SPXS Options History — July 2020

In July 2020, SPXS traded between $654.00 and $758.00. ATM implied volatility averaged 70.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 16.7% (HV 20d: 53.7%). Max pain ranged from $600.00 to $700.00. 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

  • 2020-07-13: Highest Volume — 821 contracts
  • 2020-07-13: Largest IV spike — 34.0% change
  • 2020-07-14: Highest IV Rank — 31.3%
  • 2020-07-13: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$697.27$654.00$758.00$758.00$660.00
Max Pain$613.64$600.00$700.00$700.00$600.00
ATM IV70.4%59.3%84.3%77.8%68.2%
Expected Move20.9%19.3%23.2%22.3%19.6%
HV 20d53.7%35.5%82.9%82.9%35.6%
HV 60d71.5%64.6%79.7%79.7%64.8%
IV Rank24.7%19.3%31.3%28.2%23.6%
IV Percentile64.8%59.5%74.2%71.0%60.3%
Term Structure5.5%1.8%9.8%5.2%3.4%
VWIV77.2%67.0%91.6%79.8%67.1%
Skew 25d-30.9%-41.6%-23.3%-28.4%-26.9%
Skew 10d-50.4%-91.3%-27.3%-57.0%-52.2%
Call IV 25d90.3%76.5%109.2%87.5%76.5%
Put IV 25d59.5%49.6%69.9%59.1%49.6%
Bid-Ask Spread %5.182.0113.982.013.38
Gamma HHI0.320.200.620.340.26
Net GEX2.0M953.1K3.3M2.4M1.4M
Net DEX-60.1M-73.6M-39.3M-70.3M-57.3M
Net VEX-357.0K-384.2K-288.1K-382.3K-336.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.040.160.050.05
Total Volume330.091118821252244
Total OI4,182.1362,7185,8524,1513,488

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$758.00$700.0077.8%22.3%82.9%28.2%79.8%-28.4%5.2%2.4M-70.3M-382.3K0.052.01N/AN/A240123,688463
2020-07-02$751.00$700.0074.8%21.5%82.2%26.8%74.2%-23.3%5.9%2.5M-68.4M-381.3K0.112.03N/AN/A380403,820464
2020-07-06$723.00$700.0063.3%20.8%77.3%21.3%85.1%-33.8%8.2%2.4M-58.9M-357.1K0.163.24N/AN/A311503,999479
2020-07-07$738.00$600.0067.3%21.3%76.6%23.2%87.6%-38.8%8.0%2.7M-69.1M-375.0K0.084.29N/AN/A239184,137497
2020-07-08$728.00$600.0062.3%21.2%76.7%20.8%82.3%-36.3%8.4%2.7M-63.8M-367.9K0.077.17N/AN/A209154,257502
2020-07-09$738.00$600.0061.6%22.1%76.7%20.5%91.6%-41.6%6.6%3.0M-73.6M-382.0K0.065.77N/AN/A386254,328510
2020-07-10$715.00$600.0059.3%20.9%50.3%19.3%83.9%-32.9%9.8%2.6M-56.6M-350.0K0.073.37N/AN/A357234,423518
2020-07-13$723.00$600.0079.4%23.2%50.7%29.0%91.4%-39.3%8.0%3.0M-66.8M-363.5K0.0913.95N/AN/A756654,592522
2020-07-14$710.00$600.0084.3%22.6%50.6%31.3%88.7%-38.6%6.4%3.3M-70.2M-358.3K0.084.48N/AN/A637534,947547
2020-07-15$683.00$600.0077.5%22.2%48.0%28.0%83.7%-33.7%8.7%2.5M-51.4M-335.1K0.146.74N/AN/A432625,080544
2020-07-16$690.00$600.0074.9%21.5%48.3%26.8%78.9%-31.5%3.0%3.3M-55.7M-346.2K0.0413.98N/AN/A362165,269548
2020-07-17$683.00$600.0071.0%20.4%48.2%24.9%74.4%-29.0%5.2%953.1K-41.4M-332.7K0.1111.98N/AN/A219255,301551
2020-07-20$665.00$600.0069.2%19.8%48.6%24.1%73.8%-26.1%3.2%988.5K-39.3M-288.1K0.113.52N/AN/A211222,376342
2020-07-21$663.00$600.0071.2%20.4%48.6%25.0%68.9%-26.6%5.6%1.0M-45.9M-325.2K0.062.99N/AN/A273162,450357
2020-07-22$654.00$600.0071.8%20.6%48.3%25.3%71.5%-28.4%1.8%1.1M-49.9M-339.0K0.093.71N/AN/A354312,614361
2020-07-23$678.00$600.0071.9%20.6%41.9%25.4%69.8%-28.8%2.4%1.3M-65.9M-384.2K0.064.82N/AN/A259162,879372
2020-07-24$691.00$600.0068.8%19.7%43.0%23.9%70.0%-26.9%4.6%1.4M-65.5M-365.2K0.113.06N/AN/A206222,914382
2020-07-27$674.00$600.0067.5%19.3%37.6%23.3%68.9%-26.9%4.7%1.3M-62.3M-376.5K0.072.52N/AN/A156112,901389
2020-07-28$684.00$600.0068.8%19.7%38.5%23.9%69.5%-26.4%2.1%1.4M-67.5M-378.7K0.092.98N/AN/A108102,954392
2020-07-29$661.00$600.0068.9%19.8%35.7%24.0%67.0%-28.1%3.6%1.3M-58.3M-356.2K0.163.84N/AN/A128212,997398
2020-07-30$670.00$600.0069.2%19.8%35.5%24.1%70.2%-26.8%5.4%1.4M-64.3M-372.0K0.074.09N/AN/A226163,055400
2020-07-31$660.00$600.0068.2%19.6%35.6%23.6%67.1%-26.9%3.4%1.4M-57.3M-336.6K0.053.38N/AN/A233113,083405