SPXS Options History — April 2018

In April 2018, SPXS traded between $2697.00 and $3153.00. ATM implied volatility averaged 49.7%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 17.0% (HV 20d: 66.7%). 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 8 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-04-02: Highest Volume — 94 contracts
  • 2018-04-24: Largest IV spike — 20.2% change
  • 2018-04-02: Highest IV Rank — 20.0%
  • 2018-04-02: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2878.62$2697.00$3153.00$3153.00$2862.00
Max Pain$2642.86$2500.00$2700.00$2500.00$2700.00
ATM IV49.7%37.3%70.0%70.0%42.7%
Expected Move13.9%10.7%20.1%20.1%12.2%
HV 20d66.7%50.7%73.1%65.2%50.7%
HV 60d60.6%57.1%62.4%57.1%62.4%
IV Rank12.3%7.6%20.0%20.0%9.7%
IV Percentile88.5%79.0%98.0%98.0%83.3%
Term Structure-1.1%-6.1%1.5%-6.1%-0.6%
VWIV50.0%40.4%67.8%67.8%43.8%
Skew 25d-15.5%-21.7%-11.5%-17.1%-12.6%
Skew 10d-30.2%-37.9%-25.1%-33.2%-26.5%
Call IV 25d58.4%45.4%79.7%79.7%49.0%
Put IV 25d42.8%33.9%62.6%62.6%36.4%
Bid-Ask Spread %21.3712.0458.6721.6315.81
Gamma HHI0.120.090.200.100.09
Net GEX1.1M619.5K1.7M1.0M694.0K
Net DEX-40.7M-68.1M-23.9M-68.1M-26.0M
Net VEX-109.6K-133.2K-87.8K-129.0K-96.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.300.770.570.59
Total Volume57.09530949434
Total OI435.524273521468297

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$3153.00$2500.0070.0%20.1%65.2%20.0%67.8%-17.1%-6.1%1.0M-68.1M-129.0K0.5721.63N/AN/A6034343125
2018-04-03$3034.00$2500.0060.8%17.4%65.6%16.5%64.3%-15.8%-5.4%1.1M-60.5M-127.0K0.6123.55N/AN/A4829346128
2018-04-04$2907.00$2500.0057.6%16.5%67.8%15.3%64.3%-12.5%-5.4%1.1M-49.8M-129.3K0.6117.04N/AN/A4729348129
2018-04-05$2854.00$2600.0054.3%14.8%68.2%14.1%50.2%-18.4%-0.5%1.2M-43.1M-133.2K0.4812.28N/AN/A4823351128
2018-04-06$3054.00$2600.0064.0%16.8%71.9%17.7%51.7%-21.7%-3.1%1.2M-64.1M-122.1K0.4314.28N/AN/A5624359129
2018-04-09$2968.00$2600.0065.1%16.6%69.4%18.1%58.0%-20.8%-2.4%1.2M-53.7M-123.4K0.4428.17N/AN/A4721351132
2018-04-10$2862.00$2600.0064.6%15.7%71.0%17.9%57.1%-17.9%-0.5%1.2M-44.8M-122.6K0.4513.10N/AN/A4520355131
2018-04-11$2908.00$2600.0053.3%15.3%70.8%13.7%54.4%-18.0%-1.5%1.4M-49.2M-116.6K0.7730.53N/AN/A2922363132
2018-04-12$2818.00$2600.0047.2%13.5%71.9%11.4%51.1%-15.5%1.5%1.3M-40.3M-121.6K0.7212.04N/AN/A2921367133
2018-04-13$2876.00$2700.0047.2%13.5%72.1%11.4%52.2%-15.3%-0.1%1.6M-48.7M-114.5K0.7317.13N/AN/A2921371133
2018-04-16$2787.00$2700.0042.0%12.0%73.1%9.4%44.3%-14.4%0.8%1.6M-36.6M-105.1K0.6228.26N/AN/A3522372134
2018-04-17$2700.00$2700.0037.4%10.7%72.3%7.7%42.0%-11.9%1.2%1.1M-23.9M-102.6K0.5631.42N/AN/A3821380135
2018-04-18$2697.00$2700.0037.3%10.7%72.3%7.6%40.8%-11.5%1.0%1.4M-26.3M-100.8K0.7018.91N/AN/A2920384133
2018-04-19$2744.00$2700.0037.9%10.9%72.5%7.8%40.4%-14.9%1.2%1.7M-32.8M-98.9K0.4858.67N/AN/A4220389132
2018-04-20$2833.00$2700.0041.2%11.8%68.7%9.1%43.5%-15.4%0.6%659.4K-42.8M-92.0K0.5623.00N/AN/A3822384134
2018-04-23$2835.00$2700.0041.7%12.0%64.6%9.3%42.3%-13.7%0.3%670.5K-25.9M-89.5K0.7212.15N/AN/A201420073
2018-04-24$2977.00$2700.0050.1%14.4%60.1%12.5%48.6%-16.9%-1.9%619.5K-33.8M-87.8K0.3016.73N/AN/A421220273
2018-04-25$2940.00$2700.0048.1%13.8%57.1%11.7%47.5%-14.6%-3.3%661.1K-32.0M-97.3K0.3720.08N/AN/A341321274
2018-04-26$2819.00$2700.0042.5%12.2%58.8%9.6%44.2%-13.0%-0.8%730.2K-26.5M-92.6K0.7216.72N/AN/A181321675
2018-04-27$2823.00$2700.0038.9%11.2%57.0%8.2%40.7%-14.3%1.4%732.7K-24.9M-98.7K0.6717.20N/AN/A181221776
2018-04-30$2862.00$2700.0042.7%12.2%50.7%9.7%43.8%-12.6%-0.6%694.0K-26.0M-96.2K0.5915.81N/AN/A211322077