SPXS Options History — September 2020

In September 2020, SPXS traded between $489.00 and $643.00. ATM implied volatility averaged 75.9%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 12.3% (HV 20d: 63.7%). Max pain ranged from $500.00 to $500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2020-09-04: Highest Volume — 1,016 contracts
  • 2020-09-02: Largest IV spike — 23.1% change
  • 2020-09-08: Highest IV Rank — 36.6%
  • 2020-09-04: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$581.38$489.00$643.00$518.00$578.00
Max Pain$500.00$500.00$500.00$500.00$500.00
ATM IV75.9%53.4%95.5%53.4%77.8%
Expected Move21.6%15.3%24.7%15.3%22.3%
HV 20d63.7%22.6%78.4%22.6%78.4%
HV 60d50.3%45.0%56.1%49.9%51.4%
IV Rank27.3%16.6%36.6%16.6%28.2%
IV Percentile65.9%48.8%80.6%48.8%67.9%
Term Structure12.1%5.7%17.0%9.9%9.8%
VWIV79.5%62.0%101.1%62.0%80.5%
Skew 25d-24.1%-47.6%-10.6%-10.6%-23.0%
Skew 10d-36.5%-67.0%-8.2%-8.2%-43.0%
Call IV 25d91.0%71.4%120.0%71.4%89.4%
Put IV 25d66.9%60.0%72.5%60.8%66.5%
Bid-Ask Spread %2.561.3511.482.632.81
Gamma HHI0.320.190.810.250.24
Net GEX1.9M841.1K7.7M959.2K1.3M
Net DEX-63.8M-84.6M-28.8M-33.6M-54.9M
Net VEX-318.2K-361.4K-248.1K-263.0K-301.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.050.210.160.11
Total Volume421.3331481,016170295
Total OI4,500.2863,9845,0254,1734,325

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$518.00$500.0053.4%15.3%22.6%16.6%62.0%-10.6%9.9%959.2K-33.6M-263.0K0.162.63N/AN/A147233,745428
2020-09-02$489.00$500.0065.8%18.9%27.8%22.4%83.0%-14.7%6.8%841.1K-28.8M-248.1K0.102.67N/AN/A529523,791435
2020-09-03$546.00$500.0079.5%23.2%51.3%29.0%101.1%-47.6%16.6%1.6M-68.5M-354.6K0.113.27N/AN/A867954,198449
2020-09-04$551.00$500.0092.9%24.7%51.6%35.4%81.6%-26.9%14.1%1.6M-56.3M-304.1K0.1211.48N/AN/A9041124,197480
2020-09-08$595.00$500.0095.5%24.4%59.2%36.6%85.1%-27.9%8.4%1.9M-78.4M-351.0K0.162.51N/AN/A501784,160529
2020-09-09$561.00$500.0083.3%23.9%62.3%30.8%78.8%-21.6%9.8%1.6M-53.9M-305.6K0.162.80N/AN/A284474,100560
2020-09-10$590.00$500.0081.4%23.3%63.7%29.9%83.7%-31.2%12.0%2.0M-76.3M-344.6K0.142.00N/AN/A381534,166579
2020-09-11$595.00$500.0075.9%21.8%63.7%27.3%75.3%-22.7%11.6%2.1M-72.4M-330.9K0.101.90N/AN/A347344,191589
2020-09-14$567.00$500.0075.2%21.6%65.9%26.9%73.3%-19.9%14.0%1.9M-56.6M-299.1K0.111.50N/AN/A205224,210600
2020-09-15$565.00$500.0075.3%21.6%65.8%27.0%72.4%-22.3%12.2%2.0M-59.6M-304.7K0.151.82N/AN/A175264,265610
2020-09-16$562.00$500.0076.5%21.9%65.7%27.6%76.3%-25.2%11.8%2.0M-58.4M-298.2K0.151.93N/AN/A211314,318624
2020-09-17$589.00$500.0077.9%22.3%67.9%28.2%78.6%-24.2%5.7%3.0M-74.4M-323.4K0.052.15N/AN/A391214,393632
2020-09-18$601.00$500.0066.7%19.1%68.2%22.9%68.4%-13.3%14.8%7.7M-75.6M-313.0K0.092.14N/AN/A746714,316641
2020-09-21$633.00$500.0072.2%20.7%70.4%25.5%81.7%-22.8%14.3%1.5M-77.4M-345.0K0.141.72N/AN/A459653,490494
2020-09-22$603.00$500.0071.9%20.6%71.9%25.4%80.5%-30.2%13.9%1.4M-64.3M-331.6K0.211.58N/AN/A174363,511526
2020-09-23$643.00$500.0072.4%20.8%74.8%25.6%82.7%-23.0%17.0%1.5M-81.9M-348.1K0.201.35N/AN/A263523,559537
2020-09-24$641.00$500.0073.7%21.1%73.4%26.2%86.9%-28.2%14.2%1.5M-84.6M-361.4K0.091.77N/AN/A364323,554569
2020-09-25$613.00$500.0071.9%20.6%75.5%25.4%78.1%-24.5%13.8%1.5M-67.7M-335.4K0.132.00N/AN/A331443,614575
2020-09-28$581.00$500.0075.6%21.7%78.2%27.1%77.3%-22.4%13.9%1.3M-57.0M-311.8K0.171.66N/AN/A198343,652594
2020-09-29$588.00$500.0079.4%22.8%78.2%29.0%82.4%-24.0%8.7%1.4M-59.4M-307.8K0.192.10N/AN/A124243,713587
2020-09-30$578.00$500.0077.8%22.3%78.4%28.2%80.5%-23.0%9.8%1.3M-54.9M-301.1K0.112.81N/AN/A265303,732593