SPXS Options History — September 2022

In September 2022, SPXS traded between $200.70 and $290.20. ATM implied volatility averaged 77.5%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 10.2% (HV 20d: 67.4%). Max pain ranged from $180.00 to $200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2022-09-23: Highest Volume — 5,991 contracts
  • 2022-09-13: Largest IV spike — 16.9% change
  • 2022-09-27: Highest IV Rank — 82.6%
  • 2022-09-27: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$242.64$200.70$290.20$227.20$290.20
Max Pain$191.43$180.00$200.00$180.00$200.00
ATM IV77.5%63.0%93.4%72.4%87.5%
Expected Move22.4%18.7%27.2%21.1%25.6%
HV 20d67.4%55.9%76.9%57.4%76.9%
HV 60d65.6%62.0%71.4%71.4%66.7%
IV Rank62.0%40.7%82.6%67.5%74.4%
IV Percentile75.2%49.6%96.4%68.7%90.5%
Term Structure-0.0%-1.5%0.9%0.0%0.3%
VWIV77.6%69.9%92.1%71.7%87.1%
Skew 25d-18.6%-24.6%-12.3%-20.5%-21.1%
Skew 10d-33.5%-40.3%-27.0%-34.8%-36.9%
Call IV 25d89.0%72.8%109.9%85.9%100.6%
Put IV 25d70.4%56.5%85.2%65.4%79.5%
Bid-Ask Spread %8.383.2921.864.039.39
Gamma HHI0.100.070.170.090.16
Net GEX3.3M2.5M4.4M2.7M4.4M
Net DEX-182.0M-267.5M-84.8M-151.6M-267.5M
Net VEX-388.1K-423.3K-335.3K-373.7K-395.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.080.350.220.14
Total Volume3,612.5712,4545,9913,2604,309
Total OI16,291.66713,67618,88213,67617,477

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$227.20$180.0072.4%21.1%57.4%67.5%71.7%-20.5%0.0%2.7M-151.6M-373.7K0.224.03N/AN/A2,68157911,7981,878
2022-09-02$232.80$180.0073.8%20.5%57.7%68.8%72.3%-19.3%-1.0%3.9M-162.1M-371.7K0.204.02N/AN/A3,33665912,0512,256
2022-09-06$232.90$190.0076.1%21.1%57.7%58.8%76.6%-20.4%-1.5%2.5M-150.9M-363.1K0.246.52N/AN/A2,48859311,5122,336
2022-09-07$220.50$190.0068.8%19.8%61.6%48.7%71.7%-18.4%0.8%2.7M-122.1M-361.4K0.255.92N/AN/A1,97650012,1082,460
2022-09-08$219.30$190.0067.2%19.5%55.9%46.6%69.9%-16.8%0.2%3.2M-127.2M-367.9K0.234.62N/AN/A2,35853613,0992,326
2022-09-09$205.60$190.0063.0%18.7%61.4%40.7%69.9%-16.3%0.9%2.6M-90.7M-342.6K0.194.18N/AN/A2,91055913,8372,517
2022-09-12$200.70$190.0065.6%18.9%58.9%44.3%71.9%-12.3%0.3%2.6M-84.8M-335.3K0.263.29N/AN/A2,13356213,3892,393
2022-09-13$227.10$190.0076.7%22.1%71.6%59.6%71.9%-19.5%0.2%3.6M-161.5M-383.2K0.158.31N/AN/A4,35064014,0063,092
2022-09-14$223.40$190.0073.5%20.8%71.9%55.2%75.5%-20.7%0.2%3.8M-169.1M-409.0K0.2310.94N/AN/A2,14849815,3613,008
2022-09-15$229.90$190.0075.1%21.4%72.1%57.5%72.5%-17.7%-0.7%4.3M-196.5M-412.4K0.0810.40N/AN/A3,57428315,8613,021
2022-09-16$237.30$190.0076.1%22.0%72.0%58.9%71.4%-17.2%0.7%4.4M-203.7M-409.1K0.159.03N/AN/A3,80658115,3703,405
2022-09-19$232.60$190.0075.4%21.6%72.1%57.9%73.1%-16.0%0.0%3.0M-154.4M-395.8K0.1611.58N/AN/A2,11034412,9312,481
2022-09-20$237.20$190.0077.8%22.2%69.4%61.1%75.5%-17.3%-0.6%3.2M-176.1M-416.5K0.136.96N/AN/A2,50631713,6712,703
2022-09-21$249.90$190.0083.2%23.9%71.0%68.6%80.1%-16.9%-0.4%3.4M-203.5M-423.3K0.1521.86N/AN/A2,53036813,7672,833
2022-09-22$252.20$190.0076.9%22.0%70.4%59.9%76.9%-15.7%0.3%3.7M-219.8M-401.2K0.3512.56N/AN/A2,63292314,1512,885
2022-09-23$272.20$190.0084.6%24.3%72.0%70.5%85.2%-20.0%-0.4%3.3M-260.3M-389.9K0.1212.94N/AN/A5,36462713,8073,273
2022-09-26$277.00$200.0089.8%26.3%67.1%77.6%86.2%-22.6%-0.7%2.9M-237.6M-398.4K0.107.98N/AN/A4,63244612,8292,903
2022-09-27$282.80$200.0093.4%27.2%67.2%82.6%92.1%-24.6%0.5%3.0M-237.6M-394.4K0.205.97N/AN/A2,82855412,7083,062
2022-09-28$262.40$200.0082.4%24.4%73.4%67.4%88.4%-15.4%0.5%3.1M-194.2M-396.7K0.156.69N/AN/A3,29351013,1473,216
2022-09-29$282.30$200.0088.8%26.1%76.8%76.2%89.2%-22.6%-0.1%4.0M-250.6M-409.7K0.178.84N/AN/A3,27954213,9103,287
2022-09-30$290.20$200.0087.5%25.6%76.9%74.4%87.1%-21.1%0.3%4.4M-267.5M-395.9K0.149.39N/AN/A3,79451514,0033,474