SPXS Options History — December 2023

In December 2023, SPXS traded between $114.10 and $133.20. ATM implied volatility averaged 32.6%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.7% (HV 20d: 26.9%). Max pain ranged from $120.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2023-12-14: Highest Volume — 4,207 contracts
  • 2023-12-12: Largest IV drop — 10.0% change
  • 2023-12-20: Highest IV Rank — 10.0%
  • 2023-12-07: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.42$114.10$133.20$129.60$115.40
Max Pain$131.00$120.00$140.00$130.00$120.00
ATM IV32.6%29.9%35.0%33.9%31.5%
Expected Move9.5%8.7%10.2%10.0%8.7%
HV 20d26.9%21.5%34.0%33.5%25.1%
HV 60d39.3%37.1%41.0%40.8%37.1%
IV Rank5.3%0.0%10.0%6.3%3.8%
IV Percentile6.9%0.0%17.9%9.9%2.4%
Term Structure0.9%-0.5%2.7%-0.5%1.5%
VWIV35.3%31.8%39.5%35.4%32.2%
Skew 25d-6.2%-8.3%4.7%-6.2%-7.0%
Skew 10d-11.0%-17.3%32.4%-12.6%-12.0%
Call IV 25d37.5%35.1%40.4%37.7%36.5%
Put IV 25d31.3%28.7%40.0%31.5%29.5%
Bid-Ask Spread %71.6567.3679.9570.7979.95
Gamma HHI0.210.160.280.260.21
Net GEX1.6M46.7K3.2M2.3M2.0M
Net DEX-5.3M-28.1M15.3M-11.3M-11.8M
Net VEX-208.0K-242.4K-168.8K-235.8K-205.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.060.910.220.12
Total Volume2,216.259964,2072,1072,477
Total OI24,176.121,82926,98624,10025,264

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$129.60$130.0033.9%10.0%33.5%6.3%35.4%-6.2%-0.5%2.3M-11.3M-235.8K0.2270.79N/AN/A1,72738017,9266,174
2023-12-04$131.80$140.0033.6%10.0%33.6%5.5%36.2%-8.2%1.0%2.6M-21.6M-233.7K0.1570.42N/AN/A1,84427116,1436,071
2023-12-05$132.00$140.0033.5%10.0%33.5%5.3%36.6%-6.7%1.3%2.8M-22.4M-239.8K0.1170.46N/AN/A8999716,6206,224
2023-12-06$133.20$140.0035.0%10.1%33.7%9.0%37.7%-6.5%1.4%3.2M-28.1M-242.4K0.2170.15N/AN/A97320316,9706,280
2023-12-07$130.50$140.0034.5%10.2%34.0%7.7%39.5%-7.3%0.7%2.7M-18.1M-240.5K0.1268.34N/AN/A1,21114817,2216,287
2023-12-08$128.60$140.0033.7%9.7%31.5%5.7%37.4%-6.0%1.8%2.1M-6.2M-207.1K0.3568.73N/AN/A1,64458117,8046,308
2023-12-11$127.70$140.0034.0%9.9%27.6%6.5%38.9%-7.8%0.3%1.9M-5.6M-218.9K0.2473.49N/AN/A96023416,5446,243
2023-12-12$125.90$130.0030.6%9.6%27.7%0.0%33.5%-6.7%2.7%1.5M3.2M-197.7K0.1670.35N/AN/A1,96730517,0636,376
2023-12-13$121.10$130.0029.9%8.9%22.6%0.0%35.8%-6.4%0.9%718.5K13.7M-187.5K0.2470.32N/AN/A2,00047818,3366,465
2023-12-14$120.20$130.0030.3%9.0%22.5%1.0%32.9%4.7%0.9%767.8K15.3M-172.3K0.9173.45N/AN/A2,2022,00519,4326,539
2023-12-15$120.40$130.0031.0%8.8%22.6%2.5%31.8%-6.7%-0.1%2.2M7.5M-181.6K0.1273.50N/AN/A1,89423520,4896,497
2023-12-18$118.00$130.0032.7%9.4%23.0%6.6%32.5%-5.6%-0.1%408.5K4.2M-168.8K0.5673.54N/AN/A2,2001,22716,1335,696
2023-12-19$116.60$130.0031.2%9.0%21.5%3.1%34.3%-5.2%0.6%46.7K9.1M-178.4K0.2170.20N/AN/A1,18324516,9336,808
2023-12-20$120.00$130.0034.2%9.8%23.9%10.0%37.0%-8.3%0.4%2.0M-8.9M-209.2K0.1167.78N/AN/A3,46136717,6096,901
2023-12-21$117.30$130.0033.2%9.5%24.6%7.7%36.5%-7.4%0.6%1.5M-2.3M-215.7K0.0667.36N/AN/A3,03017818,8937,123
2023-12-22$116.40$130.0033.1%9.4%24.3%7.6%35.1%-7.3%0.9%851.9K-3.8M-217.1K0.6873.82N/AN/A2,1561,46619,1766,982
2023-12-26$114.60$120.0033.2%9.3%24.5%7.7%35.2%-6.7%1.5%971.0K-3.2M-202.9K0.1273.68N/AN/A1,10413017,5056,114
2023-12-27$115.00$120.0031.7%8.9%24.4%4.1%33.6%-5.8%1.5%1.3M-7.8M-206.3K0.6075.79N/AN/A97358717,8376,056
2023-12-28$114.10$120.0032.2%8.8%24.2%5.3%34.2%-6.9%1.1%1.1M-7.3M-199.1K0.2670.79N/AN/A1,02026318,3956,085
2023-12-29$115.40$120.0031.5%8.7%25.1%3.8%32.2%-7.0%1.5%2.0M-11.8M-205.0K0.1279.95N/AN/A2,20727019,0036,261