SPX Options History — June 2014

In June 2014, SPX traded between $1922.45 and $1960.58. ATM implied volatility averaged 9.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.6% (HV 20d: 6.8%). Max pain ranged from $1850.00 to $1900.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.77.

Notable Days

2014-06-18: Highest Volume — 1,291,467 contracts
2014-06-24: Largest IV spike — 13.0% change
2014-06-16: Highest IV Rank — 15.7%
2014-06-02: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1946.48	$1922.45	$1960.58	$1922.45	$1959.67
Max Pain	$1886.90	$1850.00	$1900.00	$1850.00	$1900.00
ATM IV	9.4%	8.2%	10.5%	9.9%	9.1%
Expected Move	3.9%	3.8%	4.1%	4.1%	3.9%
HV 20d	6.8%	5.6%	8.2%	8.2%	5.7%
HV 60d	9.8%	9.3%	10.3%	10.2%	9.3%
IV Rank	6.6%	0.0%	15.7%	6.9%	8.7%
IV Percentile	3.9%	0.0%	15.9%	4.0%	2.8%
Term Structure	0.4%	0.1%	0.6%	0.3%	0.2%
VWIV	15.1%	13.3%	16.8%	15.3%	15.9%
Skew 25d	3.3%	2.5%	4.1%	3.0%	3.7%
Skew 10d	6.7%	4.5%	8.7%	6.3%	8.6%
Call IV 25d	8.2%	7.2%	9.1%	8.7%	7.8%
Put IV 25d	11.5%	10.3%	12.8%	11.7%	11.5%
Bid-Ask Spread %	15.58	2.67	18.30	14.82	2.67
Gamma HHI	0.05	0.04	0.08	0.05	0.06
Net GEX	23.44B	10.68B	45.47B	26.17B	19.10B
Net DEX	-293.00B	-435.78B	-147.18B	-292.79B	-183.88B
Net VEX	-1.90B	-1.98B	-1.76B	-1.83B	-1.94B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	1.17	2.31	1.67	2.31
Total Volume	823,410.143	560,921	1,291,467	746,819	706,831
Total OI	12,562,990.095	9,927,175	14,880,273	12,150,373	11,138,634

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
2014-06-02	$1922.45	$1850.00	9.9%	4.1%	8.2%	6.9%	15.3%	3.0%	0.3%	26.17B	-292.79B	-1.83B	1.67	14.82	279,271	467,548	4,353,455	7,796,918
2014-06-03	$1923.40	$1850.00	10.0%	4.1%	8.2%	7.7%	14.6%	3.0%	0.2%	26.16B	-291.58B	-1.88B	1.99	15.34	198,245	393,795	4,458,951	7,951,518
2014-06-04	$1927.11	$1850.00	10.3%	4.0%	7.7%	11.2%	14.5%	3.0%	0.1%	26.10B	-307.43B	-1.88B	1.35	15.96	318,383	430,763	4,518,461	8,096,544
2014-06-05	$1939.83	$1875.00	10.0%	3.9%	7.8%	7.3%	15.1%	2.8%	0.1%	36.19B	-366.70B	-1.85B	1.17	16.76	594,502	696,200	4,597,683	8,310,797
2014-06-06	$1951.31	$1875.00	9.1%	3.8%	7.9%	0.0%	16.5%	2.5%	0.2%	45.47B	-415.57B	-1.81B	1.36	16.38	502,148	684,096	4,687,752	8,590,850
2014-06-09	$1950.51	$1875.00	9.2%	3.9%	7.9%	1.2%	13.9%	2.8%	0.5%	31.15B	-405.57B	-1.76B	1.20	16.89	386,120	461,967	4,570,972	8,420,306
2014-06-10	$1950.83	$1875.00	8.9%	3.9%	7.3%	0.0%	13.8%	2.7%	0.6%	30.88B	-396.51B	-1.81B	1.66	16.18	277,407	459,406	4,671,977	8,602,888
2014-06-11	$1944.22	$1875.00	9.2%	3.9%	7.5%	3.0%	13.9%	2.9%	0.6%	23.95B	-364.78B	-1.88B	1.54	18.30	253,892	390,577	4,720,302	8,784,025
2014-06-12	$1930.58	$1900.00	10.2%	4.0%	7.8%	13.2%	16.6%	3.5%	0.5%	13.72B	-283.56B	-1.93B	1.73	16.86	290,130	500,728	4,780,706	8,949,817
2014-06-13	$1937.04	$1900.00	9.9%	4.0%	6.7%	10.1%	14.0%	3.7%	0.6%	17.07B	-297.82B	-1.98B	1.81	17.04	267,852	484,080	4,866,348	9,171,841
2014-06-16	$1936.32	$1900.00	10.5%	4.1%	6.7%	15.7%	15.8%	3.7%	0.3%	16.52B	-308.39B	-1.90B	2.15	16.60	206,001	443,223	4,733,993	8,935,924
2014-06-17	$1941.99	$1900.00	10.0%	3.9%	6.7%	10.9%	15.9%	3.7%	0.3%	18.17B	-332.65B	-1.92B	1.88	16.81	288,270	541,796	4,784,485	9,162,723
2014-06-18	$1957.46	$1900.00	8.7%	3.9%	6.1%	0.0%	16.5%	2.9%	0.4%	32.00B	-429.03B	-1.83B	1.94	16.73	439,222	852,245	4,877,356	9,419,839
2014-06-19	$1958.63	$1900.00	8.2%	3.8%	5.6%	0.0%	14.2%	3.0%	0.5%	31.97B	-435.78B	-1.86B	1.55	17.00	452,927	703,681	5,016,280	9,863,993
2014-06-20	$1960.17	$1900.00	8.3%	3.8%	5.6%	0.5%	15.0%	3.6%	0.4%	18.78B	-180.82B	-1.94B	1.89	15.31	340,278	641,841	3,342,434	6,584,741
2014-06-23	$1960.58	$1900.00	8.5%	3.9%	5.6%	2.7%	15.7%	3.3%	0.4%	20.25B	-193.29B	-1.91B	2.02	16.21	185,477	375,444	3,493,824	6,993,868
2014-06-24	$1950.89	$1900.00	9.6%	3.9%	5.8%	13.2%	15.3%	3.8%	0.3%	10.68B	-147.18B	-1.97B	1.89	13.15	263,329	498,531	3,566,275	7,188,209
2014-06-25	$1957.19	$1900.00	9.3%	3.9%	5.8%	10.9%	14.9%	3.5%	0.3%	16.62B	-173.38B	-1.98B	2.05	17.74	186,721	382,202	3,651,811	7,398,005
2014-06-26	$1956.40	$1900.00	9.2%	3.9%	5.7%	9.9%	13.3%	4.1%	0.3%	14.07B	-163.03B	-1.97B	2.06	16.84	216,351	445,647	3,688,902	7,587,124
2014-06-27	$1959.51	$1900.00	8.9%	3.9%	5.7%	6.4%	16.8%	3.6%	0.5%	17.19B	-183.18B	-1.96B	2.01	13.57	260,376	524,110	3,740,160	7,752,101
2014-06-30	$1959.67	$1900.00	9.1%	3.9%	5.7%	8.7%	15.9%	3.7%	0.2%	19.10B	-183.88B	-1.94B	2.31	2.67	213,567	493,264	3,640,775	7,497,859