SPXS Options History — March 2018

In March 2018, SPXS traded between $2549.00 and $3143.00. ATM implied volatility averaged 47.0%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 6.6% (HV 20d: 53.7%). Max pain ranged from $2500.00 to $2700.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-03-14: Highest Volume — 111 contracts
  • 2018-03-22: Largest IV spike — 36.8% change
  • 2018-03-23: Highest IV Rank — 17.7%
  • 2018-03-23: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2788.62$2549.00$3143.00$2878.00$2939.00
Max Pain$2561.90$2500.00$2700.00$2600.00$2500.00
ATM IV47.0%33.3%64.0%53.8%54.0%
Expected Move13.3%9.5%18.4%15.4%15.5%
HV 20d53.7%41.9%71.3%70.9%60.9%
HV 60d48.0%44.4%55.5%44.4%55.5%
IV Rank11.3%6.1%17.7%13.9%14.0%
IV Percentile92.6%81.7%98.0%96.8%95.2%
Term Structure0.7%-8.3%5.2%-1.6%-3.0%
VWIV47.1%26.8%64.5%51.6%58.7%
Skew 25d-17.9%-31.1%-8.4%-21.3%-15.2%
Skew 10d-38.7%-56.1%-15.0%-53.2%-27.6%
Call IV 25d58.0%41.9%84.5%68.0%63.7%
Put IV 25d40.2%30.2%53.9%46.8%48.5%
Bid-Ask Spread %34.4420.9260.8958.6626.02
Gamma HHI0.160.100.320.180.12
Net GEX793.6K489.0K1.3M806.8K1.1M
Net DEX-22.0M-56.5M6.8M-23.2M-46.6M
Net VEX-106.3K-135.5K-70.6K-114.0K-135.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.180.720.260.58
Total Volume76.143471118983
Total OI414.095337518377445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$2878.00$2600.0053.8%15.4%70.9%13.9%51.6%-21.3%-1.6%806.8K-23.2M-114.0K0.2658.66N/AN/A7019253124
2018-03-02$2830.00$2700.0047.0%13.5%71.3%11.3%49.3%-13.2%0.5%812.6K-20.2M-111.0K0.2927.59N/AN/A7723253127
2018-03-05$2738.00$2700.0047.7%12.4%69.4%11.5%50.3%-20.5%1.7%611.0K-10.2M-104.0K0.7037.55N/AN/A4833251132
2018-03-06$2735.00$2700.0043.1%12.2%58.8%9.8%46.2%-15.2%2.2%661.9K-9.0M-94.9K0.5136.20N/AN/A3920261137
2018-03-07$2725.00$2700.0042.0%12.0%57.7%9.4%47.6%-20.1%2.5%699.0K-11.2M-102.2K0.5424.79N/AN/A3820267137
2018-03-08$2704.00$2700.0040.6%12.0%57.7%8.9%41.6%-19.0%1.7%800.5K-5.6M-89.9K0.4629.24N/AN/A3617270137
2018-03-09$2557.00$2600.0035.2%10.5%45.2%6.8%38.6%-13.2%3.8%492.6K4.8M-78.8K0.6941.42N/AN/A5236284138
2018-03-12$2549.00$2600.0042.0%10.1%44.5%9.4%38.8%-8.4%3.1%489.0K6.8M-70.6K0.7231.64N/AN/A5137304141
2018-03-13$2612.00$2500.0043.2%11.0%44.5%9.8%40.4%-15.1%3.3%847.7K-3.4M-96.2K0.4336.03N/AN/A5624314153
2018-03-14$2653.00$2500.0041.6%11.9%45.2%9.3%40.1%-16.4%2.9%1.2M-11.6M-105.7K0.3023.37N/AN/A8526334151
2018-03-15$2655.00$2500.0038.4%11.0%43.2%8.0%37.3%-15.7%3.5%1.3M-14.3M-111.3K0.4220.92N/AN/A5122357151
2018-03-16$2632.00$2500.0033.3%9.5%41.9%6.1%38.9%-14.2%5.2%581.4K-12.3M-105.8K0.6626.00N/AN/A3825366152
2018-03-19$2754.00$2500.0045.5%13.0%44.9%10.7%42.4%-19.3%-0.2%653.2K-23.0M-108.8K0.3542.34N/AN/A4917236101
2018-03-20$2743.00$2500.0040.2%11.5%44.3%8.7%46.4%-19.0%3.2%649.3K-21.6M-112.0K0.4824.61N/AN/A3215248103
2018-03-21$2756.00$2500.0042.4%12.2%44.0%9.6%26.8%-14.4%2.6%697.7K-19.2M-105.3K0.3260.89N/AN/A5919250104
2018-03-22$2958.00$2500.0058.1%16.7%50.8%15.5%53.1%-20.2%-2.4%723.7K-37.0M-105.3K0.1854.10N/AN/A9317252108
2018-03-23$3143.00$2500.0064.0%18.4%51.4%17.7%61.6%-31.1%-8.3%788.4K-56.5M-113.2K0.2931.24N/AN/A6519289109
2018-03-26$2889.00$2500.0052.1%14.9%59.3%13.2%53.0%-19.5%-0.1%947.7K-38.9M-130.5K0.6528.94N/AN/A3522301111
2018-03-27$3045.00$2500.0061.0%17.5%61.1%16.6%62.4%-22.3%-1.5%883.7K-52.7M-121.9K0.5836.37N/AN/A3420304115
2018-03-28$3066.00$2500.0062.6%17.9%60.4%17.2%64.5%-21.9%-3.9%953.8K-55.9M-115.9K0.6025.40N/AN/A4829310116
2018-03-29$2939.00$2500.0054.0%15.5%60.9%14.0%58.7%-15.2%-3.0%1.1M-46.6M-135.5K0.5826.02N/AN/A5231327118