SPXS Options History — January 2019

In January 2019, SPXS traded between $2436.00 and $3280.00. ATM implied volatility averaged 52.2%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 20.1% (HV 20d: 72.3%). Max pain ranged from $2500.00 to $2800.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2019-01-11: Highest Volume — 50 contracts
  • 2019-01-22: Largest IV spike — 32.8% change
  • 2019-01-03: Highest IV Rank — 67.1%
  • 2019-01-03: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2730.48$2436.00$3280.00$3112.00$2436.00
Max Pain$2690.48$2500.00$2800.00$2800.00$2500.00
ATM IV52.2%41.3%73.7%67.3%41.3%
Expected Move14.9%12.2%19.8%19.3%12.5%
HV 20d72.3%48.8%85.2%77.8%52.0%
HV 60d67.2%63.6%70.8%67.0%64.3%
IV Rank38.3%23.9%67.1%59.3%23.9%
IV Percentile70.1%48.8%95.6%92.1%48.8%
Term Structure2.1%-2.8%7.9%-2.3%2.9%
VWIV57.1%46.9%72.0%72.0%46.9%
Skew 25d-17.5%-21.9%-11.8%-19.2%-15.9%
Skew 10d-34.6%-48.2%-21.3%-35.4%-44.5%
Call IV 25d63.4%54.3%83.8%80.0%54.9%
Put IV 25d45.9%39.0%61.9%60.7%39.0%
Bid-Ask Spread %49.3634.6968.6542.4937.84
Gamma HHI0.130.100.160.110.11
Net GEX514.9K341.0K777.5K445.8K410.5K
Net DEX-8.2M-34.1M4.0M-25.2M3.1M
Net VEX-170.6K-184.2K-148.3K-184.2K-148.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.070.690.240.18
Total Volume29.9056502625
Total OI434.286359529408400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$3112.00$2800.0067.3%19.3%77.8%59.3%72.0%-19.2%-2.3%445.8K-25.2M-184.2K0.2442.49N/AN/A215212196
2019-01-03$3280.00$2700.0073.7%19.8%74.7%67.1%71.8%-21.9%-2.3%475.5K-34.1M-183.2K0.2534.69N/AN/A256217198
2019-01-04$2981.00$2700.0063.0%17.6%84.0%54.0%62.3%-18.2%0.7%464.9K-17.7M-184.0K0.2036.84N/AN/A408226199
2019-01-07$2884.00$2700.0059.8%16.8%85.2%49.0%68.3%-20.3%1.3%525.6K-14.0M-184.0K0.6937.34N/AN/A117243201
2019-01-08$2824.00$2700.0054.9%15.8%84.8%42.5%65.3%-18.8%2.0%506.8K-10.8M-177.5K0.2640.57N/AN/A328246199
2019-01-09$2793.00$2700.0055.4%15.9%84.7%41.9%57.9%-18.0%2.5%582.9K-10.1M-175.4K0.2242.60N/AN/A389259198
2019-01-10$2748.00$2700.0052.4%15.0%85.0%38.1%58.9%-18.1%3.5%564.0K-7.7M-176.2K0.2540.48N/AN/A287269200
2019-01-11$2757.00$2700.0051.6%14.8%84.6%37.0%56.2%-17.7%4.4%645.0K-8.3M-175.7K0.2446.04N/AN/A4010276200
2019-01-14$2795.00$2700.0050.8%14.6%84.6%36.0%54.4%-18.6%2.9%777.5K-11.5M-176.8K0.0747.65N/AN/A151293201
2019-01-15$2711.00$2700.0044.4%12.7%82.2%27.9%50.6%-15.3%7.9%640.7K-4.6M-167.7K0.1252.86N/AN/A273302201
2019-01-16$2684.00$2700.0046.3%13.3%77.6%30.2%52.6%-18.3%5.8%592.3K-4.9M-170.8K0.2250.78N/AN/A235313199
2019-01-17$2639.00$2700.0043.9%12.6%77.5%27.2%51.0%-17.5%5.6%531.2K-1.5M-168.1K0.1549.26N/AN/A284321201
2019-01-18$2538.00$2700.0042.4%12.2%74.7%25.3%49.1%-15.1%5.5%341.0K4.0M-157.5K0.3957.40N/AN/A3514328201
2019-01-22$2656.00$2700.0056.3%16.1%74.0%43.1%58.5%-18.8%-2.8%462.3K-6.9M-170.5K0.0752.52N/AN/A383225134
2019-01-23$2620.00$2700.0051.9%14.9%70.7%37.5%56.1%-19.6%1.0%470.6K-6.0M-171.0K0.1850.05N/AN/A193233136
2019-01-24$2615.00$2700.0048.3%13.9%63.2%32.9%54.5%-16.9%1.5%477.9K-5.0M-167.9K0.2757.94N/AN/A113234137
2019-01-25$2544.00$2700.0043.8%12.6%48.8%27.1%50.9%-15.4%2.9%431.4K-963.9K-160.3K0.1862.06N/AN/A163237136
2019-01-28$2613.00$2700.0050.3%14.4%50.4%35.4%54.7%-15.9%0.8%522.9K-5.2M-164.0K0.4563.35N/AN/A42243136
2019-01-29$2615.00$2600.0051.1%14.6%50.6%36.4%54.0%-16.5%0.3%533.5K-5.7M-164.8K0.3568.65N/AN/A104246137
2019-01-30$2495.00$2700.0047.3%13.6%52.0%31.5%52.6%-11.8%0.8%409.8K867.7K-154.0K0.1265.24N/AN/A334249138
2019-01-31$2436.00$2500.0041.3%12.5%52.0%23.9%46.9%-15.9%2.9%410.5K3.1M-148.3K0.1837.84N/AN/A214261139