SPXS Options History — October 2019

In October 2019, SPXS traded between $1593.00 and $1870.00. ATM implied volatility averaged 42.2%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 1.9% (HV 20d: 40.2%). Max pain ranged from $1600.00 to $1700.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.15.

Notable Days

  • 2019-10-02: Highest Volume — 141 contracts
  • 2019-10-09: Largest IV drop — 27.5% change
  • 2019-10-02: Highest IV Rank — 49.6%
  • 2019-10-02: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1706.91$1593.00$1870.00$1774.00$1614.00
Max Pain$1647.83$1600.00$1700.00$1700.00$1600.00
ATM IV42.2%27.9%62.2%55.6%32.2%
Expected Move12.0%8.0%17.8%15.9%9.2%
HV 20d40.2%32.5%45.0%32.5%33.9%
HV 60d46.8%43.7%48.5%43.8%43.8%
IV Rank23.2%4.4%49.6%40.9%10.1%
IV Percentile40.9%0.8%84.9%77.0%15.1%
Term Structure3.6%-3.7%8.2%1.9%5.4%
VWIV43.2%33.6%59.5%54.8%38.4%
Skew 25d-20.0%-31.4%-8.7%-21.8%-20.2%
Skew 10d-30.5%-48.0%-13.9%-15.0%-24.8%
Call IV 25d52.6%38.0%72.1%63.3%42.8%
Put IV 25d32.6%18.2%50.0%41.5%22.6%
Bid-Ask Spread %62.4626.34100.9378.5164.42
Gamma HHI0.200.120.360.180.16
Net GEX1.4M749.1K2.2M1.8M1.1M
Net DEX-22.3M-54.9M-5.7M-36.5M-12.8M
Net VEX-243.7K-314.4K-191.6K-288.8K-223.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.030.310.060.31
Total Volume41.957111414085
Total OI1,047.5228301,2211,095928

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$1774.00$1700.0055.6%15.9%32.5%40.9%54.8%-21.8%1.9%1.8M-36.5M-288.8K0.0678.51N/AN/A382906189
2019-10-02$1870.00$1700.0062.2%17.8%35.9%49.6%59.5%-19.6%-3.7%1.9M-54.9M-314.4K0.1054.81N/AN/A12813916190
2019-10-03$1845.00$1600.0052.0%14.9%32.5%36.1%56.9%-20.0%-1.6%2.0M-43.8M-277.6K0.1997.66N/AN/A5510918192
2019-10-04$1760.00$1600.0049.9%14.6%37.1%33.4%51.8%-24.9%3.0%1.9M-32.1M-278.2K0.1250.32N/AN/A374921196
2019-10-07$1769.00$1700.0054.6%14.6%37.1%39.6%50.2%-31.4%1.7%1.9M-30.8M-258.4K0.0761.60N/AN/A272929203
2019-10-08$1846.00$1700.0056.2%15.4%39.9%41.6%57.5%-26.0%0.9%2.2M-50.1M-299.4K0.2857.95N/AN/A4412939203
2019-10-09$1805.00$1700.0040.7%11.7%39.8%21.3%41.0%-26.4%5.5%2.2M-43.3M-286.9K0.11100.93N/AN/A283948207
2019-10-10$1778.00$1700.0051.8%14.8%39.3%35.8%54.6%-23.5%0.9%2.2M-35.2M-275.1K0.0960.07N/AN/A434957209
2019-10-11$1698.00$1700.0043.5%12.5%43.0%24.9%46.5%-28.5%3.9%1.7M-19.4M-251.3K0.1674.89N/AN/A7412972209
2019-10-14$1724.00$1700.0040.6%11.6%43.1%21.1%41.3%-18.9%4.9%1.8M-22.0M-243.7K0.0960.85N/AN/A202984206
2019-10-15$1670.00$1700.0038.4%11.0%44.6%18.3%35.2%-20.8%5.1%1.3M-13.1M-228.1K0.1168.04N/AN/A354990207
2019-10-16$1684.00$1700.0038.6%11.1%44.7%18.4%38.5%-19.8%5.1%1.6M-15.3M-227.4K0.3168.28N/AN/A2171,004208
2019-10-17$1665.00$1700.0038.3%11.0%44.9%18.1%39.6%-19.8%5.1%1.3M-12.1M-226.2K0.1263.75N/AN/A1821,010206
2019-10-18$1681.00$1600.0039.2%11.2%44.7%19.3%38.4%-15.1%4.0%749.1K-12.6M-221.9K0.1061.36N/AN/A4141,017204
2019-10-21$1656.00$1600.0039.5%11.3%45.0%19.6%39.2%-13.2%3.8%773.1K-11.9M-220.7K0.1664.59N/AN/A213652178
2019-10-22$1670.00$1600.0038.3%11.0%43.8%18.1%35.1%-19.7%3.7%840.3K-12.7M-223.4K0.1766.58N/AN/A122659181
2019-10-23$1663.00$1600.0038.3%11.0%43.2%18.1%39.5%-19.2%4.5%858.2K-13.2M-224.3K0.1931.11N/AN/A92666182
2019-10-24$1652.00$1600.0036.9%10.6%43.1%16.3%38.2%-20.8%3.6%890.6K-12.0M-223.7K0.1826.34N/AN/A112672183
2019-10-25$1630.00$1600.0027.9%8.0%42.3%4.4%33.9%-23.0%8.2%893.2K-9.7M-216.9K0.2826.81N/AN/A298679185
2019-10-28$1603.00$1600.0032.5%9.3%42.0%10.5%35.9%-10.4%4.6%861.8K-6.8M-202.2K0.0548.59N/AN/A332696185
2019-10-29$1609.00$1600.0031.5%9.0%39.5%9.2%35.0%-9.3%6.4%920.1K-7.7M-202.3K0.0962.11N/AN/A162714185
2019-10-30$1593.00$1600.0030.8%8.8%33.1%8.2%33.6%-8.7%6.8%920.9K-5.7M-191.6K0.0387.12N/AN/A371723185
2019-10-31$1614.00$1600.0032.2%9.2%33.9%10.1%38.4%-20.2%5.4%1.1M-12.8M-223.2K0.3164.42N/AN/A6520743185