SPXS Options History — February 2021

In February 2021, SPXS traded between $332.30 and $377.20. ATM implied volatility averaged 55.6%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 3.3% (HV 20d: 52.2%). Max pain ranged from $40.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-02-18: Highest Volume — 859 contracts
  • 2021-02-25: Largest IV spike — 40.5% change
  • 2021-02-01: Highest IV Rank — 21.8%
  • 2021-02-01: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$345.11$332.30$377.20$377.20$353.30
Max Pain$44.21$40.00$70.00$70.00$40.00
ATM IV55.6%44.1%72.5%72.5%71.8%
Expected Move15.7%0.8%20.8%20.8%19.9%
HV 20d52.2%44.5%56.2%56.0%44.5%
HV 60d40.2%37.4%44.9%44.9%40.2%
IV Rank12.2%7.4%21.8%21.8%19.0%
IV Percentile18.8%3.6%48.8%48.8%46.4%
Term Structure12.1%-4.2%64.8%9.9%-4.2%
VWIV64.5%56.0%82.6%77.4%74.6%
Skew 25d-18.7%-39.2%26.5%-36.8%-15.4%
Skew 10d-40.8%-59.4%-20.2%-59.4%-58.1%
Call IV 25d66.7%26.7%94.4%94.4%64.8%
Put IV 25d48.0%34.4%60.6%57.6%49.4%
Bid-Ask Spread %57.0731.5569.0750.7366.34
Gamma HHI0.170.080.840.100.08
Net GEX803.9K305.6K3.7M717.3K388.0K
Net DEX-67.6M-88.5M-55.1M-88.5M-62.9M
Net VEX-71.9K-81.5K-63.4K-81.5K-77.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.030.640.150.07
Total Volume446.842158859665443
Total OI4,363.5263,1055,6964,0383,340

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$377.20$70.0072.5%20.8%56.0%21.8%77.4%-36.8%9.9%717.3K-88.5M-81.5K0.1550.73N/AN/A577883,302736
2021-02-02$360.30$70.0059.2%17.0%56.2%15.1%65.3%-27.9%8.0%754.3K-79.5M-80.9K0.1439.35N/AN/A382543,465761
2021-02-03$359.30$60.0052.7%15.1%55.9%11.8%57.7%-22.1%14.0%848.4K-78.9M-77.4K0.2141.27N/AN/A214463,513740
2021-02-04$352.40$40.0046.5%0.0%56.0%8.7%64.7%-24.9%8.1%753.8K-73.8M-72.8K0.0831.55N/AN/A400313,548767
2021-02-05$345.90$40.0044.5%0.8%54.1%7.7%65.8%-15.8%64.8%825.5K-71.3M-72.3K0.1935.56N/AN/A242453,712774
2021-02-08$340.30$40.0044.1%17.1%54.1%7.5%65.9%-10.4%6.1%692.3K-67.6M-65.3K0.2061.98N/AN/A267533,782787
2021-02-09$337.40$40.0044.6%18.5%53.5%7.7%67.7%-12.2%6.5%737.4K-67.4M-68.9K0.1859.62N/AN/A220393,874821
2021-02-10$340.30$40.0061.2%17.5%53.8%16.1%64.3%26.5%7.4%824.7K-69.1M-74.6K0.0568.25N/AN/A656363,896827
2021-02-11$338.50$40.0061.3%17.6%53.7%16.1%64.7%-13.8%1.8%953.8K-69.7M-67.5K0.2561.55N/AN/A357904,057832
2021-02-12$334.30$40.0052.9%15.2%53.6%10.8%58.6%-6.0%8.6%821.8K-64.9M-63.4K0.1365.71N/AN/A362474,163888
2021-02-16$332.30$40.0054.1%15.5%52.1%11.4%59.0%-39.2%10.5%753.7K-64.3M-67.8K0.6462.68N/AN/A2631674,191917
2021-02-17$333.30$40.0052.4%15.0%51.7%10.2%58.3%-23.5%16.7%546.2K-61.8M-64.3K0.5367.33N/AN/A3661954,2631,029
2021-02-18$335.70$40.0053.9%15.5%49.5%10.9%56.0%-35.7%14.3%570.1K-63.8M-66.9K0.3862.84N/AN/A6232364,3181,120
2021-02-19$338.00$40.0056.0%16.1%49.7%10.8%62.5%-36.9%7.3%3.7M-66.1M-74.0K0.3665.44N/AN/A3631324,5111,185
2021-02-22$344.90$40.0054.9%15.7%50.2%10.2%62.9%-37.0%5.3%305.6K-57.7M-66.3K0.1059.97N/AN/A229232,418687
2021-02-23$342.80$40.0054.0%15.5%50.2%9.7%58.0%-19.1%8.8%335.6K-58.2M-74.3K0.0666.40N/AN/A393252,477697
2021-02-24$334.10$40.0049.5%14.2%50.9%7.4%58.7%-17.0%23.0%328.6K-55.1M-72.3K0.2148.62N/AN/A130282,531700
2021-02-25$356.70$40.0069.6%19.9%46.8%17.8%82.6%12.7%13.2%367.9K-64.1M-77.5K0.0369.07N/AN/A646222,574704
2021-02-26$353.30$40.0071.8%0.0%44.5%19.0%74.6%-15.4%-4.2%388.0K-62.9M-77.9K0.0766.34N/AN/A413302,630710