SPXS Options History — July 2022

In July 2022, SPXS traded between $200.60 and $265.20. ATM implied volatility averaged 71.2%, placing in the 66.9% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 0.8% (HV 20d: 72.1%). Max pain ranged from $210.00 to $240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.19.

Notable Days

  • 2022-07-14: Highest Volume — 3,860 contracts
  • 2022-07-11: Largest IV spike — 27.5% change
  • 2022-07-12: Highest IV Rank — 88.8%
  • 2022-07-05: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$241.25$200.60$265.20$258.20$200.60
Max Pain$224.00$210.00$240.00$240.00$210.00
ATM IV71.2%55.5%94.2%75.1%55.5%
Expected Move20.1%15.9%22.6%21.5%15.9%
HV 20d72.1%55.6%90.0%89.9%60.7%
HV 60d84.4%82.9%85.9%84.8%83.6%
IV Rank66.9%52.0%88.8%70.6%52.0%
IV Percentile67.7%48.0%96.8%74.6%48.0%
Term Structure2.3%0.5%4.8%2.2%4.2%
VWIV72.7%62.0%81.3%77.6%62.0%
Skew 25d-19.6%-24.0%-12.6%-14.3%-12.6%
Skew 10d-34.6%-44.0%-20.2%-29.3%-20.2%
Call IV 25d81.9%64.5%93.3%83.0%64.5%
Put IV 25d62.3%51.9%69.3%68.7%51.9%
Bid-Ask Spread %19.978.0038.8016.5831.00
Gamma HHI0.110.080.230.130.09
Net GEX1.9M970.2K3.9M2.0M1.4M
Net DEX-97.1M-133.6M-56.0M-111.2M-56.0M
Net VEX-346.5K-370.8K-303.8K-370.8K-303.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.080.550.550.10
Total Volume1,743.958073,8601,2212,223
Total OI11,278.458,12513,74511,59211,215

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$258.20$240.0075.1%21.5%89.9%70.6%77.6%-14.3%2.2%2.0M-111.2M-370.8K0.5516.58N/AN/A7904319,0992,493
2022-07-05$258.70$230.0082.8%22.6%89.1%77.9%80.1%-23.6%0.5%2.2M-112.7M-356.3K0.1012.48N/AN/A1,8321849,2402,544
2022-07-06$252.10$220.0077.4%21.9%89.7%72.8%81.3%-22.6%2.2%1.8M-93.6M-344.6K0.2014.74N/AN/A1,7393518,9502,529
2022-07-07$243.50$220.0071.3%20.9%90.0%67.0%77.2%-23.1%3.1%1.8M-90.8M-345.6K0.1910.97N/AN/A1,2922399,6632,578
2022-07-08$242.50$220.0064.6%20.1%89.7%60.6%72.1%-22.3%4.8%2.0M-92.5M-348.5K0.1214.28N/AN/A1,42116710,4032,602
2022-07-11$252.80$220.0082.4%21.5%88.6%77.6%74.0%-23.2%2.3%2.3M-108.5M-344.9K0.3312.44N/AN/A1,22540510,1552,642
2022-07-12$260.70$220.0094.2%22.4%84.2%88.8%78.7%-24.0%1.5%2.9M-131.1M-351.5K0.138.00N/AN/A1,56821110,4002,657
2022-07-13$261.70$230.0076.0%21.8%70.8%71.4%74.3%-21.4%2.0%3.0M-128.4M-343.4K0.0814.27N/AN/A2,49019510,3762,693
2022-07-14$265.20$230.0076.9%22.0%71.0%72.3%75.6%-19.7%0.8%3.9M-133.6M-341.3K0.0910.92N/AN/A3,54431611,0122,733
2022-07-15$251.40$240.0068.7%19.7%71.3%64.5%70.8%-19.7%2.1%970.2K-99.3M-332.1K0.2713.94N/AN/A1,5544229,9672,814
2022-07-18$257.60$240.0075.1%21.5%59.6%70.6%75.1%-21.9%0.8%1.0M-97.6M-342.4K0.1814.87N/AN/A8021426,6981,427
2022-07-19$234.90$240.0067.5%19.4%66.8%63.4%74.3%-21.9%1.7%1.0M-79.8M-334.0K0.1413.01N/AN/A1,2321746,9811,452
2022-07-20$229.90$240.0068.0%19.5%62.2%63.8%69.5%-19.4%2.1%1.3M-80.8M-347.5K0.1628.38N/AN/A1,1281867,8391,489
2022-07-21$225.70$220.0065.7%18.8%62.1%61.7%69.5%-18.0%3.3%1.5M-83.6M-360.1K0.1929.50N/AN/A6771308,3591,523
2022-07-22$231.50$220.0064.0%18.4%63.0%60.1%68.7%-17.2%3.2%1.7M-91.9M-363.6K0.0927.18N/AN/A1,6241548,6151,542
2022-07-25$231.50$210.0065.1%18.7%55.6%61.1%67.9%-17.0%2.4%1.7M-94.3M-356.1K0.1632.71N/AN/A9081418,6751,554
2022-07-26$237.80$210.0070.6%20.2%56.5%66.3%70.3%-17.7%1.0%1.9M-107.3M-366.8K0.3428.86N/AN/A9213169,0121,581
2022-07-27$217.00$210.0063.9%18.3%60.3%60.0%69.5%-17.1%2.6%1.7M-78.6M-343.1K0.1626.39N/AN/A1,2922039,2421,597
2022-07-28$211.60$210.0059.7%17.1%60.3%55.9%65.7%-15.0%2.5%1.8M-70.9M-333.6K0.1938.80N/AN/A1,8933579,5681,650
2022-07-29$200.60$210.0055.5%15.9%60.7%52.0%62.0%-12.6%4.2%1.4M-56.0M-303.8K0.1031.00N/AN/A2,0251989,4961,719