SPXS Options History — July 2023

In July 2023, SPXS traded between $129.50 and $144.60. ATM implied volatility averaged 34.6%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.0% (HV 20d: 30.6%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2023-07-06: Highest Volume — 3,907 contracts
  • 2023-07-27: Largest IV spike — 14.7% change
  • 2023-07-06: Highest IV Rank — 11.4%
  • 2023-07-27: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.12$129.50$144.60$139.30$129.60
Max Pain$133.25$130.00$140.00$140.00$130.00
ATM IV34.6%32.5%38.6%33.3%34.2%
Expected Move9.7%8.9%10.4%8.9%9.5%
HV 20d30.6%27.0%33.5%30.1%27.0%
HV 60d35.4%32.4%36.7%36.0%32.4%
IV Rank5.2%1.8%11.4%3.2%4.5%
IV Percentile6.0%1.6%13.5%3.6%7.9%
Term Structure0.4%-2.5%3.2%0.1%-0.2%
VWIV37.2%32.7%40.9%35.1%36.9%
Skew 25d-10.1%-13.9%-4.9%-10.2%-9.9%
Skew 10d-21.0%-27.3%-8.8%-20.9%-8.8%
Call IV 25d42.0%37.5%47.2%41.0%41.2%
Put IV 25d31.9%30.1%33.5%30.8%31.3%
Bid-Ask Spread %22.742.5360.7317.0718.06
Gamma HHI0.190.140.370.200.14
Net GEX2.4M1.1M4.3M2.9M1.4M
Net DEX-16.4M-39.2M-2.8M-18.3M-11.3M
Net VEX-242.4K-278.1K-219.3K-236.1K-256.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.091.280.090.16
Total Volume2,186.458513,9078511,015
Total OI20,896.418,37125,19918,87520,500

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$139.30$140.0033.3%8.9%30.1%3.2%35.1%-10.2%0.1%2.9M-18.3M-236.1K0.0917.07N/AN/A7817015,5573,318
2023-07-05$139.80$140.0035.1%9.4%29.9%6.0%39.3%-10.3%0.1%3.2M-21.1M-235.5K0.173.16N/AN/A1,21921015,7483,342
2023-07-06$143.60$140.0038.6%10.3%32.1%11.4%40.9%-13.9%-0.3%4.3M-39.2M-264.2K0.1540.34N/AN/A3,40750016,0193,408
2023-07-07$143.90$140.0036.5%10.0%31.7%8.2%38.5%-10.7%0.8%3.2M-30.4M-249.2K0.343.82N/AN/A1,59754015,6183,615
2023-07-10$144.60$140.0037.6%10.1%31.4%10.0%40.1%-13.2%-2.5%3.4M-33.3M-251.0K0.3241.48N/AN/A1,30041314,9073,464
2023-07-11$141.60$130.0035.5%10.3%32.0%6.6%38.1%-12.4%0.6%2.9M-26.5M-235.7K0.143.14N/AN/A1,34718315,3153,804
2023-07-12$137.70$130.0034.6%10.0%32.5%5.2%38.4%-10.1%-0.0%2.1M-13.4M-221.1K0.3039.62N/AN/A2,14765115,7123,863
2023-07-13$133.90$130.0033.4%9.2%33.1%3.2%38.8%-9.1%-1.6%1.6M-7.8M-221.1K0.352.71N/AN/A1,89565817,1803,944
2023-07-14$135.20$130.0033.8%10.2%33.5%4.0%37.2%-8.6%2.9%2.6M-13.1M-234.3K0.2740.73N/AN/A1,72346218,2854,123
2023-07-17$133.20$130.0032.8%9.2%30.3%2.3%38.4%-9.6%3.2%2.0M-10.8M-225.2K0.212.53N/AN/A1,36628717,2514,012
2023-07-18$130.40$130.0033.7%9.7%30.5%3.7%32.7%-7.8%-0.0%1.7M-7.0M-229.8K0.7540.70N/AN/A1,5921,20017,7314,186
2023-07-19$129.80$130.0034.4%9.8%29.3%4.8%37.1%-8.2%0.3%1.7M-7.0M-247.4K0.192.93N/AN/A1,65231318,6395,068
2023-07-20$132.90$130.0034.4%9.8%31.0%4.9%36.4%-9.5%2.2%3.0M-20.3M-260.1K0.1542.49N/AN/A1,97030319,4455,166
2023-07-21$132.50$130.0033.0%9.5%31.0%2.7%33.4%-4.9%0.1%1.7M-17.5M-258.1K1.283.97N/AN/A1,4571,86219,9205,279
2023-07-24$131.30$140.0033.6%9.5%29.7%3.6%35.9%-10.4%0.1%1.1M-2.8M-219.3K0.1344.94N/AN/A1,61120512,9395,945
2023-07-25$129.80$135.0034.6%9.9%29.1%5.1%40.3%-10.8%0.6%1.1M-3.2M-231.6K0.144.63N/AN/A1,43320413,8026,082
2023-07-26$130.40$130.0032.5%9.3%28.0%1.8%33.3%-10.8%0.7%1.6M-8.1M-242.4K0.2160.73N/AN/A1,48830614,5886,179
2023-07-27$133.40$130.0037.2%10.4%29.4%9.3%38.6%-11.9%0.0%2.7M-28.4M-278.1K0.194.23N/AN/A2,81653915,2746,287
2023-07-28$129.50$130.0033.2%9.2%30.6%3.0%34.9%-9.9%0.5%3.0M-7.5M-251.4K0.3437.63N/AN/A2,23876916,0706,343
2023-07-31$129.60$130.0034.2%9.5%27.0%4.5%36.9%-9.9%-0.2%1.4M-11.3M-256.0K0.1618.06N/AN/A87214314,3996,101