SPXS Options History — March 2024

In March 2024, SPXS traded between $87.00 and $97.90. ATM implied volatility averaged 36.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.1% (HV 20d: 38.1%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.17.

Notable Days

  • 2024-03-20: Highest Volume — 4,595 contracts
  • 2024-03-14: Largest IV spike — 20.6% change
  • 2024-03-11: Highest IV Rank — 29.0%
  • 2024-03-15: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.89$87.00$97.90$93.90$87.00
Max Pain$96.75$85.00$100.00$100.00$85.00
ATM IV36.1%29.3%42.4%37.9%31.8%
Expected Move10.4%8.8%12.4%9.7%8.8%
HV 20d38.1%31.7%43.9%40.6%32.0%
HV 60d34.5%32.9%35.1%32.9%34.3%
IV Rank14.9%0.0%29.0%18.7%6.1%
IV Percentile36.3%0.0%64.7%48.8%4.4%
Term Structure2.8%-9.1%18.3%-0.6%1.8%
VWIV39.9%32.0%47.4%35.1%32.8%
Skew 25d-6.3%-19.5%-0.3%-0.3%-6.7%
Skew 10d-10.5%-22.9%4.8%-9.0%-10.6%
Call IV 25d41.1%35.9%51.3%39.8%37.6%
Put IV 25d34.8%30.9%41.0%39.5%30.9%
Bid-Ask Spread %72.8340.8083.8340.8078.92
Gamma HHI0.240.190.390.230.19
Net GEX2.5M1.5M6.4M1.8M1.5M
Net DEX-15.6M-39.9M-2.0M-9.4M-8.3M
Net VEX-214.2K-277.4K-166.5K-231.6K-169.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.040.350.200.31
Total Volume2,483.46634,5952,8341,549
Total OI31,285.1528,23734,15629,98332,363

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$93.90$100.0037.9%9.7%40.6%18.7%35.1%-0.3%-0.6%1.8M-9.4M-231.6K0.2040.80N/AN/A2,36447025,0864,897
2024-03-04$94.10$100.0036.9%10.9%38.9%16.3%44.5%-1.8%3.7%2.2M-11.3M-224.6K0.0478.43N/AN/A3,22313823,6754,562
2024-03-05$97.90$100.0040.4%11.2%41.5%24.4%47.4%-9.5%18.3%3.5M-39.9M-277.4K0.1072.14N/AN/A3,73835525,0154,566
2024-03-06$95.70$100.0038.2%11.5%42.1%19.3%45.2%-7.8%3.6%2.6M-23.0M-250.4K0.1070.89N/AN/A1,91420124,5904,784
2024-03-07$92.70$100.0039.6%10.7%42.1%22.5%45.9%-1.6%5.3%2.1M-11.8M-239.0K0.1174.60N/AN/A3,47837225,5394,817
2024-03-08$94.50$100.0035.3%10.6%42.9%12.5%41.7%-7.6%-9.1%3.7M-23.1M-239.9K0.1170.55N/AN/A3,45837428,0664,808
2024-03-11$95.00$100.0042.4%11.4%42.8%29.0%44.1%-19.5%-2.5%2.9M-26.8M-253.1K0.2470.33N/AN/A1,58837926,1944,669
2024-03-12$92.10$100.0036.1%10.7%43.9%14.5%41.2%-5.1%0.9%2.0M-8.3M-211.6K0.1572.06N/AN/A2,04431026,7044,974
2024-03-13$92.50$100.0033.5%10.1%39.5%8.4%43.0%-3.6%2.9%2.6M-11.9M-220.7K0.1575.61N/AN/A1,61624528,0305,088
2024-03-14$94.10$100.0040.4%10.7%39.0%24.5%44.0%-14.4%6.0%3.7M-24.0M-246.8K0.3568.96N/AN/A2,16976028,8795,241
2024-03-15$95.40$100.0037.9%12.4%39.2%18.7%43.2%-7.1%7.4%6.4M-35.6M-262.6K0.2072.29N/AN/A2,14342129,2364,920
2024-03-18$93.00$100.0038.9%11.1%39.8%22.6%44.4%-7.3%5.3%2.5M-19.9M-223.2K0.0783.83N/AN/A1,63611924,8703,959
2024-03-19$91.10$100.0036.0%10.3%38.9%15.3%38.7%-6.0%0.5%2.3M-13.1M-211.0K0.1074.83N/AN/A1,61715725,9234,005
2024-03-20$88.60$100.0034.4%9.9%39.5%11.3%36.7%-4.2%9.3%1.5M-3.3M-173.0K0.1174.91N/AN/A4,13346226,9853,993
2024-03-21$87.10$100.0032.5%9.3%31.7%6.6%35.9%-5.0%2.2%1.5M-2.0M-166.5K0.1475.27N/AN/A1,87225527,8584,094
2024-03-22$87.70$95.0034.7%9.7%31.9%12.1%32.0%-4.0%1.4%1.9M-7.5M-169.6K0.1676.69N/AN/A2,45538828,7664,058
2024-03-25$88.40$85.0032.7%9.8%31.9%7.1%35.8%-5.5%1.8%2.0M-11.0M-174.3K0.2074.92N/AN/A1,09221827,2403,952
2024-03-26$89.10$85.0029.3%9.4%32.2%0.0%34.5%-3.6%-3.4%2.1M-11.3M-169.7K0.3475.94N/AN/A49616727,5414,063
2024-03-27$87.90$85.0032.8%9.3%32.1%8.7%32.8%-5.1%0.2%1.9M-10.2M-169.2K0.2074.69N/AN/A1,07721527,5804,113
2024-03-28$87.00$85.0031.8%8.8%32.0%6.1%32.8%-6.7%1.8%1.5M-8.3M-169.4K0.3178.92N/AN/A1,18536428,1424,221