SPXS Options History — March 2020 In March 2020, SPXS traded between $1393.00 and $2768.00. ATM implied volatility averaged 175.2%, placing in the 82.2% IV rank vs the trailing year. The 30-day expected move averaged 48.9%. IV traded above realized volatility by 12.4% (HV 20d: 162.8%). Max pain ranged from $1300.00 to $1500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.15.
Notable Days 2020-03-12 : Highest Volume — 430 contracts2020-03-05 : Largest IV spike — 43.4% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 65.4%Monthly Statistics Metric Avg Min Max Open Close Price $1898.50 $1393.00 $2768.00 $1506.00 $1589.00 Max Pain $1409.09 $1300.00 $1500.00 $1300.00 $1500.00 ATM IV 175.2% 90.2% 228.3% 100.7% 156.3% Expected Move 48.9% 25.8% 65.4% 28.9% 44.8% HV 20d 162.8% 95.0% 230.1% 95.8% 219.4% HV 60d 99.4% 59.0% 137.1% 59.1% 137.1% IV Rank 82.2% 49.7% 100.0% 57.0% 65.6% IV Percentile 98.3% 93.3% 100.0% 99.2% 93.3% Term Structure -26.2% -52.9% -6.0% -12.8% -6.0% VWIV 174.1% 102.1% 226.1% 113.9% 173.1% Skew 25d -61.3% -92.7% -29.0% -54.3% -77.3% Skew 10d -94.8% -136.5% -53.5% -105.4% -133.9% Call IV 25d 206.8% 117.1% 269.6% 132.1% 208.0% Put IV 25d 145.5% 67.9% 220.7% 77.8% 130.7% Bid-Ask Spread % 28.24 10.58 51.29 51.29 11.84 Gamma HHI 0.08 0.07 0.11 0.10 0.07 Net GEX 1.1M 679.7K 1.4M 679.7K 1.4M Net DEX -134.9M -253.1M -35.5M -47.0M -102.9M Net VEX -392.4K -452.2K -296.5K -296.5K -439.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.15 0.09 0.34 0.11 0.12 Total Volume 295.409 173 430 173 328 Total OI 1,545.818 1,136 1,946 1,136 1,946
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $1506.00 $1300.00 100.7% 28.9% 95.8% 57.0% 113.9% -54.3% -12.8% 679.7K -47.0M -296.5K 0.11 51.29 N/A N/A 156 17 822 314 2020-03-03 $1531.00 $1300.00 111.9% 32.1% 95.0% 64.7% 121.9% -57.5% -16.4% 762.8K -57.2M -312.6K 0.10 44.92 N/A N/A 256 25 874 322 2020-03-04 $1393.00 $1300.00 90.2% 25.8% 100.1% 49.7% 102.1% -49.2% -7.5% 754.8K -35.5M -300.9K 0.19 39.81 N/A N/A 247 47 949 327 2020-03-05 $1518.00 $1300.00 129.3% 31.8% 102.9% 76.8% 113.0% -53.3% -16.1% 1.0M -68.9M -364.9K 0.14 11.33 N/A N/A 258 36 1,107 324 2020-03-06 $1609.00 $1300.00 139.1% 35.5% 103.8% 83.7% 129.0% -60.4% -9.2% 1.1M -90.7M -390.0K 0.09 16.57 N/A N/A 315 30 1,156 320 2020-03-09 $1888.00 $1400.00 199.2% 44.5% 115.8% 100.0% 161.6% -53.1% -30.5% 1.2M -141.9M -398.8K 0.10 27.10 N/A N/A 263 27 1,186 334 2020-03-10 $1703.00 $1400.00 168.5% 41.8% 123.6% 83.0% 150.2% -61.2% -25.3% 1.2M -109.2M -382.5K 0.14 15.04 N/A N/A 259 37 1,175 344 2020-03-11 $1889.00 $1400.00 162.1% 46.5% 126.6% 79.4% 163.1% -47.3% -33.4% 1.3M -144.7M -402.7K 0.16 14.31 N/A N/A 206 34 1,236 350 2020-03-12 $2365.00 $1400.00 198.3% 56.8% 144.1% 99.5% 158.2% -51.8% -52.3% 1.1M -219.1M -401.9K 0.14 47.41 N/A N/A 378 52 1,212 365 2020-03-13 $2028.00 $1400.00 216.1% 61.9% 158.9% 100.0% 211.5% -67.7% -52.9% 1.0M -165.5M -388.4K 0.16 41.15 N/A N/A 211 34 1,185 375 2020-03-16 $2268.00 $1400.00 220.7% 63.3% 161.1% 100.0% 219.3% -56.1% -39.4% 1.1M -201.9M -408.9K 0.15 39.34 N/A N/A 246 36 1,245 378 2020-03-17 $2011.00 $1400.00 221.9% 63.6% 169.9% 100.0% 226.1% -88.4% -45.7% 1.1M -167.8M -393.7K 0.15 32.12 N/A N/A 257 40 1,269 390 2020-03-18 $2404.00 $1400.00 228.3% 65.4% 177.2% 100.0% 223.1% -29.0% -30.0% 1.4M -240.3M -423.3K 0.15 37.21 N/A N/A 295 44 1,354 392 2020-03-19 $2156.00 $1400.00 212.9% 61.0% 184.6% 92.6% 214.7% -92.7% -31.3% 1.2M -187.3M -397.6K 0.34 47.74 N/A N/A 187 63 1,289 416 2020-03-20 $2462.00 $1400.00 191.4% 54.9% 188.1% 82.4% 176.8% -50.4% -16.0% 839.6K -253.1M -396.0K 0.15 23.08 N/A N/A 297 45 1,360 442 2020-03-23 $2768.00 $1500.00 176.4% 50.6% 189.6% 75.2% 163.6% -41.2% -11.6% 967.0K -219.6M -412.1K 0.23 33.72 N/A N/A 184 41 1,017 258 2020-03-24 $2060.00 $1500.00 176.3% 50.5% 222.2% 75.2% 186.1% -43.3% -38.5% 991.1K -125.4M -414.7K 0.20 27.05 N/A N/A 227 46 1,029 274 2020-03-25 $1775.00 $1500.00 197.3% 56.6% 230.1% 85.2% 205.4% -63.1% -42.9% 982.2K -97.9M -419.3K 0.18 23.05 N/A N/A 331 60 1,169 291 2020-03-26 $1660.00 $1500.00 194.5% 55.8% 228.9% 83.9% 209.2% -89.7% -29.4% 997.9K -94.0M -422.9K 0.15 13.77 N/A N/A 298 45 1,306 289 2020-03-27 $1649.00 $1500.00 195.3% 56.0% 225.4% 84.2% 213.1% -88.5% -21.1% 1.1M -110.3M -452.2K 0.10 12.80 N/A N/A 263 26 1,487 301 2020-03-30 $1535.00 $1500.00 167.8% 48.1% 219.2% 71.1% 194.3% -73.0% -7.9% 1.2M -87.0M -412.8K 0.11 10.58 N/A N/A 226 26 1,523 306 2020-03-31 $1589.00 $1500.00 156.3% 44.8% 219.4% 65.6% 173.1% -77.3% -6.0% 1.4M -102.9M -439.7K 0.12 11.84 N/A N/A 294 34 1,627 319
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