SPXS Options History — January 2023

In January 2023, SPXS traded between $184.90 and $227.70. ATM implied volatility averaged 57.4%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 4.8% (HV 20d: 52.5%). Max pain ranged from $180.00 to $190.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.18.

Notable Days

  • 2023-01-20: Highest Volume — 4,016 contracts
  • 2023-01-12: Largest IV drop — 11.5% change
  • 2023-01-05: Highest IV Rank — 44.9%
  • 2023-01-03: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.54$184.90$227.70$226.40$187.70
Max Pain$181.00$180.00$190.00$190.00$180.00
ATM IV57.4%50.8%66.5%66.5%53.9%
Expected Move16.9%15.2%19.0%19.0%17.1%
HV 20d52.5%44.9%59.2%55.6%45.2%
HV 60d67.4%63.4%72.8%72.8%63.4%
IV Rank23.7%12.1%44.9%44.8%17.0%
IV Percentile15.4%3.2%40.9%40.9%7.1%
Term Structure-0.2%-2.4%3.1%-0.7%0.1%
VWIV61.6%56.7%68.2%68.1%63.9%
Skew 25d-11.6%-15.3%-8.1%-9.0%-15.2%
Skew 10d-21.6%-29.1%-17.2%-19.5%-28.8%
Call IV 25d64.3%56.1%72.3%72.3%62.8%
Put IV 25d52.7%45.6%63.3%63.3%47.6%
Bid-Ask Spread %8.852.7433.623.813.40
Gamma HHI0.150.090.250.090.16
Net GEX3.7M2.5M5.2M3.1M3.6M
Net DEX-109.7M-155.2M-71.4M-144.0M-87.9M
Net VEX-323.9K-401.8K-287.7K-311.0K-389.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.100.310.200.10
Total Volume2,874.71,2764,0162,0433,076
Total OI18,736.2514,50821,30116,51319,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$226.40$190.0066.5%19.0%55.6%44.8%68.1%-9.0%-0.7%3.1M-144.0M-311.0K0.203.81N/AN/A1,70933413,6382,875
2023-01-04$224.80$190.0066.1%18.6%53.4%44.2%64.4%-9.4%-0.8%3.2M-138.7M-306.2K0.237.15N/AN/A1,86042013,8902,972
2023-01-05$227.70$180.0066.5%19.0%52.1%44.9%68.2%-8.9%-1.7%3.7M-155.2M-314.6K0.127.93N/AN/A2,18225414,6453,209
2023-01-06$211.40$180.0060.5%17.6%59.1%28.1%64.2%-9.0%-1.5%2.5M-105.5M-300.5K0.215.42N/AN/A2,58253514,6673,260
2023-01-09$212.30$180.0062.4%18.2%58.6%31.1%66.2%-11.3%1.5%3.4M-121.7M-311.0K0.158.95N/AN/A2,15731614,5262,977
2023-01-10$210.40$180.0059.7%17.7%58.7%26.8%63.9%-10.5%2.3%3.6M-118.2M-313.7K0.159.27N/AN/A1,10916715,1443,126
2023-01-11$202.70$180.0061.3%17.6%59.2%28.7%66.1%-8.1%0.1%3.5M-97.9M-311.1K0.283.50N/AN/A1,79949515,5463,203
2023-01-12$200.20$180.0054.3%16.0%58.0%17.5%59.1%-9.8%1.5%4.1M-90.8M-296.5K0.185.24N/AN/A2,74848616,5263,439
2023-01-13$196.90$180.0050.8%15.2%57.5%12.1%56.7%-10.5%3.1%4.2M-83.1M-302.3K0.1233.62N/AN/A2,57130617,6473,577
2023-01-17$198.40$180.0054.4%15.7%50.8%17.7%59.2%-12.4%-1.2%4.6M-95.3M-287.7K0.1619.12N/AN/A1,38621716,4033,174
2023-01-18$206.80$180.0058.1%16.7%52.4%23.7%60.2%-11.7%-2.4%5.2M-133.9M-306.8K0.162.74N/AN/A3,24050416,9783,258
2023-01-19$210.50$180.0056.9%16.4%50.8%21.8%58.3%-12.4%-1.0%5.1M-154.9M-311.0K0.158.48N/AN/A2,93343017,5703,434
2023-01-20$202.30$180.0054.3%15.7%52.2%17.6%59.2%-12.4%-1.7%3.1M-122.1M-297.9K0.2113.72N/AN/A3,31470217,7123,589
2023-01-23$194.40$180.0054.7%16.2%52.5%18.1%60.0%-12.9%0.1%3.0M-84.8M-318.6K0.2011.47N/AN/A3,20065512,0962,412
2023-01-24$195.40$180.0053.9%15.9%48.1%16.9%57.0%-13.3%-0.6%3.9M-98.6M-345.8K0.2310.59N/AN/A1,92243514,1582,851
2023-01-25$195.20$180.0052.9%15.9%47.8%15.4%59.6%-13.7%-0.4%4.2M-103.2M-350.8K0.153.90N/AN/A3,10346914,8433,158
2023-01-26$189.50$180.0052.3%15.8%48.3%14.3%58.1%-13.2%-1.0%3.7M-81.3M-342.2K0.1611.09N/AN/A2,80744115,2233,425
2023-01-27$184.90$180.0051.2%15.4%44.9%12.6%58.8%-12.8%-0.6%3.0M-71.4M-359.7K0.314.38N/AN/A2,83188416,9943,695
2023-01-30$192.90$180.0056.5%17.8%45.7%21.0%61.7%-15.3%-0.0%3.8M-105.4M-401.8K0.123.27N/AN/A2,60630915,6653,548
2023-01-31$187.70$180.0053.9%17.1%45.2%17.0%63.9%-15.2%0.1%3.6M-87.9M-389.1K0.103.40N/AN/A2,80127515,9003,772