SPXS Options History — May 2021

In May 2021, SPXS traded between $256.60 and $287.10. ATM implied volatility averaged 26.5%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 13.5% (HV 20d: 40.1%). Max pain ranged from $30.00 to $260.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2021-05-12: Highest Volume — 1,222 contracts
  • 2021-05-25: Largest IV spike — 2541.9% change
  • 2021-05-11: Highest IV Rank — 47.5%
  • 2021-05-07: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$267.20$256.60$287.10$264.60$257.70
Max Pain$70.50$30.00$260.00$260.00$40.00
ATM IV26.5%1.5%56.0%40.4%3.0%
Expected Move6.3%0.4%21.9%11.6%0.9%
HV 20d40.1%27.8%46.9%27.8%45.6%
HV 60d40.4%37.3%43.8%37.3%38.0%
IV Rank22.3%0.8%47.5%34.1%2.1%
IV Percentile8.1%0.4%35.3%3.2%2.4%
Term Structure23.0%-35.6%70.1%-35.6%34.6%
VWIV105.2%42.5%135.1%42.5%105.8%
Skew 25d-23.7%-40.9%-14.5%-17.1%-18.1%
Skew 10d-42.2%-61.1%-27.4%-27.4%-37.5%
Call IV 25d68.3%45.7%133.2%53.3%55.1%
Put IV 25d44.7%31.2%92.3%36.2%37.0%
Bid-Ask Spread %50.9313.37100.4813.3724.78
Gamma HHI0.150.100.640.120.13
Net GEX625.6K120.8K1.5M436.2K120.8K
Net DEX-27.2M-45.9M-18.0M-24.5M-18.0M
Net VEX-99.8K-119.7K-85.4K-107.4K-85.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.040.500.300.24
Total Volume422.55681,222264102
Total OI4,346.352,8595,3424,3053,062

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$264.60$260.0040.4%11.6%27.8%34.1%42.5%-17.1%-35.6%436.2K-24.5M-107.4K0.3013.37N/AN/A203613,1711,134
2021-05-04$272.90$260.0047.7%13.7%30.4%40.4%52.9%-22.6%-25.0%649.4K-31.8M-115.2K0.0415.67N/AN/A612233,2721,134
2021-05-05$268.80$260.0045.8%13.1%30.7%38.8%50.4%-19.5%-18.1%519.5K-27.3M-107.6K0.1428.60N/AN/A248343,1331,142
2021-05-06$265.50$30.0045.2%20.6%30.7%38.3%104.2%-19.1%-25.5%471.0K-25.4M-104.5K0.5063.88N/AN/A194973,2141,153
2021-05-07$256.60$30.0038.0%21.9%32.1%32.1%103.1%-14.5%-30.8%272.0K-19.6M-95.7K0.28100.48N/AN/A4261213,2291,173
2021-05-10$261.80$30.0041.6%0.0%33.2%35.2%112.1%-18.3%-31.8%588.2K-25.7M-99.3K0.1682.97N/AN/A432713,3641,158
2021-05-11$272.30$30.0056.0%0.0%36.4%47.5%108.9%-24.9%45.2%773.8K-34.3M-104.7K0.14100.25N/AN/A671923,4081,252
2021-05-12$287.10$30.002.4%0.7%40.9%1.6%123.7%-27.6%70.1%961.3K-45.9M-119.7K0.1164.27N/AN/A1,1031193,4891,290
2021-05-13$274.60$40.0053.9%0.0%41.9%45.7%125.5%-18.3%46.1%869.2K-35.6M-109.4K0.1963.63N/AN/A7511433,4611,378
2021-05-14$265.50$40.003.4%1.0%43.5%2.5%121.3%-17.1%42.3%748.7K-26.9M-108.3K0.1051.06N/AN/A410403,6761,463
2021-05-17$268.00$40.003.4%1.0%43.1%2.5%106.1%-29.7%43.7%1.0M-30.9M-98.9K0.1562.75N/AN/A398593,8231,461
2021-05-18$270.70$40.0051.4%0.0%42.8%43.6%105.4%-27.5%40.2%1.2M-32.4M-97.2K0.1853.05N/AN/A305543,8141,491
2021-05-19$280.30$40.001.5%0.4%43.6%0.8%108.6%-35.0%65.5%1.5M-41.1M-103.7K0.2269.75N/AN/A5791293,8161,526
2021-05-20$267.00$40.005.4%1.6%46.4%4.2%117.0%-30.8%41.7%686.1K-25.3M-96.4K0.1157.67N/AN/A375433,6681,545
2021-05-21$268.60$40.002.3%0.7%45.0%1.6%122.1%-21.7%42.3%1.1M-24.3M-89.9K0.3635.07N/AN/A151553,7031,544
2021-05-24$259.30$40.001.7%0.5%46.7%1.0%123.7%-24.6%42.7%126.9K-18.9M-87.3K0.1927.96N/AN/A90171,994865
2021-05-25$262.00$40.0044.1%0.0%46.9%37.3%0.0%-25.4%39.5%140.8K-19.3M-90.5K0.2851.19N/AN/A53152,044881
2021-05-26$261.00$40.0041.2%0.0%46.9%34.9%129.9%-40.9%35.8%131.3K-19.0M-88.4K0.0414.14N/AN/A9242,083895
2021-05-27$259.70$40.001.7%0.5%46.6%1.0%135.1%-20.7%37.9%151.9K-18.6M-86.9K0.2138.03N/AN/A65142,120898
2021-05-28$257.70$40.003.0%0.9%45.6%2.1%105.8%-18.1%34.6%120.8K-18.0M-85.4K0.2424.78N/AN/A82202,152910