SPX Options History — December 2014

In December 2014, SPX traded between $1963.38 and $2091.61. ATM implied volatility averaged 13.4%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.8% (HV 20d: 11.6%). Max pain ranged from $2025.00 to $2050.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.14.

Notable Days

2014-12-18: Highest Volume — 1,773,088 contracts
2014-12-10: Largest IV spike — 30.1% change
2014-12-16: Highest IV Rank — 92.8%
2014-12-16: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2052.15	$1963.38	$2091.61	$2054.53	$2059.76
Max Pain	$2037.50	$2025.00	$2050.00	$2025.00	$2050.00
ATM IV	13.4%	9.7%	20.1%	11.6%	14.9%
Expected Move	4.0%	3.4%	5.5%	3.8%	4.2%
HV 20d	11.6%	5.1%	17.9%	5.2%	17.9%
HV 60d	14.7%	13.6%	16.2%	13.6%	15.7%
IV Rank	59.2%	40.9%	92.8%	50.4%	66.7%
IV Percentile	73.1%	20.6%	99.2%	63.9%	92.1%
Term Structure	-1.4%	-14.9%	0.8%	0.1%	-0.0%
VWIV	16.3%	12.6%	21.1%	18.2%	15.5%
Skew 25d	5.7%	3.5%	14.8%	4.2%	6.9%
Skew 10d	10.2%	6.5%	16.4%	7.7%	13.0%
Call IV 25d	10.7%	8.3%	14.4%	10.2%	12.4%
Put IV 25d	16.5%	12.0%	23.9%	14.4%	19.2%
Bid-Ask Spread %	24.45	9.20	32.90	23.33	9.20
Gamma HHI	0.05	0.04	0.08	0.04	0.08
Net GEX	5.66B	-30.68B	30.76B	5.95B	6.57B
Net DEX	-208.55B	-454.98B	108.81B	-282.10B	-106.14B
Net VEX	-2.04B	-2.19B	-1.87B	-2.00B	-2.14B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	1.48	2.95	2.91	1.48
Total Volume	1,176,842.045	772,286	1,773,088	994,101	968,086
Total OI	12,992,738.545	9,998,770	15,473,111	13,185,388	11,483,728

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
2014-12-01	$2054.53	$2025.00	11.6%	3.8%	5.2%	50.4%	18.2%	4.2%	0.1%	5.95B	-282.10B	-2.00B	2.91	23.33	254,452	739,649	4,393,885	8,791,503
2014-12-02	$2065.27	$2025.00	10.7%	3.6%	5.4%	45.9%	16.2%	3.9%	0.1%	12.49B	-354.30B	-1.92B	2.55	23.33	258,564	659,257	4,462,223	9,011,638
2014-12-03	$2074.98	$2025.00	10.2%	3.5%	5.3%	43.1%	16.1%	3.5%	0.6%	19.25B	-399.43B	-1.87B	1.87	25.68	349,708	653,737	4,507,695	9,168,935
2014-12-04	$2073.33	$2025.00	10.0%	3.4%	5.2%	42.5%	13.6%	3.5%	0.7%	23.20B	-454.98B	-1.97B	1.76	29.55	279,695	492,591	5,052,004	9,323,501
2014-12-05	$2072.67	$2025.00	9.7%	3.4%	5.1%	40.9%	14.2%	3.7%	0.8%	12.07B	-380.36B	-1.92B	2.33	28.40	442,111	1,030,547	4,668,067	9,513,066
2014-12-08	$2059.62	$2040.00	11.8%	3.7%	5.7%	51.1%	14.8%	4.4%	-10.0%	8.57B	-313.12B	-1.99B	2.34	26.90	329,175	770,059	4,521,469	9,025,027
2014-12-09	$2059.38	$2040.00	11.9%	3.7%	5.7%	51.7%	14.8%	4.8%	-10.2%	5.99B	-303.78B	-2.03B	2.10	27.01	338,798	709,805	4,644,858	9,325,653
2014-12-10	$2024.56	$2040.00	15.5%	4.4%	8.4%	69.7%	17.7%	6.3%	0.1%	-15.36B	-120.12B	-2.14B	2.20	20.58	345,916	759,460	4,717,051	9,514,077
2014-12-11	$2032.07	$2050.00	15.2%	4.6%	8.6%	68.5%	18.6%	6.9%	-14.9%	-13.04B	-150.59B	-2.18B	2.04	24.70	353,510	721,066	4,794,589	9,727,175
2014-12-12	$2004.07	$2050.00	17.9%	5.1%	9.8%	81.7%	19.4%	7.9%	-0.1%	-30.24B	-9.30B	-2.19B	2.56	17.07	434,083	1,109,555	4,851,043	9,900,145
2014-12-15	$1982.98	$2050.00	17.4%	5.0%	10.4%	79.2%	19.2%	6.0%	-0.3%	-30.68B	42.22B	-2.09B	2.56	18.40	407,036	1,040,473	4,727,909	9,548,144
2014-12-16	$1963.38	$2040.00	20.1%	5.5%	10.8%	92.8%	21.1%	14.8%	-0.3%	-30.46B	108.81B	-2.16B	2.55	18.94	365,422	932,467	4,803,660	9,848,844
2014-12-17	$1984.50	$2030.00	17.5%	5.0%	11.3%	80.1%	16.9%	9.3%	-0.2%	-21.33B	-59.63B	-2.06B	2.95	17.82	403,116	1,189,926	4,899,868	10,085,494
2014-12-18	$2057.30	$2030.00	13.9%	4.1%	17.5%	61.8%	16.6%	5.0%	-0.1%	12.04B	-362.75B	-2.05B	1.50	25.88	708,581	1,064,507	5,035,379	10,437,732
2014-12-19	$2071.99	$2030.00	13.1%	3.9%	17.6%	57.6%	15.4%	5.0%	0.1%	15.08B	-178.89B	-2.07B	1.70	28.50	557,587	946,019	3,334,299	6,664,471
2014-12-22	$2076.48	$2030.00	12.6%	3.8%	17.6%	55.2%	15.3%	4.7%	0.4%	17.79B	-184.19B	-2.03B	2.07	28.54	381,062	789,407	3,407,680	7,116,231
2014-12-23	$2083.74	$2030.00	12.0%	3.7%	17.6%	52.3%	15.2%	4.8%	0.4%	22.84B	-207.36B	-1.99B	2.47	28.36	333,660	822,493	3,448,672	7,241,595
2014-12-24	$2082.38	$2040.00	12.0%	3.7%	17.6%	52.4%	14.8%	4.9%	0.5%	21.91B	-204.88B	-2.03B	2.26	32.90	281,029	634,971	3,541,071	7,452,923
2014-12-26	$2089.92	$2050.00	11.9%	3.6%	17.6%	51.8%	12.6%	5.1%	0.6%	30.76B	-240.28B	-1.97B	1.54	26.90	477,143	736,114	3,593,106	7,559,022
2014-12-29	$2091.61	$2050.00	12.2%	3.6%	17.6%	53.4%	14.5%	5.0%	0.2%	28.19B	-223.04B	-2.00B	1.56	29.27	358,030	559,676	3,488,801	7,162,720
2014-12-30	$2082.68	$2050.00	12.4%	3.7%	17.5%	54.6%	16.8%	5.4%	0.2%	22.82B	-203.87B	-2.06B	1.81	26.60	321,281	580,701	3,715,513	7,329,782
2014-12-31	$2059.76	$2050.00	14.9%	4.2%	17.9%	66.7%	15.5%	6.9%	-0.0%	6.57B	-106.14B	-2.14B	1.48	9.20	390,798	577,288	3,814,266	7,669,462