SPX Options History — November 2014

In November 2014, SPX traded between $2010.80 and $2073.44. ATM implied volatility averaged 10.7%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.4% (HV 20d: 11.1%). Max pain ranged from $1950.00 to $2025.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.00.

Notable Days

  • 2014-11-21: Highest Volume — 1,754,199 contracts
  • 2014-11-24: Largest IV spike — 36.2% change
  • 2014-11-04: Highest IV Rank — 55.6%
  • 2014-11-04: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2043.38$2010.80$2073.44$2015.86$2068.34
Max Pain$1995.26$1950.00$2025.00$1950.00$2025.00
ATM IV10.7%7.1%12.7%12.6%10.6%
Expected Move3.7%3.4%4.0%4.0%3.6%
HV 20d11.1%5.7%20.2%20.2%5.7%
HV 60d13.5%13.4%13.6%13.6%13.5%
IV Rank45.8%27.7%55.6%55.1%45.2%
IV Percentile44.1%1.6%80.6%79.8%40.1%
Term Structure0.7%-0.3%7.7%0.3%0.3%
VWIV15.4%12.6%17.6%16.6%13.4%
Skew 25d4.1%3.4%7.0%4.4%4.1%
Skew 10d7.8%6.0%11.5%8.5%8.4%
Call IV 25d9.3%6.4%10.9%10.9%9.3%
Put IV 25d13.4%11.9%15.3%15.3%13.5%
Bid-Ask Spread %20.1111.1827.3420.6911.18
Gamma HHI0.050.040.050.040.05
Net GEX20.59B9.94B29.41B12.75B24.65B
Net DEX-380.42B-483.68B-257.25B-282.02B-452.88B
Net VEX-2.00B-2.14B-1.83B-2.05B-2.07B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.001.582.882.012.31
Total Volume1,044,624.421620,3551,754,1991,227,891752,214
Total OI14,142,764.36813,225,28815,594,90713,282,96414,241,104

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$2015.86$1950.0012.6%4.0%20.2%55.1%16.6%4.4%0.3%12.75B-282.02B-2.05B2.0120.69407,483820,4084,263,1189,019,846
2014-11-04$2010.80$1950.0012.7%4.0%19.4%55.6%17.1%4.5%0.3%9.94B-257.25B-2.09B2.0621.59308,438634,1064,344,4639,231,291
2014-11-05$2022.04$1950.0012.1%4.0%18.5%52.7%17.6%4.2%0.3%15.47B-314.60B-2.00B1.8220.32351,068638,0284,364,3319,361,508
2014-11-06$2030.44$1960.0011.5%3.9%16.7%49.9%15.8%4.2%0.3%23.18B-357.74B-1.99B1.7522.15441,508773,6694,445,3569,553,044
2014-11-07$2030.46$1975.0010.8%3.8%16.6%46.5%14.1%3.9%0.5%21.91B-360.11B-1.98B2.1322.86389,772828,5214,539,0109,765,442
2014-11-10$2035.89$2000.0010.5%3.6%12.8%44.7%15.4%3.8%0.8%19.97B-363.76B-1.83B2.0616.90313,999648,3304,272,0389,240,319
2014-11-11$2038.77$1975.0010.5%3.6%12.8%44.6%15.2%3.4%0.7%19.46B-343.42B-1.92B2.0620.02301,720621,7014,243,6979,123,759
2014-11-12$2038.44$2000.0010.5%3.6%10.4%44.6%16.4%3.7%0.8%18.28B-346.13B-2.00B1.8419.60381,228702,1294,447,3449,551,805
2014-11-13$2038.44$2000.0010.8%3.6%10.4%46.2%13.5%4.0%0.7%18.44B-347.80B-2.01B1.9019.26442,567841,7264,554,0319,732,559
2014-11-14$2041.41$2000.0010.6%3.6%9.4%45.3%16.6%4.0%0.8%28.77B-437.96B-2.14B1.7312.57316,192546,9865,190,0809,966,253
2014-11-17$2033.41$2000.0011.4%3.7%9.6%49.4%14.6%4.0%-0.2%13.51B-323.89B-2.00B1.9420.11352,007681,2094,528,2549,643,214
2014-11-18$2047.23$2000.0011.3%3.6%8.2%48.7%16.9%7.0%-0.3%20.51B-395.91B-1.95B1.7921.95429,745767,1994,619,4589,850,494
2014-11-19$2048.66$2000.0011.2%3.6%7.7%48.2%15.1%4.1%-0.2%24.93B-459.80B-2.09B1.7914.90314,800564,3945,254,24310,094,759
2014-11-20$2051.69$2025.0010.8%3.6%7.1%46.4%17.4%3.9%-0.2%17.87B-396.85B-1.97B2.8820.04325,711938,7544,794,32610,358,786
2014-11-21$2061.96$2025.007.1%3.5%6.9%27.7%17.2%4.1%7.7%26.52B-459.35B-1.96B2.1021.92565,5861,188,6134,962,71210,632,195
2014-11-24$2068.46$2025.009.6%3.4%6.7%40.5%14.3%3.6%0.1%25.33B-455.64B-1.97B1.6825.33231,246389,1094,777,1358,638,327
2014-11-25$2068.40$2025.009.6%3.4%5.8%40.1%12.6%3.5%0.2%20.23B-389.14B-1.92B2.5323.31274,866695,5234,429,1298,796,159
2014-11-26$2073.44$2025.009.3%3.4%5.7%38.9%13.1%3.6%0.3%29.41B-483.68B-1.98B1.5827.34258,151409,1584,937,1718,945,763
2014-11-28$2068.34$2025.0010.6%3.6%5.7%45.2%13.4%4.1%0.3%24.65B-452.88B-2.07B2.3111.18227,338524,8765,060,8689,180,236