SPX Options History — September 2014

In September 2014, SPX traded between $1967.73 and $2012.96. ATM implied volatility averaged 10.8%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.4% (HV 20d: 6.4%). Max pain ranged from $1925.00 to $1950.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.93.

Notable Days

2014-09-25: Highest Volume — 1,121,149 contracts
2014-09-25: Largest IV spike — 21.8% change
2014-09-30: Highest IV Rank — 50.7%
2014-09-30: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1993.31	$1967.73	$2012.96	$2001.34	$1972.86
Max Pain	$1940.48	$1925.00	$1950.00	$1925.00	$1950.00
ATM IV	10.8%	9.1%	13.4%	9.8%	13.4%
Expected Move	3.9%	3.6%	4.2%	3.9%	4.2%
HV 20d	6.4%	4.9%	9.6%	7.1%	9.6%
HV 60d	8.5%	8.2%	9.4%	8.3%	9.4%
IV Rank	26.4%	11.1%	50.7%	17.3%	50.7%
IV Percentile	40.0%	6.0%	86.1%	16.7%	86.1%
Term Structure	0.2%	0.0%	0.5%	0.4%	0.0%
VWIV	15.2%	11.8%	18.4%	14.4%	18.4%
Skew 25d	4.6%	3.6%	5.8%	3.6%	5.8%
Skew 10d	9.5%	6.7%	11.8%	7.7%	11.6%
Call IV 25d	9.0%	7.6%	11.1%	8.5%	11.1%
Put IV 25d	13.6%	11.5%	16.9%	12.1%	16.9%
Bid-Ask Spread %	14.04	3.78	22.14	14.53	3.78
Gamma HHI	0.04	0.03	0.06	0.05	0.03
Net GEX	7.37B	-19.65B	33.33B	17.79B	-16.62B
Net DEX	-183.97B	-382.06B	15.60B	-283.10B	-8.69B
Net VEX	-2.06B	-2.19B	-1.88B	-2.06B	-2.19B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	1.39	2.78	1.76	2.11
Total Volume	825,294.143	575,739	1,121,149	575,739	814,545
Total OI	12,809,304.143	10,174,329	14,681,041	12,782,396	12,042,078

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
2014-09-02	$2001.34	$1925.00	9.8%	3.9%	7.1%	17.3%	14.4%	3.6%	0.4%	17.79B	-283.10B	-2.06B	1.76	14.53	208,462	367,277	4,264,695	8,517,701
2014-09-03	$2000.24	$1925.00	10.0%	3.9%	5.8%	18.8%	13.6%	3.7%	0.4%	18.08B	-278.73B	-2.02B	1.53	17.23	254,761	390,117	4,314,659	8,678,300
2014-09-04	$1999.14	$1925.00	10.1%	3.8%	5.8%	19.8%	17.1%	4.2%	0.4%	17.03B	-270.74B	-2.06B	1.46	14.25	375,513	549,682	4,411,486	8,854,618
2014-09-05	$2007.45	$1925.00	9.3%	3.8%	5.2%	12.8%	18.0%	3.8%	0.5%	20.84B	-313.56B	-2.04B	2.02	14.54	310,773	627,981	4,472,059	9,080,596
2014-09-08	$2000.64	$1925.00	9.9%	3.8%	4.9%	18.0%	15.6%	4.3%	0.3%	18.46B	-278.44B	-2.00B	1.59	22.14	239,785	380,953	4,395,488	8,826,143
2014-09-09	$1989.74	$1925.00	10.5%	3.8%	5.4%	24.0%	17.1%	4.5%	0.2%	7.25B	-207.90B	-2.06B	2.28	14.37	197,242	450,614	4,460,087	9,012,006
2014-09-10	$1995.35	$1925.00	10.3%	3.8%	5.4%	21.9%	16.7%	4.6%	0.3%	10.93B	-226.68B	-2.06B	2.64	14.41	179,921	474,155	4,496,314	9,156,575
2014-09-11	$1996.71	$1925.00	10.3%	3.8%	4.9%	21.6%	14.3%	4.5%	0.3%	15.93B	-258.79B	-2.02B	2.05	14.97	248,969	510,311	4,559,686	9,366,362
2014-09-12	$1985.46	$1950.00	10.9%	4.0%	5.3%	27.7%	15.1%	4.9%	0.2%	-689.5M	-166.32B	-2.10B	2.07	14.08	352,447	729,577	4,625,567	9,544,485
2014-09-15	$1984.60	$1950.00	11.6%	4.0%	5.3%	34.1%	14.4%	5.2%	0.2%	209.3M	-160.19B	-2.09B	2.19	12.33	233,135	511,059	4,503,768	9,355,982
2014-09-16	$1999.96	$1950.00	10.3%	3.8%	5.3%	21.6%	15.1%	4.5%	0.3%	15.48B	-271.92B	-2.01B	1.39	14.40	350,367	488,401	4,558,627	9,546,309
2014-09-17	$2001.79	$1950.00	10.1%	3.7%	5.1%	19.8%	14.8%	4.1%	0.4%	21.60B	-300.20B	-1.97B	1.49	14.33	371,817	555,120	4,643,889	9,736,407
2014-09-18	$2012.96	$1950.00	9.2%	3.6%	5.3%	11.7%	13.0%	3.6%	0.2%	33.33B	-382.06B	-1.88B	1.57	12.95	355,465	557,662	4,722,915	9,958,126
2014-09-19	$2010.57	$1950.00	9.1%	3.7%	5.3%	11.1%	14.5%	3.9%	0.4%	15.46B	-164.09B	-1.96B	2.07	15.02	343,478	710,750	3,292,738	6,881,591
2014-09-22	$1993.97	$1950.00	10.7%	3.8%	6.1%	25.6%	12.9%	5.0%	0.2%	1.55B	-94.63B	-2.02B	1.62	17.62	321,438	522,038	3,458,550	7,273,048
2014-09-23	$1980.11	$1950.00	12.2%	4.0%	6.5%	39.3%	17.3%	5.4%	0.1%	-10.13B	-31.55B	-2.11B	2.11	12.67	217,573	458,258	3,606,232	7,533,201
2014-09-24	$1998.38	$1950.00	10.6%	3.8%	7.3%	24.7%	11.8%	4.6%	0.2%	5.16B	-108.97B	-2.08B	1.50	12.34	318,366	476,349	3,661,518	7,742,310
2014-09-25	$1967.73	$1950.00	12.9%	4.0%	9.1%	46.1%	14.7%	5.6%	0.1%	-19.65B	15.60B	-2.15B	1.79	14.42	402,288	718,861	3,758,510	7,918,871
2014-09-26	$1983.46	$1950.00	12.1%	4.1%	9.6%	38.7%	15.3%	5.3%	0.1%	-5.40B	-49.42B	-2.16B	2.47	12.15	296,188	730,548	3,855,933	8,203,714
2014-09-29	$1976.96	$1950.00	13.1%	4.2%	9.6%	48.3%	15.1%	5.7%	0.1%	-11.82B	-22.97B	-2.16B	2.78	12.34	192,989	535,942	3,737,222	7,967,021
2014-09-30	$1972.86	$1950.00	13.4%	4.2%	9.6%	50.7%	18.4%	5.8%	0.0%	-16.62B	-8.69B	-2.19B	2.11	3.78	262,030	552,515	3,798,828	8,243,250