SPX Options History — August 2014

In August 2014, SPX traded between $1909.01 and $2003.32. ATM implied volatility averaged 11.1%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.1% (HV 20d: 10.9%). Max pain ranged from $1925.00 to $1925.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.92.

Notable Days

2014-08-01: Highest Volume — 1,680,185 contracts
2014-08-05: Largest IV spike — 14.2% change
2014-08-07: Highest IV Rank — 59.8%
2014-08-07: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1960.88	$1909.01	$2003.32	$1922.87	$2003.32
Max Pain	$1925.00	$1925.00	$1925.00	$1925.00	$1925.00
ATM IV	11.1%	9.1%	14.4%	14.0%	9.3%
Expected Move	4.1%	3.7%	4.7%	4.4%	3.9%
HV 20d	10.9%	7.3%	12.0%	10.4%	7.3%
HV 60d	8.5%	8.3%	8.8%	8.4%	8.3%
IV Rank	29.1%	10.7%	59.8%	56.2%	12.3%
IV Percentile	39.0%	4.8%	90.1%	87.7%	7.1%
Term Structure	0.2%	-0.2%	0.5%	-0.2%	0.1%
VWIV	15.8%	13.3%	18.7%	16.9%	14.3%
Skew 25d	4.4%	3.2%	6.0%	6.0%	3.8%
Skew 10d	9.0%	7.0%	12.3%	12.3%	7.9%
Call IV 25d	9.4%	7.8%	12.2%	11.7%	8.1%
Put IV 25d	13.8%	11.3%	17.7%	17.7%	11.8%
Bid-Ask Spread %	16.00	9.16	21.13	13.68	9.16
Gamma HHI	0.04	0.03	0.07	0.07	0.06
Net GEX	745.7M	-33.14B	27.66B	-33.14B	27.66B
Net DEX	-108.12B	-311.32B	139.38B	101.75B	-311.32B
Net VEX	-2.18B	-2.30B	-2.05B	-2.28B	-2.11B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	1.21	2.72	2.36	2.39
Total Volume	883,980.238	505,681	1,680,185	1,680,185	771,083
Total OI	12,820,278.571	11,445,612	13,812,363	12,702,692	13,311,634

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
2014-08-01	$1922.87	$1925.00	14.0%	4.4%	10.4%	56.2%	16.9%	6.0%	-0.2%	-33.14B	101.75B	-2.28B	2.36	13.68	500,491	1,179,694	4,025,426	8,677,266
2014-08-04	$1936.23	$1925.00	12.5%	4.3%	10.8%	42.5%	18.6%	5.1%	0.2%	-17.55B	26.20B	-2.24B	2.70	19.80	250,467	676,478	3,940,068	8,354,220
2014-08-05	$1917.01	$1925.00	14.3%	4.4%	11.2%	59.0%	14.8%	5.7%	0.0%	-24.65B	110.27B	-2.27B	2.36	18.36	255,745	603,013	3,999,516	8,693,320
2014-08-06	$1918.73	$1925.00	13.8%	4.4%	11.1%	54.4%	17.9%	5.5%	0.1%	-24.88B	103.51B	-2.27B	2.22	19.56	246,158	547,500	4,060,061	8,845,587
2014-08-07	$1909.01	$1925.00	14.4%	4.7%	11.1%	59.8%	16.7%	5.4%	-0.0%	-28.75B	139.38B	-2.28B	2.04	18.60	386,229	786,975	4,126,201	9,011,203
2014-08-08	$1927.46	$1925.00	13.5%	4.5%	11.7%	52.0%	16.7%	5.1%	0.2%	-17.79B	56.07B	-2.30B	2.18	19.54	334,012	726,756	4,241,194	9,258,481
2014-08-11	$1936.11	$1925.00	12.4%	4.3%	11.7%	42.0%	16.0%	4.9%	0.3%	-13.20B	2.09B	-2.24B	2.06	18.09	238,046	491,209	4,102,874	8,968,268
2014-08-12	$1933.82	$1925.00	12.2%	4.3%	11.7%	40.0%	17.4%	4.8%	0.2%	-14.13B	12.94B	-2.22B	1.79	15.43	335,051	600,950	4,169,150	9,120,829
2014-08-13	$1948.05	$1925.00	10.8%	4.1%	12.0%	26.2%	15.9%	4.2%	0.5%	-4.26B	-65.18B	-2.19B	1.52	13.45	301,285	459,183	4,281,624	9,301,338
2014-08-14	$1956.78	$1925.00	10.2%	4.0%	11.5%	21.4%	18.7%	3.9%	0.4%	965.7M	-119.52B	-2.17B	1.84	17.30	322,255	594,243	4,373,521	9,438,842
2014-08-15	$1955.03	$1925.00	10.5%	4.0%	11.0%	23.5%	14.1%	4.9%	0.3%	90.1M	-87.59B	-2.19B	2.72	14.55	334,363	908,469	3,749,576	7,696,036
2014-08-18	$1970.43	$1925.00	9.6%	3.8%	11.4%	15.6%	15.6%	4.5%	0.3%	8.68B	-152.02B	-2.13B	1.64	14.69	314,080	514,947	3,862,507	8,146,514
2014-08-19	$1979.98	$1925.00	9.5%	3.8%	11.4%	14.4%	15.0%	4.1%	0.3%	14.05B	-196.25B	-2.14B	1.74	15.79	308,841	538,864	3,947,112	8,365,037
2014-08-20	$1986.07	$1925.00	9.4%	3.8%	11.4%	13.6%	13.3%	3.9%	0.4%	17.73B	-227.51B	-2.13B	1.21	18.85	422,290	510,311	3,996,164	8,505,107
2014-08-21	$1992.28	$1925.00	9.4%	3.7%	11.4%	14.0%	13.8%	3.6%	0.3%	21.62B	-259.28B	-2.13B	1.49	13.30	336,674	500,747	4,120,126	8,668,798
2014-08-22	$1990.38	$1925.00	9.1%	3.7%	11.3%	10.7%	15.5%	3.6%	0.4%	16.92B	-253.73B	-2.14B	2.15	14.53	280,042	602,236	4,209,866	8,856,123
2014-08-25	$1996.47	$1925.00	9.4%	3.7%	11.3%	13.6%	16.5%	3.3%	0.1%	19.07B	-275.95B	-2.08B	1.39	21.13	259,415	359,675	4,116,781	8,252,388
2014-08-26	$2000.56	$1925.00	9.3%	3.8%	11.2%	13.3%	14.0%	3.2%	0.1%	23.45B	-297.32B	-2.05B	1.24	13.20	266,323	329,947	4,195,958	8,420,933
2014-08-27	$1999.21	$1925.00	9.3%	3.8%	11.2%	13.2%	15.2%	3.4%	0.1%	22.06B	-291.20B	-2.06B	1.57	14.42	196,809	308,872	4,263,386	8,548,795
2014-08-28	$1998.71	$1925.00	9.3%	3.8%	7.6%	13.2%	15.6%	3.6%	0.1%	21.71B	-285.79B	-2.09B	1.68	12.62	247,478	416,379	4,325,794	8,678,226
2014-08-29	$2003.32	$1925.00	9.3%	3.9%	7.3%	12.3%	14.3%	3.8%	0.1%	27.66B	-311.32B	-2.11B	2.39	9.16	227,773	543,310	4,418,161	8,893,473