SPXS Options History — May 2019

In May 2019, SPXS traded between $1863.00 and $2255.00. ATM implied volatility averaged 49.0%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 13.2% (HV 20d: 35.8%). Max pain ranged from $1900.00 to $2000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2019-05-31: Highest Volume — 111 contracts
  • 2019-05-07: Largest IV spike — 66.7% change
  • 2019-05-13: Highest IV Rank — 64.7%
  • 2019-05-13: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2037.95$1863.00$2255.00$1890.00$2255.00
Max Pain$1909.09$1900.00$2000.00$1900.00$1900.00
ATM IV49.0%32.3%73.1%32.3%54.4%
Expected Move13.0%9.2%15.9%9.2%15.6%
HV 20d35.8%14.4%46.4%14.4%46.4%
HV 60d31.7%26.5%35.4%26.5%35.4%
IV Rank33.7%12.2%64.7%12.2%40.6%
IV Percentile70.4%39.3%96.0%39.3%78.6%
Term Structure0.2%-4.0%3.4%3.3%-1.2%
VWIV46.0%30.9%55.2%36.2%51.9%
Skew 25d-19.1%-27.2%-11.3%-11.3%-11.9%
Skew 10d-36.1%-47.3%-23.7%-28.7%-25.3%
Call IV 25d56.4%38.1%70.9%40.1%59.8%
Put IV 25d37.3%25.3%47.9%28.9%47.9%
Bid-Ask Spread %39.3715.1969.3259.1918.08
Gamma HHI0.150.120.440.140.12
Net GEX669.4K321.0K1.2M380.6K1.2M
Net DEX-11.4M-50.5M7.1M6.4M-50.5M
Net VEX-212.9K-266.6K-163.0K-163.0K-266.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.040.670.670.05
Total Volume61.2731611116111
Total OI626.273558765558765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$1890.00$1900.0032.3%9.2%14.4%12.2%36.2%-11.3%3.3%380.6K6.4M-163.0K0.6759.19N/AN/A106376182
2019-05-02$1924.00$1900.0034.2%9.8%16.2%14.7%37.6%-13.6%2.7%449.4K2.8M-178.0K0.1763.51N/AN/A458381185
2019-05-03$1863.00$1900.0032.6%9.4%19.4%12.7%30.9%-12.8%3.4%321.0K7.1M-168.4K0.1869.32N/AN/A428381187
2019-05-06$1887.00$1900.0039.7%11.2%19.8%21.8%42.9%-21.9%0.3%497.6K3.6M-174.3K0.0748.50N/AN/A423407187
2019-05-07$2002.00$1900.0066.1%15.5%29.4%55.7%55.0%-26.9%-1.6%539.6K-8.1M-214.0K0.1648.27N/AN/A7712405188
2019-05-08$1972.00$1900.0062.2%14.5%29.5%50.7%51.4%-27.2%-1.5%452.2K-2.7M-196.4K0.1345.74N/AN/A345411194
2019-05-09$2006.00$1900.0065.3%14.6%29.9%54.7%55.2%-26.3%-2.9%481.1K-6.0M-193.2K0.2534.25N/AN/A6316411193
2019-05-10$1994.00$1900.0052.0%12.7%30.0%37.6%46.1%-22.0%1.2%526.8K-4.6M-203.4K0.2653.33N/AN/A4411419196
2019-05-13$2136.00$1900.0073.1%15.9%37.7%64.7%51.2%-25.9%-4.0%692.3K-18.8M-236.3K0.1745.80N/AN/A7813419196
2019-05-14$2073.00$2000.0066.6%14.5%39.6%56.4%49.5%-23.9%-0.5%764.3K-13.1M-228.2K0.1939.51N/AN/A408445206
2019-05-15$2032.00$2000.0044.1%12.6%40.5%27.4%49.0%-20.8%0.3%808.0K-9.7M-220.5K0.0535.72N/AN/A543452206
2019-05-16$1990.00$1900.0042.9%12.3%41.3%25.9%43.7%-18.2%0.6%767.2K-5.7M-204.9K0.1448.80N/AN/A416460205
2019-05-17$2019.00$1900.0042.6%12.2%41.5%25.5%45.6%-20.5%1.0%1.1M-10.4M-210.3K0.0745.34N/AN/A614466205
2019-05-20$2060.00$1900.0047.3%13.6%42.0%31.6%44.8%-18.3%0.9%478.5K-9.0M-216.7K0.0416.13N/AN/A412397177
2019-05-21$2010.00$1900.0040.6%11.7%42.0%23.0%44.2%-17.1%1.3%598.6K-6.1M-207.7K0.1443.25N/AN/A233423178
2019-05-22$2019.00$1900.0039.5%11.3%42.0%21.5%42.5%-17.8%1.3%628.8K-6.8M-210.8K0.2133.63N/AN/A184428180
2019-05-23$2113.00$1900.0047.3%13.6%44.5%31.6%46.7%-19.4%0.1%659.5K-16.4M-233.9K0.1126.41N/AN/A627434180
2019-05-24$2088.00$1900.0045.2%13.0%44.8%28.9%43.9%-17.2%0.3%665.2K-14.8M-228.0K0.2327.12N/AN/A338435179
2019-05-28$2140.00$1900.0047.9%13.7%45.0%32.3%43.4%-16.2%1.0%741.1K-19.7M-230.8K0.2933.74N/AN/A8023447180
2019-05-29$2186.00$1900.0051.0%14.6%45.3%36.3%51.3%-14.8%-1.1%1.0M-34.9M-243.6K0.1615.24N/AN/A9115510182
2019-05-30$2176.00$1900.0050.5%14.5%45.5%35.6%48.6%-15.6%0.1%1.0M-32.5M-254.5K0.0415.19N/AN/A894530190
2019-05-31$2255.00$1900.0054.4%15.6%46.4%40.6%51.9%-11.9%-1.2%1.2M-50.5M-266.6K0.0518.08N/AN/A1065575190