SPXS Options History — December 2024

In December 2024, SPXS traded between $57.10 and $63.30. ATM implied volatility averaged 42.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 9.0% (HV 20d: 33.7%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2024-12-18: Highest Volume — 9,735 contracts
  • 2024-12-05: Largest IV spike — 80.2% change
  • 2024-12-03: Highest IV Rank — 56.3%
  • 2024-12-18: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.18$57.10$63.30$58.10$62.90
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV42.7%27.1%73.9%71.1%48.0%
Expected Move11.1%8.0%14.4%10.1%13.2%
HV 20d33.7%21.8%42.3%40.0%42.2%
HV 60d35.3%32.6%38.8%34.1%38.7%
IV Rank18.8%0.0%56.3%53.0%25.3%
IV Percentile54.8%0.0%99.2%99.2%84.9%
Term Structure1.9%-37.3%35.4%-18.9%-6.0%
VWIV41.2%34.2%59.1%34.9%44.6%
Skew 25d-3.5%-35.1%40.5%19.3%-24.8%
Skew 10d13.8%-27.8%137.7%63.8%3.4%
Call IV 25d45.9%32.1%67.7%32.1%52.4%
Put IV 25d42.3%21.6%81.5%51.4%27.7%
Bid-Ask Spread %86.6748.06141.15140.8848.06
Gamma HHI0.490.280.730.580.28
Net GEX2.1M921.8K4.2M1.6M1.5M
Net DEX-21.3M-72.6M-7.9M-10.6M-24.4M
Net VEX-170.3K-215.9K-135.2K-135.2K-189.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.040.630.180.12
Total Volume2,847.3818669,7352,1772,281
Total OI29,710.71425,76434,25725,76428,295

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$58.10$60.0071.1%10.1%40.0%53.0%34.9%19.3%-18.9%1.6M-10.6M-135.2K0.18140.88N/AN/A1,85232521,6644,100
2024-12-03$58.30$60.0073.9%9.9%39.5%56.3%34.2%18.8%11.3%1.8M-12.0M-141.5K0.48141.15N/AN/A72935322,5494,148
2024-12-04$57.10$60.0028.4%8.0%39.0%1.2%38.0%7.2%5.8%1.5M-7.9M-144.2K0.08132.80N/AN/A2,17818222,9054,330
2024-12-05$57.20$60.0051.2%10.9%26.6%28.8%38.6%15.2%-37.3%1.6M-10.0M-150.0K0.1596.14N/AN/A1,88927524,4394,398
2024-12-06$57.10$60.0051.2%11.1%25.2%28.8%38.8%40.5%-9.0%2.0M-9.5M-151.0K0.3794.82N/AN/A97935825,6324,581
2024-12-09$58.10$60.0032.9%10.4%26.1%6.6%40.1%-3.2%2.1%2.5M-13.9M-168.8K0.2395.01N/AN/A1,41932724,0904,562
2024-12-10$58.70$60.0027.1%10.2%26.4%0.0%37.1%-9.3%15.7%2.9M-17.6M-165.6K0.0494.53N/AN/A4,64520725,0844,686
2024-12-11$57.10$60.0029.3%10.7%27.9%2.7%37.5%-11.1%-3.6%3.1M-19.3M-170.1K0.2773.47N/AN/A1,13430928,6214,745
2024-12-12$57.90$60.0037.5%11.2%28.5%12.6%40.6%40.2%1.6%3.1M-25.8M-173.1K0.0872.66N/AN/A7996728,9564,797
2024-12-13$58.30$60.0034.4%10.1%27.1%8.9%35.8%-35.1%0.5%3.8M-26.4M-168.1K0.2173.50N/AN/A1,03321429,4314,826
2024-12-16$57.60$60.0037.2%10.8%21.8%12.2%38.0%-11.1%-2.4%3.5M-20.0M-154.8K0.2373.09N/AN/A1,13325827,8394,629
2024-12-17$58.30$60.0036.8%10.6%22.3%11.7%37.7%-7.0%2.4%4.2M-29.3M-172.3K0.4372.62N/AN/A1,37359428,3784,766
2024-12-18$63.30$60.0050.2%14.4%37.6%28.0%55.5%-16.4%35.4%2.9M-72.6M-215.9K0.0971.62N/AN/A8,92481128,7775,052
2024-12-19$63.00$60.0048.7%13.4%37.7%26.2%59.1%-20.5%8.4%2.0M-44.9M-207.7K0.1071.35N/AN/A6,87369423,8975,014
2024-12-20$61.30$60.0046.9%11.5%37.9%23.9%42.1%-10.7%22.7%1.3M-27.6M-181.8K0.1776.01N/AN/A5,47193223,5665,457
2024-12-23$60.00$60.0039.2%11.6%38.7%14.6%45.9%-13.0%-1.4%1.2M-14.7M-177.6K0.3783.03N/AN/A1,54556721,5045,468
2024-12-24$58.40$60.0036.1%10.3%39.8%10.9%38.1%-11.6%1.2%921.8K-8.3M-168.5K0.6389.06N/AN/A98161521,9125,631
2024-12-26$57.90$60.0037.7%10.2%39.3%12.8%41.6%-10.2%1.4%984.5K-9.4M-173.9K0.2390.11N/AN/A1,11625822,6275,872
2024-12-27$60.60$60.0042.3%11.8%42.3%18.4%42.7%-12.8%2.9%1.2M-22.1M-180.1K0.1777.97N/AN/A2,74647823,2625,948
2024-12-30$61.50$60.0037.0%11.7%41.7%12.0%44.0%-18.4%7.0%1.3M-20.5M-186.5K0.1852.16N/AN/A2,42544621,7785,709
2024-12-31$62.90$60.0048.0%13.2%42.2%25.3%44.6%-24.8%-6.0%1.5M-24.4M-189.0K0.1248.06N/AN/A2,02825322,2896,006