SPXS Options History — June 2021

In June 2021, SPXS traded between $240.50 and $262.00. ATM implied volatility averaged 36.3%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 5.4% (HV 20d: 30.9%). Max pain ranged from $40.00 to $300.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-06-24: Highest Volume — 840 contracts
  • 2021-06-03: Largest IV spike — 2166.7% change
  • 2021-06-01: Highest IV Rank — 92.8%
  • 2021-06-01: Largest Expected Move — 31.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$251.81$240.50$262.00$259.40$240.50
Max Pain$250.00$40.00$300.00$40.00$250.00
ATM IV36.3%1.8%108.9%108.9%29.7%
Expected Move10.8%0.5%31.2%31.2%8.5%
HV 20d30.9%22.0%45.5%45.5%22.1%
HV 60d34.7%32.8%35.9%35.9%32.8%
IV Rank30.6%1.1%92.8%92.8%25.0%
IV Percentile10.8%1.6%98.0%98.0%6.0%
Term Structure-11.2%-68.4%37.5%-68.4%7.9%
VWIV50.6%28.9%141.3%141.3%33.6%
Skew 25d-17.8%-28.8%-5.0%-19.8%-13.5%
Skew 10d-34.1%-55.5%-8.3%-41.3%-22.6%
Call IV 25d50.2%36.3%60.0%58.3%38.8%
Put IV 25d32.3%25.3%41.1%38.5%25.3%
Bid-Ask Spread %29.039.6989.4989.4911.03
Gamma HHI0.160.110.240.110.19
Net GEX350.5K117.1K736.5K159.5K638.9K
Net DEX-23.4M-98.3M-7.9M-18.1M-10.4M
Net VEX-91.9K-150.5K-76.5K-83.6K-101.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.021.290.500.10
Total Volume372.4556684066369
Total OI4,4903,11511,7013,1155,494

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$259.40$40.00108.9%31.2%45.5%92.8%141.3%-19.8%-68.4%159.5K-18.1M-83.6K0.5089.49N/AN/A44222,194921
2021-06-02$259.10$40.001.8%0.5%44.0%1.1%107.5%-13.1%37.5%117.1K-17.1M-76.5K0.0613.43N/AN/A211122,215930
2021-06-03$260.90$300.0040.1%11.5%43.8%33.9%48.2%-19.5%-31.9%160.7K-18.6M-87.6K0.0618.67N/AN/A9962,248942
2021-06-04$253.80$300.0038.3%11.0%44.7%32.3%44.8%-28.2%-27.2%145.8K-17.2M-83.9K0.0215.37N/AN/A23852,286948
2021-06-07$255.10$300.006.7%10.9%43.1%5.3%50.3%-26.7%-28.0%190.0K-17.8M-85.2K0.0418.00N/AN/A10642,410953
2021-06-08$253.90$300.0037.7%10.8%42.4%31.8%56.5%-27.7%-27.7%200.9K-17.8M-85.3K0.0217.70N/AN/A13722,451956
2021-06-09$255.40$300.0039.9%11.4%39.7%33.7%57.0%-28.8%-35.9%229.2K-18.7M-87.8K0.3337.36N/AN/A64222,535957
2021-06-10$252.70$300.0036.6%10.5%33.8%30.9%41.9%-15.8%-26.9%232.8K-17.1M-84.2K0.0918.86N/AN/A166152,583977
2021-06-11$251.90$300.0035.1%10.1%30.6%29.7%38.8%-22.2%-25.9%246.5K-17.5M-84.6K0.1212.76N/AN/A527652,628981
2021-06-14$251.00$300.0036.9%10.6%28.6%31.1%46.7%-24.2%-25.1%211.5K-16.9M-84.5K0.0521.11N/AN/A9852,6561,038
2021-06-15$250.10$270.0038.2%10.9%28.2%32.2%42.2%-14.1%-30.6%219.4K-15.8M-79.4K0.1355.46N/AN/A177232,7051,042
2021-06-16$253.60$250.0036.0%10.3%28.5%30.3%37.8%-16.1%-25.6%326.2K-18.8M-77.8K0.0772.88N/AN/A600402,8431,056
2021-06-17$253.60$250.0036.1%10.3%24.8%30.4%43.8%-14.0%8.3%405.0K-20.0M-91.1K0.0824.17N/AN/A395302,9671,083
2021-06-18$262.00$250.0044.4%12.7%22.5%37.6%51.6%-18.9%4.6%413.9K-23.9M-101.4K0.2013.92N/AN/A5511113,0191,099
2021-06-21$254.50$250.0038.7%11.1%24.4%32.7%47.7%-24.9%6.4%464.9K-14.3M-97.1K0.0830.78N/AN/A600512,5651,115
2021-06-22$249.00$250.0036.5%10.5%22.4%30.8%39.7%-5.0%6.3%449.1K-9.7M-80.6K0.0463.81N/AN/A437172,8061,154
2021-06-23$249.40$250.0034.7%10.0%22.0%29.3%45.1%-8.6%5.6%580.2K-98.3M-133.5K0.2816.36N/AN/A5231456,6623,463
2021-06-24$246.00$250.0035.0%10.0%22.3%29.5%37.2%-12.9%6.4%538.0K-10.2M-84.9K1.2949.07N/AN/A3674733,0811,158
2021-06-25$243.80$250.0028.9%8.3%22.4%24.3%28.9%-9.7%8.0%422.8K-7.9M-86.3K0.1314.56N/AN/A261353,2311,612
2021-06-28$242.40$250.0029.2%8.4%22.4%24.6%35.8%-14.2%8.0%622.2K-12.5M-95.0K0.489.69N/AN/A3041463,4741,641
2021-06-29$241.80$250.0029.5%8.5%22.1%24.9%36.3%-14.2%8.3%736.5K-96.6M-150.5K0.3514.10N/AN/A5101817,5834,118
2021-06-30$240.50$250.0029.7%8.5%22.1%25.0%33.6%-13.5%7.9%638.9K-10.4M-101.8K0.1011.03N/AN/A336333,7081,786