SPXS Options History — November 2024

In November 2024, SPXS traded between $58.30 and $68.70. ATM implied volatility averaged 44.8%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.6% (HV 20d: 41.2%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2024-11-15: Highest Volume — 4,940 contracts
  • 2024-11-27: Largest IV spike — 204.7% change
  • 2024-11-27: Highest IV Rank — 100.0%
  • 2024-11-01: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.52$58.30$68.70$67.90$58.30
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV44.8%29.8%109.9%53.8%58.0%
Expected Move11.6%10.0%18.8%18.8%10.4%
HV 20d41.2%31.4%44.3%32.9%40.0%
HV 60d36.5%34.6%37.8%34.6%35.5%
IV Rank26.1%3.8%100.0%43.1%37.0%
IV Percentile56.3%2.0%100.0%94.8%96.4%
Term Structure2.0%-7.3%9.6%-3.1%2.0%
VWIV44.4%34.4%67.1%67.1%36.9%
Skew 25d-3.3%-24.4%70.8%-10.1%10.4%
Skew 10d22.1%-28.9%207.8%-0.4%207.8%
Call IV 25d43.7%23.6%56.3%48.7%38.7%
Put IV 25d40.3%21.3%127.0%38.5%49.1%
Bid-Ask Spread %119.5089.86139.4490.73135.91
Gamma HHI0.350.190.750.190.48
Net GEX1.5M880.7K4.2M1.1M1.3M
Net DEX-16.5M-34.1M-7.1M-31.8M-7.4M
Net VEX-154.7K-192.8K-134.9K-192.8K-135.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.050.810.110.22
Total Volume2,451.41,1984,9402,0752,144
Total OI24,533.620,99329,06522,28529,065

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$67.90$60.0053.8%18.8%32.9%43.1%67.1%-10.1%-3.1%1.1M-31.8M-192.8K0.1190.73N/AN/A1,86321218,6033,682
2024-11-04$68.70$60.0066.7%15.5%31.7%64.2%56.4%-21.9%3.8%1.2M-34.1M-192.6K0.1189.86N/AN/A1,74718417,5243,469
2024-11-05$66.70$60.0060.6%15.0%31.4%54.2%57.2%26.1%5.2%1.3M-30.1M-187.3K0.1493.90N/AN/A1,29218218,0983,512
2024-11-06$61.30$60.0029.8%11.1%43.1%3.8%44.5%-11.0%-0.3%956.4K-9.7M-142.8K0.27116.86N/AN/A2,35064518,8103,608
2024-11-07$59.70$60.0038.6%10.8%43.6%18.2%45.0%-24.4%-1.4%903.4K-7.1M-149.0K0.24116.08N/AN/A1,87544419,7513,829
2024-11-08$59.40$60.0036.4%10.7%43.1%14.6%43.4%-21.0%0.3%1.3M-8.0M-150.0K0.23119.43N/AN/A2,10048321,0613,865
2024-11-11$59.20$60.0033.4%10.8%42.3%9.8%39.1%12.4%-7.3%1.2M-8.5M-137.6K0.05123.46N/AN/A2,22210819,6233,741
2024-11-12$59.60$60.0031.5%10.7%40.6%6.7%37.9%9.7%5.9%2.0M-14.4M-156.5K0.09115.66N/AN/A2,28821121,1133,775
2024-11-13$59.40$60.0036.5%10.4%40.2%14.8%40.9%-4.6%-0.0%2.4M-12.3M-139.7K0.13119.11N/AN/A1,06113722,1533,914
2024-11-14$60.80$60.0034.4%10.1%41.3%11.4%37.9%-11.7%0.1%3.0M-21.5M-142.9K0.24126.36N/AN/A1,81943722,6853,908
2024-11-15$63.40$60.0040.3%11.4%44.2%21.0%45.8%-10.0%0.7%1.1M-31.0M-153.0K0.12109.62N/AN/A4,41452622,6404,036
2024-11-18$62.50$60.0035.2%10.6%44.2%12.7%47.0%-12.4%5.9%1.2M-17.6M-155.1K0.18126.47N/AN/A1,78632618,4123,988
2024-11-19$62.00$60.0038.4%11.0%44.3%18.0%48.7%-12.8%7.2%1.2M-16.2M-156.9K0.23120.48N/AN/A1,52435719,2124,226
2024-11-20$62.10$60.0040.8%11.7%42.9%21.9%41.2%-13.4%8.7%1.1M-16.4M-160.0K0.19121.81N/AN/A1,70932519,2874,418
2024-11-21$60.60$60.0040.0%11.4%43.6%20.6%50.9%-16.9%2.1%880.7K-12.9M-154.4K0.24121.15N/AN/A1,75841720,1214,653
2024-11-22$60.50$60.0037.2%10.4%43.5%16.0%41.7%-10.0%2.8%1.0M-14.4M-160.9K0.81128.08N/AN/A1,22699120,6184,738
2024-11-25$60.00$60.0039.1%10.4%43.5%19.1%36.8%-7.0%9.6%938.6K-8.2M-139.2K0.30139.44N/AN/A3,3151,00219,5904,941
2024-11-26$58.80$60.0036.1%10.2%43.9%14.2%35.6%-8.9%3.7%1.4M-8.7M-134.9K0.12136.19N/AN/A3,46540420,9484,450
2024-11-27$59.60$60.00109.9%10.0%43.9%100.0%34.4%70.8%-5.9%4.2M-18.5M-152.8K0.22139.44N/AN/A1,37130824,2034,402
2024-11-29$58.30$60.0058.0%10.4%40.0%37.0%36.9%10.4%2.0%1.3M-7.4M-135.2K0.22135.91N/AN/A1,76438024,5024,563