SPXS Options History — August 2023 In August 2023, SPXS traded between $129.60 and $149.60. ATM implied volatility averaged 41.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 9.9% (HV 20d: 31.3%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.31.
Notable Days 2023-08-02 : Highest Volume — 3,890 contracts2023-08-17 : Largest IV spike — 17.1% change2023-08-17 : Highest IV Rank — 25.9%2023-08-17 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $140.70 $129.60 $149.60 $129.60 $135.40 Max Pain $130.87 $130.00 $140.00 $130.00 $130.00 ATM IV 41.1% 35.0% 47.8% 35.0% 35.0% Expected Move 11.6% 9.3% 13.6% 9.7% 9.3% HV 20d 31.3% 27.0% 39.1% 27.0% 36.5% HV 60d 31.8% 31.1% 32.7% 31.7% 32.4% IV Rank 15.4% 5.8% 25.9% 5.8% 5.8% IV Percentile 20.9% 10.7% 32.9% 10.7% 11.1% Term Structure 1.1% -1.0% 5.4% -0.4% 1.7% VWIV 40.2% 34.6% 44.8% 35.7% 34.6% Skew 25d -13.8% -16.5% -7.9% -9.6% -7.9% Skew 10d -25.7% -31.5% -0.1% -17.1% -20.0% Call IV 25d 50.0% 40.5% 57.5% 41.6% 40.5% Put IV 25d 36.3% 32.0% 41.0% 32.0% 32.6% Bid-Ask Spread % 24.00 2.63 47.51 44.30 47.51 Gamma HHI 0.18 0.12 0.50 0.14 0.19 Net GEX 2.0M 439.8K 5.1M 1.8M 668.8K Net DEX -45.7M -79.1M -9.6M -15.3M -9.6M Net VEX -323.3K -356.9K -279.0K -279.0K -322.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.31 0.10 1.00 0.25 0.24 Total Volume 2,582.478 1,144 3,890 1,144 2,458 Total OI 21,845.652 18,854 25,841 20,984 25,841
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 2023-08-01 $129.60 $130.00 35.0% 9.7% 27.0% 5.8% 35.7% -9.6% -0.4% 1.8M -15.3M -279.0K 0.25 44.30 N/A N/A 913 231 14,876 6,108 2023-08-02 $135.00 $130.00 40.1% 11.2% 31.2% 13.7% 42.4% -14.7% 0.0% 2.5M -43.7M -323.3K 0.12 10.54 N/A N/A 3,472 418 15,340 6,272 2023-08-03 $136.10 $130.00 38.9% 12.2% 29.6% 11.8% 44.0% -12.6% 0.7% 2.4M -40.7M -299.0K 0.17 35.37 N/A N/A 1,794 302 15,140 6,418 2023-08-04 $138.60 $130.00 43.2% 12.4% 30.5% 18.7% 42.5% -15.3% -1.0% 1.8M -52.2M -336.5K 0.24 5.35 N/A N/A 2,562 604 15,091 6,602 2023-08-07 $135.50 $130.00 38.5% 12.2% 31.2% 11.3% 43.0% -14.8% 4.1% 1.9M -34.8M -306.1K 0.21 40.31 N/A N/A 1,009 212 14,288 6,315 2023-08-08 $136.40 $130.00 38.3% 12.1% 30.7% 10.9% 43.0% -15.2% 4.4% 2.3M -40.2M -309.6K 0.21 3.30 N/A N/A 1,705 357 14,751 6,460 2023-08-09 $138.40 $130.00 40.9% 11.9% 29.6% 15.1% 39.1% -14.4% 0.4% 2.4M -46.2M -309.7K 0.12 45.63 N/A N/A 1,829 218 14,839 6,596 2023-08-10 $140.40 $130.00 41.1% 11.8% 28.0% 15.5% 40.4% -14.6% -0.0% 2.9M -57.7M -333.1K 0.17 2.91 N/A N/A 1,937 331 15,103 6,710 2023-08-11 $140.00 $130.00 38.8% 11.3% 27.9% 11.7% 37.0% -13.0% 0.7% 5.1M -56.7M -323.1K 1.00 21.45 N/A N/A 1,736 1,729 15,404 6,786 2023-08-14 $138.20 $130.00 39.4% 11.3% 27.8% 12.7% 39.3% -13.4% 2.7% 1.7M -37.6M -298.1K 0.23 2.63 N/A N/A 1,139 261 14,369 7,368 2023-08-15 $142.90 $130.00 41.8% 11.9% 28.5% 16.5% 44.8% -13.4% 4.7% 2.5M -60.0M -339.9K 0.18 41.37 N/A N/A 1,594 281 14,863 7,433 2023-08-16 $145.00 $130.00 40.8% 11.7% 28.5% 14.9% 43.7% -14.6% 5.4% 2.7M -66.4M -343.3K 0.10 2.75 N/A N/A 2,562 265 14,925 7,561 2023-08-17 $149.60 $130.00 47.8% 13.6% 29.3% 25.9% 39.5% -16.5% 2.2% 2.6M -79.1M -356.9K 0.68 45.03 N/A N/A 2,148 1,456 14,746 7,609 2023-08-18 $148.60 $130.00 46.5% 13.0% 29.5% 23.8% 44.8% -14.7% 2.8% 2.4M -70.5M -355.1K 0.17 2.83 N/A N/A 3,169 546 14,952 8,847 2023-08-21 $145.90 $130.00 44.5% 12.2% 30.2% 20.7% 37.9% -15.8% -0.1% 1.3M -46.4M -329.1K 0.47 39.44 N/A N/A 1,645 780 12,654 6,200 2023-08-22 $148.20 $130.00 47.2% 13.0% 29.8% 24.9% 44.5% -15.6% -0.5% 1.6M -59.5M -329.6K 0.42 2.88 N/A N/A 1,091 461 13,053 6,838 2023-08-23 $142.70 $140.00 44.2% 12.0% 33.7% 20.3% 39.1% -14.5% -0.4% 1.2M -37.6M -335.3K 0.46 46.32 N/A N/A 1,720 796 13,289 6,979 2023-08-24 $148.20 $140.00 47.1% 12.6% 35.2% 24.8% 40.9% -15.1% -0.5% 2.2M -64.8M -328.9K 0.16 2.64 N/A N/A 3,020 469 13,886 7,418 2023-08-25 $145.20 $130.00 41.8% 11.1% 34.1% 16.5% 35.3% -13.3% -0.3% 2.0M -52.7M -322.6K 0.20 29.61 N/A N/A 2,599 532 14,226 7,714 2023-08-28 $143.40 $130.00 42.0% 11.1% 34.7% 16.8% 37.3% -14.5% -0.5% 1.4M -46.5M -321.2K 0.80 2.87 N/A N/A 1,630 1,303 13,451 7,607 2023-08-29 $137.00 $130.00 37.1% 10.1% 39.1% 9.1% 38.7% -12.8% -0.2% 611.2K -20.0M -330.6K 0.48 40.41 N/A N/A 2,244 1,078 14,398 8,515 2023-08-30 $135.70 $130.00 36.0% 9.8% 36.6% 7.3% 36.6% -10.5% -0.9% 439.8K -12.9M -304.5K 0.15 36.65 N/A N/A 2,430 361 15,440 9,169 2023-08-31 $135.40 $130.00 35.0% 9.3% 36.5% 5.8% 34.6% -7.9% 1.7% 668.8K -9.6M -322.2K 0.24 47.51 N/A N/A 1,986 472 16,549 9,292
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