SPX Options History — January 2014

In January 2014, SPX traded between $1776.66 and $1847.07. ATM implied volatility averaged 11.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.6% (HV 20d: 10.3%). Max pain ranged from $1800.00 to $1800.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.79.

Notable Days

2014-01-24: Highest Volume — 1,461,339 contracts
2014-01-24: Largest IV spike — 35.5% change
2014-01-31: Highest IV Rank — 65.0%
2014-01-31: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1821.74	$1776.66	$1847.07	$1831.70	$1780.83
Max Pain	$1800.00	$1800.00	$1800.00	$1800.00	$1800.00
ATM IV	11.9%	9.9%	15.5%	11.9%	15.5%
Expected Move	4.6%	4.4%	4.9%	4.7%	4.9%
HV 20d	10.3%	7.9%	12.5%	10.7%	12.2%
HV 60d	9.5%	8.7%	10.6%	10.2%	10.5%
IV Rank	25.2%	4.0%	65.0%	25.9%	65.0%
IV Percentile	40.6%	2.4%	94.8%	52.8%	94.8%
Term Structure	0.1%	-0.2%	0.4%	0.1%	-0.1%
VWIV	17.4%	13.9%	26.1%	16.3%	17.8%
Skew 25d	3.9%	3.0%	5.8%	3.5%	5.4%
Skew 10d	8.3%	5.9%	13.3%	6.8%	11.7%
Call IV 25d	10.4%	8.7%	13.2%	10.6%	13.2%
Put IV 25d	14.3%	11.9%	18.7%	14.0%	18.7%
Bid-Ask Spread %	21.49	1.45	33.22	18.42	1.45
Gamma HHI	0.04	0.03	0.06	0.05	0.04
Net GEX	3.46B	-19.66B	20.12B	12.06B	-16.90B
Net DEX	-111.77B	-253.41B	96.54B	-195.69B	81.33B
Net VEX	-1.80B	-2.06B	-1.65B	-1.67B	-2.06B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	1.11	3.23	1.80	2.04
Total Volume	877,232	546,819	1,461,339	1,120,830	1,054,662
Total OI	10,463,175.952	8,764,123	11,786,670	9,948,510	11,272,315

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-01-02	$1831.70	$1800.00	11.9%	4.7%	10.7%	25.9%	16.3%	3.5%	0.1%	12.06B	-195.69B	-1.67B	1.80	18.42	399,712	721,118	3,745,366	6,203,144
2014-01-03	$1831.87	$1800.00	11.6%	4.7%	10.7%	22.3%	20.8%	3.5%	0.2%	14.34B	-201.28B	-1.70B	1.96	19.87	302,122	591,825	3,875,948	6,480,170
2014-01-06	$1826.11	$1800.00	11.6%	4.6%	10.6%	21.9%	14.6%	3.5%	-0.1%	10.86B	-179.93B	-1.69B	1.40	17.49	271,789	379,739	3,728,334	6,365,149
2014-01-07	$1836.08	$1800.00	10.9%	4.6%	9.9%	15.4%	14.1%	3.5%	0.1%	16.27B	-218.55B	-1.65B	2.03	18.47	208,016	423,099	3,815,831	6,512,374
2014-01-08	$1837.89	$1800.00	10.7%	4.5%	9.9%	12.3%	14.6%	3.0%	0.1%	17.59B	-225.24B	-1.65B	1.72	18.04	262,490	451,134	3,903,190	6,658,858
2014-01-09	$1838.92	$1800.00	10.6%	4.4%	9.8%	11.7%	18.2%	3.2%	0.1%	17.76B	-226.15B	-1.68B	1.61	22.00	296,378	476,895	4,012,375	6,849,075
2014-01-10	$1843.55	$1800.00	9.9%	4.4%	8.5%	4.0%	21.4%	3.0%	0.3%	20.12B	-242.31B	-1.71B	1.42	22.58	365,151	518,662	4,120,454	7,032,928
2014-01-13	$1820.58	$1800.00	11.5%	4.5%	9.8%	21.2%	26.1%	3.9%	-0.0%	5.88B	-142.76B	-1.75B	1.63	23.21	360,431	588,770	4,015,774	6,875,551
2014-01-14	$1838.30	$1800.00	10.5%	4.4%	10.2%	10.9%	13.9%	3.3%	0.1%	13.73B	-214.11B	-1.74B	1.12	23.03	369,098	411,956	4,068,066	7,107,410
2014-01-15	$1847.07	$1800.00	10.5%	4.4%	10.1%	10.2%	18.9%	3.2%	0.1%	19.33B	-253.41B	-1.75B	1.11	22.02	416,227	460,807	4,193,116	7,272,153
2014-01-16	$1841.58	$1800.00	10.5%	4.5%	10.1%	10.7%	15.9%	3.5%	0.1%	12.70B	-228.76B	-1.79B	1.52	22.61	346,648	526,926	4,307,016	7,479,654
2014-01-17	$1839.54	$1800.00	10.0%	4.5%	8.1%	5.3%	15.9%	3.7%	0.0%	3.20B	-118.02B	-1.82B	2.25	22.78	241,735	544,058	3,266,813	5,497,310
2014-01-21	$1843.56	$1800.00	10.2%	4.5%	8.1%	7.1%	15.8%	3.7%	0.3%	5.89B	-132.45B	-1.79B	2.04	23.13	180,151	366,668	3,370,389	5,782,074
2014-01-22	$1844.55	$1800.00	10.1%	4.5%	7.9%	5.9%	15.6%	3.6%	0.4%	6.21B	-135.52B	-1.80B	3.23	23.07	171,381	554,191	3,450,738	5,962,692
2014-01-23	$1830.31	$1800.00	10.9%	4.5%	8.3%	15.2%	21.4%	4.0%	0.3%	-3.43B	-78.05B	-1.84B	2.10	24.87	313,442	657,220	3,536,416	6,321,551
2014-01-24	$1786.68	$1800.00	14.8%	4.8%	11.9%	57.6%	14.8%	5.8%	-0.2%	-19.66B	82.33B	-1.95B	1.97	22.64	492,746	968,593	3,643,737	6,585,857
2014-01-27	$1781.28	$1800.00	14.5%	4.8%	11.7%	54.0%	16.4%	4.9%	-0.1%	-17.07B	80.97B	-1.91B	1.80	25.04	503,979	909,561	3,635,360	6,445,597
2014-01-28	$1793.88	$1800.00	13.2%	4.7%	12.1%	40.1%	17.0%	4.2%	0.0%	-13.77B	40.89B	-1.96B	1.67	23.86	228,938	381,944	3,795,564	6,761,663
2014-01-29	$1776.66	$1800.00	14.8%	4.8%	12.4%	57.8%	18.8%	4.9%	-0.2%	-17.99B	96.54B	-1.97B	1.64	23.49	348,415	571,683	3,882,677	6,886,812
2014-01-30	$1785.52	$1800.00	14.5%	4.8%	12.5%	54.1%	16.4%	5.0%	-0.0%	-14.54B	63.11B	-2.01B	1.62	33.22	299,028	484,484	3,995,927	7,011,267
2014-01-31	$1780.83	$1800.00	15.5%	4.9%	12.2%	65.0%	17.8%	5.4%	-0.1%	-16.90B	81.33B	-2.06B	2.04	1.45	346,653	708,009	4,104,950	7,167,365