SPX Options History — February 2014

In February 2014, SPX traded between $1737.18 and $1859.47. ATM implied volatility averaged 12.7%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.7% (HV 20d: 15.4%). Max pain ranged from $1800.00 to $1800.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.61.

Notable Days

  • 2014-02-03: Highest Volume — 1,577,361 contracts
  • 2014-02-07: Largest IV drop — 14.4% change
  • 2014-02-03: Highest IV Rank — 96.6%
  • 2014-02-03: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1815.87$1737.18$1859.47$1737.18$1859.47
Max Pain$1800.00$1800.00$1800.00$1800.00$1800.00
ATM IV12.7%10.8%18.4%18.4%11.2%
Expected Move4.6%4.4%5.1%5.1%4.5%
HV 20d15.4%13.1%16.8%14.7%13.1%
HV 60d11.9%11.5%12.1%11.7%12.1%
IV Rank34.9%13.9%96.6%96.6%17.8%
IV Percentile56.6%21.0%98.8%98.8%32.5%
Term Structure0.1%-0.4%0.7%-0.4%0.6%
VWIV17.4%14.1%24.2%19.3%16.0%
Skew 25d4.2%3.0%6.6%6.6%4.0%
Skew 10d8.5%5.7%13.9%13.9%8.1%
Call IV 25d11.2%9.7%15.6%15.6%9.8%
Put IV 25d15.4%12.7%22.1%22.1%13.7%
Bid-Ask Spread %21.633.4326.7023.593.43
Gamma HHI0.040.030.070.040.07
Net GEX6.23B-22.45B22.36B-20.54B21.62B
Net DEX-103.19B-264.66B202.67B202.67B-264.66B
Net VEX-1.95B-2.05B-1.85B-1.98B-1.89B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.611.311.951.851.40
Total Volume957,787559,8071,577,3611,577,3611,175,563
Total OI11,828,492.42110,532,10912,853,21210,893,08111,972,780

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$1737.18$1800.0018.4%5.1%14.7%96.6%19.3%6.6%-0.4%-20.54B202.67B-1.98B1.8523.59554,1931,023,1683,979,1456,913,936
2014-02-04$1748.76$1800.0016.2%5.0%15.1%72.1%17.1%5.5%-0.2%-22.45B181.61B-1.98B1.8922.96367,592694,0224,131,0807,206,873
2014-02-05$1748.88$1800.0016.7%5.0%14.9%78.2%24.2%5.8%-0.1%-20.72B181.84B-2.05B1.8921.97280,940531,5674,256,4937,417,992
2014-02-06$1770.30$1800.0014.9%4.8%15.7%58.5%18.4%4.7%-0.2%-12.27B86.51B-2.04B1.8619.27329,007612,7344,379,1587,572,209
2014-02-07$1797.17$1800.0012.8%4.7%16.8%35.1%14.1%3.9%0.0%866.7M-35.92B-2.01B1.4625.66458,204669,4434,485,7687,747,990
2014-02-10$1798.11$1800.0012.6%4.7%16.8%33.2%17.1%4.1%0.2%-349.1M-34.36B-1.96B1.5019.78244,722366,0594,341,1887,408,014
2014-02-11$1816.90$1800.0012.0%4.5%16.7%26.6%20.2%3.7%0.3%8.81B-124.02B-1.97B1.5326.21603,083922,8154,424,5707,524,366
2014-02-12$1820.38$1800.0011.8%4.5%16.3%24.1%18.1%3.7%0.2%10.24B-136.12B-1.99B1.4020.22301,638421,1414,554,9337,704,612
2014-02-13$1827.50$1800.0011.7%4.5%16.3%23.0%16.2%3.5%0.4%15.17B-173.07B-1.97B1.3620.68363,180494,3344,609,9757,852,362
2014-02-14$1838.13$1800.0010.8%4.5%16.4%13.9%18.5%3.0%0.7%22.36B-229.72B-1.94B1.3526.63458,790618,4774,673,7707,986,016
2014-02-18$1840.17$1800.0011.5%4.5%16.4%21.3%14.5%3.5%0.2%20.02B-230.14B-1.86B1.3119.94306,819402,7494,552,9587,700,191
2014-02-19$1828.16$1800.0012.6%4.6%16.5%32.9%16.1%4.2%0.2%11.56B-165.77B-1.91B1.8226.70517,570941,3674,581,5137,785,873
2014-02-20$1838.79$1800.0011.7%4.4%16.7%23.4%15.7%4.1%0.3%14.51B-208.67B-1.94B1.9521.55305,762597,4764,701,4628,151,750
2014-02-21$1835.79$1800.0011.5%4.5%16.5%21.7%19.4%4.6%0.3%8.88B-153.06B-1.93B1.4021.58359,027504,0553,915,1546,616,955
2014-02-24$1848.08$1800.0011.4%4.4%13.9%19.9%15.7%3.8%-0.2%15.50B-211.40B-1.90B1.3721.81382,201524,9734,100,1096,905,884
2014-02-25$1848.34$1800.0011.4%4.4%13.8%20.5%19.2%3.6%-0.2%15.46B-214.31B-1.85B1.7021.28207,028352,7794,186,4257,070,820
2014-02-26$1843.86$1800.0011.8%4.5%13.7%24.8%15.6%3.7%-0.2%12.06B-190.93B-1.91B1.6921.61222,691375,6114,279,8127,269,656
2014-02-27$1855.60$1800.0011.3%4.5%13.2%18.7%14.6%3.7%-0.2%17.69B-241.09B-1.90B1.7626.09255,978451,1954,365,1017,414,463
2014-02-28$1859.47$1800.0011.2%4.5%13.1%17.8%16.0%4.0%0.6%21.62B-264.66B-1.89B1.403.43489,876685,6874,410,4947,562,286