SPXS Options History — May 2020

In May 2020, SPXS traded between $865.00 and $1118.00. ATM implied volatility averaged 84.7%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded below realized volatility by 1.3% (HV 20d: 85.9%). Max pain ranged from $800.00 to $1000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.08.

Notable Days

  • 2020-05-13: Highest Volume — 1,011 contracts
  • 2020-05-18: Largest IV drop — 25.5% change
  • 2020-05-01: Highest IV Rank — 42.5%
  • 2020-05-01: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$992.90$865.00$1118.00$1099.00$865.00
Max Pain$955.00$800.00$1000.00$1000.00$800.00
ATM IV84.7%67.8%107.8%107.8%75.2%
Expected Move24.7%20.1%30.9%30.9%21.6%
HV 20d85.9%73.1%119.3%119.3%73.1%
HV 60d156.2%150.2%159.9%156.1%150.2%
IV Rank31.5%23.4%42.5%42.5%26.9%
IV Percentile79.7%75.4%86.1%86.1%75.8%
Term Structure3.4%-0.9%7.9%0.0%6.7%
VWIV93.3%75.4%112.0%111.1%75.4%
Skew 25d-40.4%-51.5%-27.9%-38.5%-31.5%
Skew 10d-84.1%-103.4%-66.2%-80.9%-66.2%
Call IV 25d110.0%86.6%132.4%128.5%86.6%
Put IV 25d69.6%55.2%90.0%90.0%55.2%
Bid-Ask Spread %18.034.8552.305.6315.31
Gamma HHI0.180.120.270.140.18
Net GEX2.1M1.1M4.2M2.2M1.9M
Net DEX-73.2M-134.6M-39.7M-98.6M-58.6M
Net VEX-393.3K-442.1K-333.6K-432.2K-380.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.050.170.060.17
Total Volume426.71501,011563375
Total OI3,460.052,4884,1953,2183,677

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$1099.00$1000.00107.8%30.9%119.3%42.5%111.1%-38.5%0.0%2.2M-98.6M-432.2K0.065.63N/AN/A529342,806412
2020-05-04$1086.00$1000.00102.2%29.8%116.6%39.8%112.0%-51.5%1.7%2.1M-80.7M-390.7K0.0712.60N/AN/A464322,779425
2020-05-05$1060.00$1000.00100.8%29.6%88.6%39.1%107.1%-48.9%-0.8%2.1M-73.7M-394.1K0.0715.54N/AN/A361252,794439
2020-05-06$1072.00$1000.0097.7%29.1%87.4%37.7%110.6%-47.0%2.7%2.3M-86.5M-406.9K0.0817.62N/AN/A209162,942447
2020-05-07$1040.00$1000.0080.0%25.8%86.0%29.2%101.4%-48.6%4.3%2.4M-74.5M-398.5K0.0823.44N/AN/A430353,018455
2020-05-08$990.00$1000.0067.8%23.7%84.8%23.4%93.3%-41.6%5.1%2.2M-54.5M-361.3K0.0521.88N/AN/A409223,297468
2020-05-11$981.00$1000.0076.0%22.2%83.5%27.3%88.5%-41.1%6.8%2.6M-55.5M-353.8K0.0829.29N/AN/A319253,517474
2020-05-12$1035.00$1000.0087.0%23.4%80.5%32.6%95.7%-43.8%5.3%3.3M-83.9M-387.5K0.1018.53N/AN/A351353,617483
2020-05-13$1118.00$1000.00103.3%29.6%82.6%40.4%108.1%-47.7%-0.9%4.2M-134.6M-442.1K0.0615.52N/AN/A956553,693502
2020-05-14$1073.00$1000.0098.4%28.2%83.7%38.0%104.2%-48.6%1.9%3.0M-97.8M-407.1K0.0520.98N/AN/A828403,558516
2020-05-15$1062.00$1000.0094.1%27.0%79.2%36.0%94.5%-45.1%2.1%1.3M-85.9M-405.3K0.0820.25N/AN/A361303,570518
2020-05-18$936.00$1000.0070.1%20.1%89.4%24.5%85.5%-35.4%7.0%1.1M-39.7M-333.6K0.0510.38N/AN/A670352,110378
2020-05-19$964.00$900.0083.4%23.9%83.8%30.9%85.0%-40.2%4.5%1.5M-70.8M-426.4K0.0911.92N/AN/A245222,531399
2020-05-20$931.00$900.0073.2%21.0%81.1%26.0%84.1%-32.3%2.5%1.5M-62.7M-403.4K0.079.50N/AN/A233172,634403
2020-05-21$948.00$900.0075.0%21.5%81.6%26.9%87.1%-31.8%4.7%1.7M-73.1M-420.4K0.0731.14N/AN/A181132,731411
2020-05-22$947.00$900.0073.5%21.1%80.9%26.1%85.0%-33.5%3.0%1.8M-75.8M-431.1K0.127.96N/AN/A134162,761418
2020-05-26$907.00$900.0073.0%20.9%80.5%25.9%77.8%-27.9%7.9%1.6M-52.0M-364.4K0.0715.87N/AN/A314212,754426
2020-05-27$876.00$900.0075.3%21.6%80.6%27.0%78.5%-34.3%0.6%1.7M-49.9M-349.4K0.1152.30N/AN/A274302,920435
2020-05-28$868.00$900.0079.3%22.7%75.6%28.9%82.0%-39.4%2.4%1.8M-54.3M-376.1K0.104.85N/AN/A351373,029454
2020-05-29$865.00$800.0075.2%21.6%73.1%26.9%75.4%-31.5%6.7%1.9M-58.6M-380.8K0.1715.31N/AN/A320553,208469