SPXS Options History — August 2019

In August 2019, SPXS traded between $1799.00 and $2007.00. ATM implied volatility averaged 53.5%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 1.5% (HV 20d: 52.0%). Max pain ranged from $1600.00 to $1700.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2019-08-14: Highest Volume — 173 contracts
  • 2019-08-12: Largest IV spike — 61.8% change
  • 2019-08-05: Highest IV Rank — 64.4%
  • 2019-08-14: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1889.41$1799.00$2007.00$1799.00$1826.00
Max Pain$1695.45$1600.00$1700.00$1700.00$1700.00
ATM IV53.5%41.3%72.9%48.1%50.0%
Expected Move15.0%12.1%18.5%13.8%14.3%
HV 20d52.0%22.2%66.2%22.2%65.5%
HV 60d40.5%34.3%44.8%34.3%42.3%
IV Rank38.8%23.5%64.4%32.5%33.6%
IV Percentile73.3%52.4%95.6%69.0%65.1%
Term Structure0.4%-4.9%2.9%-1.0%0.4%
VWIV56.2%47.7%66.0%47.7%58.8%
Skew 25d-25.0%-40.5%-19.8%-19.8%-22.5%
Skew 10d-34.6%-55.9%77.9%-44.2%-36.9%
Call IV 25d67.4%56.1%80.4%60.7%65.9%
Put IV 25d42.4%22.4%52.8%40.9%43.4%
Bid-Ask Spread %46.0728.7560.6843.5950.37
Gamma HHI0.210.150.760.200.17
Net GEX1.4M870.8K5.4M891.9K1.5M
Net DEX-35.0M-52.9M-17.0M-22.5M-33.7M
Net VEX-276.4K-323.2K-201.9K-217.0K-303.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.050.880.090.08
Total Volume69.773251737031
Total OI872.57121,0247121,024

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$1799.00$1700.0048.1%13.8%22.2%32.5%47.7%-19.8%-1.0%891.9K-22.5M-217.0K0.0943.59N/AN/A646573139
2019-08-02$1849.00$1700.0046.3%13.3%24.0%30.3%49.0%-23.2%2.1%870.8K-23.3M-201.9K0.1253.03N/AN/A8410577141
2019-08-05$2007.00$1600.0072.9%18.2%37.0%64.4%62.8%-28.1%-4.9%953.7K-48.2M-264.2K0.3143.86N/AN/A10231601147
2019-08-06$1948.00$1700.0057.3%14.9%39.1%44.3%59.6%-27.7%-0.5%994.5K-37.1M-248.7K0.0947.85N/AN/A525605155
2019-08-07$1928.00$1700.0057.6%15.2%38.8%44.7%58.2%-26.4%-0.3%1.1M-39.5M-257.8K0.8850.25N/AN/A7667623158
2019-08-08$1827.00$1700.0041.8%13.0%44.0%24.4%54.1%-24.6%2.3%946.6K-17.0M-223.3K0.1850.73N/AN/A7614630195
2019-08-09$1840.00$1700.0041.3%13.1%43.5%23.8%53.6%-26.5%2.3%1.0M-24.8M-264.3K0.1451.41N/AN/A446647203
2019-08-12$1928.00$1700.0066.9%16.0%46.1%55.9%59.1%-29.8%1.5%1.2M-38.0M-287.1K0.0635.15N/AN/A855656202
2019-08-13$1845.00$1700.0054.9%14.0%49.4%40.3%50.6%-40.5%-0.9%1.3M-25.7M-257.2K0.2560.68N/AN/A4612678202
2019-08-14$1991.00$1700.0064.5%18.5%55.6%52.8%65.2%-27.6%-1.9%1.4M-49.3M-289.1K0.1553.82N/AN/A15023688210
2019-08-15$1981.00$1700.0063.0%18.1%55.7%50.9%66.0%-26.2%-1.0%1.5M-52.9M-311.2K0.1350.32N/AN/A507724214
2019-08-16$1903.00$1700.0053.1%15.2%58.1%37.9%52.9%-24.9%1.4%5.4M-39.0M-291.9K0.1551.13N/AN/A579738214
2019-08-19$1828.00$1700.0044.5%12.8%60.1%26.6%50.8%-21.6%2.0%1.1M-24.2M-272.3K0.1228.75N/AN/A648674179
2019-08-20$1862.00$1700.0050.8%14.6%59.7%34.9%54.5%-23.1%1.1%1.1M-30.7M-283.1K0.0555.57N/AN/A261679183
2019-08-21$1832.00$1700.0042.2%12.1%59.8%23.5%50.8%-20.2%2.9%1.2M-26.4M-281.6K0.1838.86N/AN/A224687184
2019-08-22$1827.00$1700.0044.3%12.7%59.7%26.3%51.4%-22.7%2.9%1.1M-24.4M-265.0K0.1543.34N/AN/A274697185
2019-08-23$1970.00$1700.0060.6%17.4%64.2%47.7%61.0%-22.6%-0.7%1.2M-45.9M-306.6K0.0745.70N/AN/A1198711185
2019-08-26$1935.00$1700.0056.4%16.2%64.9%42.2%56.5%-23.2%-0.1%1.3M-45.2M-320.8K0.1140.58N/AN/A232750188
2019-08-27$1924.00$1700.0057.2%16.4%65.0%43.2%62.9%-23.9%-0.6%1.3M-45.3M-320.2K0.0729.93N/AN/A272778191
2019-08-28$1896.00$1700.0056.4%16.2%65.2%42.1%58.8%-23.4%0.7%1.4M-45.2M-323.2K0.1538.92N/AN/A294790191
2019-08-29$1821.00$1700.0047.4%13.6%66.2%30.4%51.4%-21.9%0.8%1.4M-30.9M-291.9K0.0649.73N/AN/A503807192
2019-08-30$1826.00$1700.0050.0%14.3%65.5%33.6%58.8%-22.5%0.4%1.5M-33.7M-303.1K0.0850.37N/AN/A292831193