SPX Options History — July 2014

In July 2014, SPX traded between $1929.27 and $1986.99. ATM implied volatility averaged 9.8%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 6.9%). Max pain ranged from $1900.00 to $1925.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.99.

Notable Days

2014-07-31: Highest Volume — 1,495,226 contracts
2014-07-31: Largest IV spike — 33.5% change
2014-07-31: Highest IV Rank — 59.2%
2014-07-31: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1972.88	$1929.27	$1986.99	$1973.03	$1929.27
Max Pain	$1906.82	$1900.00	$1925.00	$1900.00	$1925.00
ATM IV	9.8%	7.9%	14.3%	8.5%	14.3%
Expected Move	3.8%	3.7%	4.3%	3.8%	4.3%
HV 20d	6.9%	5.8%	10.7%	6.1%	10.7%
HV 60d	7.4%	6.7%	9.0%	9.0%	8.5%
IV Rank	17.1%	0.0%	59.2%	3.0%	59.2%
IV Percentile	16.7%	0.0%	89.7%	1.2%	89.7%
Term Structure	0.2%	-0.3%	0.4%	0.3%	-0.3%
VWIV	15.0%	13.5%	17.1%	15.7%	16.7%
Skew 25d	4.1%	3.1%	5.8%	3.8%	5.8%
Skew 10d	8.7%	5.9%	12.7%	7.9%	12.7%
Call IV 25d	8.3%	7.0%	12.0%	7.6%	12.0%
Put IV 25d	12.5%	10.3%	17.8%	11.4%	17.8%
Bid-Ask Spread %	20.73	7.67	28.78	16.18	7.67
Gamma HHI	0.04	0.03	0.11	0.05	0.03
Net GEX	11.57B	-25.19B	43.14B	24.67B	-25.19B
Net DEX	-171.47B	-281.92B	68.66B	-225.21B	68.66B
Net VEX	-2.04B	-2.27B	-1.91B	-1.92B	-2.27B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	1.33	2.72	1.33	1.95
Total Volume	816,645.727	532,759	1,495,226	1,055,217	1,495,226
Total OI	11,687,166.136	10,549,557	12,864,253	10,820,364	12,225,090

Daily Data (22 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
2014-07-01	$1973.03	$1900.00	8.5%	3.8%	6.1%	3.0%	15.7%	3.8%	0.3%	24.67B	-225.21B	-1.92B	1.33	16.18	452,576	602,641	3,554,830	7,265,534
2014-07-02	$1974.84	$1900.00	8.3%	3.7%	6.1%	1.4%	14.2%	3.1%	0.3%	24.03B	-226.23B	-1.95B	1.79	17.50	276,813	494,182	3,687,738	7,504,728
2014-07-03	$1984.69	$1900.00	7.9%	3.7%	5.9%	0.0%	14.7%	3.3%	0.4%	43.14B	-281.92B	-1.93B	1.88	18.13	261,956	492,167	3,776,851	7,766,585
2014-07-07	$1977.77	$1900.00	8.8%	3.8%	5.8%	8.0%	14.2%	3.4%	0.2%	23.36B	-231.47B	-1.91B	2.49	16.98	189,564	471,621	3,664,105	7,465,546
2014-07-08	$1966.86	$1900.00	9.8%	3.8%	6.2%	17.0%	15.3%	3.7%	0.1%	10.17B	-170.19B	-1.99B	1.95	18.39	292,015	569,337	3,706,797	7,679,119
2014-07-09	$1973.73	$1900.00	9.1%	3.8%	6.3%	11.1%	14.2%	4.0%	0.2%	15.53B	-202.51B	-1.97B	2.49	20.50	157,515	392,675	3,774,463	7,920,359
2014-07-10	$1964.22	$1900.00	10.1%	3.8%	6.5%	19.9%	15.3%	4.0%	0.2%	7.09B	-154.01B	-2.04B	1.85	17.56	282,690	524,277	3,825,241	8,126,624
2014-07-11	$1968.75	$1900.00	9.4%	3.8%	5.8%	13.3%	15.9%	4.1%	0.2%	13.02B	-176.53B	-2.02B	2.61	17.48	275,937	720,769	3,900,820	8,329,211
2014-07-14	$1977.05	$1900.00	9.3%	3.7%	5.9%	13.0%	15.2%	4.3%	0.3%	23.07B	-219.72B	-1.95B	1.45	21.93	279,610	405,099	3,804,399	8,152,109
2014-07-15	$1974.01	$1900.00	9.5%	3.8%	6.0%	14.6%	13.8%	4.0%	0.3%	19.08B	-207.98B	-1.97B	1.65	21.90	265,748	438,173	3,858,631	8,273,148
2014-07-16	$1980.76	$1900.00	8.8%	3.7%	6.0%	8.5%	17.1%	3.8%	0.4%	24.28B	-245.13B	-1.94B	2.24	23.45	341,401	764,651	3,922,779	8,462,259
2014-07-17	$1959.39	$1900.00	11.6%	4.1%	6.7%	34.4%	16.2%	5.8%	0.1%	1.35B	-117.90B	-2.14B	2.12	28.55	369,153	783,229	4,018,294	8,845,959
2014-07-18	$1977.35	$1900.00	9.4%	3.8%	7.5%	13.5%	14.1%	4.3%	0.4%	7.58B	-157.11B	-2.04B	2.43	23.09	288,549	700,430	3,394,665	7,154,892
2014-07-21	$1972.28	$1900.00	10.2%	3.8%	7.6%	21.2%	15.9%	4.7%	0.2%	1.95B	-132.89B	-2.06B	2.72	24.70	160,938	437,612	3,507,701	7,524,462
2014-07-22	$1980.70	$1900.00	9.7%	3.9%	7.7%	16.6%	16.0%	3.9%	0.3%	7.22B	-165.84B	-2.06B	1.64	28.78	216,831	355,484	3,564,646	7,751,253
2014-07-23	$1986.99	$1900.00	9.6%	3.9%	7.5%	15.2%	14.5%	4.2%	0.2%	14.64B	-202.22B	-2.04B	1.42	23.76	258,303	367,996	3,620,317	7,887,966
2014-07-24	$1986.53	$1925.00	9.5%	3.9%	7.4%	14.9%	14.3%	3.7%	0.3%	14.18B	-201.04B	-2.07B	1.95	23.26	299,892	584,317	3,713,502	8,060,531
2014-07-25	$1976.53	$1925.00	10.1%	3.9%	7.7%	20.3%	13.5%	4.5%	0.3%	4.46B	-150.37B	-2.17B	2.51	22.66	258,814	649,891	3,814,797	8,229,451
2014-07-28	$1978.25	$1925.00	10.0%	3.9%	7.7%	19.0%	14.3%	4.3%	0.1%	4.04B	-149.84B	-2.12B	1.86	21.75	188,557	350,412	3,685,086	7,916,878
2014-07-29	$1969.20	$1925.00	10.7%	3.9%	7.9%	25.4%	15.3%	4.3%	0.2%	-3.25B	-105.58B	-2.16B	1.78	20.72	191,605	341,154	3,735,301	8,064,836
2014-07-30	$1971.21	$1925.00	10.7%	3.9%	7.5%	26.0%	14.0%	4.2%	0.0%	137.1M	-117.37B	-2.14B	1.59	21.04	276,877	439,519	3,777,865	8,202,287
2014-07-31	$1929.27	$1925.00	14.3%	4.3%	10.7%	59.2%	16.7%	5.8%	-0.3%	-25.19B	68.66B	-2.27B	1.95	7.67	507,209	988,017	3,855,711	8,369,379