SPXS Options History — October 2020

In October 2020, SPXS traded between $489.00 and $618.00. ATM implied volatility averaged 80.7%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 22.1% (HV 20d: 58.6%). Max pain ranged from $500.00 to $500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2020-10-28: Highest Volume — 649 contracts
  • 2020-10-26: Largest IV spike — 41.9% change
  • 2020-10-28: Highest IV Rank — 46.8%
  • 2020-10-28: Largest Expected Move — 33.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$541.18$489.00$618.00$571.00$618.00
Max Pain$500.00$500.00$500.00$500.00$500.00
ATM IV80.7%52.5%116.7%84.2%114.1%
Expected Move24.1%19.9%33.5%24.1%32.7%
HV 20d58.6%47.5%75.2%75.2%65.9%
HV 60d54.3%51.3%60.3%51.3%60.3%
IV Rank29.6%16.1%46.8%31.2%45.5%
IV Percentile65.3%40.1%87.3%73.4%86.9%
Term Structure1.1%-11.3%13.0%7.7%-11.3%
VWIV94.9%80.8%122.9%81.4%121.6%
Skew 25d-32.5%-47.0%-18.8%-20.6%-47.0%
Skew 10d-52.5%-73.5%-17.8%-43.7%-73.5%
Call IV 25d106.4%87.6%143.9%91.9%142.6%
Put IV 25d73.9%62.3%98.9%71.3%95.6%
Bid-Ask Spread %3.991.958.611.954.48
Gamma HHI0.250.160.470.240.17
Net GEX1.1M760.4K1.6M1.3M1.2M
Net DEX-46.9M-80.4M-22.6M-53.0M-80.4M
Net VEX-274.7K-340.6K-217.5K-297.8K-340.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.040.190.130.08
Total Volume297.227109649179534
Total OI4,276.1363,2615,4954,4023,729

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$571.00$500.0084.2%24.1%75.2%31.2%81.4%-20.6%7.7%1.3M-53.0M-297.8K0.131.95N/AN/A159203,809593
2020-10-02$578.00$500.0078.7%22.6%64.8%28.6%80.8%-18.8%13.0%1.4M-57.1M-298.9K0.118.40N/AN/A321363,844593
2020-10-05$553.00$500.0082.3%26.1%66.8%30.3%96.5%-32.0%2.2%1.3M-48.9M-286.9K0.073.18N/AN/A300213,951599
2020-10-06$572.00$500.0081.0%26.0%61.9%29.7%93.5%-32.6%3.1%1.5M-54.0M-288.5K0.104.09N/AN/A326344,029605
2020-10-07$542.00$500.0065.6%21.4%61.3%22.3%94.4%-32.5%5.8%1.4M-45.2M-276.6K0.083.00N/AN/A335274,132613
2020-10-08$531.00$500.0054.4%21.2%58.4%17.0%87.6%-35.2%6.3%1.3M-40.8M-269.5K0.114.31N/AN/A188224,283617
2020-10-09$517.00$500.0052.5%19.9%58.6%16.1%85.7%-28.7%5.7%1.2M-35.0M-257.3K0.073.00N/AN/A372264,368624
2020-10-12$489.00$500.0068.3%20.8%59.4%23.6%84.9%-31.6%3.6%949.9K-22.6M-228.5K0.198.61N/AN/A354684,524625
2020-10-13$496.00$500.0068.7%21.0%59.9%23.8%82.2%-32.1%2.1%1.2M-24.8M-217.5K0.165.10N/AN/A193314,679624
2020-10-14$507.00$500.0072.0%20.6%60.7%25.4%95.3%-29.5%3.8%1.5M-36.1M-254.1K0.163.95N/AN/A288464,709628
2020-10-15$511.00$500.0076.5%21.9%57.8%27.6%92.2%-31.4%-2.1%1.6M-38.7M-253.4K0.164.60N/AN/A281444,806639
2020-10-16$508.00$500.0075.0%21.5%56.9%26.9%89.7%-31.6%0.0%760.4K-40.3M-247.9K0.143.44N/AN/A225314,847648
2020-10-19$535.00$500.0075.9%21.8%56.9%27.3%92.4%-29.1%1.7%849.1K-44.6M-273.3K0.082.50N/AN/A183152,849412
2020-10-20$523.00$500.0079.7%22.8%55.2%29.1%92.5%-30.1%1.6%829.1K-42.4M-268.3K0.153.47N/AN/A98152,887420
2020-10-21$531.00$500.0077.3%22.2%49.2%28.0%90.9%-31.4%-1.1%890.9K-41.7M-265.3K0.163.05N/AN/A94152,906428
2020-10-22$522.00$500.0075.5%21.6%49.2%27.1%92.4%-35.5%0.3%855.4K-40.0M-260.4K0.143.32N/AN/A97142,912429
2020-10-23$519.00$500.0074.7%21.4%47.5%26.7%89.7%-33.3%2.0%855.0K-39.1M-249.5K0.042.84N/AN/A18172,924433
2020-10-26$554.00$500.00106.0%30.4%51.0%41.6%103.6%-32.1%-4.2%976.3K-52.2M-288.7K0.103.36N/AN/A369383,071436
2020-10-27$548.00$500.0085.5%24.5%50.8%31.9%103.2%-32.9%-1.3%1.0M-51.3M-286.1K0.132.93N/AN/A159203,124443
2020-10-28$601.00$500.00116.7%33.5%60.8%46.8%122.9%-45.0%-7.6%1.1M-78.0M-319.8K0.093.48N/AN/A594553,183448
2020-10-29$580.00$500.00111.0%31.8%62.1%44.0%113.8%-42.2%-6.4%1.1M-65.4M-314.0K0.114.74N/AN/A273303,179473
2020-10-30$618.00$500.00114.1%32.7%65.9%45.5%121.6%-47.0%-11.3%1.2M-80.4M-340.6K0.084.48N/AN/A492423,249480