SPXS Options History — March 2021 In March 2021, SPXS traded between $312.40 and $373.90. ATM implied volatility averaged 52.3%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 4.6% (HV 20d: 47.7%). Max pain ranged from $40.00 to $310.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.11.
Notable Days 2021-03-04 : Highest Volume — 901 contracts2021-03-08 : Largest IV spike — 12927.5% change2021-03-08 : Highest IV Rank — 28.9%2021-03-04 : Largest Expected Move — 22.4%Monthly Statistics Metric Avg Min Max Open Close Price $331.34 $312.40 $373.90 $336.90 $312.40 Max Pain $126.52 $40.00 $310.00 $40.00 $300.00 ATM IV 52.3% 0.5% 87.5% 58.8% 41.7% Expected Move 15.4% 11.9% 22.4% 16.9% 11.9% HV 20d 47.7% 37.5% 53.3% 40.6% 42.4% HV 60d 44.9% 40.8% 46.1% 40.8% 45.4% IV Rank 21.9% 0.0% 28.9% 12.2% 22.7% IV Percentile 15.9% 0.0% 73.8% 22.6% 0.8% Term Structure -16.7% -66.2% 14.2% -0.6% 5.8% VWIV 58.0% 45.2% 81.6% 63.8% 45.2% Skew 25d -22.5% -40.6% -12.4% -19.6% -17.1% Skew 10d -37.3% -60.2% -21.8% -54.6% -35.3% Call IV 25d 69.3% 52.2% 103.4% 71.1% 53.3% Put IV 25d 46.8% 36.3% 62.8% 51.5% 36.3% Bid-Ask Spread % 43.87 21.70 64.50 57.98 38.59 Gamma HHI 0.17 0.07 0.74 0.08 0.16 Net GEX 743.8K 334.4K 2.6M 372.0K 793.7K Net DEX -52.3M -75.0M -34.7M -57.3M -37.2M Net VEX -87.4K -104.1K -71.4K -79.6K -95.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.11 0.02 0.45 0.07 0.25 Total Volume 449.478 234 901 234 318 Total OI 3,776.435 2,671 4,747 3,415 3,539
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-03-01 $336.90 $40.00 58.8% 16.9% 40.6% 12.2% 63.8% -19.6% -0.6% 372.0K -57.3M -79.6K 0.07 57.98 N/A N/A 218 16 2,686 729 2021-03-02 $341.40 $40.00 62.1% 17.8% 38.2% 13.9% 64.4% -28.8% -4.3% 424.4K -58.9M -81.1K 0.05 46.80 N/A N/A 269 13 2,732 734 2021-03-03 $353.50 $40.00 70.5% 0.0% 37.5% 18.3% 65.5% -17.5% 4.1% 487.0K -66.0M -90.9K 0.10 35.47 N/A N/A 320 32 2,821 741 2021-03-04 $373.90 $50.00 87.5% 22.4% 42.6% 27.1% 81.6% -40.6% -47.1% 568.9K -75.0M -98.9K 0.09 59.25 N/A N/A 826 75 2,891 741 2021-03-05 $349.50 $50.00 0.5% 17.4% 48.7% 0.0% 71.8% -38.1% -53.6% 529.5K -64.5M -85.7K 0.07 58.93 N/A N/A 651 43 2,884 760 2021-03-08 $351.20 $50.00 66.4% 19.0% 48.3% 28.9% 70.6% -34.7% -66.2% 559.0K -65.2M -89.1K 0.10 49.43 N/A N/A 291 28 2,961 773 2021-03-09 $339.40 $50.00 63.5% 16.6% 49.5% 27.7% 62.5% -25.0% -57.9% 545.6K -60.0M -84.7K 0.08 28.86 N/A N/A 371 30 3,035 783 2021-03-10 $334.00 $50.00 55.3% 15.9% 49.8% 24.1% 56.6% -26.5% -51.9% 574.0K -57.4M -81.1K 0.08 42.92 N/A N/A 250 19 3,128 783 2021-03-11 $324.10 $60.00 55.8% 16.0% 50.7% 24.3% 65.3% -24.2% -15.7% 413.0K -52.7M -74.5K 0.09 35.67 N/A N/A 336 30 3,251 794 2021-03-12 $323.80 $60.00 51.1% 14.7% 50.7% 22.2% 54.8% -23.7% -48.3% 646.8K -53.6M -78.7K 0.10 50.11 N/A N/A 304 31 3,420 797 2021-03-15 $320.20 $60.00 53.1% 15.2% 50.7% 23.1% 59.4% -15.1% -14.6% 593.3K -51.5M -71.4K 0.08 42.67 N/A N/A 253 20 3,462 814 2021-03-16 $317.80 $60.00 47.7% 13.7% 50.7% 20.7% 50.8% -13.7% -44.5% 505.0K -49.2M -71.7K 0.07 30.02 N/A N/A 426 29 3,554 816 2021-03-17 $316.80 $60.00 49.3% 14.1% 50.7% 21.4% 47.8% -19.3% -44.0% 720.7K -51.2M -74.5K 0.04 46.93 N/A N/A 768 30 3,765 806 2021-03-18 $330.00 $60.00 58.8% 16.9% 52.9% 25.6% 59.5% -24.5% 3.0% 1.4M -63.0M -91.2K 0.08 35.81 N/A N/A 553 44 3,939 808 2021-03-19 $326.90 $60.00 50.7% 14.5% 52.9% 23.6% 54.5% -21.4% 8.2% 2.6M -58.2M -87.3K 0.09 43.39 N/A N/A 341 30 3,911 817 2021-03-22 $323.20 $60.00 46.1% 13.2% 52.3% 23.2% 47.3% -19.0% 14.2% 334.4K -34.7M -81.2K 0.45 64.50 N/A N/A 194 87 2,030 641 2021-03-23 $331.60 $250.00 51.4% 14.7% 53.3% 25.9% 54.2% -24.4% 5.4% 389.8K -39.0M -90.6K 0.10 25.47 N/A N/A 579 56 2,114 718 2021-03-24 $332.40 $300.00 50.1% 14.4% 52.5% 25.2% 53.5% -23.9% 4.5% 642.1K -43.4M -97.2K 0.03 21.70 N/A N/A 719 19 2,399 760 2021-03-25 $329.40 $300.00 47.2% 13.5% 46.5% 23.7% 48.2% -15.7% 7.9% 985.6K -44.5M -100.9K 0.17 58.37 N/A N/A 281 47 2,688 785 2021-03-26 $320.60 $310.00 43.0% 12.3% 47.2% 21.8% 48.6% -12.4% 9.7% 993.4K -39.0M -97.5K 0.13 29.40 N/A N/A 334 44 2,759 799 2021-03-29 $314.50 $300.00 44.2% 12.7% 44.8% 22.4% 52.3% -17.8% 4.3% 962.7K -39.4M -102.8K 0.26 46.40 N/A N/A 305 78 2,916 767 2021-03-30 $317.40 $300.00 49.1% 14.1% 44.6% 26.8% 54.9% -15.4% -3.9% 1.1M -42.0M -104.1K 0.02 60.22 N/A N/A 618 12 3,003 804 2021-03-31 $312.40 $300.00 41.7% 11.9% 42.4% 22.7% 45.2% -17.1% 5.8% 793.7K -37.2M -95.0K 0.25 38.59 N/A N/A 254 64 2,727 812
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