SPXS Options History — January 2020

In January 2020, SPXS traded between $1211.00 and $1328.00. ATM implied volatility averaged 35.2%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 14.4% (HV 20d: 20.8%). Max pain ranged from $1200.00 to $1500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2020-01-31: Highest Volume — 141 contracts
  • 2020-01-27: Largest IV spike — 48.3% change
  • 2020-01-31: Highest IV Rank — 43.6%
  • 2020-01-31: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1266.05$1211.00$1328.00$1299.00$1328.00
Max Pain$1266.67$1200.00$1500.00$1500.00$1200.00
ATM IV35.2%26.8%50.8%29.6%50.8%
Expected Move10.5%8.3%14.6%8.5%14.6%
HV 20d20.8%16.3%31.9%20.1%31.9%
HV 60d21.4%19.6%24.8%24.4%24.8%
IV Rank22.4%10.9%43.6%14.8%43.6%
IV Percentile34.4%4.0%88.1%8.7%88.1%
Term Structure3.3%-1.3%6.4%5.0%-1.0%
VWIV40.4%34.1%54.5%35.2%54.5%
Skew 25d-19.4%-27.4%-7.6%-15.6%-21.1%
Skew 10d-33.3%-44.0%-13.4%-28.7%-36.3%
Call IV 25d46.8%37.2%64.6%38.5%64.6%
Put IV 25d27.5%17.4%43.5%22.9%43.5%
Bid-Ask Spread %32.476.7770.7438.6812.71
Gamma HHI0.220.160.420.180.17
Net GEX828.9K553.7K1.1M674.5K988.7K
Net DEX-7.1M-26.2M2.7M2.7M-26.2M
Net VEX-197.2K-246.7K-176.4K-184.3K-246.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.040.300.090.11
Total Volume57.0951714136141
Total OI1,105.1438501,3791,154983

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$1299.00$1500.0029.6%8.5%20.1%14.8%35.2%-15.6%5.0%674.5K2.7M-184.3K0.0938.68N/AN/A333917237
2020-01-03$1314.00$1400.0031.1%8.9%20.2%16.8%37.9%-18.6%6.4%806.9K-4.6M-195.1K0.1214.02N/AN/A476937206
2020-01-06$1311.00$1300.0032.4%10.2%20.2%18.6%39.2%-27.0%4.3%900.0K-5.2M-193.4K0.0422.11N/AN/A442958207
2020-01-07$1311.00$1300.0029.9%10.2%18.4%15.2%41.2%-18.4%5.4%842.5K-4.2M-189.7K0.0542.45N/AN/A302963205
2020-01-08$1282.00$1300.0031.2%10.0%18.8%16.9%38.0%-15.5%4.9%743.5K-1.8M-186.6K0.1070.18N/AN/A616986205
2020-01-09$1272.00$1300.0032.4%10.0%18.0%18.5%37.9%-15.5%4.5%770.2K-2.7M-187.5K0.0954.73N/AN/A5551,020203
2020-01-10$1282.00$1300.0030.1%10.2%18.7%15.4%34.7%-16.2%3.8%1.1M-7.7M-204.8K0.2317.86N/AN/A48111,065206
2020-01-13$1259.00$1300.0032.1%10.2%17.3%18.2%35.9%-18.7%4.2%1.1M-3.7M-190.5K0.0516.17N/AN/A3321,093210
2020-01-14$1259.00$1300.0026.8%10.3%17.3%10.9%37.5%-15.6%2.5%1.0M-3.4M-189.5K0.1270.74N/AN/A3041,113210
2020-01-15$1257.00$1300.0036.4%10.4%16.3%23.9%36.1%-15.5%1.9%955.7K-3.1M-185.8K0.0931.73N/AN/A2931,112211
2020-01-16$1226.00$1300.0028.8%8.3%17.8%13.7%34.1%-23.4%4.8%580.8K-1.2M-180.1K0.1639.82N/AN/A5791,135209
2020-01-17$1212.00$1200.0028.9%8.3%17.8%13.8%36.4%-7.6%6.0%553.7K260.1K-176.4K0.0837.89N/AN/A8471,165214
2020-01-21$1215.00$1200.0031.7%9.1%18.1%17.7%39.1%-21.7%3.5%710.3K-6.6M-185.5K0.196.77N/AN/A286675175
2020-01-22$1214.00$1200.0030.5%8.7%17.7%15.9%35.2%-22.5%4.8%742.7K-7.1M-190.9K0.199.79N/AN/A143687178
2020-01-23$1211.00$1200.0031.8%9.1%17.7%17.7%37.8%-27.4%4.6%730.8K-7.3M-189.6K0.239.79N/AN/A297692180
2020-01-24$1249.00$1200.0033.6%9.6%21.7%20.1%46.5%-24.3%4.5%797.8K-11.7M-206.7K0.3013.91N/AN/A7121696184
2020-01-27$1299.00$1200.0049.8%14.3%26.1%42.2%51.9%-21.5%-1.3%872.4K-18.9M-232.3K0.2652.33N/AN/A7118724201
2020-01-28$1261.00$1200.0048.3%13.8%28.0%40.1%45.9%-19.6%-0.2%801.8K-12.3M-213.6K0.117.63N/AN/A647724203
2020-01-29$1262.00$1200.0047.1%13.5%27.2%38.6%46.4%-18.6%0.5%842.6K-13.5M-218.5K0.0851.47N/AN/A444748208
2020-01-30$1264.00$1200.0046.4%13.3%27.3%37.6%47.1%-22.1%0.9%889.7K-10.8M-194.3K0.1560.99N/AN/A528756207
2020-01-31$1328.00$1200.0050.8%14.6%31.9%43.6%54.5%-21.1%-1.0%988.7K-26.2M-246.7K0.1112.71N/AN/A12714772211