SPXS Options History — August 2021

In August 2021, SPXS traded between $201.60 and $223.80. ATM implied volatility averaged 27.7%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.2% (HV 20d: 29.9%). Max pain ranged from $50.00 to $210.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2021-08-02: Highest Volume — 1,076 contracts
  • 2021-08-20: Largest IV spike — 2411.2% change
  • 2021-08-20: Highest IV Rank — 84.0%
  • 2021-08-20: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.26$201.60$223.80$223.80$202.70
Max Pain$75.00$50.00$210.00$210.00$60.00
ATM IV27.7%0.9%98.7%38.6%39.4%
Expected Move5.2%0.3%28.3%11.1%0.4%
HV 20d29.9%20.5%42.0%41.5%22.5%
HV 60d31.1%28.6%36.7%36.7%29.7%
IV Rank23.3%0.3%84.0%32.6%33.2%
IV Percentile13.3%0.4%97.6%16.7%25.4%
Term Structure25.3%-53.2%50.7%-34.8%31.3%
VWIV68.9%36.7%95.8%46.1%77.7%
Skew 25d-24.5%-69.4%-5.4%-17.5%-39.9%
Skew 10d-35.4%-69.4%-6.5%-20.2%-39.9%
Call IV 25d67.4%28.3%181.4%49.6%181.4%
Put IV 25d42.9%23.0%141.6%32.1%141.6%
Bid-Ask Spread %24.974.9081.885.6211.75
Gamma HHI0.230.090.520.180.11
Net GEX626.1K-85.6K2.7M854.2K377.3K
Net DEX-14.6M-34.3M-7.2M-20.2M-10.9M
Net VEX-87.9K-112.3K-73.8K-112.3K-77.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.030.950.220.19
Total Volume521.7271191,0761,076119
Total OI6,273.6363,2778,7396,3284,017

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$223.80$210.0038.6%11.1%41.5%32.6%46.1%-17.5%-34.8%854.2K-20.2M-112.3K0.225.62N/AN/A8851914,5631,765
2021-08-03$219.00$210.0036.4%10.4%42.0%30.7%36.7%-13.6%-34.8%493.9K-14.4M-104.0K0.954.90N/AN/A3743554,6601,795
2021-08-04$220.60$210.0035.0%10.0%42.0%29.5%36.8%-17.4%-29.6%573.0K-19.2M-110.3K0.085.51N/AN/A379314,6111,874
2021-08-05$218.40$50.0035.5%0.5%40.1%29.9%72.6%-15.9%46.8%349.1K-15.9M-107.4K0.139.67N/AN/A288394,6711,953
2021-08-06$216.90$50.0033.3%0.8%37.9%28.0%65.8%-10.8%45.1%211.1K-10.4M-100.4K0.069.06N/AN/A485284,7901,952
2021-08-09$216.80$50.0032.6%0.7%37.8%27.4%67.4%-10.3%44.7%160.1K-13.8M-94.3K0.0514.38N/AN/A356184,8651,967
2021-08-10$216.40$50.0034.1%0.6%37.7%28.7%64.7%-13.3%44.9%232.8K-14.6M-93.1K0.0310.21N/AN/A946295,0881,965
2021-08-11$214.80$50.0023.6%0.0%37.7%19.7%63.5%-6.5%39.1%-85.6K-9.5M-84.9K0.0914.15N/AN/A350305,1781,971
2021-08-12$212.70$50.0023.6%0.0%37.3%19.8%62.1%-7.0%37.6%734.7K-8.7M-85.4K0.4211.56N/AN/A2401025,9111,978
2021-08-13$211.60$50.0021.2%0.0%36.0%17.7%64.4%-5.4%36.4%321.4K-7.2M-82.4K0.2816.39N/AN/A4621296,0741,973
2021-08-16$210.50$50.0025.1%0.0%27.6%21.0%72.9%-25.6%37.4%516.3K-9.4M-81.3K0.1623.30N/AN/A6661046,2041,917
2021-08-17$215.50$50.003.9%1.1%20.9%2.9%71.7%-27.9%46.1%1.8M-19.3M-86.7K0.0912.56N/AN/A861756,4782,037
2021-08-18$218.90$50.000.9%0.3%21.6%0.3%72.5%-30.3%50.7%2.3M-31.0M-93.2K0.4219.38N/AN/A3881656,5882,090
2021-08-19$220.10$50.003.9%1.1%21.6%2.9%90.9%-33.8%50.6%2.7M-34.3M-90.1K0.0556.17N/AN/A1,000526,5202,103
2021-08-20$214.40$50.0098.7%28.3%20.5%84.0%75.1%-28.4%-53.2%291.9K-18.6M-75.4K0.0881.88N/AN/A778596,6022,137
2021-08-23$208.60$60.0018.7%5.4%22.5%15.6%71.9%-26.3%26.2%278.3K-10.3M-73.8K0.0859.43N/AN/A271212,581696
2021-08-24$207.90$60.002.7%0.8%21.4%1.9%79.6%-24.7%42.1%295.2K-10.4M-74.4K0.0826.07N/AN/A177152,727708
2021-08-25$206.10$60.0022.4%6.4%21.3%18.7%65.5%-24.4%22.5%325.0K-10.4M-75.5K0.0464.21N/AN/A15962,870713
2021-08-26$210.10$60.001.6%0.4%22.7%0.9%83.8%-27.9%46.1%369.7K-12.7M-82.4K0.0418.63N/AN/A251113,001724
2021-08-27$204.30$60.0039.0%0.0%23.1%33.0%95.8%-62.0%27.6%342.2K-10.5M-75.0K0.1357.17N/AN/A273343,087726
2021-08-30$201.60$60.0040.0%0.0%23.1%33.8%78.4%-69.4%32.7%349.4K-10.2M-74.3K0.1417.43N/AN/A241353,157733
2021-08-31$202.70$60.0039.4%0.0%22.5%33.2%77.7%-39.9%31.3%377.3K-10.9M-77.7K0.1911.75N/AN/A100193,263754