SPXS Options History — December 2018

In December 2018, SPXS traded between $2346.00 and $3772.00. ATM implied volatility averaged 71.1%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 6.7% (HV 20d: 64.4%). Max pain ranged from $2300.00 to $2800.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2018-12-14: Highest Volume — 98 contracts
  • 2018-12-04: Largest IV spike — 44.5% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 28.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2959.05$2346.00$3772.00$2346.00$3112.00
Max Pain$2460.00$2300.00$2800.00$2400.00$2800.00
ATM IV71.1%44.8%100.6%44.8%77.8%
Expected Move20.0%12.8%28.8%12.8%22.3%
HV 20d64.4%55.9%82.4%55.9%79.3%
HV 60d57.6%50.8%67.0%50.8%67.0%
IV Rank65.9%33.2%100.0%33.2%72.1%
IV Percentile94.4%72.2%100.0%72.2%96.8%
Term Structure-4.8%-16.8%2.0%-2.1%-7.3%
VWIV70.5%50.7%96.5%50.7%79.0%
Skew 25d-19.4%-26.8%5.6%-13.6%-23.8%
Skew 10d-34.9%-53.4%-22.0%-22.0%-53.4%
Call IV 25d82.1%54.4%109.5%54.4%91.3%
Put IV 25d62.6%40.8%89.2%40.8%67.5%
Bid-Ask Spread %41.0126.2672.8252.2627.43
Gamma HHI0.130.100.170.130.10
Net GEX464.4K218.6K727.0K416.8K388.2K
Net DEX-39.2M-88.2M-6.5M-6.5M-24.4M
Net VEX-163.7K-195.0K-112.4K-112.4K-190.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.132.080.130.44
Total Volume61.7512983212
Total OI483.65398607417408

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$2346.00$2400.0044.8%12.8%55.9%33.2%50.7%-13.6%-2.1%416.8K-6.5M-112.4K0.1352.26N/AN/A284267150
2018-12-04$2553.00$2400.0064.8%18.6%63.9%58.7%65.0%-17.9%-7.0%504.7K-23.3M-133.6K0.3446.04N/AN/A4615276149
2018-12-05$2561.00$2400.0065.8%18.9%63.8%60.0%67.1%-17.5%-6.2%517.9K-23.2M-131.8K0.3646.79N/AN/A4918276149
2018-12-06$2585.00$2300.0065.5%16.3%57.8%59.7%61.1%-21.1%2.0%520.1K-25.3M-129.7K0.3629.45N/AN/A5119272165
2018-12-07$2686.00$2300.0070.2%17.7%59.0%65.6%61.3%-25.3%-4.5%537.6K-30.2M-146.0K1.3538.77N/AN/A2331286180
2018-12-10$2731.00$2300.0069.6%17.8%59.1%64.9%67.2%-22.5%-0.8%609.9K-34.0M-140.4K0.6635.02N/AN/A3221292184
2018-12-11$2719.00$2300.0065.5%17.0%56.0%59.7%65.8%-21.1%0.1%613.1K-31.1M-149.0K0.9831.52N/AN/A2524293198
2018-12-12$2664.00$2300.0059.4%17.0%56.6%51.9%58.1%-20.2%-0.7%658.1K-27.2M-151.1K1.6226.26N/AN/A3149301202
2018-12-13$2701.00$2300.0056.3%16.2%56.6%48.0%52.1%-17.2%0.6%727.0K-27.4M-171.8K2.0829.58N/AN/A2450305234
2018-12-14$2874.00$2300.0061.7%17.7%59.9%54.8%58.0%-16.8%0.7%607.7K-40.8M-178.4K1.2829.19N/AN/A4355305239
2018-12-17$3081.00$2300.0069.3%19.9%63.1%64.5%63.0%-18.5%-0.5%477.6K-55.8M-179.6K0.4139.23N/AN/A4318310249
2018-12-18$3011.00$2400.0069.1%19.8%61.4%64.3%69.6%-18.1%-4.7%425.2K-51.1M-181.1K0.4932.69N/AN/A4723310253
2018-12-19$3181.00$2500.0068.6%19.7%62.5%63.7%67.2%5.6%-6.8%320.3K-59.8M-184.7K0.2172.82N/AN/A7516321260
2018-12-20$3349.00$2500.0074.7%21.4%64.1%71.4%72.8%-20.9%-3.9%442.7K-78.4M-175.6K0.2249.43N/AN/A7015334263
2018-12-21$3510.00$2500.0081.8%23.4%65.3%80.5%79.1%-25.3%-6.6%320.9K-88.2M-177.4K0.3956.59N/AN/A5722341266
2018-12-24$3772.00$2500.00100.6%28.8%65.0%100.0%96.1%-20.3%-16.8%218.6K-58.8M-167.4K0.7052.54N/AN/A3323217195
2018-12-26$3323.00$2800.0084.8%24.3%82.4%80.7%93.2%-23.6%-11.4%287.9K-36.1M-185.4K0.2844.94N/AN/A4914203195
2018-12-27$3227.00$2800.0088.3%25.3%78.6%85.0%96.5%-23.5%-10.2%331.0K-31.8M-195.0K0.2943.99N/AN/A319213197
2018-12-28$3195.00$2800.0084.4%24.2%78.6%80.2%86.8%-26.8%-9.0%362.4K-31.0M-192.9K0.3635.68N/AN/A2911218197
2018-12-31$3112.00$2800.0077.8%22.3%79.3%72.1%79.0%-23.8%-7.3%388.2K-24.4M-190.3K0.4427.43N/AN/A84212196