SPXS Options History — November 2022

In November 2022, SPXS traded between $189.60 and $252.30. ATM implied volatility averaged 67.5%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 14.2% (HV 20d: 81.7%). Max pain ranged from $205.00 to $230.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2022-11-10: Highest Volume — 5,720 contracts
  • 2022-11-28: Largest IV spike — 9.9% change
  • 2022-11-02: Highest IV Rank — 59.5%
  • 2022-11-02: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$215.15$189.60$252.30$228.90$189.60
Max Pain$218.81$205.00$230.00$230.00$210.00
ATM IV67.5%58.2%76.6%75.1%59.3%
Expected Move20.2%16.9%24.4%23.5%18.7%
HV 20d81.7%71.5%93.6%75.9%85.4%
HV 60d79.0%73.7%83.3%74.0%82.2%
IV Rank46.3%33.2%59.5%57.4%34.8%
IV Percentile41.7%23.8%63.5%59.1%24.6%
Term Structure0.6%-3.3%5.0%-0.3%-1.8%
VWIV74.1%64.6%82.5%82.5%71.0%
Skew 25d-11.5%-14.9%-7.2%-10.3%-9.9%
Skew 10d-23.1%-33.8%-6.4%-22.2%-23.6%
Call IV 25d74.5%63.6%81.3%81.1%63.6%
Put IV 25d63.0%53.6%73.2%70.8%53.7%
Bid-Ask Spread %9.263.2333.274.3911.19
Gamma HHI0.100.060.170.060.12
Net GEX2.9M1.2M4.0M1.9M2.3M
Net DEX-98.9M-169.5M-54.9M-94.0M-54.9M
Net VEX-350.2K-384.8K-302.1K-368.4K-302.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.150.450.240.21
Total Volume2,820.6197345,7202,2072,923
Total OI18,207.42915,53021,57716,66417,822

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$228.90$230.0075.1%23.5%75.9%57.4%82.5%-10.3%-0.3%1.9M-94.0M-368.4K0.244.39N/AN/A1,78242512,9533,711
2022-11-02$243.70$230.0076.6%24.4%79.4%59.5%80.6%-7.2%-3.3%2.6M-136.0M-378.5K0.208.47N/AN/A3,65672913,2613,732
2022-11-03$252.30$230.0073.6%21.9%79.3%55.3%77.7%-7.8%-0.1%3.9M-169.5M-384.3K0.2815.71N/AN/A2,35166814,0314,060
2022-11-04$244.80$230.0072.0%21.2%72.4%52.5%75.2%-8.5%-0.6%1.2M-147.3M-360.9K0.2019.33N/AN/A3,05760314,1154,185
2022-11-07$236.80$230.0070.8%21.4%72.7%50.8%77.5%-9.3%3.8%2.9M-123.8M-356.7K0.2816.09N/AN/A1,55444212,7622,768
2022-11-08$230.90$230.0073.2%21.8%71.5%54.2%78.7%-10.9%2.8%3.0M-115.6M-353.2K0.2410.68N/AN/A1,77743513,2992,857
2022-11-09$247.10$230.0074.1%22.6%76.9%55.4%79.6%-11.4%4.5%3.7M-157.4M-377.4K0.256.56N/AN/A2,43360813,6972,997
2022-11-10$208.60$230.0067.5%20.6%93.6%46.3%75.7%-10.0%5.0%1.9M-63.8M-312.0K0.1810.25N/AN/A4,86086014,2853,222
2022-11-11$200.30$220.0064.4%19.4%89.4%41.9%74.7%-10.4%5.0%1.9M-55.7M-315.5K0.326.90N/AN/A2,38877116,2043,435
2022-11-14$203.30$220.0066.3%19.3%86.7%44.6%75.2%-12.8%2.0%2.4M-72.0M-324.0K0.3511.16N/AN/A1,39648214,9523,132
2022-11-15$201.00$220.0067.8%19.6%86.6%46.6%74.2%-14.9%0.8%2.4M-67.5M-325.0K0.167.90N/AN/A3,69861015,3293,310
2022-11-16$205.60$210.0069.8%20.0%86.5%49.5%75.8%-14.4%-1.0%3.5M-96.1M-381.7K0.324.53N/AN/A1,60050817,3293,502
2022-11-17$209.50$210.0069.3%19.9%86.4%48.7%72.9%-13.3%-0.0%3.9M-107.7M-384.8K0.274.56N/AN/A2,82075417,5773,505
2022-11-18$204.70$210.0065.6%18.8%83.0%43.6%70.9%-13.3%0.7%4.0M-90.0M-369.9K0.453.78N/AN/A2,2491,00117,9833,594
2022-11-21$207.60$210.0065.8%19.0%82.7%43.9%71.0%-12.3%-1.5%3.7M-99.7M-359.0K0.413.97N/AN/A1,38956914,7362,875
2022-11-22$199.30$210.0062.1%18.0%82.3%38.7%68.8%-12.9%-2.6%2.8M-80.3M-334.6K0.323.23N/AN/A1,56349914,9102,977
2022-11-23$196.20$210.0058.2%16.9%81.9%33.2%65.6%-11.7%-0.7%2.4M-70.8M-319.7K0.305.01N/AN/A2,20966315,4893,040
2022-11-25$195.50$210.0058.5%17.3%81.3%33.7%64.6%-12.8%-1.1%3.0M-77.2M-331.8K0.2233.27N/AN/A60013417,0153,004
2022-11-28$205.50$210.0064.3%19.6%80.8%41.8%72.4%-14.9%-0.0%3.2M-96.5M-356.5K0.153.87N/AN/A2,31633714,2452,956
2022-11-29$206.90$205.0062.4%19.7%80.7%39.1%72.0%-12.4%0.2%3.4M-101.2M-358.8K0.323.61N/AN/A1,14936514,3813,119
2022-11-30$189.60$210.0059.3%18.7%85.4%34.8%71.0%-9.9%-1.8%2.3M-54.9M-302.1K0.2111.19N/AN/A2,40951414,5373,285