SPXS Options History — December 2022

In December 2022, SPXS traded between $186.60 and $233.10. ATM implied volatility averaged 62.7%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 2.0% (HV 20d: 64.7%). Max pain ranged from $150.00 to $205.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2022-12-16: Highest Volume — 5,626 contracts
  • 2022-12-22: Largest IV spike — 10.3% change
  • 2022-12-12: Highest IV Rank — 49.7%
  • 2022-12-12: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$212.12$186.60$233.10$186.60$224.60
Max Pain$171.19$150.00$205.00$205.00$190.00
ATM IV62.7%54.7%70.0%56.4%63.3%
Expected Move18.2%16.6%19.9%18.3%18.0%
HV 20d64.7%51.7%84.2%81.0%55.6%
HV 60d77.4%73.2%81.6%81.6%73.2%
IV Rank39.6%28.3%49.7%30.7%40.4%
IV Percentile30.3%15.5%46.4%19.8%28.6%
Term Structure1.1%-3.4%3.6%0.6%3.6%
VWIV65.4%60.9%71.2%68.7%64.0%
Skew 25d-10.5%-13.5%4.6%-11.5%-10.2%
Skew 10d-21.9%-29.3%-16.4%-21.4%-21.4%
Call IV 25d70.1%59.9%91.0%63.7%68.4%
Put IV 25d59.5%51.0%95.6%52.3%58.2%
Bid-Ask Spread %5.423.1615.326.713.63
Gamma HHI0.110.080.350.110.13
Net GEX3.6M2.3M6.8M2.3M4.2M
Net DEX-118.9M-168.8M-52.7M-52.7M-152.2M
Net VEX-338.7K-372.5K-312.6K-313.2K-334.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.080.390.190.30
Total Volume3,077.2861,0975,6263,4491,781
Total OI18,699.71416,36221,29418,83618,189

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$186.60$205.0056.4%18.3%81.0%30.7%68.7%-11.5%0.6%2.3M-52.7M-313.2K0.196.71N/AN/A2,89055915,3833,453
2022-12-02$189.30$200.0054.7%17.8%79.8%28.3%64.3%-9.0%0.3%2.9M-58.0M-312.6K0.093.16N/AN/A2,89925116,2633,799
2022-12-05$199.50$150.0059.7%17.7%82.9%35.3%65.6%-12.9%3.0%3.4M-92.6M-340.1K0.128.74N/AN/A1,91622815,2953,496
2022-12-06$207.30$150.0063.9%19.0%84.2%41.2%63.1%-13.5%2.5%3.7M-120.8M-372.5K0.094.04N/AN/A3,81032915,7073,601
2022-12-07$208.80$150.0065.7%19.4%84.0%43.8%69.1%-12.8%3.1%3.4M-121.7M-372.1K0.133.95N/AN/A1,76022615,1663,698
2022-12-08$204.80$150.0063.5%18.3%79.6%40.6%70.3%-11.2%3.0%3.3M-108.9M-355.3K0.084.57N/AN/A3,14825815,3493,787
2022-12-09$206.90$150.0064.0%19.2%52.6%41.4%67.3%-11.1%3.3%4.6M-115.9M-356.1K0.114.43N/AN/A2,54229215,8383,858
2022-12-12$200.70$150.0070.0%19.9%51.7%49.7%71.2%-13.4%0.2%2.9M-94.4M-337.1K0.223.64N/AN/A1,39930315,0653,590
2022-12-13$193.90$150.0064.4%17.8%52.8%41.8%68.3%-12.1%-2.3%3.0M-79.6M-333.4K0.274.86N/AN/A3,8941,03615,7813,717
2022-12-14$199.40$150.0064.8%17.2%53.8%42.4%62.6%4.6%1.6%3.3M-92.9M-327.3K0.1012.44N/AN/A4,05240016,4573,995
2022-12-15$214.30$150.0064.0%17.8%59.2%41.3%63.7%-11.3%-2.2%4.8M-155.5M-352.1K0.154.56N/AN/A4,49868617,2164,078
2022-12-16$219.50$150.0063.0%17.9%59.4%40.0%64.1%-11.4%-1.1%6.8M-154.3M-332.6K0.224.87N/AN/A4,5951,03116,6244,303
2022-12-19$228.10$150.0064.3%18.3%59.9%41.8%64.3%-12.5%0.9%3.7M-168.8M-354.4K0.253.99N/AN/A1,68941914,9043,378
2022-12-20$224.80$200.0061.8%17.7%60.2%38.3%62.1%-10.3%0.5%3.6M-126.7M-347.4K0.275.79N/AN/A2,48866913,7533,578
2022-12-21$216.90$200.0057.8%16.6%59.7%32.7%60.9%-9.8%-3.4%3.3M-95.0M-328.8K0.1815.32N/AN/A2,23639213,4743,786
2022-12-22$228.60$190.0063.8%18.2%61.6%41.0%66.1%-11.3%0.7%4.0M-154.2M-349.4K0.204.48N/AN/A3,64673314,2513,403
2022-12-23$223.10$190.0061.0%17.4%62.5%37.2%62.9%-10.9%0.3%3.0M-129.1M-328.5K0.313.70N/AN/A1,55047914,2673,647
2022-12-27$223.80$190.0063.0%18.2%60.4%40.0%64.5%-11.1%3.0%3.1M-130.6M-317.4K0.323.31N/AN/A83326413,2823,080
2022-12-28$233.10$190.0065.7%19.0%61.8%43.7%66.9%-9.6%2.9%3.3M-159.1M-319.1K0.183.91N/AN/A2,28640513,4973,130
2022-12-29$220.50$190.0062.3%17.8%56.2%39.0%63.4%-10.5%2.8%3.2M-133.9M-328.2K0.393.64N/AN/A1,25749414,3323,224
2022-12-30$224.60$190.0063.3%18.0%55.6%40.4%64.0%-10.2%3.6%4.2M-152.2M-334.5K0.303.63N/AN/A1,37440714,8483,341