SPXS Options History — December 2021

In December 2021, SPXS traded between $160.70 and $196.60. ATM implied volatility averaged 52.5%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 2.2% (HV 20d: 50.3%). Max pain ranged from $40.00 to $170.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2021-12-14: Highest Volume — 2,089 contracts
  • 2021-12-14: Largest IV spike — 31.7% change
  • 2021-12-03: Highest IV Rank — 80.1%
  • 2021-12-03: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.41$160.70$196.60$192.10$162.30
Max Pain$57.27$40.00$170.00$160.00$40.00
ATM IV52.5%34.6%87.4%73.2%34.6%
Expected Move15.0%9.9%25.0%21.0%9.9%
HV 20d50.3%35.6%60.0%35.6%51.1%
HV 60d40.4%37.6%42.2%37.6%39.3%
IV Rank47.9%31.4%80.1%67.0%31.4%
IV Percentile61.4%15.5%98.4%97.2%15.5%
Term Structure5.8%-7.7%12.4%-5.2%7.3%
VWIV56.5%38.7%79.8%74.1%41.5%
Skew 25d-25.9%-41.0%-9.1%-38.3%-17.4%
Skew 10d83.1%-66.7%701.0%-60.8%-15.2%
Call IV 25d67.7%42.9%105.6%95.1%48.0%
Put IV 25d41.8%30.6%64.6%56.8%30.6%
Bid-Ask Spread %32.1410.9963.6421.9363.64
Gamma HHI0.210.070.740.090.22
Net GEX938.4K247.0K2.9M731.8K649.4K
Net DEX-62.1M-93.1M-42.8M-82.9M-49.7M
Net VEX-148.3K-193.0K-122.6K-179.8K-137.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.060.680.140.20
Total Volume976.3184692,0891,443716
Total OI10,575.3189,46512,22910,07110,526

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$192.10$160.0073.2%21.0%35.6%67.0%74.1%-38.3%-5.2%731.8K-82.9M-179.8K0.1421.93N/AN/A1,2681757,5712,500
2021-12-02$186.90$170.0073.1%21.0%36.4%66.9%72.5%-34.1%-4.1%868.9K-79.0M-180.8K0.3422.74N/AN/A8963057,8642,554
2021-12-03$196.60$170.0087.4%25.0%40.1%80.1%79.8%-41.0%-7.7%869.7K-93.1M-193.0K0.1718.83N/AN/A1,0141748,0362,476
2021-12-06$186.30$40.0070.8%19.6%44.6%64.8%71.2%-38.0%4.6%874.0K-77.4M-165.2K0.2125.66N/AN/A7151487,8032,557
2021-12-07$176.10$40.0058.0%16.5%49.2%53.0%61.7%-30.8%7.8%1.0M-64.0M-158.1K0.2710.99N/AN/A7692078,0002,589
2021-12-08$173.30$40.0043.2%13.6%49.4%39.4%57.9%-24.4%11.4%1.2M-60.7M-154.7K0.2614.61N/AN/A6071618,2172,641
2021-12-09$175.50$40.0053.8%15.6%48.6%49.2%57.0%-27.5%8.9%1.2M-64.2M-154.2K0.2432.76N/AN/A7201748,3472,647
2021-12-10$172.40$40.0039.0%12.9%48.9%35.5%54.8%-25.8%12.4%1.4M-59.6M-151.4K0.2013.28N/AN/A7901578,5722,678
2021-12-13$174.40$40.0049.4%13.4%48.7%45.0%53.7%-24.1%12.3%1.7M-62.8M-143.0K0.1721.53N/AN/A7421248,8712,684
2021-12-14$180.20$40.0065.0%15.8%50.2%59.5%66.1%-31.8%9.8%1.7M-75.0M-151.5K0.0627.88N/AN/A1,9631268,8522,681
2021-12-15$173.40$40.0047.0%13.5%51.6%42.9%54.3%-24.3%11.6%1.5M-61.1M-143.8K0.2034.24N/AN/A9581878,9722,704
2021-12-16$175.40$40.0054.0%15.5%51.8%49.3%50.6%-30.3%6.8%1.3M-65.2M-142.5K0.1733.12N/AN/A1,3042258,8082,734
2021-12-17$180.10$40.0055.2%15.8%52.5%50.5%53.3%-27.0%4.8%2.9M-73.8M-148.8K0.2338.21N/AN/A1,0892529,4972,732
2021-12-20$188.30$40.0063.0%18.1%54.7%57.7%63.1%-28.0%2.3%350.7K-66.1M-150.7K0.2739.85N/AN/A6151687,0342,431
2021-12-21$179.20$40.0055.2%15.8%57.7%50.4%56.5%-24.8%4.2%275.3K-56.8M-142.8K0.3513.87N/AN/A4131447,0522,469
2021-12-22$172.90$40.0044.6%12.8%59.0%40.6%51.5%-23.2%6.1%253.5K-51.7M-134.4K0.3854.66N/AN/A3401297,0972,466
2021-12-23$167.30$40.0043.1%12.4%60.0%39.3%47.6%-20.6%6.8%247.0K-47.0M-130.9K0.2258.26N/AN/A5931297,1582,456
2021-12-27$162.30$40.0036.7%10.5%57.1%33.4%47.2%-16.8%8.3%294.3K-43.2M-126.8K0.2635.36N/AN/A6851787,4092,450
2021-12-28$161.30$40.0037.6%10.8%56.1%34.2%45.4%-17.2%6.2%366.4K-42.8M-123.0K0.6862.20N/AN/A4262887,6432,443
2021-12-29$160.70$40.0035.4%10.2%52.1%32.2%43.5%-14.4%7.7%438.3K-44.9M-125.9K0.5733.18N/AN/A4682677,7972,333
2021-12-30$162.00$40.0035.6%10.2%51.5%32.4%38.7%-9.1%6.2%509.1K-44.9M-122.6K0.2230.22N/AN/A5491217,9732,333
2021-12-31$162.30$40.0034.6%9.9%51.1%31.4%41.5%-17.4%7.3%649.4K-49.7M-137.9K0.2063.64N/AN/A5961208,1892,337