SPXS Options History — June 2024

In June 2024, SPXS traded between $77.60 and $87.90. ATM implied volatility averaged 36.9%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 13.3% (HV 20d: 23.6%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.14.

Notable Days

  • 2024-06-17: Highest Volume — 3,623 contracts
  • 2024-06-07: Largest IV spike — 27.4% change
  • 2024-06-07: Highest IV Rank — 57.8%
  • 2024-06-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.19$77.60$87.90$87.90$78.10
Max Pain$83.42$80.00$90.00$85.00$80.00
ATM IV36.9%28.4%45.5%45.0%28.4%
Expected Move9.7%8.8%10.9%10.9%8.9%
HV 20d23.6%19.2%25.3%23.1%19.2%
HV 60d31.6%31.0%32.6%32.2%31.1%
IV Rank27.4%0.0%57.8%56.0%0.0%
IV Percentile47.7%0.0%86.9%85.7%0.0%
Term Structure2.5%-6.6%14.6%-4.0%1.8%
VWIV36.4%31.2%40.8%39.6%31.2%
Skew 25d-5.7%-19.6%16.3%-12.0%-4.8%
Skew 10d2.5%-17.8%40.7%-17.8%-15.7%
Call IV 25d41.0%34.2%52.4%43.8%36.9%
Put IV 25d35.3%27.8%50.5%31.8%32.1%
Bid-Ask Spread %86.2181.4392.7488.2192.74
Gamma HHI0.400.270.560.410.45
Net GEX1.9M1.1M2.6M2.6M1.5M
Net DEX-12.9M-23.3M-5.7M-23.3M-13.5M
Net VEX-168.0K-187.6K-151.1K-187.6K-168.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.040.300.100.19
Total Volume1,765.8957873,6232,3691,991
Total OI23,280.10517,82527,94422,31319,864

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$87.90$85.0045.0%10.9%23.1%56.0%39.6%-12.0%-4.0%2.6M-23.3M-187.6K0.1088.21N/AN/A2,14822118,8383,475
2024-06-04$86.80$85.0042.5%10.0%22.4%47.2%40.8%-16.9%-3.7%2.4M-20.3M-181.6K0.0591.23N/AN/A1,4517519,3783,586
2024-06-05$84.10$85.0031.9%10.3%24.5%9.3%38.6%-18.6%14.6%1.7M-10.7M-164.2K0.2389.91N/AN/A1,78741520,1443,612
2024-06-06$84.10$90.0035.7%10.1%24.5%22.9%37.9%-14.0%4.4%1.8M-12.6M-178.9K0.3085.93N/AN/A88126221,2313,743
2024-06-07$84.10$90.0045.5%9.8%24.4%57.8%38.3%-19.6%8.7%1.7M-12.3M-170.3K0.2281.43N/AN/A1,42431821,8033,709
2024-06-10$83.90$90.0039.8%10.0%24.4%37.4%38.6%-6.2%-5.2%1.9M-15.5M-176.4K0.2084.66N/AN/A90218519,3243,486
2024-06-11$83.40$90.0040.4%9.9%24.3%39.5%37.4%3.4%-6.6%2.0M-15.2M-174.2K0.0984.17N/AN/A1,29611319,8283,568
2024-06-12$81.30$90.0041.9%9.1%25.2%45.0%33.4%16.3%8.3%1.5M-7.4M-153.2K0.2284.85N/AN/A2,41253420,6373,620
2024-06-13$80.40$80.0034.7%9.5%22.7%19.1%37.5%-6.1%0.6%1.7M-8.4M-151.4K0.1084.74N/AN/A1,33813122,2553,324
2024-06-14$80.90$80.0033.7%8.8%22.8%15.6%34.4%-0.8%1.7%1.6M-12.3M-165.2K0.1384.71N/AN/A1,39217622,6633,313
2024-06-17$78.30$80.0035.4%9.8%25.0%21.9%40.7%-6.9%1.2%1.1M-5.7M-151.1K0.0784.36N/AN/A3,38823521,2793,180
2024-06-18$78.30$80.0034.9%10.0%25.0%20.0%35.5%-8.6%3.8%1.5M-8.1M-171.9K0.0986.78N/AN/A1,0959523,2413,179
2024-06-20$78.70$80.0035.7%10.2%25.3%22.7%36.0%-8.5%6.9%1.8M-9.4M-155.2K0.0885.36N/AN/A2,00316123,8203,192
2024-06-21$79.20$80.0038.6%9.9%24.8%33.3%35.9%-8.8%11.7%2.2M-12.2M-164.6K0.2983.26N/AN/A1,28536924,7373,207
2024-06-24$79.50$80.0035.3%9.8%23.2%21.4%35.6%-3.2%-0.1%2.2M-14.6M-167.3K0.0488.66N/AN/A1,9527514,9742,851
2024-06-25$78.10$80.0034.0%9.6%23.0%16.7%34.5%2.9%0.9%2.3M-15.4M-178.6K0.0585.64N/AN/A1,4787716,1762,909
2024-06-26$78.00$80.0037.5%9.6%22.8%29.2%34.0%4.9%-2.1%2.3M-15.1M-170.5K0.0588.61N/AN/A7483916,0522,835
2024-06-27$77.60$80.0030.9%9.0%22.1%5.6%31.4%-0.9%3.6%2.2M-13.6M-160.9K0.0882.77N/AN/A1,0178316,4492,840
2024-06-28$78.10$80.0028.4%8.9%19.2%0.0%31.2%-4.8%1.8%1.5M-13.5M-168.6K0.1992.74N/AN/A1,67731417,0082,856