SPX Options History — May 2014

In May 2014, SPX traded between $1868.34 and $1923.38. ATM implied volatility averaged 10.5%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.5% (HV 20d: 9.0%). Max pain ranged from $1850.00 to $1850.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.60.

Notable Days

2014-05-15: Highest Volume — 1,316,104 contracts
2014-05-15: Largest IV spike — 10.4% change
2014-05-06: Highest IV Rank — 19.5%
2014-05-05: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1889.17	$1868.34	$1923.38	$1882.17	$1923.38
Max Pain	$1850.00	$1850.00	$1850.00	$1850.00	$1850.00
ATM IV	10.5%	9.3%	11.4%	10.9%	9.3%
Expected Move	4.1%	3.9%	4.2%	4.2%	4.0%
HV 20d	9.0%	7.0%	12.8%	12.8%	8.2%
HV 60d	10.6%	10.2%	11.0%	11.0%	10.2%
IV Rank	9.2%	0.0%	19.5%	13.5%	0.0%
IV Percentile	13.1%	0.0%	37.3%	17.9%	0.0%
Term Structure	0.3%	-0.0%	0.6%	0.3%	0.3%
VWIV	15.6%	13.3%	18.5%	18.5%	14.8%
Skew 25d	3.5%	2.7%	4.0%	4.0%	2.7%
Skew 10d	6.8%	5.7%	7.9%	7.6%	5.7%
Call IV 25d	9.2%	8.4%	10.1%	9.3%	8.4%
Put IV 25d	12.6%	11.0%	13.9%	13.4%	11.0%
Bid-Ask Spread %	16.43	14.26	18.84	14.75	15.00
Gamma HHI	0.05	0.03	0.09	0.04	0.09
Net GEX	14.65B	-915.4M	37.38B	13.17B	37.38B
Net DEX	-163.98B	-298.98B	-66.68B	-150.54B	-298.98B
Net VEX	-1.88B	-1.94B	-1.81B	-1.92B	-1.88B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	1.02	2.20	1.72	1.47
Total Volume	757,805.667	490,811	1,316,104	813,742	804,279
Total OI	11,604,233.286	10,511,670	12,474,065	11,181,999	12,455,717

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
2014-05-01	$1882.17	$1850.00	10.9%	4.2%	12.8%	13.5%	18.5%	4.0%	0.3%	13.17B	-150.54B	-1.92B	1.72	14.75	299,180	514,562	4,026,363	7,155,636
2014-05-02	$1878.77	$1850.00	10.4%	4.2%	12.8%	8.1%	14.0%	3.6%	0.6%	10.70B	-136.55B	-1.90B	1.79	14.92	280,676	503,623	4,073,638	7,289,939
2014-05-05	$1879.94	$1850.00	10.9%	4.2%	12.0%	14.1%	16.5%	3.9%	0.3%	9.58B	-135.65B	-1.90B	1.50	16.07	220,143	329,243	3,922,032	7,103,805
2014-05-06	$1868.34	$1850.00	11.4%	4.2%	11.4%	19.5%	17.0%	3.8%	0.3%	1.86B	-86.50B	-1.91B	1.35	15.99	261,828	353,049	3,987,800	7,247,753
2014-05-07	$1878.27	$1850.00	11.2%	4.2%	11.4%	16.4%	15.9%	3.7%	0.2%	9.08B	-133.50B	-1.90B	1.28	16.67	214,944	275,867	4,067,712	7,416,983
2014-05-08	$1876.14	$1850.00	11.3%	4.1%	10.8%	18.6%	14.9%	3.6%	0.2%	8.26B	-126.25B	-1.90B	1.42	16.36	299,608	424,687	4,136,853	7,537,096
2014-05-09	$1877.15	$1850.00	10.8%	4.1%	7.6%	12.4%	14.6%	3.5%	0.3%	8.62B	-131.09B	-1.88B	1.56	16.78	276,307	430,956	4,223,552	7,655,627
2014-05-12	$1896.08	$1850.00	10.4%	4.0%	7.3%	8.2%	17.1%	3.3%	0.4%	22.74B	-214.25B	-1.81B	1.35	17.27	315,575	425,203	4,127,757	7,464,371
2014-05-13	$1897.51	$1850.00	10.3%	4.0%	7.1%	6.5%	14.8%	3.2%	0.4%	22.90B	-218.58B	-1.81B	1.23	16.83	318,798	392,833	4,210,321	7,589,738
2014-05-14	$1888.63	$1850.00	10.3%	4.0%	7.0%	7.3%	16.4%	3.3%	0.4%	14.24B	-178.96B	-1.88B	1.75	17.40	337,931	592,626	4,315,830	7,807,447
2014-05-15	$1870.51	$1850.00	11.4%	4.1%	7.6%	19.2%	15.9%	3.9%	0.2%	-915.4M	-77.49B	-1.94B	1.47	17.55	532,711	783,393	4,427,353	8,046,712
2014-05-16	$1877.18	$1850.00	10.6%	4.1%	7.6%	10.6%	15.0%	3.6%	0.4%	3.88B	-95.38B	-1.92B	1.73	18.02	337,975	583,108	3,840,486	6,671,184
2014-05-19	$1885.14	$1850.00	10.4%	4.1%	7.7%	8.1%	13.9%	3.7%	0.2%	8.47B	-127.88B	-1.91B	2.20	14.26	162,028	356,748	3,960,095	6,964,295
2014-05-20	$1870.86	$1850.00	11.1%	4.0%	7.9%	15.3%	17.1%	4.0%	0.2%	-461.3M	-66.68B	-1.91B	2.15	15.66	196,209	421,560	4,025,944	7,105,470
2014-05-21	$1887.60	$1850.00	10.0%	3.9%	8.6%	4.0%	17.1%	3.5%	0.3%	11.70B	-138.35B	-1.89B	2.16	15.48	310,986	670,673	4,083,239	7,275,125
2014-05-22	$1892.81	$1850.00	10.2%	3.9%	8.6%	5.7%	14.0%	3.5%	0.2%	17.91B	-162.24B	-1.92B	1.53	16.47	240,673	369,040	4,218,734	7,629,743
2014-05-23	$1899.42	$1850.00	9.6%	4.0%	8.1%	0.0%	13.3%	3.0%	0.4%	25.94B	-197.06B	-1.90B	1.31	18.84	347,853	455,566	4,281,970	7,740,443
2014-05-27	$1911.16	$1850.00	9.9%	4.0%	8.3%	3.2%	14.5%	3.1%	-0.0%	25.11B	-240.26B	-1.84B	1.90	17.02	249,249	474,676	4,170,728	7,504,764
2014-05-28	$1911.58	$1850.00	9.9%	4.1%	8.2%	3.3%	16.3%	3.1%	0.1%	25.22B	-242.60B	-1.82B	1.72	15.99	232,814	401,068	4,208,238	7,612,259
2014-05-29	$1919.88	$1850.00	9.6%	4.0%	8.3%	0.0%	16.3%	2.8%	0.1%	32.38B	-284.88B	-1.83B	1.02	17.62	452,256	463,415	4,300,461	7,805,686
2014-05-30	$1923.38	$1850.00	9.3%	4.0%	8.2%	0.0%	14.8%	2.7%	0.3%	37.38B	-298.98B	-1.88B	1.47	15.00	325,702	478,577	4,467,706	7,988,011