SPXS Options History — March 2023 In March 2023, SPXS traded between $179.10 and $218.70. ATM implied volatility averaged 60.1%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 10.4% (HV 20d: 49.7%). Max pain ranged from $160.00 to $180.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.20.
Notable Days 2023-03-10 : Highest Volume — 7,687 contracts2023-03-16 : Largest IV drop — 17.7% change2023-03-10 : Highest IV Rank — 47.1%2023-03-13 : Largest Expected Move — 20.5%Monthly Statistics Metric Avg Min Max Open Close Price $198.91 $179.10 $218.70 $202.30 $179.10 Max Pain $177.39 $160.00 $180.00 $160.00 $180.00 ATM IV 60.1% 51.3% 72.8% 57.8% 51.3% Expected Move 17.1% 14.1% 20.5% 16.9% 14.1% HV 20d 49.7% 40.0% 56.6% 45.2% 55.6% HV 60d 49.9% 48.4% 51.4% 49.6% 49.6% IV Rank 26.8% 12.9% 47.1% 23.2% 12.9% IV Percentile 28.8% 4.4% 61.9% 21.8% 4.4% Term Structure 0.5% -4.8% 3.2% 0.3% 2.9% VWIV 62.1% 51.0% 72.7% 58.7% 55.2% Skew 25d -17.3% -24.4% -11.5% -15.0% -13.9% Skew 10d -31.8% -43.7% -21.2% -27.2% -26.9% Call IV 25d 70.7% 58.8% 86.4% 67.9% 58.8% Put IV 25d 53.4% 44.9% 63.0% 52.9% 44.9% Bid-Ask Spread % 12.18 3.93 41.73 4.16 3.93 Gamma HHI 0.14 0.11 0.20 0.17 0.12 Net GEX 4.0M 1.3M 6.0M 5.8M 1.3M Net DEX -111.0M -235.7M -18.9M -156.3M -18.9M Net VEX -372.7K -423.9K -329.0K -416.7K -329.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.06 0.86 0.16 0.10 Total Volume 3,633.478 1,625 7,687 3,054 4,549 Total OI 21,398.478 17,049 25,338 23,296 21,842
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-03-01 $202.30 $160.00 57.8% 16.9% 45.2% 23.2% 58.7% -15.0% 0.3% 5.8M -156.3M -416.7K 0.16 4.16 N/A N/A 2,634 420 18,701 4,595 2023-03-02 $197.90 $160.00 57.7% 16.6% 40.0% 23.0% 59.5% -12.3% -1.1% 5.3M -130.1M -395.5K 0.10 5.57 N/A N/A 3,083 301 18,810 4,815 2023-03-03 $189.50 $160.00 52.8% 15.3% 43.0% 15.2% 56.5% -11.8% -1.5% 3.4M -94.3M -373.1K 0.12 18.20 N/A N/A 2,911 353 19,248 4,884 2023-03-06 $188.40 $180.00 52.6% 15.0% 42.6% 14.9% 53.5% -11.9% 0.9% 3.9M -95.0M -361.5K 0.15 4.74 N/A N/A 2,199 319 18,246 4,642 2023-03-07 $197.00 $180.00 54.2% 15.9% 44.9% 17.5% 52.7% -12.2% 0.8% 4.9M -133.8M -400.3K 0.07 4.71 N/A N/A 3,592 248 19,018 4,778 2023-03-08 $196.60 $180.00 53.5% 15.7% 41.6% 16.3% 51.0% -11.5% 0.4% 5.1M -131.9M -394.3K 0.11 6.51 N/A N/A 2,740 291 19,320 4,873 2023-03-09 $207.40 $180.00 62.9% 18.0% 44.1% 31.3% 59.5% -12.7% 0.8% 6.0M -191.6M -422.7K 0.06 13.25 N/A N/A 6,448 400 20,377 4,961 2023-03-10 $218.70 $180.00 72.8% 19.9% 46.6% 47.1% 66.3% -21.6% -0.5% 5.1M -235.7M -423.9K 0.09 16.07 N/A N/A 7,040 647 18,633 5,154 2023-03-13 $215.50 $180.00 71.8% 20.5% 47.2% 45.4% 64.8% -22.7% 0.0% 4.2M -181.7M -395.1K 0.32 16.45 N/A N/A 2,607 823 16,269 5,066 2023-03-14 $210.70 $180.00 66.4% 18.6% 46.1% 36.9% 63.7% -19.0% -1.6% 4.4M -156.2M -372.8K 0.15 17.88 N/A N/A 2,737 398 16,350 5,332 2023-03-15 $213.40 $180.00 72.8% 19.5% 45.8% 47.1% 70.6% -24.4% -4.8% 4.6M -173.7M -380.0K 0.07 15.40 N/A N/A 4,104 268 16,907 5,493 2023-03-16 $200.20 $180.00 59.9% 17.3% 52.7% 26.5% 63.7% -18.4% 3.2% 4.3M -115.0M -357.8K 0.15 17.71 N/A N/A 3,004 445 17,125 5,557 2023-03-17 $207.30 $180.00 69.8% 20.1% 53.0% 42.3% 68.8% -22.1% 0.6% 4.8M -154.7M -384.0K 0.12 7.63 N/A N/A 2,962 370 18,346 5,762 2023-03-20 $202.30 $180.00 64.7% 18.5% 53.9% 34.1% 72.5% -23.4% -1.0% 2.9M -95.5M -362.7K 0.44 8.10 N/A N/A 1,128 497 12,719 4,330 2023-03-21 $190.90 $180.00 58.2% 16.7% 55.6% 23.7% 69.0% -18.0% -0.3% 2.6M -50.2M -334.9K 0.24 17.48 N/A N/A 2,227 537 12,491 4,640 2023-03-22 $196.10 $180.00 57.8% 16.6% 56.0% 23.1% 60.0% -18.4% 2.3% 3.2M -63.4M -340.4K 0.20 41.73 N/A N/A 2,989 583 13,225 4,786 2023-03-23 $199.50 $180.00 64.0% 18.2% 55.4% 33.0% 72.7% -21.5% 0.9% 4.0M -85.6M -374.3K 0.18 13.70 N/A N/A 3,675 656 13,967 5,030 2023-03-24 $196.80 $180.00 60.6% 17.3% 53.8% 27.6% 65.1% -19.7% 0.3% 4.1M -75.3M -368.1K 0.19 16.97 N/A N/A 3,321 615 14,354 5,207 2023-03-27 $194.30 $180.00 57.5% 16.4% 53.7% 22.7% 67.5% -19.8% 1.8% 3.3M -67.4M -351.6K 0.35 8.26 N/A N/A 1,696 596 13,003 4,792 2023-03-28 $197.70 $180.00 58.1% 16.5% 54.1% 23.6% 61.5% -16.8% 1.6% 3.7M -74.8M -358.9K 0.86 4.84 N/A N/A 1,150 984 13,289 5,131 2023-03-29 $188.00 $180.00 53.8% 15.1% 56.6% 16.8% 54.5% -16.1% 2.1% 2.1M -37.5M -339.6K 0.33 4.12 N/A N/A 3,006 1,002 13,390 5,928 2023-03-30 $185.40 $180.00 51.4% 14.3% 56.3% 13.0% 61.0% -15.7% 2.3% 2.6M -34.8M -335.0K 0.11 12.65 N/A N/A 2,727 288 14,786 5,993 2023-03-31 $179.10 $180.00 51.3% 14.1% 55.6% 12.9% 55.2% -13.9% 2.9% 1.3M -18.9M -329.0K 0.10 3.93 N/A N/A 4,140 409 15,844 5,998
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