SPXS Options History — July 2019

In July 2019, SPXS traded between $1687.00 and $1797.00. ATM implied volatility averaged 31.4%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 9.2% (HV 20d: 22.2%). Max pain ranged from $1700.00 to $1900.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2019-07-17: Highest Volume — 74 contracts
  • 2019-07-08: Largest IV spike — 25.9% change
  • 2019-07-19: Highest IV Rank — 19.3%
  • 2019-07-09: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1737.86$1687.00$1797.00$1797.00$1744.00
Max Pain$1772.73$1700.00$1900.00$1900.00$1700.00
ATM IV31.4%24.5%37.7%32.9%33.5%
Expected Move9.2%7.0%10.8%9.4%9.6%
HV 20d22.2%19.4%31.1%31.1%21.0%
HV 60d36.0%35.7%36.5%35.8%35.9%
IV Rank11.1%2.3%19.3%13.1%13.8%
IV Percentile28.4%3.2%46.0%33.7%34.9%
Term Structure5.0%1.3%8.6%4.3%3.0%
VWIV35.0%29.5%38.2%36.6%37.6%
Skew 25d-15.2%-25.2%-11.5%-13.8%-18.6%
Skew 10d-28.7%-37.9%-20.5%-28.2%-30.0%
Call IV 25d41.2%33.7%45.6%41.3%45.6%
Put IV 25d26.0%16.5%30.6%27.5%27.1%
Bid-Ask Spread %44.5810.5870.1659.5763.74
Gamma HHI0.340.200.610.610.20
Net GEX1.1M669.0K1.9M1.8M925.9K
Net DEX-8.3M-16.4M-2.3M-10.4M-16.4M
Net VEX-196.2K-233.0K-176.5K-233.0K-205.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.030.730.140.16
Total Volume35.18215744042
Total OI898.0916591,093952709

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$1797.00$1900.0032.9%9.4%31.1%13.1%36.6%-13.8%4.3%1.8M-10.4M-233.0K0.1459.57N/AN/A355757195
2019-07-02$1787.00$1900.0029.8%8.5%24.2%9.0%30.7%-11.5%5.1%1.9M-8.4M-218.1K0.2659.71N/AN/A195777191
2019-07-03$1745.00$1900.0024.5%7.0%23.5%2.3%29.5%-11.6%6.3%1.5M-3.5M-207.3K0.7360.71N/AN/A3022784191
2019-07-05$1749.00$1800.0025.4%8.9%23.0%3.5%36.4%-13.0%6.2%1.6M-7.4M-209.7K0.5451.93N/AN/A2714805184
2019-07-08$1770.00$1800.0032.0%10.5%22.5%11.9%38.2%-16.6%4.5%1.8M-12.1M-214.8K0.0353.14N/AN/A221810182
2019-07-09$1771.00$1800.0032.7%10.8%22.3%12.8%37.6%-15.0%4.4%1.9M-10.7M-198.4K0.0555.60N/AN/A191827182
2019-07-10$1743.00$1800.0031.1%8.9%22.4%10.8%37.6%-13.5%7.3%1.4M-3.5M-177.2K0.1161.55N/AN/A243828182
2019-07-11$1737.00$1800.0031.1%8.9%21.9%10.8%37.7%-16.8%7.1%1.2M-5.2M-195.1K0.1764.87N/AN/A153834182
2019-07-12$1712.00$1800.0030.1%8.6%22.1%9.5%33.5%-12.3%7.6%931.9K-2.3M-189.2K0.0970.16N/AN/A333841181
2019-07-15$1709.00$1800.0031.0%8.9%22.1%10.6%33.9%-12.3%7.4%920.4K-2.9M-189.2K0.3557.66N/AN/A4114859180
2019-07-16$1720.00$1800.0029.9%8.6%22.5%9.2%32.1%-15.7%8.6%925.7K-3.6M-187.7K0.0969.16N/AN/A464870180
2019-07-17$1749.00$1800.0031.3%9.0%22.3%11.0%34.2%-13.4%7.5%1.5M-8.7M-198.9K0.1257.15N/AN/A668883182
2019-07-18$1745.00$1800.0030.9%8.9%22.0%10.5%36.2%-15.0%7.5%833.6K-6.8M-190.4K0.0815.81N/AN/A514902187
2019-07-19$1759.00$1700.0037.7%10.8%20.9%19.3%36.8%-22.1%5.0%669.0K-9.4M-208.9K0.0765.16N/AN/A564907186
2019-07-22$1760.00$1700.0037.4%10.7%20.9%18.9%37.3%-13.5%2.1%718.4K-13.6M-201.7K0.0313.40N/AN/A171525134
2019-07-23$1721.00$1700.0030.0%8.6%21.6%9.4%33.8%-25.2%3.7%693.9K-10.2M-186.1K0.2511.50N/AN/A215528134
2019-07-24$1699.00$1700.0030.1%8.6%19.4%9.4%31.7%-15.0%3.7%731.3K-8.8M-181.5K0.2411.42N/AN/A205545138
2019-07-25$1723.00$1700.0030.8%8.8%20.4%10.3%33.5%-13.7%3.3%798.5K-11.4M-189.6K0.1512.64N/AN/A213550135
2019-07-26$1687.00$1700.0031.5%9.0%21.2%11.2%33.3%-12.1%2.6%756.2K-7.9M-177.4K0.0810.80N/AN/A272555135
2019-07-29$1694.00$1700.0032.3%9.3%21.4%12.3%34.7%-18.0%1.3%835.7K-9.0M-176.5K0.1744.56N/AN/A132563135
2019-07-30$1712.00$1700.0034.7%10.0%19.7%15.4%38.1%-16.0%2.0%854.5K-11.2M-180.5K0.2410.58N/AN/A164566137
2019-07-31$1744.00$1700.0033.5%9.6%21.0%13.8%37.6%-18.6%3.0%925.9K-16.4M-205.3K0.1663.74N/AN/A366571138