SPXS Options History — November 2019

In November 2019, SPXS traded between $1432.00 and $1565.00. ATM implied volatility averaged 29.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 9.9% (HV 20d: 20.0%). Max pain ranged from $1400.00 to $1600.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2019-11-13: Highest Volume — 79 contracts
  • 2019-11-13: Largest IV spike — 67.8% change
  • 2019-11-21: Highest IV Rank — 20.5%
  • 2019-11-21: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1503.70$1432.00$1565.00$1565.00$1447.00
Max Pain$1510.00$1400.00$1600.00$1500.00$1400.00
ATM IV29.8%18.7%35.5%32.6%27.9%
Expected Move9.5%7.9%10.2%9.4%8.0%
HV 20d20.0%15.1%31.7%31.7%17.0%
HV 60d35.0%29.3%42.9%42.9%29.3%
IV Rank12.6%0.0%20.5%10.6%11.1%
IV Percentile13.8%0.0%30.6%17.1%3.6%
Term Structure3.7%2.0%6.6%4.1%5.2%
VWIV37.0%29.4%41.9%31.7%37.2%
Skew 25d-15.1%-18.7%-10.4%-10.4%-18.1%
Skew 10d-29.0%-37.7%-8.6%-8.6%-31.9%
Call IV 25d43.0%36.8%47.8%38.6%43.0%
Put IV 25d27.9%20.8%32.0%28.2%24.9%
Bid-Ask Spread %36.9510.3581.5833.3425.66
Gamma HHI0.200.160.390.160.20
Net GEX1.0M815.9K1.4M970.8K1.0M
Net DEX-9.1M-13.2M-5.5M-8.4M-8.6M
Net VEX-224.8K-245.7K-209.5K-217.8K-236.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.031.000.090.16
Total Volume35.712796312
Total OI1,058.159651,1499651,125

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$1565.00$1500.0032.6%9.4%31.7%10.6%31.7%-10.4%4.1%970.8K-8.4M-217.8K0.0933.34N/AN/A585780185
2019-11-04$1544.00$1600.0028.7%9.4%31.6%5.5%39.6%-16.2%3.5%1.0M-8.3M-217.3K0.3860.33N/AN/A2510817187
2019-11-05$1543.00$1600.0026.1%9.7%25.8%2.1%39.5%-15.5%2.7%1.0M-9.0M-219.0K0.4629.32N/AN/A126828190
2019-11-06$1548.00$1600.0018.7%9.3%25.6%0.0%39.2%-18.7%4.3%1.0M-10.4M-224.9K0.1619.10N/AN/A203835192
2019-11-07$1536.00$1600.0027.7%9.8%25.5%10.9%38.0%-14.6%3.2%994.6K-8.5M-220.2K0.2152.76N/AN/A306839195
2019-11-08$1523.00$1600.0025.5%9.4%21.0%8.3%41.9%-14.9%4.0%1.1M-7.9M-214.9K0.0570.56N/AN/A171860199
2019-11-11$1531.00$1600.0023.2%9.8%20.0%5.5%38.0%-14.5%2.7%1.2M-9.0M-211.2K0.0616.93N/AN/A161872198
2019-11-12$1523.00$1600.0020.2%9.7%17.5%1.8%39.0%-14.4%3.0%1.1M-8.3M-214.4K0.1926.68N/AN/A469878199
2019-11-13$1516.00$1600.0033.9%9.7%16.8%18.5%40.1%-14.3%3.5%1.1M-7.2M-209.5K0.0381.58N/AN/A772896202
2019-11-14$1514.00$1600.0033.7%9.7%16.7%18.3%38.4%-14.1%2.6%1.2M-10.7M-227.4K0.0954.04N/AN/A293934202
2019-11-15$1488.00$1500.0033.2%9.5%16.3%17.6%37.4%-13.6%4.8%1.4M-5.8M-216.4K0.1630.34N/AN/A518946203
2019-11-18$1480.00$1500.0033.0%9.5%16.0%17.5%39.0%-14.1%4.4%815.9K-8.6M-223.1K0.0714.44N/AN/A312804190
2019-11-19$1474.00$1500.0035.0%10.0%15.1%19.8%39.1%-15.2%3.7%825.6K-9.1M-227.9K0.5128.41N/AN/A3719808190
2019-11-20$1497.00$1400.0034.4%9.9%17.0%19.1%36.3%-16.8%3.0%888.1K-12.2M-234.9K0.0433.28N/AN/A301831190
2019-11-21$1503.00$1400.0035.5%10.2%17.3%20.5%36.2%-15.7%2.6%910.0K-13.2M-237.8K0.5461.69N/AN/A2614838191
2019-11-22$1494.00$1400.0033.3%9.5%17.0%17.8%34.0%-16.9%4.6%970.7K-13.0M-245.7K0.1310.52N/AN/A223859204
2019-11-25$1464.00$1400.0032.3%9.3%17.4%16.6%32.0%-12.7%6.6%1.0M-9.9M-239.3K0.0523.69N/AN/A362875210
2019-11-26$1452.00$1400.0034.4%9.8%17.1%19.1%29.4%-15.8%2.0%1.0M-8.7M-233.5K1.0010.35N/AN/A1212885211
2019-11-27$1432.00$1400.0027.7%7.9%17.3%10.9%34.6%-16.0%4.4%960.1K-5.5M-223.4K0.1355.87N/AN/A182893222
2019-11-29$1447.00$1400.0027.9%8.0%17.0%11.1%37.2%-18.1%5.2%1.0M-8.6M-236.7K0.1625.66N/AN/A102903222