SPXS Options History — November 2023

In November 2023, SPXS traded between $132.10 and $163.80. ATM implied volatility averaged 36.8%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 10.0% (HV 20d: 46.8%). Max pain ranged from $130.00 to $150.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2023-11-14: Highest Volume — 4,297 contracts
  • 2023-11-02: Largest IV drop — 9.7% change
  • 2023-11-01: Highest IV Rank — 31.3%
  • 2023-11-01: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.25$132.10$163.80$163.80$132.50
Max Pain$137.14$130.00$150.00$150.00$130.00
ATM IV36.8%32.3%45.5%45.5%33.1%
Expected Move10.7%8.9%13.6%13.6%9.4%
HV 20d46.8%36.9%54.1%45.9%36.9%
HV 60d41.4%39.0%43.3%39.0%40.6%
IV Rank12.8%2.4%31.3%31.3%4.5%
IV Percentile18.1%1.6%40.5%40.5%6.0%
Term Structure0.4%-1.8%4.3%0.3%-0.4%
VWIV37.9%31.4%48.7%48.7%38.3%
Skew 25d-9.4%-12.5%-7.1%-12.5%-8.8%
Skew 10d-19.9%-29.1%-15.1%-24.6%-18.0%
Call IV 25d42.9%37.8%53.2%53.2%39.7%
Put IV 25d33.5%29.5%40.7%40.7%30.9%
Bid-Ask Spread %41.933.7170.729.0815.01
Gamma HHI0.190.110.280.110.21
Net GEX1.4M-2.3M4.0M1.3M3.4M
Net DEX-22.5M-64.2M15.0M-61.6M-25.0M
Net VEX-262.1K-294.9K-229.2K-270.0K-250.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.070.740.360.08
Total Volume2,441.8579004,2971,9821,281
Total OI26,640.04821,03232,54225,17923,755

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$163.80$150.0045.5%13.6%45.9%31.3%48.7%-12.5%0.3%1.3M-61.6M-270.0K0.369.08N/AN/A1,45552711,59313,586
2023-11-02$155.20$150.0041.1%12.9%49.9%21.6%45.1%-11.6%0.2%605.6K-35.2M-276.1K0.3046.63N/AN/A1,81954912,25113,692
2023-11-03$150.40$150.0038.6%11.8%49.2%16.2%42.5%-10.5%0.8%-345.0K-21.2M-273.7K0.403.71N/AN/A2,9631,18713,09413,584
2023-11-06$150.90$150.0038.6%11.6%49.2%17.2%38.7%-11.4%1.8%1.3M-32.8M-272.8K0.2352.00N/AN/A2,60359613,31613,322
2023-11-07$148.20$140.0038.7%11.7%48.9%17.4%39.6%-11.4%1.8%900.0K-30.0M-287.1K0.2215.41N/AN/A1,59934614,35913,608
2023-11-08$148.20$140.0037.5%11.3%48.9%14.6%37.3%-10.1%2.0%1.5M-34.8M-285.2K0.2454.44N/AN/A2,03547915,04313,564
2023-11-09$152.50$140.0038.8%11.6%49.5%17.5%41.6%-11.3%2.2%4.0M-64.2M-294.9K0.134.17N/AN/A2,49231516,13413,799
2023-11-10$145.20$140.0036.7%11.3%51.8%12.7%37.2%-9.8%4.3%107.5K-26.1M-291.9K0.1154.97N/AN/A3,28337717,53714,055
2023-11-13$145.20$140.0039.7%11.6%50.1%20.2%41.6%-10.3%0.3%1.2M-30.5M-293.8K0.559.98N/AN/A1,8691,02716,00713,917
2023-11-14$136.60$140.0037.0%10.7%54.1%13.6%41.6%-7.1%0.7%-2.3M15.0M-266.9K0.1866.67N/AN/A3,62866916,96314,142
2023-11-15$136.30$140.0037.2%10.7%51.6%14.1%34.8%-8.0%0.1%-2.1M14.3M-258.9K0.5344.42N/AN/A2,5421,35317,26014,074
2023-11-16$136.40$130.0036.2%10.4%50.3%11.9%34.4%-8.4%0.3%874.3K-2.5M-261.1K0.5767.42N/AN/A1,9681,12819,02913,513
2023-11-17$136.10$130.0035.8%10.2%48.4%10.9%33.0%-7.6%0.8%2.3M-9.1M-255.2K0.0714.90N/AN/A2,58518919,60812,927
2023-11-20$132.10$130.0034.4%9.4%48.6%7.5%32.4%-9.6%-1.8%1.7M-8.2M-229.2K0.0768.74N/AN/A1,98813715,5275,505
2023-11-21$133.90$130.0035.7%9.7%49.2%10.6%37.8%-7.9%-1.3%2.5M-19.9M-245.9K0.2237.13N/AN/A86219216,4725,454
2023-11-22$132.10$130.0033.5%8.9%44.6%5.3%31.4%-9.0%-1.5%2.0M-15.4M-234.0K0.7463.33N/AN/A1,06578616,6095,484
2023-11-24$132.50$130.0033.0%8.9%40.9%4.0%33.9%-8.0%-0.8%2.1M-17.7M-237.5K0.2348.19N/AN/A73416617,3056,020
2023-11-27$132.30$130.0032.3%8.9%39.0%2.4%33.3%-8.7%-0.6%2.5M-18.2M-234.5K0.0969.84N/AN/A1,43413416,0155,890
2023-11-28$132.90$130.0033.9%9.5%37.7%6.1%34.5%-8.3%-0.0%3.0M-23.7M-243.3K0.0763.81N/AN/A9847116,5735,963
2023-11-29$133.00$130.0035.4%10.1%38.0%10.0%37.2%-7.5%-0.7%3.2M-25.2M-242.4K0.1770.72N/AN/A1,58527716,9145,978
2023-11-30$132.50$130.0033.1%9.4%36.9%4.5%38.3%-8.8%-0.4%3.4M-25.0M-250.4K0.0815.01N/AN/A1,1839817,6456,110