SPXS Options History — March 2019

In March 2019, SPXS traded between $2040.00 and $2328.00. ATM implied volatility averaged 37.2%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 6.8% (HV 20d: 30.4%). Max pain ranged from $1900.00 to $2900.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2019-03-04: Highest Volume — 118 contracts
  • 2019-03-22: Largest IV spike — 44.1% change
  • 2019-03-25: Highest IV Rank — 32.8%
  • 2019-03-20: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2162.62$2040.00$2328.00$2164.00$2089.00
Max Pain$2280.00$1900.00$2900.00$2200.00$1900.00
ATM IV37.2%30.6%48.3%30.6%35.0%
Expected Move11.4%8.8%14.5%8.8%10.9%
HV 20d30.4%24.6%35.7%24.6%35.2%
HV 60d49.8%38.8%57.8%57.8%38.9%
IV Rank18.6%10.0%32.8%10.0%15.8%
IV Percentile44.6%28.6%68.7%28.6%38.5%
Term Structure2.8%-11.0%8.8%5.8%2.8%
VWIV40.0%29.7%47.0%36.1%41.5%
Skew 25d-15.7%-21.1%-11.1%-13.6%-15.0%
Skew 10d-30.3%-43.3%14.5%-27.2%-32.7%
Call IV 25d47.0%39.2%55.8%39.2%43.1%
Put IV 25d31.3%25.6%37.9%25.6%28.0%
Bid-Ask Spread %51.3020.8395.2275.1247.22
Gamma HHI0.200.120.320.240.15
Net GEX1.0M674.6K1.7M881.1K837.9K
Net DEX-1.7M-19.5M9.1M9.1M1.3M
Net VEX-208.5K-254.9K-141.7K-141.7K-194.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.030.390.390.29
Total Volume55.381151185730
Total OI624.048479733479636

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$2164.00$2200.0030.6%8.8%24.6%10.0%36.1%-13.6%5.8%881.1K9.1M-141.7K0.3975.12N/AN/A4116308171
2019-03-04$2201.00$2200.0036.0%10.3%25.9%17.0%36.0%-17.8%4.4%1.1M6.0M-142.7K0.1573.46N/AN/A10315323173
2019-03-05$2191.00$2200.0034.4%9.8%25.6%14.9%38.3%-17.3%6.2%1.1M2.2M-187.3K0.1176.91N/AN/A809392176
2019-03-06$2245.00$2200.0038.4%11.0%26.9%20.2%41.1%-19.4%5.4%1.3M-4.3M-204.4K0.0976.03N/AN/A959395181
2019-03-07$2305.00$2200.0045.7%13.1%28.7%29.5%45.5%-21.1%4.5%1.5M-17.3M-254.8K0.1569.20N/AN/A6810467185
2019-03-08$2328.00$2200.0040.4%11.6%26.5%22.7%42.5%-20.5%3.3%1.7M-19.5M-254.9K0.0971.38N/AN/A736464184
2019-03-11$2216.00$2900.0037.2%12.3%31.2%18.6%42.8%-18.7%6.0%1.5M-3.6M-229.4K0.0423.24N/AN/A613479186
2019-03-12$2188.00$2900.0034.9%12.1%31.3%15.7%30.7%-14.1%7.8%1.7M-1.2M-219.0K0.0624.59N/AN/A412505186
2019-03-13$2140.00$2800.0031.6%11.5%29.6%11.3%36.8%-15.2%8.8%1.2M3.6M-203.9K0.1621.39N/AN/A376519186
2019-03-14$2149.00$2800.0031.7%11.3%29.5%11.5%42.5%-14.2%7.8%1.2M2.3M-211.9K0.1824.09N/AN/A132541187
2019-03-15$2124.00$2800.0032.0%11.3%29.6%11.9%47.0%-11.1%7.7%674.6K4.0M-206.4K0.1320.83N/AN/A385547186
2019-03-18$2097.00$0.0033.9%10.4%28.9%14.3%40.4%-12.4%2.4%727.8K3.9M-194.3K0.2860.87N/AN/A164415170
2019-03-19$2110.00$2300.0036.9%10.7%28.9%18.1%39.7%-12.1%0.4%732.0K1.4M-208.1K0.1944.96N/AN/A306417173
2019-03-20$2104.00$2100.0036.4%14.5%28.9%17.5%29.7%-11.4%-11.0%783.0K573.2K-210.6K0.0895.22N/AN/A423431173
2019-03-21$2040.00$2000.0033.4%9.9%29.8%13.7%38.8%-11.2%0.8%737.1K4.0M-197.3K0.0943.74N/AN/A484446174
2019-03-22$2152.00$1900.0048.1%13.0%35.7%32.6%43.0%-20.9%-3.0%832.4K-8.7M-233.0K0.1050.81N/AN/A636447174
2019-03-25$2162.00$2000.0048.3%13.2%35.6%32.8%44.5%-17.3%-2.3%769.5K-5.7M-223.6K0.0445.37N/AN/A582435176
2019-03-26$2144.00$2000.0039.8%11.5%35.7%21.9%42.6%-15.8%0.3%835.5K-3.6M-217.7K0.0444.42N/AN/A311447177
2019-03-27$2139.00$2000.0038.8%11.5%35.6%20.7%38.9%-16.4%0.2%922.8K-6.4M-224.4K0.0343.91N/AN/A452462177
2019-03-28$2127.00$2000.0037.8%11.1%35.5%19.3%41.1%-14.4%0.9%885.2K-4.7M-217.9K0.0544.57N/AN/A372456178
2019-03-29$2089.00$1900.0035.0%10.9%35.2%15.8%41.5%-15.0%2.8%837.9K1.3M-194.7K0.2947.22N/AN/A237458178