SPXS Options History — December 2017

In December 2017, SPXS traded between $2952.00 and $3170.00. ATM implied volatility averaged 23.9%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.0% (HV 20d: 18.9%). Max pain ranged from $1000.00 to $3200.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-12-01: Highest Volume — 51 contracts
  • 2017-12-07: Largest IV drop — 12.5% change
  • 2017-12-04: Highest IV Rank — 4.5%
  • 2017-12-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3043.00$2952.00$3170.00$3124.00$2995.00
Max Pain$1110.00$1000.00$3200.00$3200.00$1000.00
ATM IV23.9%21.1%29.1%29.0%23.0%
Expected Move6.9%6.1%8.3%8.3%6.6%
HV 20d18.9%15.6%20.2%19.4%15.6%
HV 60d15.3%14.5%15.9%15.4%15.9%
IV Rank2.6%1.5%4.5%4.5%2.2%
IV Percentile33.5%9.1%78.2%77.8%27.0%
Term Structure2.6%-2.8%4.0%-2.8%2.0%
VWIV26.0%21.3%32.2%32.2%24.1%
Skew 25d-9.6%-12.9%-7.2%-9.4%-10.0%
Skew 10d-20.9%-29.4%-15.9%-15.9%-21.9%
Call IV 25d30.2%27.0%36.4%36.4%28.1%
Put IV 25d20.6%15.4%27.0%27.0%18.1%
Bid-Ask Spread %31.3915.4957.0923.7315.89
Gamma HHI0.180.140.300.170.18
Net GEX387.8K244.0K595.5K498.3K337.5K
Net DEX-41.5M-57.4M-30.8M-54.6M-34.7M
Net VEX-49.2K-62.3K-38.9K-62.3K-43.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.421.110.500.72
Total Volume30.623515125
Total OI389324443430350

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$3124.00$3200.0029.0%8.3%19.4%4.5%32.2%-9.4%-2.8%498.3K-54.6M-62.3K0.5023.73N/AN/A3417306124
2017-12-04$3128.00$1000.0029.1%7.8%19.5%4.5%29.1%-10.3%2.3%473.1K-53.8M-59.3K0.4650.20N/AN/A2813307127
2017-12-05$3163.00$1000.0027.1%8.0%20.1%3.7%28.8%-12.0%3.2%561.4K-56.7M-59.6K0.4251.77N/AN/A2611310128
2017-12-06$3170.00$1000.0026.6%8.1%20.1%3.6%30.4%-12.2%3.0%595.5K-57.4M-59.7K0.5347.92N/AN/A2111314129
2017-12-07$3138.00$1000.0023.3%7.1%20.2%2.3%30.4%-11.3%2.7%494.2K-54.9M-56.3K0.5445.28N/AN/A2112312130
2017-12-08$3096.00$1000.0021.9%6.8%20.0%1.8%25.2%-9.2%3.3%350.5K-51.0M-52.3K0.5148.58N/AN/A2211312130
2017-12-11$3060.00$1000.0024.4%6.8%20.0%2.7%27.4%-8.3%3.5%351.6K-48.6M-47.5K0.6247.06N/AN/A1811313130
2017-12-12$3042.00$1000.0023.4%6.4%20.0%2.4%28.2%-12.2%2.6%324.1K-47.3M-46.5K0.5143.67N/AN/A2211314127
2017-12-13$3047.00$1000.0021.3%6.1%19.7%1.6%24.8%-8.7%3.8%324.0K-30.8M-40.6K0.5957.09N/AN/A1811266124
2017-12-14$3079.00$1000.0023.8%6.8%19.0%2.5%22.8%-8.1%3.3%509.8K-33.7M-45.6K0.6921.53N/AN/A1510269125
2017-12-15$3014.00$1000.0021.1%6.1%18.3%1.5%21.3%-7.2%4.0%303.9K-30.8M-42.3K1.1127.89N/AN/A1517270125
2017-12-18$2952.00$1000.0023.2%6.6%18.4%2.3%22.4%-7.7%2.3%244.0K-32.0M-38.9K0.6418.69N/AN/A1610217107
2017-12-19$2979.00$1000.0023.6%6.8%19.2%2.4%23.6%-7.3%2.8%305.2K-34.7M-46.3K0.5215.74N/AN/A1910225109
2017-12-20$2985.00$1000.0022.9%6.6%18.7%2.2%23.9%-7.9%2.2%333.2K-34.4M-43.4K0.5120.72N/AN/A2010228110
2017-12-21$2973.00$1000.0022.8%6.5%18.6%2.1%21.6%-8.1%3.4%359.9K-34.6M-46.0K1.0018.90N/AN/A1313234110
2017-12-22$2979.00$1000.0022.6%6.5%18.8%2.1%23.9%-8.5%3.1%351.4K-35.2M-50.7K0.8915.49N/AN/A1412234113
2017-12-26$2990.00$1000.0022.8%6.5%18.9%2.1%24.1%-8.6%2.9%370.5K-35.8M-48.9K0.8819.46N/AN/A1412236114
2017-12-27$2981.00$1000.0023.7%6.8%17.1%2.5%28.6%-12.9%2.5%341.6K-34.7M-46.1K0.8320.25N/AN/A1412236115
2017-12-28$2965.00$1000.0022.7%6.5%17.1%2.1%27.1%-12.0%2.4%326.2K-34.2M-47.3K0.9517.91N/AN/A1211235115
2017-12-29$2995.00$1000.0023.0%6.6%15.6%2.2%24.1%-10.0%2.0%337.5K-34.7M-43.9K0.7215.89N/AN/A1510235115