SPXS Options History — September 2019

In September 2019, SPXS traded between $1657.00 and $1853.00. ATM implied volatility averaged 43.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 0.3% (HV 20d: 43.2%). Max pain ranged from $1700.00 to $1700.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.10.

Notable Days

  • 2019-09-05: Highest Volume — 73 contracts
  • 2019-09-20: Largest IV spike — 142.5% change
  • 2019-09-20: Highest IV Rank — 89.2%
  • 2019-09-20: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1713.10$1657.00$1853.00$1853.00$1712.00
Max Pain$1700.00$1700.00$1700.00$1700.00$1700.00
ATM IV43.5%34.9%92.3%57.5%41.9%
Expected Move12.7%10.4%26.5%16.5%12.0%
HV 20d43.2%27.3%59.8%58.2%30.0%
HV 60d43.0%42.0%43.4%42.0%43.3%
IV Rank25.1%13.9%89.2%43.4%23.1%
IV Percentile46.3%29.4%99.6%81.3%46.4%
Term Structure2.3%-19.5%19.1%0.4%1.8%
VWIV45.5%32.6%59.6%59.6%48.2%
Skew 25d-19.6%-40.4%5.3%-16.5%-17.2%
Skew 10d-33.8%-46.0%-7.1%-38.3%-33.7%
Call IV 25d53.1%37.0%63.9%63.2%52.8%
Put IV 25d33.5%23.5%46.7%46.7%35.7%
Bid-Ask Spread %61.0121.70103.8650.9356.17
Gamma HHI0.210.170.550.170.19
Net GEX1.7M1.3M3.4M1.6M1.6M
Net DEX-21.7M-42.4M-9.5M-42.4M-24.6M
Net VEX-257.9K-317.6K-212.2K-317.6K-269.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.010.260.220.06
Total Volume41.0518734924
Total OI1,116.11,0181,2151,0381,091

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$1853.00$1700.0057.5%16.5%58.2%43.4%59.6%-16.5%0.4%1.6M-42.4M-317.6K0.2250.93N/AN/A409844194
2019-09-04$1795.00$1700.0047.2%13.5%58.3%29.9%53.7%-18.5%2.0%1.6M-29.5M-290.3K0.1644.61N/AN/A427859195
2019-09-05$1721.00$1700.0038.1%12.2%59.8%18.1%48.6%-23.5%7.0%1.4M-18.6M-255.3K0.0755.94N/AN/A685870195
2019-09-06$1716.00$1700.0034.9%11.5%57.0%13.9%45.9%-20.2%8.3%1.4M-16.5M-254.7K0.0157.25N/AN/A681877195
2019-09-09$1722.00$1700.0036.8%11.7%57.0%16.3%46.7%-26.6%3.8%1.6M-22.3M-277.5K0.2621.70N/AN/A287920195
2019-09-10$1735.00$1700.0035.6%11.7%54.0%14.8%47.0%-22.2%3.0%1.7M-24.4M-272.3K0.1060.66N/AN/A172933197
2019-09-11$1695.00$1700.0040.6%11.6%52.5%21.3%45.1%-19.2%1.8%1.5M-17.2M-255.4K0.1663.52N/AN/A234938197
2019-09-12$1657.00$1700.0037.0%10.6%43.4%16.6%41.5%-16.3%-4.8%1.3M-9.5M-212.2K0.1390.99N/AN/A456948197
2019-09-13$1669.00$1700.0038.5%11.0%43.8%18.6%41.6%-17.7%3.3%1.6M-15.5M-246.4K0.0561.03N/AN/A251978199
2019-09-16$1687.00$1700.0039.3%11.3%42.6%19.6%40.0%-22.8%4.2%1.8M-18.5M-247.4K0.0530.97N/AN/A432990200
2019-09-17$1674.00$1700.0039.1%11.2%40.7%19.3%45.9%-16.9%5.4%1.8M-17.7M-248.9K0.0726.19N/AN/A171995200
2019-09-18$1672.00$1700.0036.1%10.4%39.8%15.4%32.6%5.3%19.1%2.0M-16.1M-221.8K0.09103.86N/AN/A474999200
2019-09-19$1670.00$1700.0038.1%10.9%39.6%18.0%39.1%-13.3%4.2%2.0M-13.7M-235.9K0.0871.21N/AN/A2221,006202
2019-09-20$1695.00$1700.0092.3%26.5%40.2%89.2%49.5%-40.4%-5.4%3.4M-23.9M-238.5K0.06101.69N/AN/A4121,015200
2019-09-23$1690.00$1700.0038.7%11.1%27.3%18.9%40.8%-20.2%4.6%1.4M-16.7M-234.8K0.2659.58N/AN/A4211839179
2019-09-24$1738.00$1700.0044.5%12.8%29.8%26.5%51.7%-20.5%-19.5%1.4M-24.3M-248.0K0.0759.10N/AN/A655856189
2019-09-25$1699.00$1700.0041.0%11.8%30.4%21.8%45.6%-17.1%0.8%1.5M-23.4M-269.1K0.0660.10N/AN/A261878188
2019-09-26$1711.00$1700.0041.1%11.8%30.6%22.0%39.7%-24.1%2.8%1.6M-25.8M-276.8K0.0469.28N/AN/A241890189
2019-09-27$1751.00$1700.0051.0%14.6%29.2%34.9%46.9%-24.3%2.5%1.7M-32.8M-285.7K0.0275.35N/AN/A421896189
2019-09-30$1712.00$1700.0041.9%12.0%30.0%23.1%48.2%-17.2%1.8%1.6M-24.6M-269.1K0.0656.17N/AN/A231902189