SPXS Options History — September 2018

In September 2018, SPXS traded between $2102.00 and $2236.00. ATM implied volatility averaged 27.6%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.5% (HV 20d: 20.1%). Max pain ranged from $2100.00 to $2300.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.49.

Notable Days

  • 2018-09-21: Highest Volume — 55 contracts
  • 2018-09-20: Largest IV drop — 11.7% change
  • 2018-09-18: Highest IV Rank — 16.4%
  • 2018-09-06: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2167.58$2102.00$2236.00$2184.00$2139.00
Max Pain$2215.79$2100.00$2300.00$2200.00$2100.00
ATM IV27.6%24.7%30.3%29.6%25.3%
Expected Move8.1%7.1%9.2%8.5%7.2%
HV 20d20.1%16.3%23.6%23.1%16.3%
HV 60d23.0%21.4%24.2%24.0%21.4%
IV Rank13.1%9.4%16.4%15.6%10.2%
IV Percentile41.1%26.2%58.7%54.8%28.6%
Term Structure3.5%2.0%4.8%2.6%3.0%
VWIV31.2%24.6%39.1%27.8%27.1%
Skew 25d-11.8%-16.1%-9.2%-10.4%-9.2%
Skew 10d-27.7%-36.2%-9.6%-24.7%-20.6%
Call IV 25d36.2%31.5%43.0%34.8%33.7%
Put IV 25d24.4%21.7%26.9%24.4%24.4%
Bid-Ask Spread %21.3110.3836.4910.3818.27
Gamma HHI0.240.170.430.200.20
Net GEX738.0K273.8K1.1M733.3K701.6K
Net DEX-3.0M-7.1M2.2M-2.8M-4.8M
Net VEX-48.9K-57.9K-40.5K-52.2K-52.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.141.000.530.45
Total Volume35.26323552336
Total OI288.737260339271280

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$2184.00$2200.0029.6%8.5%23.1%15.6%27.8%-10.4%2.6%733.3K-2.8M-52.2K0.5310.38N/AN/A15820368
2018-09-05$2200.00$2200.0029.2%8.4%23.2%15.1%32.8%-9.9%2.0%758.6K-3.6M-53.3K0.2511.35N/AN/A19520370
2018-09-06$2215.00$2300.0029.2%9.2%23.4%15.1%38.1%-15.6%2.5%751.3K-4.2M-52.9K0.1425.51N/AN/A42620070
2018-09-07$2236.00$2200.0029.9%9.1%23.6%16.0%34.4%-16.1%4.2%887.7K-7.1M-57.9K0.4928.41N/AN/A18920972
2018-09-10$2222.00$2300.0028.9%8.9%21.6%14.7%39.1%-14.0%3.3%911.1K-5.3M-52.9K0.5922.36N/AN/A15921074
2018-09-11$2198.00$2200.0027.5%8.6%21.4%12.9%34.6%-12.6%3.9%874.2K-3.9M-49.6K0.2623.19N/AN/A30821275
2018-09-12$2194.00$2300.0028.7%8.2%20.8%14.4%34.8%-12.8%3.3%875.0K-2.9M-46.1K0.3622.18N/AN/A20720974
2018-09-13$2171.00$2300.0028.9%8.3%18.4%14.7%30.7%-10.6%4.1%823.8K-1.4M-45.7K0.5022.25N/AN/A201021475
2018-09-14$2164.00$2300.0027.4%7.8%16.6%12.8%36.8%-10.6%3.7%807.1K-883.5K-44.5K0.5920.45N/AN/A181121877
2018-09-17$2204.00$2300.0028.8%8.3%18.1%14.6%33.9%-11.4%2.7%1.1M-3.9M-44.4K0.4021.20N/AN/A22922276
2018-09-18$2156.00$2300.0030.3%8.7%19.3%16.4%32.8%-13.0%3.4%833.2K-1.0M-43.6K0.2524.33N/AN/A34822777
2018-09-19$2153.00$2200.0028.2%8.1%19.3%13.8%24.6%-11.9%3.8%952.7K-2.4M-44.9K0.5118.00N/AN/A281424377
2018-09-20$2102.00$2200.0024.9%7.1%20.7%9.7%28.0%-10.3%3.7%320.1K2.2M-41.1K0.3826.69N/AN/A361424785
2018-09-21$2109.00$2200.0024.7%7.1%20.4%9.4%26.3%-9.8%4.5%273.8K1.3M-40.5K0.5919.48N/AN/A352025386
2018-09-24$2132.00$2100.0026.0%7.5%20.2%11.1%30.1%-11.8%4.0%549.5K-3.3M-48.1K0.6318.82N/AN/A271718872
2018-09-25$2131.00$2200.0026.0%7.5%18.9%11.1%27.1%-10.8%3.8%604.4K-3.5M-53.8K1.0017.47N/AN/A171719475
2018-09-26$2134.00$2100.0026.5%7.6%18.9%11.7%26.5%-12.5%3.3%621.7K-3.8M-52.7K0.7836.49N/AN/A191519875
2018-09-27$2140.00$2100.0024.8%7.1%17.6%9.5%26.9%-10.8%4.8%679.7K-4.5M-52.9K0.5418.05N/AN/A211120276
2018-09-28$2139.00$2100.0025.3%7.2%16.3%10.2%27.1%-9.2%3.0%701.6K-4.8M-52.0K0.4518.27N/AN/A251120476