SPXS Options History — July 2018

In July 2018, SPXS traded between $2316.00 and $2660.00. ATM implied volatility averaged 29.7%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.1% (HV 20d: 26.6%). Max pain ranged from $2300.00 to $2400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2018-07-20: Highest Volume — 46 contracts
  • 2018-07-11: Largest IV spike — 31.5% change
  • 2018-07-03: Highest IV Rank — 30.7%
  • 2018-07-03: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2442.76$2316.00$2660.00$2647.00$2378.00
Max Pain$2338.10$2300.00$2400.00$2400.00$2300.00
ATM IV29.7%24.6%41.6%36.8%30.0%
Expected Move8.6%7.2%11.9%10.6%8.6%
HV 20d26.6%21.5%30.0%24.3%24.7%
HV 60d29.7%26.4%32.8%32.8%26.4%
IV Rank15.7%9.3%30.7%24.6%16.1%
IV Percentile51.9%35.3%80.2%71.8%57.5%
Term Structure2.7%-2.4%4.4%-0.5%1.5%
VWIV31.1%23.6%37.1%36.9%30.3%
Skew 25d-13.5%-18.6%-9.6%-16.1%-13.1%
Skew 10d-27.8%-41.3%-15.0%-22.3%-26.0%
Call IV 25d38.3%33.0%48.9%47.4%36.1%
Put IV 25d24.8%19.0%33.0%31.3%22.9%
Bid-Ask Spread %17.0712.0747.5712.7612.07
Gamma HHI0.270.150.490.150.22
Net GEX1.2M622.5K1.8M954.3K797.2K
Net DEX-9.0M-24.5M-2.7M-21.5M-6.7M
Net VEX-62.7K-76.9K-52.9K-76.9K-58.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.330.770.560.44
Total Volume34.61920464429
Total OI298.286193379315219

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$2647.00$2400.0036.8%10.6%24.3%24.6%36.9%-16.1%-0.5%954.3K-21.5M-76.9K0.5612.76N/AN/A281622590
2018-07-03$2660.00$2400.0041.6%11.9%24.3%30.7%35.6%-15.9%-2.4%986.0K-24.5M-73.6K0.6834.18N/AN/A231623290
2018-07-05$2602.00$2400.0036.8%10.4%24.4%24.6%36.8%-18.6%3.0%1.1M-20.1M-76.9K0.5214.11N/AN/A281523589
2018-07-06$2535.00$2400.0029.8%8.9%26.2%15.8%33.8%-13.6%3.8%1.3M-13.1M-70.1K0.5747.57N/AN/A261523389
2018-07-09$2465.00$2400.0029.5%8.9%28.1%15.5%31.9%-13.5%2.5%1.3M-8.9M-68.0K0.5317.24N/AN/A271424189
2018-07-10$2439.00$2400.0024.6%7.9%28.1%9.3%34.1%-14.2%4.2%1.4M-6.4M-64.8K0.4419.01N/AN/A271224789
2018-07-11$2484.00$2400.0032.3%9.3%28.9%19.0%37.1%-17.4%2.4%1.5M-10.8M-65.3K0.3917.67N/AN/A301225189
2018-07-12$2429.00$2400.0028.3%8.1%29.9%13.9%30.2%-15.0%3.7%1.5M-7.5M-66.0K0.4215.99N/AN/A281225687
2018-07-13$2420.00$2300.0027.7%7.9%29.9%13.1%23.6%-15.7%4.1%1.6M-7.2M-64.7K0.6115.93N/AN/A181126588
2018-07-16$2426.00$2300.0027.4%7.9%29.7%12.8%25.1%-12.9%3.2%1.7M-8.0M-62.0K0.5715.48N/AN/A201126889
2018-07-17$2387.00$2300.0026.9%7.7%30.0%12.2%28.0%-15.5%3.8%1.5M-3.7M-59.1K0.3915.48N/AN/A281127289
2018-07-18$2382.00$2300.0027.3%7.8%29.5%12.7%26.0%-11.5%3.7%1.5M-2.7M-55.8K0.7713.71N/AN/A211727989
2018-07-19$2405.00$2300.0028.7%8.2%29.8%14.4%31.8%-11.6%2.6%1.6M-6.2M-59.9K0.6313.06N/AN/A251628294
2018-07-20$2414.00$2300.0027.1%7.8%27.9%12.5%29.3%-12.3%3.7%1.8M-7.6M-58.8K0.4113.03N/AN/A331328792
2018-07-23$2406.00$2300.0026.9%7.7%27.6%12.2%30.6%-12.3%3.6%672.3K-6.3M-56.9K0.4812.40N/AN/A14713756
2018-07-24$2381.00$2300.0029.4%8.4%21.5%15.4%29.2%-11.2%1.7%650.5K-5.3M-57.2K0.3314.22N/AN/A21714156
2018-07-25$2316.00$2300.0025.0%7.2%22.9%9.8%29.8%-9.6%4.4%622.5K-3.0M-52.9K0.3916.30N/AN/A17714657
2018-07-26$2330.00$2300.0026.0%7.4%21.8%11.0%29.5%-10.2%2.7%653.0K-3.7M-54.5K0.5313.01N/AN/A13714857
2018-07-27$2375.00$2300.0029.8%8.5%23.6%15.8%31.0%-11.7%3.5%736.3K-6.6M-55.8K0.3612.51N/AN/A18715258
2018-07-30$2417.00$2300.0031.5%9.0%24.9%18.0%32.5%-12.2%0.6%768.8K-8.6M-59.2K0.3312.79N/AN/A20715358
2018-07-31$2378.00$2300.0030.0%8.6%24.7%16.1%30.3%-13.1%1.5%797.2K-6.7M-58.7K0.4412.07N/AN/A20916059