SPXS Options History — May 2018

In May 2018, SPXS traded between $2630.00 and $2960.00. ATM implied volatility averaged 35.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.0% (HV 20d: 37.0%). Max pain ranged from $2500.00 to $2700.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2018-05-29: Highest Volume — 59 contracts
  • 2018-05-29: Largest IV spike — 23.0% change
  • 2018-05-03: Highest IV Rank — 35.6%
  • 2018-05-03: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2721.91$2630.00$2960.00$2896.00$2687.00
Max Pain$2559.09$2500.00$2700.00$2700.00$2500.00
ATM IV35.0%28.7%45.6%42.5%36.0%
Expected Move10.1%8.2%12.9%12.2%10.3%
HV 20d37.0%26.6%49.4%49.4%32.1%
HV 60d53.2%49.8%61.2%61.2%50.5%
IV Rank21.3%9.6%35.6%9.6%23.5%
IV Percentile71.7%61.1%86.9%82.9%72.6%
Term Structure1.1%-2.3%2.5%-0.2%0.4%
VWIV37.0%29.7%49.3%44.2%35.8%
Skew 25d-12.1%-17.6%-9.1%-12.4%-12.8%
Skew 10d-26.6%-41.0%-17.5%-20.1%-29.5%
Call IV 25d43.0%35.4%53.3%49.4%43.1%
Put IV 25d30.9%24.5%37.3%36.9%30.3%
Bid-Ask Spread %17.1612.2628.0514.3915.77
Gamma HHI0.130.080.210.090.13
Net GEX921.5K787.5K1.2M787.5K937.7K
Net DEX-20.0M-33.8M-13.2M-30.4M-18.6M
Net VEX-84.2K-96.6K-72.8K-93.9K-77.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.251.000.650.67
Total Volume38.40924593828
Total OI326.591280394304299

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$2896.00$2700.0042.5%12.2%49.4%9.6%44.2%-12.4%-0.2%787.5K-30.4M-93.9K0.6514.39N/AN/A231522579
2018-05-02$2927.00$2700.0039.9%11.4%47.2%28.4%49.3%-12.0%1.4%804.9K-31.4M-96.6K0.8928.05N/AN/A181622983
2018-05-03$2960.00$2600.0045.6%12.9%46.8%35.6%45.8%-15.5%-0.0%806.2K-33.8M-96.4K0.3317.30N/AN/A421423184
2018-05-04$2832.00$2600.0036.9%11.2%42.6%24.7%43.5%-13.6%2.0%837.5K-25.6M-92.7K0.4713.14N/AN/A241123384
2018-05-07$2816.00$2600.0038.4%11.0%41.6%26.5%43.6%-14.4%1.6%879.1K-24.8M-90.0K0.3914.61N/AN/A281123783
2018-05-08$2816.00$2600.0038.2%11.1%39.6%26.3%40.5%-12.7%0.9%1.0M-27.2M-81.0K0.3122.14N/AN/A341124483
2018-05-09$2744.00$2600.0034.3%9.8%40.0%21.5%37.9%-11.0%2.4%980.9K-19.3M-84.2K0.5718.68N/AN/A281625984
2018-05-10$2658.00$2600.0035.0%10.0%40.1%22.4%36.3%-10.5%1.9%855.9K-14.7M-83.1K0.4718.32N/AN/A331526088
2018-05-11$2640.00$2600.0032.4%9.3%39.1%19.0%33.2%-10.2%1.1%933.0K-13.9M-83.8K1.0019.89N/AN/A191927490
2018-05-14$2632.00$2600.0031.3%9.0%37.8%17.6%37.1%-11.2%1.2%917.7K-13.2M-75.7K0.5113.34N/AN/A221127991
2018-05-15$2702.00$2600.0035.8%10.3%37.5%23.4%36.4%-11.7%0.3%1.2M-20.0M-88.0K0.3018.25N/AN/A351128691
2018-05-16$2654.00$2500.0034.6%9.9%38.1%21.9%33.5%-11.1%0.3%985.8K-15.9M-82.0K0.5019.80N/AN/A311528991
2018-05-17$2660.00$2500.0033.2%9.5%37.5%20.1%29.7%-11.4%1.6%1.1M-16.2M-86.4K0.5419.10N/AN/A321829597
2018-05-18$2671.00$2500.0033.1%9.5%35.4%19.9%33.4%-11.8%2.5%807.0K-16.4M-85.9K0.5418.35N/AN/A211129797
2018-05-21$2630.00$2500.0030.8%8.8%35.7%17.1%33.9%-11.2%1.6%857.9K-15.4M-78.7K0.5614.03N/AN/A16920674
2018-05-22$2636.00$2500.0030.3%8.7%29.9%16.5%34.0%-9.1%1.4%903.0K-16.0M-76.7K0.5812.69N/AN/A15920874
2018-05-23$2631.00$2500.0028.7%8.2%29.9%14.5%33.6%-9.6%2.0%920.7K-14.8M-80.9K0.5014.98N/AN/A211021075
2018-05-24$2636.00$2500.0029.2%8.4%26.6%15.1%31.0%-9.8%2.1%949.6K-15.3M-80.4K0.4614.60N/AN/A221021476
2018-05-25$2661.00$2500.0032.5%9.3%27.0%19.2%34.0%-12.5%0.2%979.0K-17.0M-84.5K0.5516.63N/AN/A16921777
2018-05-29$2750.00$2500.0040.0%11.5%29.3%28.6%31.3%-17.6%-2.3%895.9K-24.0M-81.2K0.2521.13N/AN/A471221878
2018-05-30$2643.00$2500.0031.6%9.0%31.7%18.0%36.3%-13.8%1.9%925.0K-16.4M-72.8K0.4712.26N/AN/A251221680
2018-05-31$2687.00$2500.0036.0%10.3%32.1%23.5%35.8%-12.8%0.4%937.7K-18.6M-77.6K0.6715.77N/AN/A171121683