SPXS Options History — November 2017

In November 2017, SPXS traded between $3102.00 and $3428.00. ATM implied volatility averaged 24.3%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 10.0% (HV 20d: 14.3%). Max pain ranged from $3200.00 to $3400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2017-11-30: Highest Volume — 54 contracts
  • 2017-11-03: Largest IV drop — 25.2% change
  • 2017-11-15: Highest IV Rank — 4.7%
  • 2017-11-15: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3314.67$3102.00$3428.00$3378.00$3102.00
Max Pain$3323.81$3200.00$3400.00$3300.00$3200.00
ATM IV24.3%17.2%29.7%23.6%28.4%
Expected Move7.2%6.1%8.5%6.8%8.1%
HV 20d14.3%11.4%19.0%13.0%19.0%
HV 60d16.2%14.5%19.8%19.8%15.3%
IV Rank2.7%0.0%4.7%2.4%4.3%
IV Percentile38.2%0.0%79.8%26.6%73.8%
Term Structure2.7%-2.0%5.2%0.4%-2.0%
VWIV26.5%21.9%32.0%24.2%28.7%
Skew 25d-10.6%-14.7%-3.9%-3.9%-6.1%
Skew 10d-22.7%-34.1%-3.3%-3.3%-11.2%
Call IV 25d31.5%26.1%38.0%26.3%32.9%
Put IV 25d20.9%15.6%26.8%22.4%26.8%
Bid-Ask Spread %29.7514.36107.43107.4327.71
Gamma HHI0.220.170.280.180.20
Net GEX700.9K358.6K1.1M672.2K385.8K
Net DEX-61.8M-70.1M-51.7M-64.0M-51.7M
Net VEX-53.5K-57.9K-48.1K-54.3K-53.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.390.760.510.62
Total Volume37.04830543354
Total OI404.571372427397409

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$3378.00$3300.0023.6%6.8%13.0%2.4%24.2%-3.9%0.4%672.2K-64.0M-54.3K0.51107.43N/AN/A2211288109
2017-11-02$3375.00$3400.0022.9%7.5%11.6%2.2%27.9%-11.6%2.3%723.8K-64.5M-55.6K0.6421.81N/AN/A1812289110
2017-11-03$3350.00$3400.0017.2%6.5%11.6%0.0%24.9%-8.4%3.2%772.3K-62.1M-52.1K0.4851.92N/AN/A2211290110
2017-11-06$3327.00$3400.0018.4%6.8%11.4%0.5%27.5%-11.2%3.1%758.2K-61.8M-52.8K0.6120.94N/AN/A1912293110
2017-11-07$3337.00$3400.0020.7%7.0%11.4%1.4%29.4%-11.8%2.9%801.0K-62.9M-55.0K0.4819.48N/AN/A2412295112
2017-11-08$3319.00$3400.0024.0%6.9%11.4%2.6%27.3%-11.0%3.3%899.6K-61.6M-53.6K0.4757.94N/AN/A2512302112
2017-11-09$3351.00$3400.0027.7%7.9%11.9%4.0%27.5%-12.6%2.7%993.9K-64.6M-56.6K0.4156.97N/AN/A2912305113
2017-11-10$3360.00$3300.0028.1%8.1%12.0%4.2%27.4%-13.1%3.0%1.1M-65.9M-57.9K0.3922.83N/AN/A3112310113
2017-11-13$3352.00$3300.0028.1%8.1%12.0%4.2%32.0%-13.5%3.2%930.6K-64.3M-54.3K0.6023.26N/AN/A1911304114
2017-11-14$3373.00$3300.0028.1%8.1%12.3%4.2%28.2%-13.8%3.0%956.3K-66.1M-54.6K0.4822.82N/AN/A2612305114
2017-11-15$3428.00$3300.0029.7%8.5%13.7%4.7%28.5%-14.5%2.6%986.3K-70.1M-55.0K0.5128.82N/AN/A2412306114
2017-11-16$3338.00$3300.0024.8%7.1%16.6%2.9%27.3%-14.7%3.8%905.0K-62.6M-51.9K0.5125.93N/AN/A2714304114
2017-11-17$3366.00$3300.0026.1%7.5%16.3%3.4%25.8%-11.9%4.4%496.6K-64.7M-50.6K0.5524.21N/AN/A2313311116
2017-11-20$3353.00$3300.0024.9%7.2%16.0%3.0%23.5%-10.4%4.2%547.5K-63.5M-48.1K0.7619.62N/AN/A1713264108
2017-11-21$3289.00$3300.0021.4%6.1%17.2%1.6%22.6%-10.9%5.2%446.9K-59.7M-49.3K0.7419.10N/AN/A2216267111
2017-11-22$3291.00$3300.0021.1%6.1%16.4%1.5%21.9%-9.7%4.2%511.9K-59.9M-53.8K0.7314.90N/AN/A2216274114
2017-11-24$3275.00$3300.0021.9%6.3%16.4%1.8%23.3%-11.4%4.2%511.5K-58.8M-54.9K0.6915.33N/AN/A2215277115
2017-11-27$3274.00$3300.0023.3%6.7%15.2%2.3%25.8%-6.7%2.4%522.0K-58.9M-52.8K0.6214.36N/AN/A2113279115
2017-11-28$3188.00$3300.0024.4%7.0%17.3%2.8%24.9%-7.8%0.7%358.6K-54.2M-51.0K0.5514.89N/AN/A2815280116
2017-11-29$3182.00$3300.0025.7%7.4%17.3%3.2%28.6%-6.9%0.7%435.1K-55.5M-55.0K0.4214.39N/AN/A2712288116
2017-11-30$3102.00$3200.0028.4%8.1%19.0%4.3%28.7%-6.1%-2.0%385.8K-51.7M-53.5K0.6227.71N/AN/A3321293116