SPXS Options History — January 2021

In January 2021, SPXS traded between $356.90 and $408.00. ATM implied volatility averaged 64.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 30.5% (HV 20d: 34.4%). Max pain ranged from $30.00 to $300.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.14.

Notable Days

  • 2021-01-15: Highest Volume — 1,963 contracts
  • 2021-01-12: Largest IV spike — 180.4% change
  • 2021-01-12: Highest IV Rank — 35.6%
  • 2021-01-27: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$376.07$356.90$408.00$408.00$396.20
Max Pain$111.11$30.00$300.00$300.00$50.00
ATM IV64.9%35.1%98.6%68.7%84.4%
Expected Move18.6%15.2%24.9%19.8%24.2%
HV 20d34.4%27.8%53.3%27.9%53.3%
HV 60d48.7%42.9%50.8%50.8%46.5%
IV Rank18.4%4.2%35.6%20.8%27.7%
IV Percentile36.6%4.8%79.8%41.7%69.8%
Term Structure0.9%-81.3%18.3%3.2%-81.3%
VWIV68.8%52.3%88.4%83.7%82.1%
Skew 25d-30.4%-46.5%-21.1%-35.1%-46.5%
Skew 10d-47.6%-75.9%-27.3%-65.2%-57.3%
Call IV 25d82.8%67.7%117.2%98.0%108.1%
Put IV 25d52.4%44.0%72.5%62.9%61.6%
Bid-Ask Spread %35.032.13107.633.3245.03
Gamma HHI0.230.090.660.430.09
Net GEX438.6K01.3M1.3M677.4K
Net DEX-79.8M-183.8M0-28.9M-98.2M
Net VEX-68.4K-164.3K0-164.3K-74.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.050.530.070.06
Total Volume711.5791931,9634881,693
Total OI4,041.47405,7034,6573,846

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$408.00$300.0068.7%19.8%27.9%20.8%83.7%-35.1%3.2%1.3M-28.9M-164.3K0.073.32N/AN/A455334,089568
2021-01-05$399.00$300.0070.9%20.0%27.8%21.9%76.5%-38.3%0.4%1.2M-26.1M-161.0K0.062.87N/AN/A305204,191589
2021-01-06$392.00$300.0076.6%19.8%28.1%24.7%80.2%-34.8%1.5%358.6K-11.3M-139.0K0.114.64N/AN/A459484,338595
2021-01-07$374.00$300.0060.2%18.4%32.1%16.6%70.3%-21.3%4.9%383.1K-9.2M-131.5K0.073.07N/AN/A522374,578609
2021-01-08$369.00$300.0069.0%18.4%30.6%21.0%67.4%-21.1%3.1%1.2M-18.7M-152.0K0.052.13N/AN/A380194,746613
2021-01-11$375.50$0.0035.1%0.0%31.8%4.2%0.0%0.0%0.0%0000.05107.63N/AN/A1,5368100
2021-01-12$374.20$30.0098.6%23.1%31.1%35.6%67.9%-27.4%3.2%62.7K-177.7M-9.2K0.1572.78N/AN/A6821034,880620
2021-01-13$370.70$30.0068.4%19.6%30.6%20.7%58.9%-32.4%-13.9%83.1K-174.8M-17.5K0.5343.14N/AN/A4652454,882629
2021-01-14$373.40$30.0056.1%16.1%29.0%13.7%62.9%-30.9%10.4%292.8K-177.3M-21.2K0.1138.68N/AN/A504565,005661
2021-01-15$384.30$30.0061.2%17.5%31.2%16.2%67.3%-32.7%6.3%379.2K-183.8M-20.4K0.1618.76N/AN/A1,6962675,021682
2021-01-19$374.10$40.0056.1%16.1%32.3%13.6%64.3%-23.2%18.3%164.9K-74.8M-39.9K0.1245.97N/AN/A541672,296485
2021-01-20$357.20$40.0053.4%15.3%34.6%12.2%60.7%-21.1%3.5%170.0K-69.9M-37.1K0.1622.87N/AN/A322532,373513
2021-01-21$356.90$40.0054.0%15.5%34.4%12.5%52.3%-25.6%11.6%193.4K-71.0M-41.2K0.2638.79N/AN/A153402,466547
2021-01-22$359.50$40.0053.0%15.2%34.6%12.0%55.0%-23.8%15.7%224.2K-72.5M-45.7K0.1939.16N/AN/A305582,502551
2021-01-25$360.50$40.0057.3%16.4%34.7%14.1%62.9%-23.7%5.6%335.2K-76.1M-52.5K0.0936.49N/AN/A522462,685592
2021-01-26$358.10$40.0055.6%15.9%34.4%13.3%65.7%-27.9%9.9%378.8K-74.8M-55.6K0.2537.55N/AN/A174432,813617
2021-01-27$389.70$40.0086.9%24.9%46.0%29.0%88.4%-44.7%5.5%427.9K-89.7M-66.9K0.0541.90N/AN/A1,170552,899637
2021-01-28$373.10$50.0067.3%19.3%48.3%19.1%71.3%-37.5%7.9%502.0K-81.8M-70.5K0.0960.74N/AN/A336293,006664
2021-01-29$396.20$50.0084.4%24.2%53.3%27.7%82.1%-46.5%-81.3%677.4K-98.2M-74.3K0.0645.03N/AN/A1,602913,171675