SPXS Options History — February 2019

In February 2019, SPXS traded between $2184.00 and $2437.00. ATM implied volatility averaged 38.2%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.9% (HV 20d: 34.2%). Max pain ranged from $2200.00 to $2500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.34.

Notable Days

  • 2019-02-07: Highest Volume — 65 contracts
  • 2019-02-06: Largest IV spike — 17.4% change
  • 2019-02-11: Highest IV Rank — 25.5%
  • 2019-02-11: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2295.89$2184.00$2437.00$2427.00$2213.00
Max Pain$2315.79$2200.00$2500.00$2400.00$2200.00
ATM IV38.2%33.7%42.6%39.2%34.9%
Expected Move11.1%9.7%12.2%12.0%10.0%
HV 20d34.2%24.8%46.2%46.2%24.8%
HV 60d61.1%57.9%64.3%64.2%57.9%
IV Rank19.8%14.1%25.5%21.2%15.7%
IV Percentile43.5%33.7%55.6%46.0%35.3%
Term Structure3.0%1.4%4.7%2.8%2.8%
VWIV41.0%34.3%45.1%44.7%36.9%
Skew 25d-14.0%-18.1%-10.9%-15.5%-12.3%
Skew 10d-31.9%-39.7%-19.1%-39.4%-28.9%
Call IV 25d47.6%42.1%53.6%53.0%43.1%
Put IV 25d33.6%28.4%37.8%37.5%30.8%
Bid-Ask Spread %49.1416.6676.1441.0476.14
Gamma HHI0.170.110.270.110.25
Net GEX574.6K282.0K957.7K406.9K957.7K
Net DEX5.8M-86.7K8.7M4.3M4.2M
Net VEX-145.3K-160.6K-132.5K-144.9K-154.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.021.010.661.01
Total Volume36.47410653426
Total OI454.158374530406473

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$2427.00$2400.0039.2%12.0%46.2%21.2%44.7%-15.5%2.8%406.9K4.3M-144.9K0.6641.04N/AN/A2014266140
2019-02-04$2389.00$2500.0038.3%11.8%35.1%20.0%45.1%-12.9%3.2%378.5K5.8M-139.6K0.2946.38N/AN/A144277142
2019-02-05$2344.00$2500.0035.7%11.3%34.3%16.6%44.1%-14.4%2.5%282.0K8.7M-132.5K0.9247.83N/AN/A2119282144
2019-02-06$2356.00$2400.0041.9%12.0%34.4%24.6%42.0%-15.1%3.0%348.2K7.5M-141.7K0.4452.77N/AN/A73290153
2019-02-07$2429.00$2400.0042.1%12.1%37.2%24.8%42.0%-15.8%3.4%539.3K2.7M-152.3K0.1237.82N/AN/A587295154
2019-02-08$2437.00$2300.0041.6%11.9%37.2%24.2%45.0%-18.1%4.6%656.6K-86.7K-160.6K0.1847.55N/AN/A316320157
2019-02-11$2411.00$2300.0042.6%12.2%37.0%25.5%45.0%-15.4%1.4%673.4K904.4K-158.3K0.0254.65N/AN/A351330158
2019-02-12$2322.00$2300.0038.6%11.1%37.8%20.3%41.3%-13.3%3.1%617.6K6.2M-144.7K0.0958.33N/AN/A565346159
2019-02-13$2290.00$2300.0040.5%11.6%37.0%22.8%41.2%-13.7%2.0%444.8K7.9M-139.2K0.1060.08N/AN/A515350158
2019-02-14$2295.00$2300.0040.7%11.7%37.2%23.0%44.9%-14.3%2.4%461.7K6.0M-146.8K0.1556.73N/AN/A365355159
2019-02-15$2243.00$2300.0035.3%10.1%37.4%16.1%41.7%-13.8%4.5%410.8K8.6M-139.4K0.4461.55N/AN/A3917370160
2019-02-19$2218.00$2300.0036.4%10.4%35.6%17.6%40.9%-14.6%4.0%411.4K8.0M-136.5K0.3433.79N/AN/A186225149
2019-02-20$2219.00$2300.0034.9%10.0%30.0%15.6%38.4%-12.9%4.7%463.2K8.0M-138.2K0.3224.11N/AN/A227236153
2019-02-21$2251.00$2300.0039.5%11.3%31.1%21.5%39.1%-14.1%1.8%580.9K4.2M-153.9K0.0723.54N/AN/A453250159
2019-02-22$2205.00$2300.0033.7%9.7%31.3%14.1%34.3%-13.6%3.9%786.9K7.1M-140.4K0.1846.71N/AN/A224280160
2019-02-25$2184.00$2200.0036.5%10.5%30.5%17.7%38.2%-11.4%1.9%764.2K8.2M-137.1K0.2416.66N/AN/A256290161
2019-02-26$2186.00$2200.0036.9%10.6%27.9%18.2%38.8%-10.9%1.4%821.1K6.4M-147.0K0.3773.22N/AN/A228297162
2019-02-27$2203.00$2200.0036.0%10.3%28.4%17.0%36.0%-13.2%3.0%911.4K5.1M-152.0K0.4874.67N/AN/A178303166
2019-02-28$2213.00$2200.0034.9%10.0%24.8%15.7%36.9%-12.3%2.8%957.7K4.2M-154.7K1.0176.14N/AN/A1313306167