SPXS Options History — February 2024

In February 2024, SPXS traded between $96.30 and $107.50. ATM implied volatility averaged 36.0%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 1.2% (HV 20d: 37.3%). Max pain ranged from $90.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2024-02-13: Highest Volume — 5,477 contracts
  • 2024-02-28: Largest IV spike — 29.1% change
  • 2024-02-28: Highest IV Rank — 34.3%
  • 2024-02-13: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.03$96.30$107.50$107.50$96.40
Max Pain$103.50$90.00$110.00$100.00$100.00
ATM IV36.0%31.5%44.6%33.2%34.6%
Expected Move9.9%9.1%11.9%10.3%9.5%
HV 20d37.3%31.3%44.8%31.3%41.0%
HV 60d30.8%27.2%33.1%30.2%32.9%
IV Rank14.3%3.7%34.3%7.7%11.0%
IV Percentile32.4%2.8%69.0%15.5%31.3%
Term Structure0.1%-9.0%10.2%0.8%-1.3%
VWIV38.4%34.6%43.6%37.6%37.6%
Skew 25d-7.5%-18.9%-4.9%-8.5%-4.9%
Skew 10d-12.4%-34.4%3.3%-20.1%-0.4%
Call IV 25d41.3%35.7%55.0%40.5%39.5%
Put IV 25d33.8%30.5%36.8%32.0%34.6%
Bid-Ask Spread %82.7074.3891.7777.8574.38
Gamma HHI0.230.170.300.290.27
Net GEX2.0M953.8K3.0M1.9M2.5M
Net DEX-17.6M-41.3M266.5K-16.9M-22.8M
Net VEX-235.7K-309.3K-190.1K-202.9K-255.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.050.770.390.05
Total Volume2,794.71,3025,4771,9593,656
Total OI23,579.9518,14928,74118,14928,741

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$107.50$100.0033.2%10.3%31.3%7.7%37.6%-8.5%0.8%1.9M-16.9M-202.9K0.3977.85N/AN/A1,40555414,3373,812
2024-02-02$103.40$100.0034.3%9.5%33.1%10.2%35.4%-6.7%0.0%953.8K-2.3M-195.3K0.2883.65N/AN/A3,20589714,7784,240
2024-02-05$104.80$90.0033.5%9.4%33.6%8.5%38.7%-6.5%-1.6%1.8M-11.5M-194.0K0.1682.98N/AN/A1,43923614,4793,875
2024-02-06$104.80$90.0032.6%9.2%31.4%6.4%36.4%-6.3%-1.5%1.9M-13.7M-202.4K0.4088.49N/AN/A1,32553514,9113,952
2024-02-07$101.60$100.0032.3%9.2%32.4%5.5%35.8%-5.4%-0.7%1.3M-5.1M-194.6K0.1486.98N/AN/A1,90427115,6294,273
2024-02-08$101.80$100.0031.5%9.1%32.4%3.7%36.8%-5.4%0.4%1.7M-8.4M-211.5K0.7783.13N/AN/A1,01778016,8104,234
2024-02-09$100.20$110.0032.1%9.2%32.4%5.2%37.4%-5.2%-0.0%1.3M266.5K-190.1K0.1484.21N/AN/A2,71539017,5194,926
2024-02-12$100.20$110.0033.8%9.7%32.4%9.0%38.5%-5.9%3.6%1.8M-7.2M-201.6K0.0782.94N/AN/A2,13716017,4424,655
2024-02-13$105.20$110.0040.9%11.9%37.3%25.7%42.1%-12.8%2.9%3.0M-31.9M-241.5K0.1075.04N/AN/A4,97250517,8644,707
2024-02-14$101.80$110.0033.5%9.6%37.7%8.4%43.6%-6.5%2.9%1.9M-13.7M-230.3K0.1677.23N/AN/A2,98146418,3245,065
2024-02-15$100.20$110.0035.9%10.1%37.1%14.0%39.0%-5.2%4.1%1.3M-8.5M-223.9K0.0985.03N/AN/A3,76935619,6675,211
2024-02-16$101.10$110.0036.9%10.3%35.9%16.3%41.0%-8.5%3.0%2.3M-29.7M-276.5K0.2484.71N/AN/A1,85344022,6705,030
2024-02-20$103.40$110.0040.9%11.4%37.1%25.7%39.9%-18.9%-8.0%2.9M-41.3M-309.3K0.0974.87N/AN/A2,74025919,7004,571
2024-02-21$103.60$110.0041.3%11.2%37.2%26.7%42.1%-10.2%0.6%2.8M-38.8M-300.7K0.1677.61N/AN/A2,01232119,9814,718
2024-02-22$96.40$110.0038.7%10.3%44.5%20.5%38.9%-7.5%-9.0%1.1M-6.6M-236.4K0.2381.54N/AN/A4,25697120,2094,826
2024-02-23$96.30$100.0036.6%9.6%44.5%15.7%40.6%-7.0%-0.4%1.9M-19.8M-259.1K0.1586.15N/AN/A2,54938322,8054,695
2024-02-26$97.10$100.0038.8%9.9%44.8%20.8%37.3%-6.8%-4.1%2.6M-23.2M-257.4K0.1090.89N/AN/A1,34513022,7064,499
2024-02-27$97.10$100.0034.6%9.6%44.6%10.9%34.6%-5.2%0.7%2.8M-24.7M-267.9K0.1984.61N/AN/A1,09820423,1394,580
2024-02-28$97.70$100.0044.6%10.1%44.7%34.3%34.8%-7.5%10.2%2.9M-26.0M-262.2K0.1391.77N/AN/A1,46619423,2834,736
2024-02-29$96.40$100.0034.6%9.5%41.0%11.0%37.6%-4.9%-1.3%2.5M-22.8M-255.9K0.0574.38N/AN/A3,49516123,8404,901