SPX Options History — November 2013

In November 2013, SPX traded between $1748.87 and $1805.88. ATM implied volatility averaged 10.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.3% (HV 20d: 9.2%). Max pain ranged from $1700.00 to $1725.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2013-11-14: Highest Volume — 1,362,702 contracts
  • 2013-11-07: Largest IV spike — 8.5% change
  • 2013-11-07: Highest IV Rank — 19.0%
  • 2013-11-19: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1782.78$1748.87$1805.88$1758.89$1805.88
Max Pain$1702.50$1700.00$1725.00$1700.00$1725.00
ATM IV10.6%9.8%11.5%10.5%10.9%
Expected Move4.8%4.7%5.0%4.8%4.9%
HV 20d9.2%8.2%12.3%12.3%8.2%
HV 60d10.8%10.1%11.4%11.1%10.1%
IV Rank10.2%2.4%19.0%9.6%12.9%
IV Percentile11.9%0.8%31.3%7.5%20.6%
Term Structure0.4%0.0%0.8%0.8%0.0%
VWIV18.6%15.7%30.4%16.8%17.1%
Skew 25d2.9%2.4%3.3%3.0%3.1%
Skew 10d5.9%4.8%7.2%6.3%5.9%
Call IV 25d9.6%8.9%10.4%9.4%9.8%
Put IV 25d12.5%11.4%13.2%12.4%12.9%
Bid-Ask Spread %22.256.6225.1921.966.62
Gamma HHI0.060.040.080.050.06
Net GEX20.89B8.43B29.54B17.45B24.45B
Net DEX-378.03B-463.50B-268.52B-324.16B-430.06B
Net VEX-1.81B-1.92B-1.72B-1.89B-1.77B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.972.211.581.43
Total Volume727,456.85511,3701,362,702671,439657,375
Total OI13,553,125.7512,132,37814,410,92313,698,90714,124,499

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$1758.89$1700.0010.5%4.8%12.3%9.6%16.8%3.0%0.8%17.45B-324.16B-1.89B1.5821.96260,153411,2865,201,5998,497,308
2013-11-04$1766.57$1700.0010.6%4.7%11.4%10.2%20.0%2.9%0.7%21.65B-349.96B-1.82B1.6920.01190,082321,2885,091,4288,174,553
2013-11-05$1760.35$1700.0010.9%4.9%10.5%13.5%30.4%2.9%0.7%16.63B-324.31B-1.84B1.3220.00243,121319,7385,131,6868,261,826
2013-11-06$1769.39$1700.0010.6%4.8%10.5%10.2%17.6%2.8%0.7%23.98B-371.41B-1.78B1.3720.05250,407343,3425,201,9588,374,998
2013-11-07$1748.87$1700.0011.5%4.9%9.4%19.0%16.6%2.9%0.4%8.43B-268.52B-1.92B1.5722.84316,566497,6125,283,3228,510,902
2013-11-08$1769.72$1700.0010.6%4.8%9.8%10.3%19.5%2.6%0.4%27.28B-370.40B-1.83B1.7423.84301,055524,0405,359,2318,703,476
2013-11-11$1770.01$1700.0010.9%4.8%9.8%12.9%16.7%3.3%0.5%22.63B-368.51B-1.79B1.1623.04282,210328,1015,283,6158,547,062
2013-11-12$1767.45$1700.0011.1%4.8%9.3%15.1%19.3%3.0%0.3%20.73B-348.58B-1.83B0.9722.59455,745442,1905,329,4098,693,244
2013-11-13$1781.42$1700.0010.6%4.9%8.7%10.4%17.5%3.1%0.5%26.35B-423.39B-1.79B1.3422.42356,610477,2815,438,8418,836,703
2013-11-14$1790.85$1700.0010.1%4.8%8.5%5.9%18.2%3.0%0.8%29.54B-463.50B-1.77B1.1122.86644,815717,8875,498,3198,912,604
2013-11-15$1795.71$1700.0010.0%4.8%8.4%4.1%15.7%2.7%0.7%19.06B-378.74B-1.82B1.5824.71296,156468,0724,797,0497,335,329
2013-11-18$1790.50$1700.0010.6%4.8%8.6%10.5%18.8%2.9%0.3%18.23B-371.96B-1.78B1.5524.22296,599459,2024,934,0277,592,947
2013-11-19$1787.03$1700.0011.0%5.0%8.4%14.6%20.1%3.2%0.2%15.03B-347.15B-1.84B1.2824.39314,459403,4645,013,3147,778,494
2013-11-20$1781.67$1700.0010.9%4.9%8.3%13.4%16.9%3.2%0.2%12.90B-325.38B-1.86B2.2124.46267,676592,3675,134,1627,922,213
2013-11-21$1796.00$1700.0010.4%4.8%8.6%8.5%17.4%2.8%0.3%19.37B-391.13B-1.77B1.6724.69195,254326,1525,213,2238,272,259
2013-11-22$1803.66$1700.009.8%4.8%8.7%2.4%20.8%2.4%0.1%25.53B-430.64B-1.74B1.3425.19333,526446,7455,297,7548,395,512
2013-11-25$1803.27$1700.0010.2%4.8%8.7%6.0%16.4%3.1%0.0%22.99B-427.59B-1.72B1.5323.00251,810385,7235,220,8278,213,107
2013-11-26$1802.98$1700.0010.3%4.8%8.5%6.9%18.1%2.8%0.1%21.45B-411.56B-1.80B1.5923.07216,590343,5745,287,0438,340,995
2013-11-27$1805.39$1725.0010.3%4.8%8.3%7.6%0.0%2.9%0.1%24.20B-433.70B-1.74B1.4225.05251,980358,8845,359,0908,498,587
2013-11-29$1805.88$1725.0010.9%4.9%8.2%12.9%17.1%3.1%0.0%24.45B-430.06B-1.77B1.436.62270,586386,7895,464,1978,660,302