SPXS Options History — November 2021

In November 2021, SPXS traded between $174.60 and $188.70. ATM implied volatility averaged 44.6%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 21.5% (HV 20d: 23.1%). Max pain ranged from $160.00 to $180.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2021-11-10: Highest Volume — 1,709 contracts
  • 2021-11-26: Largest IV spike — 43.9% change
  • 2021-11-30: Highest IV Rank — 64.1%
  • 2021-11-30: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$179.48$174.60$188.70$187.20$188.70
Max Pain$163.33$160.00$180.00$180.00$160.00
ATM IV44.6%33.4%70.0%40.8%70.0%
Expected Move13.1%9.6%20.1%11.7%20.1%
HV 20d23.1%19.1%35.5%27.8%35.5%
HV 60d34.3%33.3%37.4%33.9%37.4%
IV Rank40.4%28.6%64.1%34.5%64.1%
IV Percentile46.1%13.5%95.6%37.3%95.6%
Term Structure3.4%-3.5%5.9%4.6%-3.5%
VWIV46.3%37.2%68.4%41.7%68.4%
Skew 25d-22.2%-36.7%-15.1%-18.4%-34.8%
Skew 10d-34.0%-59.0%-13.6%-28.2%-53.9%
Call IV 25d58.0%45.6%87.9%50.3%87.9%
Put IV 25d35.7%28.3%53.1%31.9%53.1%
Bid-Ask Spread %11.734.1724.735.6612.00
Gamma HHI0.220.110.320.290.12
Net GEX1.7M722.0K2.5M2.0M787.3K
Net DEX-67.9M-81.9M-60.0M-74.9M-81.9M
Net VEX-163.4K-184.2K-149.2K-172.9K-166.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.100.380.180.22
Total Volume927.5714761,7095741,302
Total OI12,170.9529,46114,63811,5199,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$187.20$180.0040.8%11.7%27.8%34.5%41.7%-18.4%4.6%2.0M-74.9M-172.9K0.185.66N/AN/A485899,5521,967
2021-11-02$184.60$180.0033.9%9.7%25.9%28.6%40.7%-15.9%5.9%1.8M-70.2M-167.1K0.1616.93N/AN/A574929,5381,984
2021-11-03$181.10$180.0033.4%9.6%25.7%30.4%37.2%-17.3%5.2%1.9M-66.7M-165.6K0.114.17N/AN/A9581029,8252,004
2021-11-04$179.80$170.0035.0%11.7%24.3%31.8%42.1%-20.6%4.3%2.0M-64.8M-164.4K0.109.04N/AN/A9549610,2562,041
2021-11-05$176.60$160.0037.9%12.4%24.0%34.5%45.3%-19.9%4.4%1.8M-60.6M-162.2K0.1210.17N/AN/A1,36115810,4252,055
2021-11-08$176.50$160.0039.0%12.7%21.9%35.4%48.2%-24.4%4.3%2.1M-66.7M-168.8K0.238.97N/AN/A61614411,1502,065
2021-11-09$178.20$160.0041.3%13.1%20.9%37.7%48.0%-26.4%3.7%2.2M-67.8M-169.8K0.138.23N/AN/A1,08513711,2602,132
2021-11-10$183.00$160.0045.6%13.1%24.9%41.5%43.6%-25.5%3.1%2.5M-81.1M-184.2K0.167.46N/AN/A1,47623311,0392,222
2021-11-11$181.60$160.0043.4%12.4%19.6%39.5%46.8%-23.1%4.0%2.4M-77.5M-173.1K0.318.38N/AN/A49115211,1312,320
2021-11-12$178.10$160.0042.6%12.2%19.1%38.9%44.4%-16.0%3.9%2.3M-67.1M-161.6K0.1713.44N/AN/A71712211,1942,345
2021-11-15$178.40$160.0042.6%12.2%19.3%38.8%47.5%-20.5%4.4%2.0M-65.3M-158.7K0.229.26N/AN/A62413611,3292,374
2021-11-16$175.10$160.0043.1%12.4%19.2%39.3%41.1%-15.1%3.7%2.1M-60.1M-149.2K0.2217.42N/AN/A69915711,5812,396
2021-11-17$176.30$160.0043.6%12.5%19.6%39.7%40.7%-20.9%4.1%2.2M-64.9M-155.6K0.206.87N/AN/A76015111,7212,428
2021-11-18$175.10$160.0044.1%12.6%19.6%40.2%39.6%-18.1%4.1%2.0M-61.9M-151.6K0.226.40N/AN/A67515011,8512,467
2021-11-19$176.10$160.0045.0%12.9%20.0%41.0%44.0%-22.3%4.4%722.0K-65.0M-158.3K0.279.12N/AN/A48813212,1402,498
2021-11-22$174.60$160.0038.9%11.1%19.8%35.4%42.5%-15.1%5.8%805.1K-60.0M-150.8K0.3818.19N/AN/A4581767,3412,120
2021-11-23$177.20$160.0047.5%13.6%20.7%43.4%45.1%-24.1%3.1%776.5K-64.2M-159.5K0.207.47N/AN/A8261627,4172,180
2021-11-24$176.00$160.0047.0%13.5%19.7%42.9%46.6%-23.5%3.1%805.1K-62.4M-158.6K0.2924.73N/AN/A3701067,4172,266
2021-11-26$185.50$160.0067.7%19.4%27.9%61.9%64.8%-36.7%-1.4%741.1K-75.1M-175.2K0.1320.49N/AN/A1,0861457,5122,276
2021-11-29$179.30$160.0053.8%15.4%30.1%49.1%55.0%-27.7%1.2%790.3K-67.1M-158.5K0.1821.85N/AN/A7081267,4432,330
2021-11-30$188.70$160.0070.0%20.1%35.5%64.1%68.4%-34.8%-3.5%787.3K-81.9M-166.4K0.2212.00N/AN/A1,0692337,6432,355