SPXS Options History — July 2021

In July 2021, SPXS traded between $218.90 and $248.80. ATM implied volatility averaged 39.2%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 6.6% (HV 20d: 32.6%). Max pain ranged from $210.00 to $250.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2021-07-08: Highest Volume — 1,567 contracts
  • 2021-07-08: Largest IV spike — 46.8% change
  • 2021-07-19: Highest IV Rank — 50.9%
  • 2021-07-19: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$229.03$218.90$248.80$237.40$223.00
Max Pain$226.67$210.00$250.00$250.00$210.00
ATM IV39.2%26.6%60.0%30.9%36.6%
Expected Move11.5%7.6%17.2%8.8%10.5%
HV 20d32.6%21.6%42.2%21.9%42.2%
HV 60d35.1%32.9%37.6%32.9%36.8%
IV Rank33.1%22.3%50.9%26.0%30.9%
IV Percentile17.9%4.8%62.3%6.3%11.9%
Term Structure-27.1%-45.1%24.7%7.9%-32.1%
VWIV42.8%34.8%60.1%34.8%37.5%
Skew 25d-21.1%-36.6%-12.7%-12.7%-14.6%
Skew 10d-34.6%-51.8%-17.1%-24.2%-19.4%
Call IV 25d52.8%36.1%78.3%38.3%46.2%
Put IV 25d31.7%23.3%41.7%25.6%31.6%
Bid-Ask Spread %10.635.8033.588.037.65
Gamma HHI0.200.120.350.180.22
Net GEX487.0K32.9K1.5M638.0K188.5K
Net DEX-11.8M-22.2M-3.4M-10.2M-14.4M
Net VEX-109.8K-127.1K-87.0K-101.9K-107.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.061.571.570.77
Total Volume791.4761911,567773646
Total OI6,064.9054,2658,1545,6245,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$237.40$250.0030.9%8.8%21.9%26.0%34.8%-12.7%7.9%638.0K-10.2M-101.9K1.578.03N/AN/A3014723,8281,796
2021-07-02$231.60$250.0026.6%7.6%21.6%22.3%35.7%-12.8%8.6%394.9K-6.8M-102.8K0.1620.37N/AN/A7371183,9841,944
2021-07-06$232.80$230.0029.9%10.7%21.6%25.2%42.3%-20.8%-33.8%560.0K-7.5M-87.0K0.065.80N/AN/A1,365874,4431,912
2021-07-07$230.20$230.0032.0%11.3%21.7%27.0%43.3%-21.0%-38.5%768.5K-9.2M-106.5K0.116.61N/AN/A598684,7701,956
2021-07-08$237.70$230.0047.0%13.4%25.1%39.8%43.2%-26.4%-44.9%1.2M-16.2M-115.9K0.2333.58N/AN/A1,2762914,9581,999
2021-07-09$228.60$230.0034.6%11.2%28.1%29.2%42.9%-22.9%-36.8%456.3K-5.5M-107.3K0.158.97N/AN/A7101064,8102,212
2021-07-12$226.20$230.0039.2%11.5%28.1%33.2%43.0%-20.4%24.7%290.2K-3.4M-101.4K0.0814.70N/AN/A795655,0982,182
2021-07-13$227.70$230.0040.2%12.2%28.4%34.0%40.7%-22.7%-39.6%1.1M-9.8M-108.9K0.516.70N/AN/A5592875,5142,172
2021-07-14$226.90$230.0040.7%11.7%28.4%34.4%40.7%-21.0%-38.5%1.0M-8.2M-107.8K0.416.35N/AN/A6302565,5842,193
2021-07-15$229.90$230.0040.5%11.6%28.4%34.3%44.1%-22.3%-30.5%1.5M-12.4M-111.7K0.106.61N/AN/A683695,8012,353
2021-07-16$235.10$230.0047.2%13.5%29.9%40.0%44.6%-25.7%-45.1%106.3K-16.9M-118.2K0.146.11N/AN/A7721045,7462,350
2021-07-19$248.80$230.0060.0%17.2%34.7%50.9%60.1%-36.6%1.3%271.3K-22.2M-127.1K0.3126.60N/AN/A9252892,7011,564
2021-07-20$233.40$230.0044.4%12.7%40.0%37.6%51.5%-28.3%-25.3%233.8K-14.7M-123.2K0.228.57N/AN/A4621022,8911,587
2021-07-21$229.80$230.0041.7%12.0%39.7%35.3%42.2%-24.6%-40.6%243.7K-13.0M-118.0K0.096.69N/AN/A390362,9701,572
2021-07-22$227.70$220.0042.1%12.1%39.7%35.6%43.3%-21.8%-39.9%237.9K-15.3M-113.9K0.218.71N/AN/A289603,1731,583
2021-07-23$220.40$220.0036.4%10.5%40.8%30.8%38.2%-14.8%-35.5%32.9K-8.6M-104.4K0.316.90N/AN/A6602053,3001,620
2021-07-26$219.60$220.0038.4%11.0%40.8%32.5%42.1%-19.1%-37.7%129.2K-10.7M-109.9K0.346.61N/AN/A142493,3001,620
2021-07-27$223.10$210.0040.2%11.5%41.5%34.0%40.8%-16.5%-24.4%340.2K-15.1M-112.0K0.608.57N/AN/A3992383,6551,652
2021-07-28$220.90$210.0037.5%10.8%41.5%31.7%42.9%-19.3%-31.6%393.5K-15.7M-108.2K0.1313.20N/AN/A286373,7121,611
2021-07-29$218.90$210.0037.6%10.8%41.5%31.7%44.2%-18.2%-35.7%189.6K-13.1M-112.6K0.145.95N/AN/A9261313,7501,817
2021-07-30$223.00$210.0036.6%10.5%42.2%30.9%37.5%-14.6%-32.1%188.5K-14.4M-107.0K0.777.65N/AN/A3642823,8501,830