SPXS Options History — October 2022

In October 2022, SPXS traded between $221.80 and $290.50. ATM implied volatility averaged 85.4%, placing in the 71.5% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded above realized volatility by 1.1% (HV 20d: 84.2%). Max pain ranged from $200.00 to $240.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2022-10-13: Highest Volume — 7,013 contracts
  • 2022-10-06: Largest IV spike — 6.6% change
  • 2022-10-12: Highest IV Rank — 84.9%
  • 2022-10-12: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$257.98$221.80$290.50$271.20$225.10
Max Pain$230.24$200.00$240.00$200.00$230.00
ATM IV85.4%74.7%95.1%84.3%74.8%
Expected Move24.7%22.6%26.5%24.6%23.1%
HV 20d84.2%74.7%88.7%81.8%80.3%
HV 60d71.8%68.3%73.9%68.3%73.9%
IV Rank71.5%56.8%84.9%70.1%56.9%
IV Percentile82.9%58.7%98.0%85.7%58.7%
Term Structure-1.1%-3.7%0.9%0.8%-0.6%
VWIV88.8%82.8%95.1%86.7%83.6%
Skew 25d-16.1%-22.1%-9.8%-22.1%-11.4%
Skew 10d-30.5%-43.8%-20.1%-40.2%-25.1%
Call IV 25d95.7%81.0%108.6%98.8%81.6%
Put IV 25d79.6%70.3%88.2%76.7%70.3%
Bid-Ask Spread %8.014.3920.128.885.46
Gamma HHI0.100.060.160.080.06
Net GEX3.6M1.1M5.2M3.2M1.7M
Net DEX-175.0M-281.8M-63.4M-200.9M-85.1M
Net VEX-421.2K-480.8K-345.6K-404.5K-362.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.140.340.180.20
Total Volume3,729.0482,1597,0134,4262,159
Total OI18,878.38115,82521,14815,82516,354

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$271.20$200.0084.3%24.6%81.8%70.1%86.7%-22.1%0.8%3.2M-200.9M-404.5K0.188.88N/AN/A3,75167512,9982,827
2022-10-04$249.80$200.0080.7%23.5%87.8%65.1%88.6%-21.5%0.9%3.4M-155.3M-421.9K0.145.71N/AN/A4,77267514,5223,021
2022-10-05$246.40$200.0079.7%22.8%85.3%63.8%83.7%-20.1%0.8%4.1M-162.5M-439.2K0.225.61N/AN/A2,94663516,1473,103
2022-10-06$255.60$220.0085.0%24.2%85.9%71.0%86.5%-19.7%-0.5%4.8M-196.0M-466.2K0.1420.12N/AN/A2,74939116,7243,185
2022-10-07$279.40$230.0088.4%25.0%86.1%75.8%87.2%-20.3%0.7%5.1M-273.4M-447.2K0.266.62N/AN/A5,0261,32916,4763,266
2022-10-10$282.20$230.0090.9%25.5%84.9%79.2%90.7%-20.8%-2.7%4.1M-238.7M-478.2K0.1915.76N/AN/A2,53447314,8293,581
2022-10-11$290.50$230.0094.8%26.5%75.2%84.5%93.0%-20.4%-2.3%4.2M-261.2M-480.8K0.146.18N/AN/A2,96542815,1533,729
2022-10-12$290.00$230.0095.1%26.5%74.7%84.9%92.4%-18.8%-2.1%4.5M-269.4M-467.3K0.235.07N/AN/A2,31752215,6083,924
2022-10-13$269.90$240.0092.4%26.0%80.2%81.2%95.1%-18.3%-2.3%4.4M-213.5M-464.1K0.2614.33N/AN/A5,5551,45816,3243,998
2022-10-14$287.80$240.0092.0%25.9%82.3%80.7%91.4%-13.7%-2.7%4.7M-281.8M-452.8K0.327.78N/AN/A3,10099417,2063,942
2022-10-17$264.90$240.0088.1%25.0%88.1%75.4%91.8%-16.9%-1.5%4.0M-185.3M-418.3K0.235.50N/AN/A2,68462515,1623,636
2022-10-18$258.10$240.0087.5%25.0%88.7%74.5%92.2%-15.3%-2.6%4.0M-165.8M-434.6K0.2212.94N/AN/A2,92364216,0663,891
2022-10-19$264.60$240.0087.5%25.1%87.2%74.5%90.4%-15.6%-2.2%4.6M-191.8M-428.6K0.146.04N/AN/A2,98740416,6053,945
2022-10-20$270.00$240.0087.0%25.1%87.4%73.8%88.4%-14.5%-3.7%5.2M-208.3M-426.9K0.225.47N/AN/A2,70658516,7624,014
2022-10-21$249.60$240.0085.7%24.8%87.6%72.0%90.2%-13.0%-2.9%2.7M-131.2M-415.5K0.254.73N/AN/A3,59689616,7334,132
2022-10-24$240.60$240.0085.5%25.4%87.9%71.8%92.7%-12.4%-0.4%2.9M-109.6M-381.6K0.264.78N/AN/A2,34960013,1992,659
2022-10-25$229.40$240.0081.5%24.3%88.4%66.2%88.3%-11.3%-0.5%2.2M-85.6M-353.5K0.184.43N/AN/A2,18140313,7242,880
2022-10-26$233.20$240.0079.1%23.8%85.5%63.0%85.2%-11.4%-0.6%2.1M-92.0M-370.2K0.214.39N/AN/A2,48153014,3543,759
2022-10-27$237.50$235.0077.8%23.5%80.8%61.2%82.8%-10.2%0.4%2.6M-103.7M-385.3K0.345.16N/AN/A1,76760214,9563,824
2022-10-28$221.80$230.0074.7%22.6%82.3%56.8%82.8%-9.8%0.6%1.1M-63.4M-345.6K0.1713.17N/AN/A3,32756815,2553,973
2022-10-31$225.10$230.0074.8%23.1%80.3%56.9%83.6%-11.4%-0.6%1.7M-85.1M-362.0K0.205.46N/AN/A1,79236712,7203,634