2017-10-24$3423.00$3400.0023.2%6.6%11.1%2.2%30.1%-11.0%2.4%693.2K-67.1M-58.9K0.5622.32N/AN/A1911283108
2017-10-25$3464.00$3400.0028.4%8.1%12.0%4.2%28.1%-13.7%1.6%703.4K-69.7M-63.2K0.3822.78N/AN/A3212283108
2017-10-26$3444.00$3500.0023.7%6.8%12.0%2.4%32.1%-13.1%3.0%703.7K-68.4M-62.6K0.4623.49N/AN/A2311285108
2017-10-27$3378.00$3400.0023.3%6.7%13.0%2.3%28.0%-9.9%2.5%700.4K-65.3M-58.9K0.2933.91N/AN/A3911289108
2017-10-30$3397.00$3400.0024.0%6.9%13.1%2.6%24.5%-7.1%1.0%618.7K-64.7M-52.1K0.3130.28N/AN/A3712283108
2017-10-31$3392.00$3300.0023.0%6.6%13.0%2.2%28.3%-10.2%2.4%719.1K-65.9M-55.3K0.3718.81N/AN/A3112289109