SPXS Options History — February 2018

In February 2018, SPXS traded between $2556.00 and $3217.00. ATM implied volatility averaged 53.4%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 6.2% (HV 20d: 59.7%). Max pain ranged from $2500.00 to $2800.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.52.

Notable Days

2018-02-05: Highest Volume — 144 contracts
2018-02-05: Largest IV spike — 108.4% change
2018-02-05: Highest IV Rank — 30.2%
2018-02-08: Largest Expected Move — 21.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2828.00	$2556.00	$3217.00	$2556.00	$2757.00
Max Pain	$2631.58	$2500.00	$2800.00	$2500.00	$2600.00
ATM IV	53.4%	36.8%	97.1%	38.1%	50.9%
Expected Move	14.6%	10.4%	21.0%	10.4%	14.6%
HV 20d	59.7%	24.1%	69.5%	24.1%	69.5%
HV 60d	37.9%	20.2%	43.5%	20.2%	43.5%
IV Rank	13.7%	7.4%	30.2%	7.9%	12.8%
IV Percentile	96.8%	92.1%	99.6%	98.8%	96.4%
Term Structure	-1.9%	-10.0%	3.1%	1.3%	-2.3%
VWIV	52.2%	36.8%	71.4%	37.4%	45.8%
Skew 25d	-20.9%	-32.3%	-9.9%	-13.2%	-19.3%
Skew 10d	-40.3%	-60.5%	-23.7%	-35.8%	-25.5%
Call IV 25d	64.4%	43.7%	93.4%	43.7%	58.2%
Put IV 25d	43.5%	30.5%	62.3%	30.5%	38.9%
Bid-Ask Spread %	32.96	15.90	85.62	24.00	29.00
Gamma HHI	0.15	0.11	0.18	0.17	0.18
Net GEX	542.2K	350.7K	797.8K	462.3K	797.8K
Net DEX	-15.1M	-38.5M	-704.9K	-1.1M	-13.1M
Net VEX	-92.1K	-107.0K	-59.9K	-59.9K	-107.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.32	0.82	0.52	0.66
Total Volume	68.684	41	144	42	41
Total OI	327.789	239	399	239	381

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$2556.00	$2500.00	38.1%	10.4%	24.1%	7.9%	37.4%	-13.2%	1.3%	462.3K	-1.1M	-59.9K	0.52	24.00	N/A	N/A	28	14	164	75
2018-02-02	$2716.00	$2500.00	46.6%	12.1%	33.6%	11.1%	39.8%	-18.4%	-1.3%	606.4K	-11.6M	-74.9K	0.47	17.04	N/A	N/A	55	26	173	75
2018-02-05	$2998.00	$2500.00	97.1%	19.9%	48.4%	30.2%	61.1%	-28.6%	0.2%	407.8K	-25.7M	-80.7K	0.32	85.62	N/A	N/A	109	35	173	86
2018-02-06	$2894.00	$2500.00	80.1%	18.2%	50.3%	23.8%	65.4%	-23.8%	-5.9%	352.8K	-20.0M	-90.1K	0.42	64.24	N/A	N/A	65	27	177	99
2018-02-07	$2905.00	$2500.00	51.2%	14.7%	50.2%	12.9%	53.8%	-27.9%	-3.3%	444.1K	-18.3M	-80.3K	0.57	57.36	N/A	N/A	36	21	183	106
2018-02-08	$3217.00	$2500.00	73.3%	21.0%	61.4%	21.2%	69.5%	-32.3%	-10.0%	427.9K	-38.5M	-75.3K	0.38	50.13	N/A	N/A	57	21	190	111
2018-02-09	$3108.00	$2500.00	72.8%	20.9%	62.5%	21.1%	71.4%	-30.1%	-7.1%	482.4K	-33.1M	-97.3K	0.69	61.66	N/A	N/A	48	34	204	115
2018-02-12	$2984.00	$2700.00	57.3%	16.4%	64.1%	15.2%	61.8%	-25.4%	-2.3%	585.5K	-24.3M	-103.6K	0.62	28.15	N/A	N/A	43	26	220	132
2018-02-13	$2954.00	$2800.00	55.1%	15.8%	64.3%	14.4%	61.5%	-23.9%	-1.2%	605.2K	-23.0M	-104.5K	0.82	16.17	N/A	N/A	33	27	228	138
2018-02-14	$2835.00	$2800.00	44.4%	12.7%	65.5%	10.3%	51.3%	-17.8%	-2.3%	604.9K	-14.0M	-91.4K	0.43	20.17	N/A	N/A	59	25	237	140
2018-02-15	$2745.00	$2800.00	43.9%	12.6%	66.8%	10.1%	52.0%	-16.2%	-1.3%	562.9K	-8.0M	-98.4K	0.52	35.86	N/A	N/A	41	21	245	143
2018-02-16	$2714.00	$2800.00	43.9%	12.6%	66.8%	10.1%	48.5%	-17.9%	0.3%	350.7K	-6.4M	-91.7K	0.50	22.87	N/A	N/A	44	22	255	144
2018-02-20	$2772.00	$2700.00	48.1%	13.8%	66.3%	11.7%	48.4%	-19.8%	-1.8%	435.9K	-8.7M	-99.7K	0.39	15.97	N/A	N/A	39	15	198	104
2018-02-21	$2813.00	$2700.00	46.6%	13.4%	66.2%	11.1%	48.5%	-20.3%	-0.3%	540.3K	-12.5M	-101.0K	0.47	20.79	N/A	N/A	33	16	208	106
2018-02-22	$2813.00	$2700.00	45.8%	13.1%	66.2%	10.8%	48.2%	-19.1%	-0.9%	599.3K	-15.4M	-104.6K	0.42	17.33	N/A	N/A	45	19	220	109
2018-02-23	$2686.00	$2700.00	36.8%	10.5%	68.7%	7.4%	36.8%	-16.5%	3.1%	641.2K	-5.9M	-97.1K	0.33	22.95	N/A	N/A	50	17	233	113
2018-02-26	$2595.00	$2600.00	38.0%	10.9%	69.0%	7.9%	40.2%	-9.9%	1.0%	669.4K	-704.9K	-89.0K	0.67	15.90	N/A	N/A	41	27	250	115
2018-02-27	$2670.00	$2600.00	45.6%	13.1%	69.5%	10.8%	50.0%	-16.1%	-2.8%	724.1K	-7.2M	-102.9K	0.65	21.00	N/A	N/A	27	18	256	122
2018-02-28	$2757.00	$2600.00	50.9%	14.6%	69.5%	12.8%	45.8%	-19.3%	-2.3%	797.8K	-13.1M	-107.0K	0.66	29.00	N/A	N/A	25	16	257	124