SPXS Options History — September 2023

In September 2023, SPXS traded between $135.90 and $160.00. ATM implied volatility averaged 39.5%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.1% (HV 20d: 35.4%). 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 0.46.

Notable Days

  • 2023-09-21: Highest Volume — 6,048 contracts
  • 2023-09-21: Largest IV spike — 11.6% change
  • 2023-09-26: Highest IV Rank — 31.3%
  • 2023-09-26: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.87$135.90$160.00$135.90$158.00
Max Pain$132.50$130.00$140.00$130.00$140.00
ATM IV39.5%32.0%51.3%33.5%48.2%
Expected Move11.4%8.6%14.9%8.6%13.8%
HV 20d35.4%31.2%38.0%35.9%32.3%
HV 60d32.7%31.4%33.7%32.3%33.1%
IV Rank12.8%1.2%31.3%3.5%26.5%
IV Percentile22.5%0.4%47.2%6.0%43.7%
Term Structure0.4%-1.1%3.6%0.4%0.7%
VWIV40.4%31.5%53.0%31.5%46.3%
Skew 25d-12.5%-16.2%-9.9%-10.1%-13.2%
Skew 10d-23.2%-32.7%-4.2%-21.7%-25.8%
Call IV 25d47.7%38.9%61.3%40.3%55.4%
Put IV 25d35.2%29.0%45.1%30.2%42.2%
Bid-Ask Spread %7.412.5823.133.817.16
Gamma HHI0.160.100.250.190.11
Net GEX1.8M385.9K3.4M385.9K1.9M
Net DEX-53.0M-86.8M-14.3M-14.3M-83.6M
Net VEX-309.9K-339.0K-268.8K-309.1K-315.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.121.130.220.24
Total Volume2,867.151,2206,0481,8393,067
Total OI28,128.4524,56531,91526,61230,618

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$135.90$130.0033.5%8.6%35.9%3.5%31.5%-10.1%0.4%385.9K-14.3M-309.1K0.223.81N/AN/A1,51232717,2329,380
2023-09-05$136.60$130.0034.8%10.9%35.0%5.4%33.0%-11.8%0.7%462.4K-17.5M-304.2K0.8323.13N/AN/A1,6311,35115,4299,136
2023-09-06$140.40$130.0037.6%10.9%36.2%9.9%34.1%-13.1%0.5%2.2M-43.0M-339.0K0.753.09N/AN/A1,9991,49416,19710,368
2023-09-07$141.60$130.0037.1%10.7%36.0%9.1%40.4%-13.1%0.6%2.4M-54.6M-325.9K0.2115.37N/AN/A1,57933716,06611,515
2023-09-08$142.00$130.0035.5%10.4%35.7%6.6%36.9%-11.4%0.5%1.3M-53.9M-311.7K0.412.96N/AN/A1,38057015,93711,619
2023-09-11$138.90$130.0036.4%10.5%36.5%8.1%34.4%-11.5%0.1%810.9K-30.0M-303.8K0.919.52N/AN/A1,3641,24215,11211,219
2023-09-12$141.10$130.0036.5%10.4%36.7%8.2%38.7%-11.6%-0.1%1.7M-43.0M-301.2K0.142.58N/AN/A1,07314715,59812,360
2023-09-13$140.90$130.0034.5%10.0%34.6%5.0%36.9%-12.3%0.1%2.1M-43.0M-286.9K0.915.17N/AN/A1,2591,15015,81312,437
2023-09-14$137.10$130.0032.0%10.0%35.3%1.2%36.0%-9.9%3.6%1.0M-26.7M-280.4K0.752.94N/AN/A2,0581,55316,33713,464
2023-09-15$142.50$130.0034.0%9.8%36.4%4.2%38.4%-9.9%1.0%1.6M-56.4M-331.5K0.129.87N/AN/A2,88235117,15414,761
2023-09-18$142.50$130.0035.0%10.0%36.3%5.8%38.8%-12.0%0.8%2.9M-45.9M-268.8K0.372.85N/AN/A1,57557914,50211,409
2023-09-19$141.10$140.0035.5%10.2%36.0%6.6%36.5%-11.9%-0.2%2.1M-34.2M-297.8K1.137.46N/AN/A1,7271,95314,83412,015
2023-09-20$145.00$130.0038.5%11.0%36.9%11.3%37.0%-11.8%-0.5%2.3M-44.8M-323.7K0.1723.09N/AN/A1,46125414,79513,637
2023-09-21$152.00$140.0042.9%12.3%38.0%18.3%53.0%-13.8%-0.2%3.4M-79.1M-315.7K0.169.25N/AN/A5,21083814,83613,664
2023-09-22$153.20$130.0044.8%12.9%35.8%21.2%42.5%-13.5%-0.4%1.9M-73.4M-304.6K0.583.48N/AN/A2,4911,44913,68614,225
2023-09-25$153.20$130.0046.3%13.4%34.9%23.6%45.3%-14.4%-1.1%1.9M-65.6M-313.1K0.363.33N/AN/A1,91868513,30914,628
2023-09-26$159.10$130.0051.3%14.9%36.5%31.3%50.4%-16.2%0.6%2.1M-86.8M-325.0K0.293.15N/AN/A2,38668213,83615,224
2023-09-27$160.00$140.0049.5%14.4%31.2%28.5%48.5%-14.5%0.5%2.1M-86.7M-321.4K0.276.57N/AN/A2,47966513,90615,729
2023-09-28$156.40$140.0045.6%13.1%32.5%22.4%49.0%-13.5%0.2%2.0M-76.4M-318.8K0.313.48N/AN/A2,04062514,43316,149
2023-09-29$158.00$140.0048.2%13.8%32.3%26.5%46.3%-13.2%0.7%1.9M-83.6M-315.0K0.247.16N/AN/A2,46660114,75215,866