SPXS Options History — October 2021

In October 2021, SPXS traded between $188.50 and $231.90. ATM implied volatility averaged 44.7%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 1.4% (HV 20d: 43.3%). Max pain ranged from $180.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2021-10-14: Highest Volume — 1,478 contracts
  • 2021-10-04: Largest IV spike — 23.4% change
  • 2021-10-04: Highest IV Rank — 54.3%
  • 2021-10-04: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$208.05$188.50$231.90$223.50$188.50
Max Pain$194.29$180.00$210.00$200.00$180.00
ATM IV44.7%34.5%63.9%51.8%38.7%
Expected Move12.8%9.9%17.4%14.8%11.1%
HV 20d43.3%32.6%50.3%42.1%32.6%
HV 60d35.0%32.9%37.3%36.0%33.9%
IV Rank37.8%29.1%54.3%43.9%32.7%
IV Percentile40.3%14.3%79.8%56.3%28.6%
Term Structure-2.7%-59.9%6.9%2.9%6.0%
VWIV46.9%36.6%65.6%53.0%39.4%
Skew 25d-22.1%-33.2%-15.1%-20.6%-15.1%
Skew 10d-37.8%-63.6%-15.1%-41.0%-15.1%
Call IV 25d58.7%45.3%83.8%63.2%45.3%
Put IV 25d36.6%29.4%50.6%42.5%30.2%
Bid-Ask Spread %8.465.0632.018.676.41
Gamma HHI0.190.120.360.160.36
Net GEX1.4M694.0K2.4M983.8K1.9M
Net DEX-48.5M-82.9M-14.5M-31.0M-73.0M
Net VEX-147.9K-187.7K-105.7K-105.7K-167.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.060.500.090.13
Total Volume923.8574441,4781,1611,191
Total OI8,706.194,62311,5886,59511,588

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$223.50$200.0051.8%14.8%42.1%43.9%53.0%-20.6%2.9%983.8K-31.0M-105.7K0.098.67N/AN/A1,068934,9471,648
2021-10-04$231.90$200.0063.9%17.4%43.3%54.3%65.6%-33.2%-59.9%1.2M-39.6M-112.8K0.1110.84N/AN/A1,0911225,1281,670
2021-10-05$223.10$200.0051.8%15.5%46.3%43.9%56.3%-29.3%-49.4%1.2M-37.2M-112.2K0.109.92N/AN/A801825,2931,726
2021-10-06$223.70$210.0053.6%15.7%46.3%45.5%63.1%-29.8%-50.3%1.1M-36.2M-108.8K0.085.44N/AN/A750585,3871,762
2021-10-07$216.50$200.0052.8%15.3%48.1%44.7%57.0%-27.0%4.9%1.2M-29.6M-152.8K0.105.35N/AN/A1,2851296,3262,167
2021-10-08$217.20$200.0047.4%14.7%47.3%40.1%45.9%-26.2%5.6%1.4M-31.9M-152.0K0.505.06N/AN/A5682856,5332,180
2021-10-11$221.20$200.0055.3%14.8%47.7%46.9%46.3%-26.8%5.1%2.2M-43.5M-150.6K0.115.78N/AN/A883966,8592,152
2021-10-12$224.80$200.0054.1%14.4%47.8%45.9%46.3%-25.1%4.9%2.4M-51.6M-149.6K0.065.92N/AN/A668437,0532,381
2021-10-13$222.20$200.0047.8%13.7%46.5%40.5%47.5%-23.6%6.4%2.4M-44.6M-148.6K0.075.14N/AN/A793536,9762,410
2021-10-14$211.20$190.0041.9%12.0%50.3%35.4%45.8%-21.5%5.1%1.2M-25.7M-138.3K0.386.81N/AN/A1,0694097,0362,391
2021-10-15$206.00$190.0041.2%11.8%49.8%34.8%40.6%-19.6%6.4%694.0K-14.5M-129.8K0.127.57N/AN/A9251087,1452,403
2021-10-18$203.70$190.0037.5%10.7%43.9%31.6%41.9%-19.4%6.8%788.4K-15.2M-133.5K0.196.28N/AN/A374703,5631,060
2021-10-19$199.80$190.0037.3%10.7%43.9%31.5%42.3%-17.5%6.9%880.5K-15.4M-135.9K0.137.13N/AN/A467623,8831,084
2021-10-20$197.20$190.0038.7%11.1%43.5%32.7%43.4%-18.2%6.3%1.1M-71.9M-159.7K0.148.19N/AN/A683947,2171,667
2021-10-21$195.90$190.0038.7%11.1%42.0%32.7%45.0%-18.8%6.4%1.2M-72.9M-166.1K0.1612.04N/AN/A570917,5491,674
2021-10-22$195.60$190.0039.7%11.4%42.0%33.5%36.6%-19.8%5.6%1.3M-74.4M-170.8K0.176.59N/AN/A1,0811837,8011,685
2021-10-25$193.00$190.0034.5%9.9%41.8%29.1%40.1%-17.3%6.5%1.6M-76.3M-171.4K0.1510.33N/AN/A545808,4251,724
2021-10-26$190.50$190.0036.3%10.4%34.9%30.6%39.2%-17.5%5.7%1.6M-72.8M-168.4K0.1432.01N/AN/A7901148,5161,735
2021-10-27$193.20$190.0037.6%10.8%35.7%31.7%49.0%-19.4%5.8%1.8M-82.9M-182.3K0.355.29N/AN/A7502638,9501,756
2021-10-28$190.40$190.0038.6%11.1%33.2%32.6%41.0%-18.4%5.2%1.9M-79.1M-187.7K0.216.91N/AN/A5091059,4551,925
2021-10-29$188.50$180.0038.7%11.1%32.6%32.7%39.4%-15.1%6.0%1.9M-73.0M-167.9K0.136.41N/AN/A1,0511409,6431,945