SPXS Options History — November 2018

In November 2018, SPXS traded between $2322.00 and $2799.00. ATM implied volatility averaged 55.2%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 7.3% (HV 20d: 62.5%). Max pain ranged from $2100.00 to $2600.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-11-28: Highest Volume — 96 contracts
  • 2018-11-12: Largest IV spike — 51.3% change
  • 2018-11-12: Highest IV Rank — 60.9%
  • 2018-11-20: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2542.62$2322.00$2799.00$2523.00$2421.00
Max Pain$2390.48$2100.00$2600.00$2600.00$2500.00
ATM IV55.2%39.7%66.4%55.2%54.1%
Expected Move15.4%12.4%18.3%15.8%15.5%
HV 20d62.5%55.3%66.7%65.6%55.3%
HV 60d45.6%41.4%50.4%41.5%50.4%
IV Rank46.7%26.7%60.9%47.6%45.1%
IV Percentile86.7%68.7%96.8%90.9%84.1%
Term Structure-1.8%-6.1%0.6%-2.7%-6.1%
VWIV55.3%41.6%62.7%60.7%60.5%
Skew 25d-18.0%-23.1%-11.5%-18.3%-14.9%
Skew 10d-32.5%-55.3%-20.7%-29.5%-24.9%
Call IV 25d65.0%55.2%74.5%66.9%64.0%
Put IV 25d47.1%38.3%55.4%48.6%49.1%
Bid-Ask Spread %16.409.2545.7216.2644.95
Gamma HHI0.130.110.180.150.13
Net GEX371.8K128.4K463.2K316.8K397.5K
Net DEX-17.2M-34.1M5.7M-13.9M-11.9M
Net VEX-110.6K-129.5K-91.6K-114.4K-126.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.191.760.351.00
Total Volume70.8143965878
Total OI444.619310537452412

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$2523.00$2600.0055.2%15.8%65.6%47.6%60.7%-18.3%-2.7%316.8K-13.9M-114.4K0.3516.26N/AN/A4315265187
2018-11-02$2561.00$2600.0061.6%17.7%65.7%55.6%62.7%-23.1%-4.5%440.7K-21.1M-120.1K0.1919.15N/AN/A7214283188
2018-11-05$2521.00$2500.0059.5%15.6%66.0%53.0%54.1%-20.7%-0.9%351.8K-15.1M-112.7K0.4011.17N/AN/A3614276188
2018-11-06$2492.00$2500.0059.8%15.3%66.4%52.6%53.0%-20.0%-1.8%389.9K-12.4M-113.8K0.799.25N/AN/A2419288190
2018-11-07$2322.00$2500.0042.6%12.6%64.9%30.4%46.3%-16.7%0.5%314.4K5.7M-94.3K0.6814.35N/AN/A4229291194
2018-11-08$2345.00$2500.0039.7%12.4%61.6%26.7%41.6%-17.1%0.6%408.7K3.0M-98.5K0.3719.07N/AN/A6423296190
2018-11-09$2376.00$2100.0043.9%13.5%61.6%32.1%50.1%-17.3%-0.4%463.2K-7.8M-94.4K0.4815.92N/AN/A3316327192
2018-11-12$2517.00$2200.0066.4%15.3%65.2%60.9%55.2%-20.7%-1.4%435.4K-17.8M-108.3K0.5610.23N/AN/A3520315194
2018-11-13$2543.00$2200.0065.8%15.3%62.2%60.1%57.1%-21.8%-1.7%398.9K-20.7M-103.3K0.6713.21N/AN/A2919316199
2018-11-14$2576.00$2300.0056.6%16.2%62.3%48.4%57.4%-20.4%-1.7%340.4K-25.4M-97.0K0.5511.32N/AN/A4424322205
2018-11-15$2532.00$2200.0054.7%15.7%61.5%45.8%58.4%-20.4%-1.1%128.4K-17.7M-103.4K0.6314.28N/AN/A3724325209
2018-11-16$2485.00$2300.0051.2%14.7%62.0%41.4%48.7%-17.9%-0.1%311.5K-8.8M-91.6K0.7513.90N/AN/A3426327210
2018-11-19$2639.00$2300.0056.2%16.1%65.4%47.7%55.6%-18.9%-1.8%335.5K-24.6M-93.0K0.8012.85N/AN/A3125198112
2018-11-20$2754.00$2300.0063.8%18.3%66.7%57.5%58.7%-19.1%-1.9%349.0K-30.4M-99.3K0.9512.15N/AN/A4442205117
2018-11-21$2735.00$2400.0055.5%15.9%63.8%46.9%56.0%-18.0%-1.4%385.7K-30.0M-117.9K1.0911.21N/AN/A4447224137
2018-11-23$2799.00$2400.0059.1%16.9%63.1%51.5%59.8%-17.7%-2.1%403.6K-34.1M-127.2K1.7613.39N/AN/A2747234144
2018-11-26$2673.00$2400.0054.7%15.7%61.5%45.9%57.2%-14.0%-2.1%445.7K-26.6M-126.3K1.0212.25N/AN/A4748237146
2018-11-27$2650.00$2400.0051.9%14.9%58.6%42.3%57.1%-14.5%-1.2%457.5K-25.3M-129.5K1.1312.34N/AN/A4146249148
2018-11-28$2477.00$2500.0052.5%15.1%58.2%43.1%55.7%-11.5%-2.7%364.8K-14.6M-122.7K0.9311.39N/AN/A5046247148
2018-11-29$2454.00$2500.0055.1%15.8%55.4%46.4%56.6%-14.3%-3.2%367.6K-12.7M-127.5K0.9045.72N/AN/A4642253149
2018-11-30$2421.00$2500.0054.1%15.5%55.3%45.1%60.5%-14.9%-6.1%397.5K-11.9M-126.5K1.0044.95N/AN/A3939263149