SPXS Options History — February 2020

In February 2020, SPXS traded between $1136.00 and $1771.00. ATM implied volatility averaged 54.3%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 11.0% (HV 20d: 43.3%). Max pain ranged from $1200.00 to $1200.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.17.

Notable Days

  • 2020-02-28: Highest Volume — 391 contracts
  • 2020-02-28: Largest IV spike — 54.5% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 46.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1264.95$1136.00$1771.00$1293.00$1771.00
Max Pain$1200.00$1200.00$1200.00$1200.00$1200.00
ATM IV54.3%29.1%162.6%48.9%162.6%
Expected Move15.8%8.4%46.6%14.0%46.6%
HV 20d43.3%33.1%73.2%33.1%73.2%
HV 60d30.9%25.3%48.9%25.3%48.9%
IV Rank42.4%14.2%100.0%41.0%100.0%
IV Percentile66.0%9.9%100.0%85.3%100.0%
Term Structure-3.6%-38.0%5.8%1.1%-38.0%
VWIV56.9%37.3%154.6%51.5%154.6%
Skew 25d-25.9%-72.0%-17.8%-18.9%-72.0%
Skew 10d-47.6%-108.9%-34.1%-34.3%-108.9%
Call IV 25d69.1%43.8%201.5%60.4%201.5%
Put IV 25d43.1%23.4%129.5%41.5%129.5%
Bid-Ask Spread %26.355.5174.7458.6641.75
Gamma HHI0.200.100.660.180.10
Net GEX901.5K606.3K2.4M975.1K648.4K
Net DEX-18.6M-79.9M-3.2M-19.4M-79.9M
Net VEX-218.2K-320.9K-168.8K-233.1K-320.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.040.450.150.21
Total Volume114.9473139152391
Total OI1,139.8429531,3251,0121,040

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$1293.00$1200.0048.9%14.0%33.1%41.0%51.5%-18.9%1.1%975.1K-19.4M-233.1K0.1558.66N/AN/A457794218
2020-02-04$1234.00$1200.0037.5%10.8%36.9%25.5%44.4%-21.7%3.6%890.1K-9.4M-207.0K0.268.19N/AN/A8823812221
2020-02-05$1197.00$1200.0037.4%10.7%38.1%25.3%39.5%-18.9%3.3%780.0K-5.6M-191.1K0.1054.87N/AN/A576853218
2020-02-06$1184.00$1200.0035.8%11.4%37.6%23.1%43.7%-19.1%0.3%853.2K-3.2M-168.8K0.0725.39N/AN/A574885217
2020-02-07$1198.00$1200.0037.3%11.7%38.0%25.2%45.6%-17.8%-0.1%1.0M-9.2M-198.6K0.0413.37N/AN/A823926218
2020-02-10$1182.00$1200.0036.9%12.2%37.9%24.6%43.3%-18.8%-0.8%973.5K-6.9M-189.1K0.3012.83N/AN/A5817942220
2020-02-11$1168.00$1200.0039.7%11.8%37.7%28.4%38.6%-22.4%-0.5%961.9K-6.7M-191.0K0.2012.12N/AN/A459979222
2020-02-12$1147.00$1200.0029.1%8.4%38.0%14.2%37.3%-21.1%5.8%788.7K-3.9M-182.5K0.1912.88N/AN/A5010996224
2020-02-13$1153.00$1200.0042.0%12.0%38.1%31.6%41.8%-20.8%-1.6%918.5K-6.8M-192.2K0.1021.35N/AN/A3841,036229
2020-02-14$1149.00$1200.0031.7%9.1%37.4%17.6%41.0%-19.0%1.3%923.6K-6.8M-192.6K0.1021.67N/AN/A3031,050231
2020-02-18$1153.00$1200.0041.8%12.0%37.3%31.3%42.3%-18.9%-1.2%995.8K-8.2M-191.7K0.125.51N/AN/A3141,071232
2020-02-19$1136.00$1200.0032.5%9.3%37.5%18.7%38.3%-23.2%2.1%606.3K-5.6M-188.1K0.457.78N/AN/A21101,076232
2020-02-20$1153.00$1200.0044.1%12.6%38.1%34.4%42.5%-20.5%-2.2%699.9K-8.4M-193.2K0.0874.74N/AN/A6351,086232
2020-02-21$1191.00$1200.0048.2%13.8%40.0%40.0%50.5%-22.3%-1.4%2.4M-13.8M-213.1K0.069.92N/AN/A9861,091234
2020-02-24$1293.00$1200.0067.5%19.3%48.6%66.2%69.1%-31.8%-6.1%649.7K-25.8M-248.1K0.2057.89N/AN/A15632743210
2020-02-25$1412.00$1200.0078.2%22.4%56.1%80.8%75.9%-38.9%-9.3%647.8K-37.1M-270.5K0.1411.94N/AN/A22332737217
2020-02-26$1431.00$1200.0075.6%21.7%54.7%77.2%76.5%-29.5%-8.8%680.3K-38.9M-277.3K0.3017.74N/AN/A13039731236
2020-02-27$1589.00$1200.00105.2%30.2%64.9%100.0%104.2%-37.5%-15.9%684.5K-57.8M-296.1K0.1331.98N/AN/A27136736262
2020-02-28$1771.00$1200.00162.6%46.6%73.2%100.0%154.6%-72.0%-38.0%648.4K-79.9M-320.9K0.2141.75N/AN/A32467766274