SPXS Options History — August 2020

In August 2020, SPXS traded between $522.00 and $637.00. ATM implied volatility averaged 55.8%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 25.5% (HV 20d: 30.3%). Max pain ranged from $500.00 to $600.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2020-08-11: Highest Volume — 508 contracts
  • 2020-08-26: Largest IV drop — 16.8% change
  • 2020-08-24: Highest IV Rank — 21.4%
  • 2020-08-24: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$583.62$522.00$637.00$637.00$522.00
Max Pain$552.38$500.00$600.00$600.00$500.00
ATM IV55.8%48.8%63.6%51.5%53.3%
Expected Move16.4%14.0%18.2%14.8%15.3%
HV 20d30.3%22.8%35.3%35.3%22.8%
HV 60d57.0%50.3%64.9%64.9%50.3%
IV Rank17.7%14.3%21.4%15.6%16.5%
IV Percentile50.7%44.4%57.1%47.6%48.8%
Term Structure6.6%-7.6%11.1%8.9%8.2%
VWIV65.3%56.5%77.8%66.8%68.0%
Skew 25d-25.5%-34.6%-11.1%-28.6%-27.3%
Skew 10d-32.3%-60.2%-7.7%-60.2%-51.1%
Call IV 25d75.5%65.3%88.4%75.5%74.6%
Put IV 25d50.1%43.1%55.9%46.9%47.3%
Bid-Ask Spread %3.992.4513.012.942.77
Gamma HHI0.320.160.670.280.23
Net GEX1.8M893.8K4.2M1.5M1.1M
Net DEX-46.2M-61.6M-29.6M-54.5M-33.2M
Net VEX-308.4K-354.5K-243.0K-346.0K-243.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.030.160.070.16
Total Volume285.571169508244234
Total OI4,280.3813,6085,1593,6114,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$637.00$600.0051.5%14.8%35.3%15.6%66.8%-28.6%8.9%1.5M-54.5M-346.0K0.072.94N/AN/A228163,201410
2020-08-04$636.00$600.0051.7%14.8%33.9%15.7%65.5%-24.6%5.9%1.6M-56.2M-354.5K0.043.22N/AN/A16983,267409
2020-08-05$621.00$600.0048.9%14.0%34.4%14.4%61.8%-22.1%11.1%1.5M-51.8M-337.1K0.064.37N/AN/A235143,361414
2020-08-06$609.00$600.0051.0%17.1%33.6%15.4%77.8%-32.0%7.1%1.5M-47.2M-319.4K0.084.50N/AN/A344263,442415
2020-08-07$607.00$600.0048.8%16.7%32.6%14.3%70.1%-31.6%7.3%1.7M-53.0M-337.6K0.083.96N/AN/A261223,652428
2020-08-10$603.00$600.0051.5%16.5%31.8%15.6%70.3%-28.7%8.1%2.0M-53.2M-331.7K0.052.77N/AN/A291143,813435
2020-08-11$612.00$600.0055.1%17.9%32.7%17.4%76.4%-34.6%6.4%2.3M-61.6M-341.1K0.037.50N/AN/A495133,981439
2020-08-12$588.00$600.0059.6%17.1%32.9%19.5%62.2%-30.1%7.2%2.0M-48.5M-320.4K0.083.05N/AN/A431334,095442
2020-08-13$592.00$600.0060.4%17.3%32.7%19.9%64.8%-28.7%-7.6%893.8K-44.0M-318.6K0.103.41N/AN/A206214,207452
2020-08-14$596.00$500.0059.2%17.0%33.0%19.3%65.5%-28.8%7.6%933.0K-44.4M-316.2K0.1013.01N/AN/A153164,271464
2020-08-17$587.00$500.0060.2%17.2%32.4%19.8%69.6%-32.8%8.2%2.6M-50.3M-315.1K0.042.45N/AN/A271124,340471
2020-08-18$583.00$600.0059.4%17.0%32.4%19.4%66.6%-24.0%6.9%3.2M-44.5M-302.3K0.083.89N/AN/A251204,475475
2020-08-19$588.00$600.0059.2%17.0%32.7%19.3%65.1%-30.4%6.6%4.2M-52.6M-317.9K0.103.43N/AN/A229224,576488
2020-08-20$584.00$500.0061.6%17.7%28.8%20.5%68.5%-29.2%5.1%4.1M-50.4M-301.5K0.063.53N/AN/A224134,660493
2020-08-21$580.00$500.0060.0%17.2%27.0%19.7%59.1%-23.1%6.9%1.0M-40.6M-294.8K0.062.71N/AN/A371244,662497
2020-08-24$563.00$500.0063.6%18.2%27.5%21.4%59.2%-21.8%5.6%1.1M-41.3M-294.4K0.052.91N/AN/A198103,208400
2020-08-25$556.00$500.0062.5%17.9%26.0%20.9%56.5%-18.0%7.7%1.0M-39.7M-283.0K0.093.80N/AN/A212203,319405
2020-08-26$538.00$500.0051.9%14.9%25.8%15.8%57.3%-13.1%4.6%985.0K-36.8M-282.3K0.083.79N/AN/A265223,388416
2020-08-27$531.00$500.0051.3%14.7%24.3%15.5%57.8%-13.9%8.8%1.0M-35.9M-274.6K0.132.73N/AN/A346453,497419
2020-08-28$523.00$500.0050.3%14.4%24.3%15.1%61.9%-11.1%8.9%900.2K-29.6M-244.5K0.123.05N/AN/A189233,580424
2020-08-31$522.00$500.0053.3%15.3%22.8%16.5%68.0%-27.3%8.2%1.1M-33.2M-243.0K0.162.77N/AN/A202323,671426