SPXS Options History — October 2018 In October 2018, SPXS traded between $2118.00 and $2898.00. ATM implied volatility averaged 51.3%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 13.3% (HV 20d: 38.0%). Max pain ranged from $2000.00 to $2500.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2018-10-11 : Highest Volume — 182 contracts2018-10-04 : Largest IV spike — 48.7% change2018-10-29 : Highest IV Rank — 83.5%2018-10-29 : Largest Expected Move — 24.0%Monthly Statistics Metric Avg Min Max Open Close Price $2431.30 $2118.00 $2898.00 $2127.00 $2562.00 Max Pain $2317.39 $2000.00 $2500.00 $2100.00 $2500.00 ATM IV 51.3% 24.3% 83.8% 24.8% 64.6% Expected Move 14.7% 7.0% 24.0% 7.1% 18.5% HV 20d 38.0% 16.0% 65.5% 16.4% 65.5% HV 60d 29.0% 20.1% 41.3% 20.8% 41.3% IV Rank 42.8% 9.0% 83.5% 9.6% 59.4% IV Percentile 80.9% 23.4% 99.6% 26.6% 95.6% Term Structure -3.0% -16.9% 6.3% 6.3% -8.6% VWIV 52.2% 21.9% 76.5% 22.6% 64.5% Skew 25d -20.3% -27.3% -5.4% -7.2% -21.1% Skew 10d -39.8% -57.7% -15.0% -16.2% -35.7% Call IV 25d 63.0% 30.3% 95.3% 31.4% 74.8% Put IV 25d 42.7% 24.2% 72.9% 24.2% 53.7% Bid-Ask Spread % 20.33 9.54 44.18 15.61 17.61 Gamma HHI 0.18 0.11 0.30 0.28 0.14 Net GEX 470.9K 159.5K 880.7K 571.2K 271.4K Net DEX -15.2M -40.6M -2.9M -2.9M -17.2M Net VEX -78.0K -119.9K -46.5K -46.7K -119.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.21 1.36 0.56 0.46 Total Volume 75.13 31 182 31 70 Total OI 350.565 284 458 286 439
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-10-01 $2127.00 $2100.00 24.8% 7.1% 16.4% 9.6% 22.6% -7.2% 6.3% 571.2K -2.9M -46.7K 0.56 15.61 N/A N/A 20 11 209 77 2018-10-02 $2119.00 $2100.00 24.3% 7.0% 16.3% 9.0% 21.9% -6.5% 5.3% 590.6K -3.0M -47.2K 0.52 16.66 N/A N/A 22 11 212 77 2018-10-03 $2118.00 $2100.00 24.5% 7.0% 16.0% 9.2% 25.1% -5.4% 5.3% 617.0K -3.5M -46.5K 0.38 14.35 N/A N/A 31 12 216 77 2018-10-04 $2180.00 $2000.00 36.4% 10.6% 19.2% 24.1% 35.6% -17.5% 0.7% 813.4K -9.8M -56.9K 0.25 19.73 N/A N/A 60 15 226 78 2018-10-05 $2209.00 $2000.00 38.4% 10.9% 19.5% 26.6% 43.4% -20.3% 1.2% 726.4K -10.9M -57.3K 0.21 22.92 N/A N/A 77 17 220 81 2018-10-08 $2197.00 $2000.00 37.7% 10.8% 19.5% 25.8% 41.2% -21.8% 1.5% 719.3K -10.3M -53.6K 0.29 23.30 N/A N/A 43 13 209 82 2018-10-09 $2211.00 $2000.00 37.6% 11.1% 19.2% 25.6% 42.6% -18.8% 1.1% 690.6K -9.6M -52.0K 0.42 14.15 N/A N/A 29 12 202 82 2018-10-10 $2405.00 $2000.00 50.9% 14.6% 35.4% 42.2% 47.1% -24.5% -1.7% 687.7K -22.9M -51.1K 0.47 33.59 N/A N/A 63 29 206 84 2018-10-11 $2540.00 $2000.00 61.0% 17.5% 39.0% 54.9% 62.6% -25.0% -6.8% 436.5K -21.8M -57.5K 0.73 42.06 N/A N/A 105 77 191 102 2018-10-12 $2489.00 $2500.00 56.0% 16.1% 40.1% 48.7% 61.7% -24.6% -2.2% 411.5K -15.8M -77.2K 0.83 33.39 N/A N/A 72 60 204 153 2018-10-15 $2487.00 $2500.00 52.7% 15.1% 40.0% 44.4% 61.3% -25.1% -1.6% 511.9K -13.9M -81.2K 1.05 9.54 N/A N/A 41 43 227 183 2018-10-16 $2361.00 $2500.00 46.2% 13.3% 44.0% 36.4% 51.6% -20.3% 0.1% 493.2K -4.0M -74.2K 1.36 17.90 N/A N/A 30 41 233 184 2018-10-17 $2368.00 $2500.00 46.6% 13.4% 44.0% 36.8% 47.7% -19.6% 0.5% 572.2K -3.5M -78.9K 0.53 13.68 N/A N/A 65 35 243 186 2018-10-18 $2454.00 $2500.00 54.9% 15.7% 43.9% 47.2% 56.8% -22.5% -2.8% 880.7K -15.8M -92.2K 1.01 16.07 N/A N/A 36 36 271 187 2018-10-19 $2453.00 $2500.00 53.5% 15.3% 43.9% 45.5% 54.6% -24.1% -2.0% 159.5K -14.4M -89.8K 1.14 11.78 N/A N/A 32 36 271 187 2018-10-22 $2483.00 $2500.00 51.8% 14.9% 44.0% 43.4% 53.9% -20.6% -2.6% 163.4K -10.3M -94.3K 1.25 12.57 N/A N/A 24 31 174 126 2018-10-23 $2525.00 $2500.00 53.4% 15.3% 44.0% 45.4% 56.7% -21.2% -2.0% 181.6K -14.1M -91.7K 0.68 13.38 N/A N/A 45 31 179 129 2018-10-24 $2675.00 $2500.00 66.3% 19.0% 47.2% 61.5% 61.4% -25.0% -7.8% 194.4K -23.5M -94.9K 1.16 32.76 N/A N/A 26 30 187 135 2018-10-25 $2595.00 $2500.00 65.4% 18.7% 49.4% 60.4% 65.2% -23.3% -10.3% 248.3K -19.8M -109.9K 0.53 15.84 N/A N/A 34 18 207 139 2018-10-26 $2762.00 $2500.00 77.4% 22.2% 52.6% 75.4% 72.0% -27.3% -13.7% 304.1K -32.5M -104.5K 0.62 14.13 N/A N/A 54 33 221 142 2018-10-29 $2898.00 $2500.00 83.8% 24.0% 53.6% 83.5% 76.5% -22.4% -16.9% 329.3K -40.6M -100.9K 1.02 44.18 N/A N/A 51 52 234 160 2018-10-30 $2702.00 $2500.00 72.1% 20.7% 61.3% 68.8% 73.5% -23.0% -12.0% 255.5K -28.4M -116.1K 0.96 12.28 N/A N/A 28 27 247 184 2018-10-31 $2562.00 $2500.00 64.6% 18.5% 65.5% 59.4% 64.5% -21.1% -8.6% 271.4K -17.2M -119.9K 0.46 17.61 N/A N/A 48 22 254 185
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