SPXS Options History — January 2022

In January 2022, SPXS traded between $160.30 and $214.60. ATM implied volatility averaged 59.4%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 15.7% (HV 20d: 43.7%). Max pain ranged from $40.00 to $170.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2022-01-21: Highest Volume — 3,071 contracts
  • 2022-01-05: Largest IV spike — 29.0% change
  • 2022-01-24: Highest IV Rank — 78.2%
  • 2022-01-24: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.22$160.30$214.60$161.50$191.80
Max Pain$142.00$40.00$170.00$40.00$170.00
ATM IV59.4%34.4%85.4%34.6%66.0%
Expected Move17.2%9.9%24.5%9.9%18.9%
HV 20d43.7%38.4%51.4%46.4%51.4%
HV 60d41.9%38.9%47.1%38.9%47.1%
IV Rank54.3%31.3%78.2%31.4%60.4%
IV Percentile74.2%15.1%98.0%15.5%91.7%
Term Structure2.5%-4.5%8.1%6.2%-0.7%
VWIV59.7%34.8%87.1%34.8%73.3%
Skew 25d-25.5%-38.8%-10.1%-10.6%-25.7%
Skew 10d-42.4%-71.2%-12.5%-13.1%-45.7%
Call IV 25d76.0%40.9%110.8%42.5%84.0%
Put IV 25d50.5%30.8%74.3%31.9%58.4%
Bid-Ask Spread %17.706.3261.556.326.53
Gamma HHI0.210.070.370.320.09
Net GEX789.3K339.8K1.4M716.1K503.4K
Net DEX-63.4M-119.3M-36.1M-47.7M-36.1M
Net VEX-151.8K-182.1K-128.8K-128.8K-178.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.110.480.230.31
Total Volume1,381.057263,071726843
Total OI10,161.555,12312,94910,7707,098

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$161.50$40.0034.6%9.9%46.4%31.4%34.8%-10.6%6.2%716.1K-47.7M-128.8K0.236.32N/AN/A5881388,4242,346
2022-01-04$160.30$40.0034.4%9.9%43.4%31.3%39.5%-10.1%7.3%799.1K-47.8M-129.8K0.1524.00N/AN/A1,1761738,6472,368
2022-01-05$168.60$40.0044.4%12.7%44.0%40.4%44.0%-13.5%3.7%1.4M-64.5M-149.3K0.1161.55N/AN/A1,6881879,4142,398
2022-01-06$170.60$140.0047.1%14.5%44.0%43.0%46.1%-28.8%5.4%975.4K-64.2M-143.3K0.2711.44N/AN/A8462308,9822,408
2022-01-07$172.20$140.0042.7%13.7%43.9%38.9%48.4%-25.3%8.1%1.1M-65.1M-141.1K0.316.58N/AN/A6211918,8822,449
2022-01-10$175.50$150.0054.2%15.4%43.9%49.5%48.6%-26.4%5.8%922.7K-69.9M-145.1K0.4212.46N/AN/A1,0764518,9312,495
2022-01-11$169.60$160.0045.2%13.7%45.4%41.2%47.6%-25.6%6.0%861.3K-58.2M-138.9K0.417.60N/AN/A7122898,8362,760
2022-01-12$167.20$160.0047.4%13.6%43.8%43.3%45.2%-19.6%6.9%917.1K-56.5M-138.0K0.4817.82N/AN/A5482649,0562,740
2022-01-13$173.60$160.0049.1%14.1%44.1%44.8%47.2%-24.3%5.8%1.0M-68.8M-144.2K0.287.45N/AN/A8612399,2132,757
2022-01-14$174.10$160.0047.0%13.5%43.9%42.8%50.2%-24.4%7.2%1.2M-69.9M-141.5K0.299.81N/AN/A1,1873499,3412,821
2022-01-18$184.10$160.0059.4%17.0%47.4%54.3%55.9%-25.3%1.9%1.1M-87.6M-143.8K0.266.41N/AN/A1,6734349,5202,965
2022-01-19$186.40$160.0063.8%18.3%44.8%58.4%59.8%-25.8%1.7%823.7K-90.9M-144.0K0.337.45N/AN/A8592869,4293,186
2022-01-20$192.60$160.0064.7%18.6%42.3%59.2%63.3%-25.1%-0.8%787.1K-98.9M-145.0K0.197.55N/AN/A1,3012499,3893,215
2022-01-21$204.60$160.0075.7%21.7%44.2%69.3%75.0%-31.7%-0.2%770.6K-119.3M-157.5K0.1515.13N/AN/A2,6704019,7053,244
2022-01-24$209.20$160.0085.4%24.5%41.6%78.2%87.1%-38.8%-4.5%344.4K-40.1M-161.6K0.2736.31N/AN/A1,5554213,4141,709
2022-01-25$209.30$170.0083.0%23.8%38.9%76.1%85.2%-31.9%-3.0%339.8K-39.8M-166.4K0.4334.01N/AN/A6552793,5681,958
2022-01-26$214.60$170.0083.9%24.1%38.4%76.9%84.4%-32.2%-0.8%382.6K-47.1M-182.1K0.3837.09N/AN/A1,1344314,0412,284
2022-01-27$213.40$170.0083.5%24.0%38.5%76.6%80.0%-33.6%-4.0%442.9K-50.6M-176.5K0.256.94N/AN/A1,2623094,1632,355
2022-01-28$205.30$170.0076.0%21.8%42.9%69.6%77.9%-30.5%-1.3%486.1K-45.5M-181.0K0.3231.51N/AN/A7932524,3092,411
2022-01-31$191.80$170.0066.0%18.9%51.4%60.4%73.3%-25.7%-0.7%503.4K-36.1M-178.1K0.316.53N/AN/A6432004,6052,493