SPXS Options History — August 2018

In August 2018, SPXS traded between $2138.00 and $2385.00. ATM implied volatility averaged 28.0%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.4% (HV 20d: 22.6%). Max pain ranged from $2200.00 to $2300.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-08-10: Highest Volume — 62 contracts
  • 2018-08-13: Largest IV spike — 53.9% change
  • 2018-08-13: Highest IV Rank — 30.4%
  • 2018-08-15: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2274.26$2138.00$2385.00$2385.00$2175.00
Max Pain$2282.61$2200.00$2300.00$2300.00$2200.00
ATM IV28.0%22.7%41.4%30.5%28.9%
Expected Move8.2%6.5%10.1%8.7%8.3%
HV 20d22.6%18.8%24.9%24.6%23.2%
HV 60d25.3%23.7%26.5%26.4%24.0%
IV Rank13.6%7.0%30.4%16.7%14.7%
IV Percentile43.6%16.3%79.4%58.7%49.6%
Term Structure2.5%0.7%4.9%0.7%2.1%
VWIV30.3%26.3%35.1%28.0%27.6%
Skew 25d-11.9%-15.7%-8.7%-13.0%-11.8%
Skew 10d-28.6%-34.4%-18.1%-31.9%-27.9%
Call IV 25d35.7%29.8%42.9%38.1%34.0%
Put IV 25d23.7%14.9%27.8%25.1%22.2%
Bid-Ask Spread %17.647.3431.9031.9014.80
Gamma HHI0.210.160.280.230.19
Net GEX680.0K352.1K1.1M861.8K705.0K
Net DEX-3.6M-9.8M-303.3K-8.1M-2.3M
Net VEX-53.7K-62.3K-47.0K-62.2K-52.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.301.660.570.46
Total Volume34.60925622825
Total OI248.348198285232268

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$2385.00$2300.0030.5%8.7%24.6%16.7%28.0%-13.0%0.7%861.8K-8.1M-62.2K0.5731.90N/AN/A181017062
2018-08-02$2352.00$2300.0029.0%8.3%24.0%14.9%26.3%-14.3%1.7%817.7K-6.3M-62.3K0.327.45N/AN/A22717667
2018-08-03$2325.00$2300.0022.8%6.5%22.9%7.0%27.0%-14.9%4.9%772.2K-4.4M-57.8K0.618.67N/AN/A171017769
2018-08-06$2297.00$2300.0022.7%7.7%21.3%7.0%32.4%-11.1%2.8%658.7K-2.1M-49.9K0.7718.28N/AN/A141117967
2018-08-07$2274.00$2300.0023.8%8.0%21.3%8.4%31.3%-11.4%2.5%664.7K-944.7K-49.2K0.7916.22N/AN/A151218067
2018-08-08$2270.00$2300.0024.0%7.6%19.7%8.6%30.3%-9.5%3.0%651.6K-924.7K-47.0K0.3615.76N/AN/A291118467
2018-08-09$2280.00$2300.0022.8%7.9%18.8%7.1%28.3%-10.4%3.1%809.9K-2.5M-55.4K1.6622.36N/AN/A122020474
2018-08-10$2338.00$2300.0026.9%8.1%21.3%12.2%32.0%-12.3%2.7%1.0M-7.9M-60.6K0.4524.96N/AN/A431920778
2018-08-13$2355.00$2300.0041.4%9.8%21.5%30.4%34.4%-15.7%0.8%866.6K-7.3M-58.7K0.9825.88N/AN/A151519173
2018-08-14$2315.00$2300.0029.0%8.4%21.6%14.9%31.0%-13.6%1.8%694.8K-4.3M-53.6K0.7624.21N/AN/A201519673
2018-08-15$2371.00$2300.0035.3%10.1%23.4%22.7%34.0%-15.1%1.1%1.1M-9.8M-59.8K0.4425.86N/AN/A351520373
2018-08-16$2311.00$2300.0029.8%8.6%24.7%15.9%34.7%-13.5%1.3%352.1K-3.3M-52.4K0.5920.85N/AN/A291719574
2018-08-17$2287.00$2300.0029.5%8.5%24.8%15.5%30.7%-12.8%1.6%429.9K-2.7M-50.9K1.3521.23N/AN/A172321072
2018-08-20$2270.00$2300.0029.8%8.5%24.9%15.8%35.1%-13.2%2.5%480.3K-2.7M-49.2K0.8219.17N/AN/A161313959
2018-08-21$2254.00$2300.0029.3%8.4%24.7%15.2%31.0%-12.2%2.9%491.6K-2.3M-50.8K0.6016.08N/AN/A231414560
2018-08-22$2258.00$2300.0029.5%8.5%23.0%15.5%30.9%-12.7%2.1%555.1K-3.3M-53.9K0.7317.50N/AN/A191415561
2018-08-23$2276.00$2300.0028.8%8.3%23.0%14.6%28.3%-10.3%3.0%601.6K-4.2M-54.3K0.8615.14N/AN/A161415861
2018-08-24$2234.00$2300.0024.8%7.1%22.5%9.6%29.6%-8.9%4.3%587.8K-3.1M-52.8K0.8412.77N/AN/A161416361
2018-08-27$2186.00$2300.0026.6%7.6%22.1%11.8%28.1%-10.0%2.8%533.0K-303.3K-47.4K0.3611.75N/AN/A361316562
2018-08-28$2181.00$2200.0026.5%7.6%21.7%11.7%28.5%-9.6%3.7%653.9K-1.5M-50.6K0.7111.15N/AN/A181318663
2018-08-29$2138.00$2200.0024.2%6.9%22.2%8.8%28.0%-9.7%2.9%632.9K-508.3K-49.7K0.507.34N/AN/A191019163
2018-08-30$2176.00$2200.0028.8%8.3%23.4%14.6%29.3%-8.7%2.7%687.6K-2.3M-53.8K0.3016.39N/AN/A25719866
2018-08-31$2175.00$2200.0028.9%8.3%23.2%14.7%27.6%-11.8%2.1%705.0K-2.3M-52.3K0.4614.80N/AN/A17820167