SPXS Options History — June 2023

In June 2023, SPXS traded between $139.30 and $164.90. ATM implied volatility averaged 34.3%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.0% (HV 20d: 33.3%). Max pain ranged from $145.00 to $170.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2023-06-15: Highest Volume — 5,535 contracts
  • 2023-06-06: Largest IV drop — 11.8% change
  • 2023-06-13: Highest IV Rank — 5.6%
  • 2023-06-05: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.62$139.30$164.90$164.90$139.30
Max Pain$151.19$145.00$170.00$170.00$145.00
ATM IV34.3%31.3%40.1%40.1%32.3%
Expected Move9.9%8.6%11.2%11.2%8.6%
HV 20d33.3%30.8%38.2%37.1%33.5%
HV 60d38.5%35.5%44.1%43.1%36.0%
IV Rank2.5%0.0%5.6%0.9%1.5%
IV Percentile1.1%0.0%2.8%0.4%0.4%
Term Structure0.5%-1.7%2.0%-0.0%0.8%
VWIV39.0%32.4%47.5%44.4%33.5%
Skew 25d-10.3%-16.4%-7.7%-16.4%-8.4%
Skew 10d-20.1%-31.0%-4.0%-31.0%-17.9%
Call IV 25d41.9%37.7%50.3%50.3%38.3%
Put IV 25d31.6%29.2%34.0%33.9%29.9%
Bid-Ask Spread %10.002.8325.563.052.98
Gamma HHI0.220.130.420.270.21
Net GEX3.6M1.8M5.8M3.5M2.4M
Net DEX-29.2M-46.0M-1.1M-45.7M-9.7M
Net VEX-257.4K-316.4K-211.6K-316.4K-211.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.070.360.110.23
Total Volume2,502.191,0965,5352,0494,382
Total OI19,579.52416,92023,72218,71619,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$164.90$170.0040.1%11.2%37.1%0.9%44.4%-16.4%-0.0%3.5M-45.7M-316.4K0.113.05N/AN/A1,84520415,0473,669
2023-06-02$157.10$170.0035.5%10.3%38.2%0.0%39.0%-10.5%0.4%2.4M-21.5M-271.4K0.1422.36N/AN/A2,24031315,8643,705
2023-06-05$158.20$150.0038.5%11.2%33.3%4.8%41.7%-11.5%1.1%3.5M-35.8M-282.5K0.0910.88N/AN/A2,02318615,3393,557
2023-06-06$157.50$150.0034.0%10.7%33.3%0.0%41.7%-10.4%1.8%4.1M-35.2M-283.8K0.0913.34N/AN/A1,75616516,4283,604
2023-06-07$159.30$150.0035.0%10.3%33.2%1.7%38.6%-11.4%0.5%4.9M-39.2M-270.7K0.114.52N/AN/A1,23713816,5243,665
2023-06-08$156.40$150.0032.3%10.3%33.3%0.0%39.7%-10.6%1.0%4.0M-31.0M-268.9K0.1321.88N/AN/A1,38018216,8133,601
2023-06-09$155.50$150.0032.7%10.6%32.7%0.6%44.6%-10.3%0.1%3.2M-29.6M-254.9K0.274.47N/AN/A1,87151317,5213,698
2023-06-12$152.00$150.0035.3%10.1%32.8%4.7%45.2%-14.1%0.2%2.8M-20.8M-244.3K0.2515.70N/AN/A1,65140716,0463,602
2023-06-13$149.10$150.0035.9%10.3%33.1%5.6%39.9%-10.0%0.1%2.5M-15.5M-241.3K0.363.45N/AN/A1,47752516,9843,766
2023-06-14$148.80$150.0035.7%10.3%32.4%5.2%41.1%-9.4%0.5%2.2M-13.4M-235.8K0.2917.84N/AN/A2,41370517,5883,813
2023-06-15$142.30$150.0034.6%10.0%34.1%3.7%47.5%-7.8%-0.1%1.8M-1.1M-214.4K0.133.63N/AN/A4,90163418,5914,021
2023-06-16$143.90$150.0034.6%9.6%34.1%3.7%39.4%-7.7%-1.7%2.8M-11.8M-232.1K0.1110.74N/AN/A2,56928319,7533,969
2023-06-20$146.40$150.0035.2%10.1%35.0%4.7%39.7%-10.2%1.9%3.8M-34.4M-256.6K0.074.81N/AN/A3,13122813,9673,051
2023-06-21$147.10$150.0032.4%9.3%35.2%0.3%35.1%-8.1%0.2%4.5M-36.6M-265.6K0.0916.79N/AN/A2,30819914,7613,102
2023-06-22$146.40$150.0031.3%8.9%32.6%0.0%38.1%-9.3%2.0%4.5M-37.3M-262.7K0.082.83N/AN/A2,08316815,0963,014
2023-06-23$149.10$150.0032.9%9.3%31.7%2.5%32.7%-7.9%-0.4%5.8M-46.0M-263.4K0.1625.56N/AN/A2,85346215,4473,068
2023-06-26$150.70$150.0034.1%9.4%31.3%4.4%33.9%-12.8%0.9%3.9M-46.0M-265.5K0.242.96N/AN/A2,08250113,9472,973
2023-06-27$146.10$150.0032.8%9.0%31.0%2.4%34.8%-10.9%0.6%3.4M-31.2M-257.6K0.157.73N/AN/A1,83427314,7793,421
2023-06-28$147.30$145.0032.5%8.8%31.3%1.9%32.4%-9.2%-0.0%4.4M-38.5M-254.5K0.236.85N/AN/A1,07825015,5523,308
2023-06-29$145.70$145.0033.1%9.0%30.8%2.9%35.9%-10.3%0.5%4.1M-32.1M-251.2K0.167.52N/AN/A94714915,7983,293
2023-06-30$139.30$145.0032.3%8.6%33.5%1.5%33.5%-8.4%0.8%2.4M-9.7M-211.6K0.232.98N/AN/A3,55382916,1203,305