SPXS Options History — September 2024

In September 2024, SPXS traded between $67.00 and $80.50. ATM implied volatility averaged 43.3%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 3.3% (HV 20d: 40.1%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.13.

Notable Days

  • 2024-09-19: Highest Volume — 5,490 contracts
  • 2024-09-24: Largest IV drop — 34.8% change
  • 2024-09-06: Highest IV Rank — 51.3%
  • 2024-09-06: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.20$67.00$80.50$76.20$67.10
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV43.3%27.4%58.9%51.1%38.7%
Expected Move12.5%9.9%15.5%14.4%10.5%
HV 20d40.1%36.2%48.1%48.1%38.7%
HV 60d47.7%46.2%48.7%46.2%48.5%
IV Rank25.8%0.0%51.3%38.5%18.5%
IV Percentile65.8%0.0%98.4%91.7%55.6%
Term Structure-0.2%-14.7%17.9%-4.2%7.8%
VWIV48.7%39.8%60.4%51.5%43.7%
Skew 25d-14.3%-26.1%-6.5%-12.8%-9.8%
Skew 10d-0.8%-42.2%117.1%-27.4%-17.2%
Call IV 25d54.6%42.6%69.2%64.5%49.0%
Put IV 25d40.3%25.6%51.6%51.6%39.2%
Bid-Ask Spread %76.2165.8791.6368.4070.10
Gamma HHI0.330.190.550.210.52
Net GEX1.6M870.5K3.0M1.4M2.1M
Net DEX-20.0M-45.2M-8.3M-25.7M-21.5M
Net VEX-179.7K-206.2K-152.8K-190.6K-191.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.050.280.140.06
Total Volume2,5561,3835,4902,9291,656
Total OI24,451.619,77231,53120,59028,285

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$76.20$70.0051.1%14.4%48.1%38.5%51.5%-12.8%-4.2%1.4M-25.7M-190.6K0.1468.40N/AN/A2,57835116,5704,020
2024-09-04$76.10$70.0050.6%14.4%44.3%37.6%55.8%-22.8%-2.0%1.6M-27.7M-188.8K0.1282.72N/AN/A1,93323016,8444,039
2024-09-05$77.10$70.0045.3%15.1%42.5%29.0%56.5%-26.1%-1.1%1.7M-31.6M-202.7K0.1265.87N/AN/A1,71620117,0884,134
2024-09-06$80.50$70.0058.9%15.5%41.5%51.3%60.4%-20.5%-0.5%3.0M-45.2M-206.2K0.0866.04N/AN/A4,59435617,2634,192
2024-09-09$78.40$70.0049.6%15.3%42.2%36.0%55.6%-14.2%17.9%1.2M-26.9M-182.7K0.1969.64N/AN/A1,34025115,7574,015
2024-09-10$77.20$70.0052.3%15.2%42.4%40.4%55.2%-15.4%-2.1%1.2M-24.8M-189.1K0.1269.76N/AN/A1,78020716,1284,091
2024-09-11$75.40$70.0047.6%14.9%39.3%32.7%56.1%-14.3%4.1%1.1M-19.1M-171.3K0.1475.69N/AN/A3,02843716,5844,189
2024-09-12$72.90$70.0052.9%11.9%40.7%41.4%52.1%-14.9%-14.7%876.6K-11.0M-156.0K0.2285.61N/AN/A1,99344716,8714,311
2024-09-13$71.90$70.0043.1%11.6%37.0%25.4%49.3%-11.7%-0.7%870.5K-8.8M-155.6K0.1181.51N/AN/A1,86820518,2134,422
2024-09-16$71.70$70.0043.9%11.9%37.0%26.7%53.7%-11.5%3.9%1.1M-13.3M-167.5K0.2879.69N/AN/A1,17133218,0294,055
2024-09-17$72.00$70.0041.7%11.9%36.2%23.1%47.5%-12.4%-3.7%1.2M-16.1M-171.6K0.1775.24N/AN/A2,24538018,7954,352
2024-09-18$72.10$70.0042.6%12.2%36.2%24.6%47.9%-6.5%-1.1%1.6M-17.1M-181.6K0.1391.47N/AN/A2,84437820,1324,508
2024-09-19$68.40$70.0041.4%11.9%40.6%22.6%43.4%-13.8%-6.2%1.1M-8.3M-152.8K0.1274.47N/AN/A4,91157921,6944,629
2024-09-20$68.80$70.0038.5%11.3%39.6%17.8%43.1%-10.5%-6.5%1.7M-12.1M-175.3K0.1072.49N/AN/A3,09731325,3474,581
2024-09-23$68.80$70.0042.0%11.1%38.7%23.6%41.1%-6.6%-6.2%2.0M-16.5M-170.7K0.1291.63N/AN/A1,69719822,5374,271
2024-09-24$67.40$70.0027.4%9.9%39.2%0.0%39.9%-17.3%2.2%1.9M-15.6M-178.4K0.0868.04N/AN/A2,05916923,7154,343
2024-09-25$67.90$70.0035.9%11.4%39.3%13.9%39.8%-16.4%8.4%2.3M-20.4M-186.8K0.0573.39N/AN/A1,5108224,7434,436
2024-09-26$67.00$70.0027.7%10.0%38.8%0.5%40.5%-18.0%1.3%1.7M-16.6M-181.1K0.1089.92N/AN/A2,35524625,8844,434
2024-09-27$67.10$70.0035.2%10.3%38.8%12.7%41.0%-10.2%0.0%2.0M-21.6M-192.5K0.1972.45N/AN/A1,15922427,0684,463
2024-09-30$67.10$70.0038.7%10.5%38.7%18.5%43.7%-9.8%7.8%2.1M-21.5M-191.9K0.0670.10N/AN/A1,5659124,1094,176