SPXS Options History — December 2019

In December 2019, SPXS traded between $1315.00 and $1519.00. ATM implied volatility averaged 34.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 10.7% (HV 20d: 23.6%). Max pain ranged from $1400.00 to $1600.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2019-12-03: Highest Volume — 92 contracts
  • 2019-12-10: Largest IV spike — 35.1% change
  • 2019-12-10: Highest IV Rank — 33.8%
  • 2019-12-10: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1397.19$1315.00$1519.00$1477.00$1328.00
Max Pain$1528.57$1400.00$1600.00$1400.00$1500.00
ATM IV34.2%26.6%46.5%40.3%28.7%
Expected Move9.8%7.6%12.7%11.5%8.2%
HV 20d23.6%16.6%25.7%16.6%23.1%
HV 60d29.5%24.3%30.9%29.6%24.3%
IV Rank19.2%9.6%33.8%26.3%13.5%
IV Percentile28.0%2.8%70.6%50.0%6.3%
Term Structure5.9%-0.0%10.4%1.9%6.3%
VWIV39.8%32.3%49.5%40.6%38.2%
Skew 25d-18.4%-25.1%-10.9%-18.2%-19.3%
Skew 10d-31.6%-44.1%-14.6%-31.3%-33.9%
Call IV 25d45.3%35.4%58.4%49.6%43.9%
Put IV 25d26.9%19.0%34.4%31.3%24.7%
Bid-Ask Spread %29.416.4279.2541.1030.18
Gamma HHI0.210.160.280.200.18
Net GEX906.3K585.2K1.2M1.1M830.2K
Net DEX-2.3M-18.7M6.5M-13.2M-1.2M
Net VEX-211.1K-266.6K-178.3K-245.4K-196.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.020.940.290.07
Total Volume34.9057924730
Total OI1,171.4291,0841,2511,1321,147

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$1477.00$1400.0040.3%11.5%16.6%26.3%40.6%-18.2%1.9%1.1M-13.2M-245.4K0.2941.10N/AN/A3611909223
2019-12-03$1519.00$1400.0044.0%12.6%19.4%30.8%49.5%-24.1%1.1%1.1M-18.7M-266.6K0.0844.55N/AN/A857920243
2019-12-04$1482.00$1400.0043.8%12.5%21.2%30.6%48.0%-16.0%-0.0%1.1M-12.2M-254.7K0.0828.95N/AN/A312922247
2019-12-05$1477.00$1600.0043.2%12.3%21.1%29.9%46.4%-20.5%5.7%1.1M-12.7M-252.4K0.0479.25N/AN/A151933247
2019-12-06$1435.00$1600.0032.7%10.1%23.0%17.0%43.2%-23.3%7.8%1.1M-7.5M-242.4K0.1221.52N/AN/A374941248
2019-12-09$1447.00$1600.0034.4%10.3%23.3%19.1%46.2%-19.8%6.6%1.1M-9.1M-244.5K0.1110.91N/AN/A202949251
2019-12-10$1459.00$1600.0046.5%12.7%23.5%33.8%43.0%-23.0%5.0%1.2M-11.3M-249.0K0.0216.22N/AN/A391951252
2019-12-11$1447.00$1600.0036.2%10.4%23.5%21.3%44.8%-22.5%7.7%1.1M-7.0M-226.3K0.2250.48N/AN/A123931254
2019-12-12$1406.00$1600.0036.3%10.4%25.3%21.5%39.2%-14.4%7.2%922.2K1.7M-193.8K0.0769.56N/AN/A423934254
2019-12-13$1406.00$1600.0031.7%9.1%25.3%15.8%36.6%-13.2%7.8%1000.0K553.6K-205.5K0.2857.93N/AN/A319937255
2019-12-16$1376.00$1500.0031.8%9.1%25.7%16.0%34.7%-11.6%8.5%883.9K5.8M-184.5K0.177.63N/AN/A387948254
2019-12-17$1373.00$1600.0032.2%9.2%25.7%16.5%33.5%-10.9%7.9%932.6K5.2M-185.8K0.0434.93N/AN/A392950254
2019-12-18$1372.00$1600.0032.8%9.4%25.7%17.2%33.6%-14.2%8.4%843.7K5.8M-185.7K0.038.34N/AN/A201981256
2019-12-19$1362.00$1500.0032.9%9.4%24.7%17.3%32.3%-11.7%8.9%708.5K6.3M-183.2K0.4224.02N/AN/A167989256
2019-12-20$1339.00$1500.0026.6%7.6%24.8%9.6%34.5%-20.1%10.4%585.2K6.5M-180.9K0.2218.92N/AN/A317997254
2019-12-23$1332.00$1500.0026.7%7.7%24.8%9.7%39.8%-16.9%5.1%650.5K5.1M-180.1K0.9411.95N/AN/A2220838246
2019-12-24$1335.00$1500.0026.6%7.6%24.4%9.6%38.1%-18.6%4.0%648.3K4.0M-182.0K0.046.42N/AN/A70842244
2019-12-26$1318.00$1500.0027.5%7.9%24.5%11.9%36.9%-21.5%6.5%638.3K4.6M-178.3K0.0312.50N/AN/A321848244
2019-12-27$1315.00$1500.0030.6%8.8%24.3%16.1%35.9%-25.1%5.4%669.4K1.2M-193.8K0.346.82N/AN/A259877238
2019-12-30$1336.00$1500.0033.0%9.4%24.8%19.3%39.7%-20.5%2.1%792.3K-2.4M-202.1K0.1735.43N/AN/A244902234
2019-12-31$1328.00$1500.0028.7%8.2%23.1%13.5%38.2%-19.3%6.3%830.2K-1.2M-196.7K0.0730.18N/AN/A282911236