SPX Options History — April 2014

In April 2014, SPX traded between $1817.69 and $1889.90. ATM implied volatility averaged 12.1%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.3% (HV 20d: 12.4%). Max pain ranged from $1850.00 to $1850.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.67.

Notable Days

2014-04-11: Highest Volume — 1,364,719 contracts
2014-04-10: Largest IV spike — 17.0% change
2014-04-11: Highest IV Rank — 59.0%
2014-04-11: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1864.67	$1817.69	$1889.90	$1884.85	$1884.60
Max Pain	$1850.00	$1850.00	$1850.00	$1850.00	$1850.00
ATM IV	12.1%	10.8%	15.0%	11.1%	10.8%
Expected Move	4.3%	4.1%	4.5%	4.2%	4.2%
HV 20d	12.4%	9.5%	13.9%	9.5%	12.8%
HV 60d	12.7%	11.1%	13.5%	12.2%	11.1%
IV Rank	27.4%	13.0%	59.0%	15.7%	13.0%
IV Percentile	48.3%	16.7%	88.9%	27.0%	16.7%
Term Structure	0.0%	-0.4%	0.3%	-0.1%	0.3%
VWIV	16.2%	14.1%	18.1%	15.2%	14.7%
Skew 25d	4.2%	3.5%	5.1%	3.7%	3.8%
Skew 10d	8.0%	6.4%	10.3%	7.3%	7.3%
Call IV 25d	10.5%	9.5%	13.0%	9.6%	9.5%
Put IV 25d	14.7%	13.2%	18.2%	13.3%	13.2%
Bid-Ask Spread %	17.02	6.86	29.15	15.57	6.86
Gamma HHI	0.04	0.03	0.05	0.05	0.04
Net GEX	2.70B	-23.54B	19.62B	15.89B	13.62B
Net DEX	-77.41B	-172.95B	108.42B	-154.17B	-151.60B
Net VEX	-1.90B	-1.98B	-1.80B	-1.80B	-1.92B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	1.13	2.62	2.16	1.76
Total Volume	765,726.667	416,112	1,364,719	710,541	416,112
Total OI	10,732,511.619	9,683,935	11,838,562	9,924,698	11,069,688

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
2014-04-01	$1884.85	$1850.00	11.1%	4.2%	9.5%	15.7%	15.2%	3.7%	-0.1%	15.89B	-154.17B	-1.80B	2.16	15.57	224,810	485,731	3,491,877	6,432,821
2014-04-02	$1889.88	$1850.00	11.2%	4.1%	9.5%	16.6%	17.6%	3.5%	0.0%	19.62B	-172.95B	-1.83B	1.13	15.51	349,643	395,656	3,569,702	6,603,580
2014-04-03	$1889.90	$1850.00	11.5%	4.1%	9.5%	19.8%	16.3%	3.5%	-0.0%	18.38B	-169.91B	-1.85B	1.21	17.03	312,565	377,633	3,703,398	6,759,991
2014-04-04	$1866.83	$1850.00	12.1%	4.2%	10.5%	26.9%	16.7%	3.9%	0.1%	523.4M	-81.48B	-1.88B	1.77	17.17	437,552	776,521	3,830,798	6,938,550
2014-04-07	$1844.41	$1850.00	13.6%	4.4%	11.3%	42.9%	17.5%	5.0%	-0.2%	-9.34B	4.83B	-1.90B	1.59	14.68	353,801	560,916	3,739,501	6,821,866
2014-04-08	$1851.34	$1850.00	13.0%	4.4%	11.2%	37.2%	16.7%	4.6%	-0.1%	-6.74B	-20.86B	-1.89B	1.67	15.25	212,424	354,733	3,847,362	6,952,693
2014-04-09	$1871.13	$1850.00	11.8%	4.2%	11.9%	24.2%	15.7%	4.0%	-0.0%	5.68B	-96.85B	-1.88B	1.45	15.39	248,728	360,852	3,880,794	7,071,068
2014-04-10	$1833.22	$1850.00	13.9%	4.5%	13.5%	46.5%	17.7%	4.8%	-0.3%	-16.35B	48.35B	-1.89B	1.64	19.93	363,175	596,914	3,938,922	7,122,055
2014-04-11	$1817.69	$1850.00	15.0%	4.5%	13.7%	59.0%	16.4%	5.1%	-0.4%	-23.54B	108.42B	-1.92B	1.95	29.15	462,832	901,887	4,044,358	7,351,392
2014-04-14	$1830.81	$1850.00	14.2%	4.5%	13.6%	49.9%	16.4%	4.9%	0.1%	-15.50B	48.40B	-1.92B	2.62	16.83	217,709	571,339	3,989,622	7,262,932
2014-04-15	$1845.78	$1850.00	13.4%	4.3%	13.7%	41.4%	15.2%	4.9%	0.1%	-8.78B	-11.67B	-1.94B	1.54	18.12	374,710	576,603	4,060,608	7,403,953
2014-04-16	$1859.86	$1850.00	12.2%	4.3%	13.9%	28.0%	15.6%	4.5%	0.3%	3.52B	-81.19B	-1.93B	1.49	18.46	458,350	681,225	4,195,623	7,642,939
2014-04-17	$1864.18	$1850.00	11.3%	4.2%	13.6%	18.0%	15.7%	4.0%	0.3%	3.67B	-81.78B	-1.92B	1.47	16.80	341,480	503,179	3,461,292	6,222,643
2014-04-21	$1870.66	$1850.00	11.5%	4.2%	13.5%	19.8%	18.1%	4.2%	0.0%	6.13B	-103.11B	-1.90B	1.76	16.69	183,985	323,904	3,565,698	6,450,542
2014-04-22	$1880.36	$1850.00	11.2%	4.2%	13.5%	16.6%	15.5%	3.8%	-0.0%	11.29B	-136.43B	-1.89B	1.18	16.53	410,800	485,764	3,650,176	6,600,891
2014-04-23	$1878.16	$1850.00	11.2%	4.2%	13.4%	16.8%	15.1%	3.8%	-0.1%	11.73B	-132.08B	-1.89B	1.72	19.49	157,419	270,329	3,786,732	6,737,571
2014-04-24	$1879.55	$1850.00	11.3%	4.2%	13.0%	18.2%	16.6%	3.7%	-0.1%	12.01B	-133.65B	-1.91B	1.70	19.20	213,856	362,648	3,823,416	6,847,428
2014-04-25	$1865.04	$1850.00	12.1%	4.2%	13.3%	26.5%	16.4%	4.1%	-0.0%	1.77B	-83.64B	-1.98B	2.54	16.68	221,646	563,814	3,926,131	7,032,133
2014-04-28	$1871.93	$1850.00	11.6%	4.2%	13.2%	21.6%	17.6%	4.1%	0.2%	4.51B	-100.08B	-1.93B	1.37	15.85	214,399	292,751	3,825,092	6,882,918
2014-04-29	$1877.80	$1850.00	11.2%	4.2%	13.0%	17.2%	14.1%	3.9%	0.3%	8.71B	-124.20B	-1.90B	1.34	16.20	197,023	264,842	3,896,954	6,947,034
2014-04-30	$1884.60	$1850.00	10.8%	4.2%	12.8%	13.0%	14.7%	3.8%	0.3%	13.62B	-151.60B	-1.92B	1.76	6.86	151,004	265,108	3,993,446	7,076,242