SPXS Options History — June 2019

In June 2019, SPXS traded between $1814.00 and $2296.00. ATM implied volatility averaged 43.7%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 1.4% (HV 20d: 42.3%). Max pain ranged from $1900.00 to $2000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2019-06-07: Highest Volume — 232 contracts
  • 2019-06-25: Largest IV spike — 19.2% change
  • 2019-06-03: Highest IV Rank — 41.6%
  • 2019-06-03: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1947.25$1814.00$2296.00$2296.00$1852.00
Max Pain$1915.00$1900.00$2000.00$2000.00$1900.00
ATM IV43.7%37.4%55.1%55.1%45.4%
Expected Move12.5%10.7%15.8%15.8%13.0%
HV 20d42.3%32.1%51.5%44.0%32.1%
HV 60d36.2%35.1%37.5%35.1%35.3%
IV Rank26.9%18.9%41.6%41.6%29.1%
IV Percentile60.7%46.0%80.6%80.6%64.3%
Term Structure2.1%-1.4%4.8%-1.4%-0.4%
VWIV44.7%40.8%52.9%52.9%43.2%
Skew 25d-14.7%-16.7%-10.3%-14.5%-15.1%
Skew 10d-31.9%-41.2%-20.8%-24.0%-29.5%
Call IV 25d52.1%44.2%63.3%63.3%51.5%
Put IV 25d37.4%32.1%48.8%48.8%36.4%
Bid-Ask Spread %34.699.1470.9550.7259.17
Gamma HHI0.390.110.590.110.56
Net GEX1.7M1.1M2.2M1.1M1.8M
Net DEX-25.4M-53.7M-5.4M-53.7M-19.7M
Net VEX-254.1K-281.5K-203.5K-272.3K-244.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.050.510.090.08
Total Volume52.45122325348
Total OI9417751,076775917

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$2296.00$2000.0055.1%15.8%44.0%41.6%52.9%-14.5%-1.4%1.1M-53.7M-272.3K0.0950.72N/AN/A494582193
2019-06-04$2152.00$2000.0050.2%14.4%51.5%35.2%47.3%-13.2%0.3%1.3M-36.0M-258.1K0.3430.13N/AN/A5619583193
2019-06-05$2088.00$2000.0045.5%13.0%49.1%29.2%46.9%-12.6%0.6%1.3M-32.2M-257.5K0.349.14N/AN/A5318605209
2019-06-06$2036.00$1900.0041.1%12.2%49.7%23.5%41.0%-15.3%4.0%1.3M-25.0M-252.0K0.2219.96N/AN/A4410621210
2019-06-07$1976.00$1900.0044.4%12.9%50.5%27.8%43.5%-16.0%2.8%1.3M-17.9M-240.6K0.0815.54N/AN/A21418637209
2019-06-10$1948.00$1900.0042.0%11.9%50.7%24.8%47.0%-13.5%3.1%1.8M-27.4M-272.3K0.2226.39N/AN/A399757205
2019-06-11$1955.00$1900.0046.5%13.2%43.6%30.5%44.9%-15.8%2.3%1.9M-30.4M-275.2K0.3747.73N/AN/A3513768206
2019-06-12$1970.00$1900.0045.4%13.0%42.7%29.1%42.4%-16.3%1.1%2.0M-33.2M-276.1K0.2721.57N/AN/A5615779202
2019-06-13$1954.00$1900.0046.3%13.3%42.3%30.2%47.5%-15.7%1.5%2.1M-34.4M-281.5K0.4019.72N/AN/A239817202
2019-06-14$1941.00$1900.0040.3%11.6%41.7%22.5%47.9%-16.0%4.1%2.2M-30.8M-276.4K0.0740.73N/AN/A352823206
2019-06-17$1941.00$1900.0040.4%11.6%41.3%22.6%42.7%-15.6%3.7%2.2M-28.2M-253.8K0.3219.80N/AN/A93823206
2019-06-18$1887.00$1900.0042.6%12.2%41.4%25.5%44.2%-15.3%3.0%1.9M-21.7M-259.3K0.4022.33N/AN/A3514824207
2019-06-19$1862.00$1900.0039.5%11.3%40.9%21.5%42.1%-16.1%4.4%1.9M-16.1M-235.9K0.1570.95N/AN/A376834210
2019-06-20$1818.00$1900.0037.4%10.7%41.4%18.9%40.8%-10.3%4.8%1.4M-5.4M-203.5K0.3833.20N/AN/A2911851212
2019-06-21$1814.00$1900.0040.0%11.5%36.8%22.2%43.5%-14.1%4.0%1.4M-10.5M-232.7K0.5115.06N/AN/A3016865211
2019-06-24$1834.00$1900.0038.4%11.0%37.4%20.1%43.9%-13.4%2.7%1.7M-14.6M-232.7K0.0752.33N/AN/A151716189
2019-06-25$1878.00$1900.0045.8%13.1%37.3%29.6%44.4%-12.9%0.5%1.9M-25.1M-256.2K0.0652.34N/AN/A242724190
2019-06-26$1881.00$1900.0044.1%12.6%36.0%27.4%43.6%-16.7%0.8%1.9M-25.5M-255.5K0.0553.54N/AN/A302730192
2019-06-27$1862.00$1900.0044.1%12.6%36.0%27.4%43.9%-14.8%-0.1%1.9M-20.9M-246.7K0.1133.39N/AN/A142720192
2019-06-28$1852.00$1900.0045.4%13.0%32.1%29.1%43.2%-15.1%-0.4%1.8M-19.7M-244.2K0.0859.17N/AN/A444725192