SPXS Options History — June 2020

In June 2020, SPXS traded between $719.00 and $861.00. ATM implied volatility averaged 82.7%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 5.3% (HV 20d: 77.4%). Max pain ranged from $700.00 to $800.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2020-06-11: Highest Volume — 1,548 contracts
  • 2020-06-11: Largest IV spike — 64.2% change
  • 2020-06-11: Highest IV Rank — 44.9%
  • 2020-06-11: Largest Expected Move — 32.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$794.95$719.00$861.00$851.00$782.00
Max Pain$731.82$700.00$800.00$800.00$700.00
ATM IV82.7%59.1%112.9%80.4%80.2%
Expected Move23.8%17.4%32.4%23.0%23.0%
HV 20d77.4%66.6%88.2%66.6%85.1%
HV 60d117.8%91.3%148.9%148.9%91.3%
IV Rank30.5%19.3%44.9%29.4%29.3%
IV Percentile76.0%68.7%86.9%78.2%72.6%
Term Structure5.2%0.5%12.3%1.5%4.1%
VWIV90.8%72.2%114.5%89.1%84.5%
Skew 25d-36.4%-55.1%-24.9%-42.5%-33.0%
Skew 10d-67.3%-99.1%5.3%-75.9%-59.3%
Call IV 25d106.3%85.2%142.9%97.4%99.7%
Put IV 25d69.9%54.6%87.8%54.9%66.7%
Bid-Ask Spread %11.364.4430.3410.134.91
Gamma HHI0.260.180.490.180.30
Net GEX2.2M1.5M3.2M1.9M2.3M
Net DEX-76.1M-139.7M-26.6M-56.4M-81.5M
Net VEX-404.2K-518.6K-310.4K-380.5K-407.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.040.200.060.04
Total Volume496.0452221,548279337
Total OI4,5463,5795,6983,7753,980

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$851.00$800.0080.4%23.0%66.6%29.4%89.1%-42.5%1.5%1.9M-56.4M-380.5K0.0610.13N/AN/A264153,271504
2020-06-02$843.00$800.0065.7%18.8%66.6%22.4%77.9%-29.2%5.1%2.0M-54.2M-376.2K0.164.85N/AN/A259413,418508
2020-06-03$792.00$800.0067.5%19.4%68.8%23.3%79.1%-27.4%3.9%1.9M-40.5M-327.0K0.084.44N/AN/A453343,605503
2020-06-04$813.00$800.0064.8%19.5%69.8%22.0%72.2%-30.0%12.3%2.3M-56.0M-381.7K0.1130.34N/AN/A473513,871514
2020-06-05$745.00$800.0059.1%17.4%74.3%19.3%77.9%-30.9%9.7%1.6M-27.9M-322.9K0.108.07N/AN/A562573,896518
2020-06-08$719.00$800.0064.0%18.9%73.7%21.6%79.0%-24.9%8.0%1.5M-26.6M-310.4K0.097.30N/AN/A432414,177521
2020-06-09$726.00$800.0071.1%19.8%74.2%25.0%81.9%-32.8%8.2%1.8M-47.0M-364.2K0.109.93N/AN/A346344,517538
2020-06-10$736.00$700.0068.8%19.7%70.6%23.9%83.2%-28.7%6.4%2.0M-48.3M-370.1K0.1527.79N/AN/A329494,641550
2020-06-11$861.00$700.00112.9%32.4%88.2%44.9%114.5%-55.1%0.5%3.2M-139.7M-518.6K0.0516.57N/AN/A1,474744,714542
2020-06-12$847.00$700.0093.4%26.8%87.6%35.6%101.3%-43.7%7.4%2.8M-110.1M-453.7K0.0721.53N/AN/A1,241924,437561
2020-06-15$828.00$700.0093.3%26.8%87.7%35.6%105.5%-42.5%5.2%2.8M-103.0M-442.5K0.0813.08N/AN/A779604,698586
2020-06-16$779.00$700.0096.5%27.7%79.0%37.1%99.4%-41.6%6.5%2.3M-76.7M-419.2K0.1410.21N/AN/A549784,787606
2020-06-17$779.00$700.0095.2%27.3%77.8%36.5%97.6%-40.9%7.0%2.5M-79.4M-416.3K0.1125.72N/AN/A232254,934586
2020-06-18$782.00$700.0092.5%26.5%77.4%35.2%99.0%-33.7%2.8%3.0M-81.1M-414.9K0.057.25N/AN/A211115,058587
2020-06-19$783.00$700.0089.7%25.7%76.9%33.9%92.8%-35.9%4.4%1.7M-69.0M-384.3K0.159.13N/AN/A321495,109589
2020-06-22$777.00$700.0089.0%25.5%76.8%33.5%91.4%-40.6%1.8%1.8M-77.5M-407.6K0.087.30N/AN/A229193,173406
2020-06-23$758.00$700.0088.8%25.5%76.0%33.4%91.8%-33.4%1.2%1.9M-72.8M-392.3K0.206.28N/AN/A203403,305418
2020-06-24$814.00$700.0089.5%25.7%80.5%33.8%97.8%-36.8%6.4%2.1M-108.3M-453.6K0.068.19N/AN/A494293,417419
2020-06-25$803.00$700.0087.7%25.1%80.5%32.9%90.4%-33.5%1.8%2.1M-98.2M-439.1K0.076.15N/AN/A302223,389430
2020-06-26$844.00$700.0086.2%24.7%82.7%32.2%97.3%-42.7%5.5%2.3M-114.8M-466.3K0.065.83N/AN/A357233,401443
2020-06-29$827.00$700.0083.8%24.0%82.9%31.0%94.0%-39.9%4.0%2.4M-104.8M-443.8K0.084.99N/AN/A205173,432453
2020-06-30$782.00$700.0080.2%23.0%85.1%29.3%84.5%-33.0%4.1%2.3M-81.5M-407.4K0.044.91N/AN/A325123,521459