SPXS Options History — December 2020

In December 2020, SPXS traded between $394.00 and $428.00. ATM implied volatility averaged 55.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 22.3% (HV 20d: 33.4%). Max pain ranged from $400.00 to $400.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2020-12-09: Highest Volume — 434 contracts
  • 2020-12-09: Largest IV spike — 17.2% change
  • 2020-12-21: Highest IV Rank — 18.5%
  • 2020-12-21: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$412.32$394.00$428.00$426.00$394.00
Max Pain$400.00$400.00$400.00$400.00$400.00
ATM IV55.7%47.5%63.9%52.5%60.2%
Expected Move16.4%15.0%18.3%15.1%17.3%
HV 20d33.4%24.4%53.6%53.6%24.4%
HV 60d55.6%51.1%62.8%62.8%51.1%
IV Rank14.4%10.4%18.5%12.9%16.6%
IV Percentile27.8%18.7%36.1%27.4%32.9%
Term Structure5.5%2.3%9.2%3.7%3.2%
VWIV66.4%56.8%74.1%68.2%60.3%
Skew 25d-12.3%-32.4%35.2%-20.2%-28.8%
Skew 10d-17.0%-56.1%56.1%-37.7%-46.6%
Call IV 25d75.5%70.2%82.8%72.0%78.0%
Put IV 25d63.2%47.5%109.6%51.7%49.2%
Bid-Ask Spread %5.971.1832.292.301.18
Gamma HHI0.410.330.520.420.48
Net GEX936.1K450.4K1.4M829.2K1.0M
Net DEX-19.5M-27.0M-14.2M-16.2M-19.1M
Net VEX-151.7K-161.1K-136.2K-155.0K-149.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.040.210.090.05
Total Volume234.45576434332234
Total OI4,550.7274,0805,1824,0804,562

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$426.00$400.0052.5%15.1%53.6%12.9%68.2%-20.2%3.7%829.2K-16.2M-155.0K0.092.30N/AN/A303293,544536
2020-12-02$422.00$400.0052.2%15.0%48.3%12.7%74.1%-15.7%4.9%880.0K-17.0M-157.1K0.061.98N/AN/A169103,690545
2020-12-03$423.00$400.0050.6%16.7%45.0%11.9%68.9%-14.6%3.4%911.1K-17.2M-157.3K0.151.95N/AN/A183273,721549
2020-12-04$413.00$400.0047.5%16.1%42.9%10.4%64.2%-13.4%5.5%815.6K-14.2M-146.9K0.111.48N/AN/A223243,797555
2020-12-07$416.00$400.0051.0%16.7%43.2%12.1%70.9%-14.4%4.5%474.4K-17.0M-136.2K0.0615.78N/AN/A222143,879569
2020-12-08$411.00$400.0047.9%15.9%38.4%10.6%64.6%-14.1%7.1%450.4K-17.4M-136.8K0.071.40N/AN/A218153,978573
2020-12-09$420.00$400.0056.2%16.1%37.4%14.7%60.1%-13.4%8.2%973.8K-18.1M-152.0K0.051.76N/AN/A412224,028583
2020-12-10$419.00$400.0054.2%15.5%37.2%13.7%57.6%-13.6%9.2%1.1M-19.8M-150.2K0.046.80N/AN/A25394,226585
2020-12-11$424.00$400.0057.3%16.4%34.2%15.2%64.0%-13.7%8.5%1.2M-23.6M-155.6K0.111.73N/AN/A252274,311588
2020-12-14$428.00$400.0058.0%16.6%28.6%15.6%68.8%-13.5%9.2%1.1M-23.8M-153.1K0.101.38N/AN/A233244,341607
2020-12-15$413.00$400.0059.6%17.1%30.0%16.4%66.0%-13.3%6.3%1.0M-18.8M-147.0K0.2132.29N/AN/A157334,437616
2020-12-16$408.00$400.0059.3%17.0%29.9%16.2%66.7%-12.2%6.2%1.2M-19.3M-151.4K0.2012.29N/AN/A124254,486618
2020-12-17$404.00$400.0057.6%16.5%27.9%15.4%68.2%-27.7%2.4%1.4M-20.4M-155.9K0.1311.59N/AN/A169224,529615
2020-12-18$411.00$400.0059.7%17.1%29.1%16.4%68.4%-32.4%2.3%783.1K-27.0M-159.6K0.0916.81N/AN/A387364,570612
2020-12-21$413.00$400.0063.9%18.3%28.7%18.5%73.6%-13.3%2.6%825.1K-20.8M-161.1K0.1011.67N/AN/A305313,557537
2020-12-22$414.00$400.0059.7%17.1%28.9%16.4%73.2%-12.8%4.6%846.2K-20.3M-159.1K0.081.64N/AN/A127103,613549
2020-12-23$408.00$400.0055.5%15.9%24.6%14.3%69.9%-29.5%5.4%958.5K-20.9M-159.1K0.061.38N/AN/A12483,656550
2020-12-24$410.00$400.0052.5%15.0%24.6%12.8%61.6%-8.1%7.3%851.6K-20.7M-148.4K0.081.31N/AN/A7063,695547
2020-12-28$397.00$400.0056.5%16.2%26.7%14.8%70.7%-10.6%4.3%947.2K-17.9M-147.0K0.091.87N/AN/A244223,727544
2020-12-29$399.00$400.0056.6%16.2%26.5%14.8%63.6%29.0%5.8%1.0M-19.5M-149.5K0.061.35N/AN/A167103,867543
2020-12-30$398.00$400.0056.8%16.3%24.4%14.9%56.8%35.2%7.0%1.0M-19.8M-150.3K0.131.31N/AN/A157213,933548
2020-12-31$394.00$400.0060.2%17.3%24.4%16.6%60.3%-28.8%3.2%1.0M-19.1M-149.5K0.051.18N/AN/A222123,999563