SPXS Options History — January 2018

In January 2018, SPXS traded between $2432.00 and $2939.00. ATM implied volatility averaged 26.8%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.4% (HV 20d: 18.4%). Max pain ranged from $1000.00 to $2900.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2018-01-11: Highest Volume — 71 contracts
  • 2018-01-29: Largest IV spike — 32.9% change
  • 2018-01-29: Highest IV Rank — 7.9%
  • 2018-01-29: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2649.62$2432.00$2939.00$2939.00$2542.00
Max Pain$2609.52$1000.00$2900.00$1000.00$2600.00
ATM IV26.8%18.8%38.1%18.8%35.8%
Expected Move7.8%5.4%10.9%5.4%10.3%
HV 20d18.4%16.4%24.3%16.4%24.2%
HV 60d17.5%15.9%20.1%15.9%20.1%
IV Rank3.6%0.6%7.9%0.6%7.0%
IV Percentile57.5%2.4%99.2%2.4%96.4%
Term Structure2.0%-2.7%3.6%3.6%3.6%
VWIV29.4%21.9%39.3%25.1%39.2%
Skew 25d-8.5%-12.9%-5.4%-12.9%-9.6%
Skew 10d-20.4%-32.2%-13.1%-21.1%-32.2%
Call IV 25d33.2%24.3%45.7%26.5%42.6%
Put IV 25d24.7%13.7%33.7%13.7%33.0%
Bid-Ask Spread %23.2412.4855.6412.5255.64
Gamma HHI0.180.130.230.160.16
Net GEX281.3K143.6K456.2K323.9K396.6K
Net DEX-14.7M-32.5M9.3M-32.5M356.2K
Net VEX-45.2K-58.6K-36.2K-42.6K-55.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.381.560.630.51
Total Volume44.1924713146
Total OI329.762178468354234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$2939.00$1000.0018.8%5.4%16.4%0.6%25.1%-12.9%3.6%323.9K-32.5M-42.6K0.6312.52N/AN/A1912237117
2018-01-03$2879.00$1000.0020.4%5.9%17.4%1.2%21.9%-7.1%3.4%248.8K-29.4M-38.9K0.7017.41N/AN/A2317242116
2018-01-04$2843.00$2900.0018.8%6.5%16.7%0.6%23.4%-5.4%3.2%285.7K-28.1M-37.5K0.7426.14N/AN/A1914248116
2018-01-05$2787.00$2900.0020.5%6.8%17.2%1.3%25.8%-8.6%2.9%240.4K-26.9M-38.5K1.4830.44N/AN/A1421253119
2018-01-08$2772.00$2900.0021.1%6.9%17.1%1.5%26.6%-8.3%3.2%187.6K-26.2M-37.3K1.5625.42N/AN/A1117258120
2018-01-09$2757.00$2900.0023.2%7.2%16.9%2.3%25.0%-7.6%2.6%181.3K-25.7M-36.2K1.2431.62N/AN/A2024259121
2018-01-10$2768.00$2900.0024.9%7.1%17.1%2.9%27.1%-8.3%2.5%212.4K-26.6M-43.0K0.9418.47N/AN/A1918269129
2018-01-11$2713.00$2900.0023.5%6.7%17.9%2.4%25.3%-7.7%3.3%143.6K-24.5M-42.2K0.4627.80N/AN/A4922273130
2018-01-12$2660.00$2900.0026.3%7.5%18.3%3.4%26.5%-6.8%1.7%185.2K-23.4M-46.1K0.7422.77N/AN/A3324292135
2018-01-16$2679.00$2800.0029.1%8.3%18.0%4.5%30.0%-9.5%1.7%341.6K-25.3M-47.8K0.6626.78N/AN/A3523300134
2018-01-17$2613.00$2800.0027.2%7.8%18.4%3.8%29.4%-9.0%1.6%382.5K-22.6M-44.5K0.6622.24N/AN/A3724310139
2018-01-18$2620.00$2800.0027.5%7.9%18.0%3.9%28.1%-8.9%1.7%456.2K-23.5M-43.5K0.7555.26N/AN/A3123319141
2018-01-19$2590.00$2800.0027.4%7.9%17.1%3.9%30.4%-8.2%1.5%288.2K-22.6M-48.5K0.6119.93N/AN/A3320324144
2018-01-22$2525.00$2700.0026.0%7.4%18.0%3.3%31.0%-7.5%2.1%270.7K3.1M-47.2K0.5914.16N/AN/A15912355
2018-01-23$2505.00$2700.0027.8%8.0%17.9%4.0%30.2%-7.3%2.0%250.5K4.2M-43.6K0.8112.48N/AN/A262112555
2018-01-24$2507.00$2700.0029.9%8.6%17.8%4.8%32.5%-6.6%1.1%287.8K4.5M-45.6K0.6112.74N/AN/A241513362
2018-01-25$2509.00$2700.0029.9%8.6%17.6%4.8%32.5%-9.0%1.5%317.0K3.1M-51.5K0.8313.12N/AN/A191614065
2018-01-26$2432.00$2700.0028.6%8.2%19.1%4.4%31.1%-8.2%2.9%207.9K9.3M-49.9K0.8812.58N/AN/A201815383
2018-01-29$2462.00$2600.0038.1%10.9%20.7%7.9%37.8%-9.4%-2.7%317.8K4.0M-50.5K0.7415.57N/AN/A231715270
2018-01-30$2540.00$2600.0037.4%10.7%24.3%7.7%39.3%-11.9%-1.2%381.0K490.5K-58.6K0.3814.92N/AN/A411615674
2018-01-31$2542.00$2600.0035.8%10.3%24.2%7.0%39.2%-9.6%3.6%396.6K356.2K-55.2K0.5155.64N/AN/A301616074