SPX Options History — October 2014 In October 2014, SPX traded between $1855.37 and $2017.81. ATM implied volatility averaged 12.6%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 4.5% (HV 20d: 17.2%). Max pain ranged from $1875.00 to $1975.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.90.
Notable Days 2014-10-15 : Highest Volume — 2,599,170 contracts2014-10-29 : Largest IV spike — 426.4% change2014-10-14 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $1937.56 $1855.37 $2017.81 $1947.98 $2017.81 Max Pain $1944.12 $1875.00 $1975.00 $1950.00 $1950.00 ATM IV 12.6% 1.5% 21.5% 14.4% 11.8% Expected Move 3.7% 0.4% 5.6% 4.4% 4.0% HV 20d 17.2% 10.5% 20.8% 10.5% 20.3% HV 60d 12.4% 9.6% 14.2% 9.7% 13.7% IV Rank 51.0% 0.0% 100.0% 60.4% 51.4% IV Percentile 67.4% 0.0% 100.0% 92.9% 69.8% Term Structure 0.1% -2.3% 10.7% 0.1% 0.4% VWIV 18.3% 15.7% 23.0% 16.2% 15.7% Skew 25d 5.9% -0.0% 10.0% 5.6% 3.7% Skew 10d 11.3% 1.9% 18.4% 10.6% 7.7% Call IV 25d 11.8% 2.6% 17.6% 12.0% 10.4% Put IV 25d 17.7% 2.6% 26.7% 17.6% 14.1% Bid-Ask Spread % 19.60 12.40 31.24 13.12 20.38 Gamma HHI 0.25 0.03 1.00 0.03 0.06 Net GEX -10.67B -36.06B 22.87B -24.93B 22.87B Net DEX 29.87B -325.17B 373.81B 76.33B -325.17B Net VEX -1.69B -2.38B -3 -2.18B -2.00B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.90 0.00 2.95 1.83 1.33 Total Volume 1,081,066.609 10 2,599,170 1,367,424 1,997,779 Total OI 10,093,260.87 10 14,501,944 11,698,301 13,941,987
Daily Data (23 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 2014-10-01 $1947.98 $1950.00 14.4% 4.4% 10.5% 60.4% 16.2% 5.6% 0.1% -24.93B 76.33B -2.18B 1.83 13.12 482,995 884,429 3,713,558 7,984,743 2014-10-02 $1945.68 $1950.00 13.9% 4.4% 10.5% 55.5% 17.5% 5.1% 0.1% -26.15B 85.81B -2.21B 1.55 12.40 506,262 785,418 3,874,304 8,376,148 2014-10-03 $1967.38 $1950.00 12.8% 4.1% 11.3% 44.9% 16.1% 4.7% 0.1% -9.18B -16.71B -2.21B 2.02 13.41 349,946 706,459 4,061,251 8,612,588 2014-10-06 $1962.43 $1950.00 13.5% 4.3% 11.3% 51.9% 17.1% 5.2% -0.0% -12.93B 694.0M -2.17B 2.05 14.97 230,905 473,374 3,867,067 8,193,860 2014-10-07 $1933.80 $1950.00 15.1% 4.5% 12.2% 66.7% 18.1% 5.8% -0.2% -25.05B 112.57B -2.18B 2.09 13.73 289,557 604,676 3,922,061 8,326,164 2014-10-08 $1969.14 $1950.00 12.9% 4.1% 14.0% 46.2% 15.7% 5.1% -0.1% -17.53B -5.60B -2.01B 1.86 18.68 482,472 895,409 3,574,946 8,605,680 2014-10-09 $1930.41 $0.00 4.6% 0.6% 15.5% 0.0% 0.0% 0.0% -0.4% -23.2K 15.0K -69 0.00 30.69 0 10 0 10 2014-10-10 $1924.92 $0.00 5.5% 0.7% 15.5% 6.7% 0.0% 0.0% -0.5% -1.4K 440 -3 0.00 28.33 0 10 0 10 2014-10-13 $1875.97 $0.00 7.9% 0.8% 17.7% 24.1% 0.0% -0.0% -0.6% -296.5K 437.8K -574 0.00 28.16 0 10 0 10 2014-10-14 $1887.14 $1950.00 18.9% 5.1% 17.5% 100.0% 18.5% 7.7% -0.7% -35.39B 254.74B -2.13B 2.51 17.51 352,987 884,475 3,826,347 9,137,110 2014-10-15 $1855.37 $1950.00 21.5% 5.6% 18.2% 100.0% 20.8% 8.8% -0.9% -36.06B 373.81B -2.14B 2.95 18.37 657,991 1,941,179 3,995,538 9,380,174 2014-10-16 $1856.19 $1950.00 21.5% 5.5% 17.9% 99.6% 20.8% 9.1% -1.2% -30.97B 356.93B -2.36B 2.14 16.33 613,015 1,310,754 4,774,075 9,727,869 2014-10-17 $1887.52 $1950.00 17.7% 4.9% 19.4% 77.4% 20.2% 9.0% -2.3% -18.21B 181.76B -2.38B 2.74 22.38 348,269 954,836 4,022,819 8,175,467 2014-10-20 $1904.36 $0.00 16.1% 4.8% 19.7% 67.8% 23.0% 6.1% -0.2% -18.99B 118.83B -2.07B 2.42 18.58 335,151 812,229 3,756,817 8,528,076 2014-10-21 $1937.68 $1975.00 9.8% 4.4% 20.8% 30.5% 18.2% 5.2% 10.7% -10.06B -12.41B -2.10B 2.33 16.93 448,332 1,042,935 3,846,237 8,777,333 2014-10-22 $1927.55 $1875.00 15.7% 4.7% 20.5% 65.7% 18.9% 10.0% -0.5% -13.29B 33.62B -2.19B 2.49 15.42 413,547 1,028,023 3,949,425 9,020,537 2014-10-23 $1948.62 $1925.00 14.4% 4.5% 20.3% 57.9% 18.7% 4.9% -0.5% -7.15B -43.17B -2.24B 1.63 16.75 516,584 844,580 4,048,002 9,392,301 2014-10-24 $1964.08 $1925.00 14.0% 4.5% 20.3% 55.4% 18.8% 7.5% -0.3% 5.47B -118.63B -2.17B 1.98 18.27 363,134 717,438 4,120,436 9,539,015 2014-10-27 $1960.03 $0.00 1.5% 0.4% 20.3% 0.0% 0.0% 0.0% -1.2% 417.0K -5.3M -4.0K 0.00 23.67 30 0 30 0 2014-10-28 $1983.36 $0.00 2.4% 0.7% 20.7% 4.1% 0.0% 0.0% -0.7% 79.5K -5.9M -549 0.00 31.24 30 0 30 0 2014-10-29 $1982.15 $1950.00 12.4% 4.1% 20.2% 54.1% 17.7% 4.9% 0.4% 1.51B -162.46B -2.11B 1.74 20.08 538,433 935,710 4,085,469 9,292,658 2014-10-30 $1994.31 $1950.00 12.2% 4.0% 20.2% 53.3% 17.8% 4.4% 0.4% 10.52B -223.97B -2.05B 2.27 21.52 341,450 773,709 4,197,486 9,497,362 2014-10-31 $2017.81 $1950.00 11.8% 4.0% 20.3% 51.4% 15.7% 3.7% 0.4% 22.87B -325.17B -2.00B 1.33 20.38 856,157 1,141,622 4,262,969 9,679,018
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