SPXS Options History — January 2024

In January 2024, SPXS traded between $106.10 and $121.60. ATM implied volatility averaged 34.0%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 5.9% (HV 20d: 28.1%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2024-01-31: Highest Volume — 3,433 contracts
  • 2024-01-19: Largest IV drop — 12.6% change
  • 2024-01-17: Highest IV Rank — 18.3%
  • 2024-01-18: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.04$106.10$121.60$118.60$110.90
Max Pain$110.95$110.00$120.00$120.00$110.00
ATM IV34.0%31.3%37.8%35.7%35.3%
Expected Move10.0%9.2%11.0%9.7%10.4%
HV 20d28.1%26.4%30.8%27.2%30.4%
HV 60d34.8%30.0%37.9%37.7%30.2%
IV Rank9.6%3.3%18.3%13.6%12.7%
IV Percentile17.6%2.4%38.9%28.6%31.0%
Term Structure0.4%-4.0%3.6%0.1%1.0%
VWIV36.2%33.5%44.0%33.8%37.0%
Skew 25d-8.1%-12.3%-5.6%-8.8%-7.3%
Skew 10d-17.1%-25.8%-10.8%-16.8%-15.3%
Call IV 25d40.0%36.8%45.8%41.6%41.5%
Put IV 25d31.9%29.7%34.2%32.9%34.2%
Bid-Ask Spread %72.3461.6282.6661.6272.89
Gamma HHI0.240.180.370.250.26
Net GEX1.9M168.6K3.1M2.2M2.8M
Net DEX-16.5M-33.3M-2.4M-23.9M-29.2M
Net VEX-204.4K-229.1K-186.6K-212.5K-213.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.080.350.320.15
Total Volume1,929.6191,0853,4332,5543,433
Total OI21,92115,45026,19723,35917,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$118.60$120.0035.7%9.7%27.2%13.6%33.8%-8.8%0.1%2.2M-23.9M-212.5K0.3261.62N/AN/A1,93262217,3875,972
2024-01-03$120.20$120.0036.3%9.7%26.9%15.0%36.8%-9.2%0.1%2.8M-30.3M-227.3K0.1170.98N/AN/A2,67829017,8666,268
2024-01-04$120.90$110.0035.7%10.4%27.0%13.5%38.1%-8.9%-0.1%3.1M-32.5M-229.1K0.1062.52N/AN/A1,51714618,3916,365
2024-01-05$121.60$110.0034.6%10.1%26.8%11.0%36.7%-10.1%-0.3%2.5M-33.3M-226.9K0.1669.95N/AN/A1,96731118,5536,496
2024-01-08$116.80$110.0033.1%10.4%29.2%7.4%35.7%-7.5%3.6%1.4M-11.6M-203.1K0.3573.67N/AN/A1,58155117,2896,316
2024-01-09$117.30$110.0032.1%9.9%29.2%5.1%33.9%-7.4%2.5%1.8M-13.2M-203.5K0.2575.30N/AN/A1,06926618,1186,493
2024-01-10$115.40$110.0032.6%10.1%29.5%6.2%34.8%-7.8%2.5%1.2M-8.3M-198.3K0.1779.71N/AN/A1,49125218,3596,481
2024-01-11$115.70$110.0032.1%9.8%29.4%5.1%34.7%-7.2%2.6%1.6M-10.9M-194.6K0.0875.88N/AN/A2,11517818,9946,464
2024-01-12$115.40$110.0032.5%10.0%26.4%6.0%37.1%-8.4%3.6%1.4M-12.8M-201.6K0.3280.39N/AN/A1,26840819,6906,507
2024-01-16$117.10$110.0036.5%10.5%27.0%15.3%35.7%-10.8%-3.1%2.0M-17.7M-202.4K0.1675.92N/AN/A1,24919918,0586,439
2024-01-17$118.90$110.0037.8%10.8%27.6%18.3%44.0%-12.3%-0.7%2.8M-25.7M-206.6K0.1770.16N/AN/A1,92433018,3896,447
2024-01-18$115.70$110.0037.7%11.0%28.4%18.2%41.0%-11.5%-4.0%1.8M-13.4M-198.5K0.1168.70N/AN/A1,50416718,6826,621
2024-01-19$111.60$110.0032.9%9.5%30.8%7.1%36.0%-6.0%-0.1%168.6K-2.4M-188.6K0.3578.79N/AN/A1,93366819,3356,625
2024-01-22$110.40$110.0032.6%9.5%28.7%6.3%35.4%-7.3%0.2%1.3M-9.2M-186.6K0.1763.60N/AN/A92815711,8433,607
2024-01-23$110.00$110.0031.3%9.2%27.8%3.3%33.5%-6.9%0.2%1.5M-9.0M-193.4K0.1372.19N/AN/A1,28816212,3973,641
2024-01-24$108.90$110.0032.2%9.4%27.9%5.4%33.6%-6.9%-0.0%1.6M-9.8M-205.7K0.2172.02N/AN/A1,51631413,3003,697
2024-01-25$108.60$110.0033.6%9.7%27.5%8.5%33.9%-6.8%0.4%2.6M-14.5M-203.7K0.0967.99N/AN/A1,40212814,6543,702
2024-01-26$108.40$110.0033.4%9.7%27.4%8.2%33.8%-6.9%-0.2%1.7M-14.4M-200.5K0.2476.15N/AN/A1,24730115,4383,737
2024-01-29$106.40$110.0033.3%10.0%27.9%7.8%37.2%-6.8%0.3%1.6M-12.3M-195.4K0.1368.11N/AN/A1,38518513,1933,437
2024-01-30$106.10$110.0033.1%10.0%27.4%7.5%37.2%-5.6%-0.0%1.6M-11.5M-201.0K0.1082.66N/AN/A1,33312713,5843,533
2024-01-31$110.90$110.0035.3%10.4%30.4%12.7%37.0%-7.3%1.0%2.8M-29.2M-213.1K0.1572.89N/AN/A2,99643714,3983,575