SPXS Options History — June 2018

In June 2018, SPXS traded between $2463.00 and $2669.00. ATM implied volatility averaged 32.8%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.1% (HV 20d: 27.8%). Max pain ranged from $2400.00 to $2500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2018-06-25: Highest Volume — 101 contracts
  • 2018-06-25: Largest IV spike — 31.6% change
  • 2018-06-27: Highest IV Rank — 34.1%
  • 2018-06-27: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2547.67$2463.00$2669.00$2616.00$2622.00
Max Pain$2404.76$2400.00$2500.00$2500.00$2400.00
ATM IV32.8%28.3%44.4%30.5%36.9%
Expected Move9.2%7.8%12.7%8.7%10.6%
HV 20d27.8%25.0%32.5%32.5%25.0%
HV 60d44.9%35.8%50.9%50.8%35.8%
IV Rank19.6%14.0%34.1%16.7%24.7%
IV Percentile65.5%54.0%85.7%64.3%72.6%
Term Structure1.4%-1.7%4.3%1.4%-0.3%
VWIV32.2%28.1%40.7%30.8%30.1%
Skew 25d-13.8%-20.8%-9.9%-10.6%-14.7%
Skew 10d-32.0%-44.7%-25.0%-25.0%-36.3%
Call IV 25d40.5%35.5%53.6%37.1%46.2%
Put IV 25d26.7%21.7%34.9%26.5%31.5%
Bid-Ask Spread %19.6110.5539.7511.1118.52
Gamma HHI0.210.150.560.150.16
Net GEX1.1M899.8K2.4M924.2K980.9K
Net DEX-13.1M-24.6M-5.8M-13.1M-19.9M
Net VEX-75.3K-86.0K-69.4K-74.8K-82.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.261.430.560.76
Total Volume39.667241013537
Total OI318.952277365299317

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$2616.00$2500.0030.5%8.7%32.5%16.7%30.8%-10.6%1.4%924.2K-13.1M-74.8K0.5611.11N/AN/A221321683
2018-06-04$2570.00$2400.0032.1%9.1%29.7%18.8%35.9%-13.7%2.3%962.9K-11.0M-72.4K0.8920.09N/AN/A131222486
2018-06-05$2569.00$2400.0032.0%9.1%29.7%18.6%35.1%-12.3%2.7%967.7K-10.8M-70.9K0.9324.34N/AN/A131222588
2018-06-06$2514.00$2400.0028.3%7.8%30.3%14.0%30.1%-14.7%4.3%899.8K-6.7M-69.4K0.5515.28N/AN/A301722788
2018-06-07$2503.00$2400.0029.6%8.5%29.3%15.5%31.4%-14.2%1.6%1.0M-7.5M-75.1K0.7219.97N/AN/A191424190
2018-06-08$2489.00$2400.0028.8%8.5%27.5%14.6%31.7%-14.7%2.3%1.0M-6.5M-72.9K0.4325.57N/AN/A301324391
2018-06-11$2463.00$2400.0036.7%8.7%27.6%24.5%33.1%-11.2%2.5%1.1M-5.8M-71.4K0.6812.37N/AN/A201426391
2018-06-12$2472.00$2400.0036.4%8.5%27.7%24.0%29.2%-10.9%3.0%1.2M-7.2M-72.2K0.8212.64N/AN/A181526791
2018-06-13$2479.00$2400.0030.8%8.8%25.6%17.0%35.8%-9.9%-1.7%1.3M-7.8M-70.3K0.7839.75N/AN/A191526993
2018-06-14$2466.00$2400.0030.3%8.7%25.1%16.4%28.5%-11.1%1.2%1.4M-7.1M-70.7K0.6810.55N/AN/A201427392
2018-06-15$2486.00$2400.0028.4%8.1%25.3%14.0%28.1%-12.1%2.6%2.4M-8.8M-71.3K0.2613.55N/AN/A521427590
2018-06-18$2504.00$2400.0028.8%8.2%25.5%14.5%29.4%-11.3%2.2%961.5K-11.8M-74.7K0.6117.84N/AN/A241520770
2018-06-19$2534.00$2400.0029.5%8.5%25.6%15.5%31.0%-13.0%1.9%943.2K-13.8M-77.7K0.5726.81N/AN/A231320973
2018-06-20$2509.00$2400.0028.8%8.3%25.7%14.6%31.7%-15.0%2.2%948.2K-11.6M-75.6K1.2515.02N/AN/A111320974
2018-06-21$2576.00$2400.0035.1%10.1%27.6%22.4%30.4%-15.7%1.5%929.9K-16.6M-74.1K0.7515.58N/AN/A211621075
2018-06-22$2537.00$2400.0029.7%8.5%28.1%15.7%32.2%-12.8%1.6%1.1M-15.4M-77.2K1.4313.92N/AN/A111522075
2018-06-25$2650.00$2400.0039.1%11.2%32.2%27.5%28.8%-20.8%-0.4%944.2K-23.7M-79.9K0.3633.22N/AN/A742722578
2018-06-26$2624.00$2400.0035.9%10.3%29.9%23.5%34.1%-16.4%1.3%980.3K-21.0M-86.0K0.7415.57N/AN/A221623187
2018-06-27$2669.00$2400.0044.4%12.7%27.1%34.1%37.7%-18.8%-1.7%900.9K-24.6M-84.8K0.5629.32N/AN/A301722987
2018-06-28$2649.00$2400.0037.7%10.8%26.6%25.8%40.7%-15.9%-0.4%940.4K-23.4M-78.0K0.7020.82N/AN/A231622888
2018-06-29$2622.00$2400.0036.9%10.6%25.0%24.7%30.1%-14.7%-0.3%980.9K-19.9M-82.0K0.7618.52N/AN/A211622889