SPXS Options History — November 2020

In November 2020, SPXS traded between $436.00 and $594.00. ATM implied volatility averaged 71.2%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 0.2% (HV 20d: 71.0%). Max pain ranged from $400.00 to $500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.11.

Notable Days

  • 2020-11-09: Highest Volume — 947 contracts
  • 2020-11-18: Largest IV spike — 35.5% change
  • 2020-11-02: Highest IV Rank — 47.1%
  • 2020-11-02: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$471.55$436.00$594.00$594.00$440.00
Max Pain$425.00$400.00$500.00$500.00$400.00
ATM IV71.2%49.7%117.3%117.3%52.5%
Expected Move20.1%14.3%33.6%33.6%15.1%
HV 20d71.0%54.0%77.5%65.5%54.0%
HV 60d65.8%60.9%67.7%60.9%62.6%
IV Rank23.1%11.5%47.1%47.1%12.9%
IV Percentile49.5%23.4%87.3%87.3%27.4%
Term Structure1.6%-14.6%7.2%-14.6%3.3%
VWIV78.8%64.5%124.5%124.5%67.1%
Skew 25d-28.1%-41.8%-19.5%-41.8%-21.1%
Skew 10d-35.8%-78.5%32.1%-56.5%-16.0%
Call IV 25d89.4%69.8%138.9%138.9%75.6%
Put IV 25d61.4%50.3%97.1%97.1%54.4%
Bid-Ask Spread %3.282.447.367.362.44
Gamma HHI0.370.180.590.180.45
Net GEX986.6K704.3K1.4M1.2M907.8K
Net DEX-28.0M-70.3M-14.6M-70.3M-20.4M
Net VEX-203.7K-312.9K-154.4K-312.9K-164.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.030.350.100.08
Total Volume402.55101947573223
Total OI4,628.43,6735,6653,8074,006

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$594.00$500.00117.3%33.6%65.5%47.1%124.5%-41.8%-14.6%1.2M-70.3M-312.9K0.107.36N/AN/A522513,309498
2020-11-03$549.00$500.0092.7%26.6%70.6%35.3%121.0%-38.9%-9.8%1.1M-53.1M-285.4K0.112.76N/AN/A530613,309498
2020-11-04$516.00$500.0080.9%23.2%71.4%29.7%100.9%-28.2%-2.6%1.2M-44.7M-274.6K0.113.88N/AN/A502563,664537
2020-11-05$491.00$500.0085.6%21.9%73.1%31.9%82.2%-39.7%3.0%1.1M-33.8M-239.0K0.114.30N/AN/A554593,872546
2020-11-06$486.00$500.0070.7%21.2%72.7%24.3%80.4%-41.1%3.7%1.2M-32.1M-228.5K0.112.79N/AN/A269304,039549
2020-11-09$457.00$400.0081.5%20.9%73.3%29.4%78.6%-23.7%2.3%878.3K-20.0M-196.4K0.133.15N/AN/A8371104,138563
2020-11-10$471.00$400.0078.6%21.0%74.0%28.1%79.4%-30.5%2.1%1.3M-31.2M-218.7K0.063.20N/AN/A331214,325587
2020-11-11$463.00$400.0071.5%20.5%73.6%24.6%74.5%-28.4%3.7%1.2M-24.2M-199.3K0.063.14N/AN/A270164,323591
2020-11-12$481.00$400.0074.7%21.4%75.0%23.9%78.5%-34.3%4.1%1.4M-32.7M-218.0K0.092.74N/AN/A366324,436598
2020-11-13$454.00$400.0072.0%20.7%77.5%22.5%71.1%-28.5%4.0%1.2M-22.7M-196.3K0.122.63N/AN/A316374,559609
2020-11-16$443.00$400.0054.5%15.6%74.7%13.9%73.7%-26.5%7.2%927.4K-14.6M-159.5K0.082.87N/AN/A425324,740631
2020-11-17$446.00$400.0053.8%15.4%74.7%13.5%74.2%-26.1%4.8%704.3K-15.4M-163.7K0.105.19N/AN/A321314,896638
2020-11-18$457.00$400.0072.9%20.9%75.2%23.0%71.4%-23.5%-0.3%763.9K-27.3M-195.8K0.122.55N/AN/A271324,958643
2020-11-19$456.00$400.0072.7%20.8%75.1%22.8%67.6%-27.6%-1.0%751.3K-22.4M-182.4K0.032.72N/AN/A637184,950654
2020-11-20$461.00$400.0069.3%19.9%75.4%21.2%65.2%-19.8%3.0%817.2K-25.1M-190.1K0.122.66N/AN/A208245,008657
2020-11-23$457.00$400.0070.5%20.2%70.5%21.8%64.5%-20.7%2.1%806.9K-21.3M-177.4K0.102.95N/AN/A165173,167506
2020-11-24$436.00$400.0051.8%14.8%71.8%12.5%67.5%-20.1%4.2%723.2K-14.6M-154.4K0.122.74N/AN/A342403,218510
2020-11-25$437.00$400.0049.7%14.3%60.8%11.5%64.6%-19.5%6.5%804.5K-17.3M-162.4K0.352.68N/AN/A144503,361532
2020-11-27$436.00$400.0050.8%14.6%60.5%12.0%68.3%-21.0%5.2%842.4K-17.0M-155.2K0.112.75N/AN/A91103,420523
2020-11-30$440.00$400.0052.5%15.1%54.0%12.9%67.1%-21.1%3.3%907.8K-20.4M-164.1K0.082.44N/AN/A206173,479527