SPXS Options History — April 2020

In April 2020, SPXS traded between $976.00 and $1830.00. ATM implied volatility averaged 118.8%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 34.0%. IV traded below realized volatility by 57.9% (HV 20d: 176.7%). Max pain ranged from $1000.00 to $1500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2020-04-09: Highest Volume — 845 contracts
  • 2020-04-28: Largest IV spike — 20.3% change
  • 2020-04-01: Highest IV Rank — 78.0%
  • 2020-04-01: Largest Expected Move — 52.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1248.29$976.00$1830.00$1830.00$1022.00
Max Pain$1157.14$1000.00$1500.00$1500.00$1000.00
ATM IV118.8%82.6%182.1%182.1%88.2%
Expected Move34.0%23.7%52.2%52.2%25.3%
HV 20d176.7%114.7%228.1%221.6%114.7%
HV 60d151.0%140.0%155.5%140.0%155.5%
IV Rank47.7%30.5%78.0%78.0%33.1%
IV Percentile88.4%82.9%95.6%95.6%82.9%
Term Structure0.8%-10.5%9.7%-10.5%6.1%
VWIV129.6%95.0%185.1%185.1%97.2%
Skew 25d-53.2%-77.7%-36.2%-67.0%-39.3%
Skew 10d-98.4%-125.8%-75.0%-106.1%-97.6%
Call IV 25d153.2%106.8%222.7%222.7%116.6%
Put IV 25d100.0%60.9%155.7%155.7%77.3%
Bid-Ask Spread %16.165.9936.4111.945.99
Gamma HHI0.130.070.330.070.16
Net GEX1.6M1.1M2.2M1.7M2.0M
Net DEX-72.8M-158.6M-28.6M-158.6M-67.3M
Net VEX-390.5K-492.7K-315.7K-492.7K-385.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.050.230.070.05
Total Volume444.333267845336353
Total OI2,688.2862,0033,6002,0033,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$1830.00$1500.00182.1%52.2%221.6%78.0%185.1%-67.0%-10.5%1.7M-158.6M-492.7K0.0711.94N/AN/A315211,673330
2020-04-02$1713.00$1400.00154.4%45.0%221.6%64.7%166.7%-77.7%-9.7%1.8M-129.9M-465.0K0.079.22N/AN/A305231,697333
2020-04-03$1794.00$1400.00147.3%42.0%221.3%61.4%150.6%-59.1%-2.7%2.2M-151.4M-489.8K0.108.28N/AN/A284281,808337
2020-04-06$1428.00$1400.00124.7%35.7%228.1%50.6%140.3%-64.2%-2.4%1.3M-56.5M-366.3K0.1210.89N/AN/A467581,841346
2020-04-07$1345.00$1300.00130.2%36.1%226.4%53.2%141.4%-61.0%-2.9%1.4M-59.4M-383.2K0.1514.31N/AN/A540801,999378
2020-04-08$1270.00$1300.00131.6%37.7%222.7%53.9%141.8%-61.4%-3.6%1.3M-49.6M-366.0K0.1216.32N/AN/A426492,167406
2020-04-09$1190.00$1300.00123.4%35.4%203.4%49.9%135.2%-54.5%-2.1%1.3M-43.7M-355.8K0.0918.43N/AN/A777682,363427
2020-04-13$1228.00$1200.00120.6%34.6%199.6%48.6%134.5%-58.2%-0.6%1.7M-63.3M-371.4K0.0820.05N/AN/A506382,662435
2020-04-14$1118.00$1200.00107.8%30.9%194.2%42.5%119.9%-45.7%-0.8%1.1M-28.6M-315.7K0.1022.53N/AN/A516532,682450
2020-04-15$1186.00$1100.00119.5%34.3%194.2%48.1%129.0%-54.8%0.0%2.0M-64.3M-374.5K0.0722.33N/AN/A498372,963452
2020-04-16$1177.00$1100.00120.0%34.4%178.8%48.3%128.5%-55.3%0.6%1.9M-65.9M-379.9K0.1718.09N/AN/A321563,041443
2020-04-17$1089.00$1100.00108.8%31.2%177.4%43.0%121.9%-48.0%1.4%2.0M-40.6M-352.0K0.2317.55N/AN/A399933,141459
2020-04-20$1128.00$1000.00120.5%34.5%168.4%48.6%131.8%-55.1%-1.1%1.2M-70.3M-392.7K0.1315.98N/AN/A307401,883338
2020-04-21$1227.00$1000.00127.3%36.5%164.7%51.8%137.4%-48.9%2.6%1.5M-102.0M-441.2K0.1120.28N/AN/A472532,010365
2020-04-22$1140.00$1000.00113.1%32.4%135.4%45.0%125.8%-50.8%6.2%1.4M-76.6M-409.3K0.2013.50N/AN/A237482,025368
2020-04-23$1143.00$1000.00107.1%30.7%128.2%42.2%124.6%-47.8%5.8%1.5M-80.5M-412.6K0.0916.74N/AN/A342312,101365
2020-04-24$1101.00$1000.0098.7%28.3%127.2%38.2%112.6%-44.3%9.7%1.6M-66.9M-386.4K0.1025.94N/AN/A243242,195366
2020-04-27$1047.00$1000.0082.6%23.7%127.6%30.5%102.3%-36.2%9.1%1.5M-51.5M-350.1K0.117.43N/AN/A319342,284373
2020-04-28$1062.00$1000.0099.4%28.5%126.8%38.5%100.3%-41.7%3.9%1.7M-63.2M-380.1K0.067.11N/AN/A293192,428386
2020-04-29$976.00$1000.0086.9%24.9%127.3%32.5%95.0%-45.9%7.2%1.4M-39.3M-328.7K0.1036.41N/AN/A506522,539394
2020-04-30$1022.00$1000.0088.2%25.3%114.7%33.1%97.2%-39.3%6.1%2.0M-67.3M-385.9K0.055.99N/AN/A337162,794407