SPXS Options History — September 2021

In September 2021, SPXS traded between $200.50 and $229.40. ATM implied volatility averaged 45.6%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 16.1% (HV 20d: 29.5%). Max pain ranged from $60.00 to $200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2021-09-20: Highest Volume — 1,871 contracts
  • 2021-09-03: Largest IV spike — 1251.9% change
  • 2021-09-20: Highest IV Rank — 59.0%
  • 2021-09-20: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$212.31$200.50$229.40$202.20$229.40
Max Pain$192.86$60.00$200.00$60.00$200.00
ATM IV45.6%2.9%69.4%38.5%62.8%
Expected Move13.7%11.1%19.9%11.2%18.0%
HV 20d29.5%22.0%40.6%22.1%40.6%
HV 60d31.7%29.4%36.2%29.7%36.2%
IV Rank38.6%2.0%59.0%32.5%53.3%
IV Percentile43.5%4.0%80.2%23.4%78.2%
Term Structure-11.3%-44.8%27.0%27.0%-1.7%
VWIV50.9%38.3%78.7%78.7%64.7%
Skew 25d-27.7%-66.9%-15.6%-66.9%-27.1%
Skew 10d-46.1%-67.6%-17.1%-66.9%-45.6%
Call IV 25d68.9%48.1%184.1%184.1%77.3%
Put IV 25d41.1%30.4%117.2%117.2%50.3%
Bid-Ask Spread %14.504.0936.8531.5910.47
Gamma HHI0.120.100.190.100.12
Net GEX733.0K429.4K1.1M429.4K1.1M
Net DEX-22.4M-44.2M-12.3M-12.4M-44.2M
Net VEX-100.4K-125.9K-80.1K-80.1K-115.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.050.970.140.13
Total Volume638.2861221,871153748
Total OI5,313.5714,2086,6764,2086,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$202.20$60.0038.5%0.0%22.1%32.5%78.7%-66.9%27.0%429.4K-12.4M-80.1K0.1431.59N/AN/A134193,445763
2021-09-02$201.80$200.002.9%11.2%22.1%2.0%49.6%-22.8%-33.3%444.6K-12.5M-81.2K0.0527.20N/AN/A391203,510773
2021-09-03$200.50$200.0038.8%11.1%22.0%32.8%44.1%-22.4%-33.8%561.9K-12.3M-81.3K0.1310.90N/AN/A108143,588786
2021-09-07$202.60$200.0039.8%11.4%22.6%33.6%46.2%-25.0%-35.2%517.7K-13.5M-83.1K0.0510.97N/AN/A202113,691794
2021-09-08$203.90$200.0039.7%11.4%22.9%33.5%44.8%-25.0%-35.4%541.6K-14.4M-83.3K0.0717.06N/AN/A264193,720796
2021-09-09$205.10$200.0046.0%13.2%23.0%38.9%43.0%-24.6%4.9%564.2K-14.6M-81.7K0.0821.26N/AN/A295253,800802
2021-09-10$210.50$200.0048.7%14.0%24.9%41.3%47.6%-27.8%-43.3%611.7K-18.2M-90.4K0.7320.89N/AN/A1901383,870815
2021-09-13$210.60$190.0047.4%13.6%24.8%40.1%50.9%-29.8%-38.3%699.1K-21.0M-96.5K0.0816.17N/AN/A432364,088830
2021-09-14$213.50$200.0046.5%13.3%25.2%39.3%45.7%-29.2%-44.8%599.1K-20.0M-100.7K0.1311.68N/AN/A687874,0821,062
2021-09-15$207.00$200.0043.3%12.4%26.1%36.6%46.9%-22.3%-40.3%583.0K-16.1M-92.9K0.0511.82N/AN/A494264,2051,087
2021-09-16$208.00$200.0043.5%12.5%25.4%36.8%44.4%-26.2%5.6%682.8K-18.2M-100.6K0.138.63N/AN/A484624,3771,160
2021-09-17$214.50$200.0045.4%13.0%27.9%38.4%46.7%-28.5%5.5%780.8K-23.7M-107.0K0.126.96N/AN/A667794,6141,181
2021-09-20$228.00$200.0069.4%19.9%34.1%59.0%71.3%-35.8%0.1%816.2K-35.5M-116.6K0.086.84N/AN/A1,7311403,9551,029
2021-09-21$223.90$200.0057.1%16.4%33.1%48.5%60.5%-33.3%2.0%853.9K-30.8M-118.8K0.0923.29N/AN/A756714,1281,078
2021-09-22$218.60$200.0052.5%15.0%34.5%44.5%53.4%-25.9%2.9%949.6K-28.5M-113.7K0.0736.85N/AN/A833604,4981,195
2021-09-23$210.90$200.0042.7%12.3%36.9%36.1%38.3%-21.8%5.7%949.7K-21.6M-109.9K0.975.18N/AN/A5855704,6221,206
2021-09-24$209.40$200.0039.6%11.3%36.4%33.4%39.4%-15.6%7.6%840.8K-17.0M-99.3K0.135.08N/AN/A494644,6121,208
2021-09-27$211.40$200.0040.2%11.5%35.0%34.0%39.4%-15.6%6.5%750.9K-19.3M-104.5K0.144.09N/AN/A401584,7711,566
2021-09-28$223.90$200.0055.5%15.9%39.7%47.0%54.7%-28.1%0.9%1.1M-39.1M-125.9K0.129.84N/AN/A1,2381505,0771,589
2021-09-29$222.90$200.0056.9%16.3%39.8%48.2%58.0%-28.9%0.1%1.1M-37.7M-124.8K0.097.74N/AN/A571505,0571,619
2021-09-30$229.40$200.0062.8%18.0%40.6%53.3%64.7%-27.1%-1.7%1.1M-44.2M-115.7K0.1310.47N/AN/A664844,8741,662