SPX Options History — January 2015

In January 2015, SPX traded between $1993.00 and $2061.89. ATM implied volatility averaged 16.1%, placing in the 73.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.6% (HV 20d: 17.7%). Max pain ranged from $2025.00 to $2050.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.11.

Notable Days

2015-01-23: Highest Volume — 1,426,114 contracts
2015-01-05: Largest IV spike — 17.4% change
2015-01-15: Highest IV Rank — 89.7%
2015-01-30: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2028.25	$1993.00	$2061.89	$2060.40	$1995.59
Max Pain	$2037.00	$2025.00	$2050.00	$2050.00	$2025.00
ATM IV	16.1%	12.8%	19.5%	13.9%	18.6%
Expected Move	4.5%	3.6%	5.4%	4.0%	5.4%
HV 20d	17.7%	14.2%	20.7%	17.8%	17.0%
HV 60d	14.3%	13.7%	15.4%	15.3%	14.4%
IV Rank	73.0%	56.2%	89.7%	62.0%	85.3%
IV Percentile	91.6%	73.8%	98.8%	86.9%	98.0%
Term Structure	-0.2%	-1.1%	0.4%	0.2%	-0.2%
VWIV	17.7%	14.6%	20.0%	17.3%	19.7%
Skew 25d	6.6%	5.1%	7.6%	6.5%	7.3%
Skew 10d	13.0%	9.2%	15.3%	14.0%	14.7%
Call IV 25d	13.4%	10.9%	16.5%	11.3%	15.6%
Put IV 25d	20.0%	16.1%	24.1%	17.8%	22.9%
Bid-Ask Spread %	28.74	23.05	34.94	27.60	31.39
Gamma HHI	0.03	0.03	0.05	0.03	0.03
Net GEX	-7.11B	-17.89B	7.86B	766.3M	-16.50B
Net DEX	1.15B	-113.67B	123.57B	-85.41B	123.57B
Net VEX	-2.19B	-2.31B	-2.11B	-2.11B	-2.31B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	1.59	2.63	2.53	2.49
Total Volume	1,104,741.1	627,267	1,426,114	1,355,009	1,360,946
Total OI	10,635,676.5	9,110,738	11,828,468	10,233,980	11,279,801

Daily Data (20 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
2015-01-02	$2060.40	$2050.00	13.9%	4.0%	17.8%	62.0%	17.3%	6.5%	0.2%	766.3M	-85.41B	-2.11B	2.53	27.60	383,438	971,571	3,268,599	6,965,381
2015-01-05	$2022.69	$2050.00	16.4%	4.5%	18.9%	74.2%	18.3%	7.5%	-0.1%	-12.32B	20.61B	-2.13B	2.19	26.38	376,985	826,041	3,331,176	6,946,273
2015-01-06	$2001.10	$2050.00	17.9%	4.9%	19.2%	81.8%	17.8%	7.5%	-0.2%	-17.38B	85.99B	-2.14B	1.92	23.05	393,452	754,945	3,445,443	7,145,259
2015-01-07	$2026.26	$2050.00	16.3%	4.5%	19.8%	74.0%	16.4%	6.6%	-0.1%	-10.04B	-96.7M	-2.17B	1.59	24.28	373,175	593,878	3,511,187	7,370,181
2015-01-08	$2060.27	$2050.00	14.4%	4.1%	20.7%	64.3%	16.1%	5.9%	0.0%	3.92B	-106.89B	-2.14B	2.02	28.06	435,201	877,944	3,468,450	7,512,766
2015-01-09	$2046.46	$2050.00	14.8%	4.2%	19.9%	66.1%	17.0%	6.3%	0.2%	-5.60B	-52.01B	-2.16B	2.38	30.88	377,926	898,321	3,568,569	7,688,755
2015-01-12	$2026.34	$2050.00	16.6%	4.7%	20.2%	75.5%	18.9%	6.9%	-0.3%	-9.72B	-639.7M	-2.18B	2.63	26.98	234,488	617,327	3,485,049	7,363,399
2015-01-13	$2010.88	$2050.00	17.9%	5.0%	19.7%	82.0%	19.1%	7.5%	-0.6%	-14.46B	38.64B	-2.20B	2.07	29.77	342,366	710,368	3,527,853	7,538,213
2015-01-14	$2011.46	$2050.00	18.5%	5.1%	19.3%	84.8%	18.9%	7.3%	-0.8%	-11.78B	50.17B	-2.23B	2.20	28.69	394,974	870,245	3,755,199	7,711,540
2015-01-15	$1993.00	$2040.00	19.5%	5.3%	19.3%	89.7%	20.0%	7.6%	-1.1%	-17.89B	119.53B	-2.23B	1.96	25.82	442,016	866,616	3,860,094	7,968,374
2015-01-16	$2019.02	$2025.00	17.6%	4.9%	19.4%	80.4%	18.9%	7.3%	-1.0%	-6.52B	28.68B	-2.26B	2.15	24.51	366,832	789,481	3,059,379	6,051,359
2015-01-20	$2023.48	$2025.00	16.8%	4.8%	14.4%	76.2%	18.8%	6.7%	0.2%	-5.65B	12.74B	-2.22B	2.03	32.21	213,535	434,068	3,263,228	6,476,247
2015-01-21	$2033.52	$2025.00	15.5%	4.5%	14.2%	70.0%	18.1%	6.3%	0.1%	-3.17B	-17.53B	-2.22B	2.03	25.93	298,892	605,587	3,320,371	6,690,947
2015-01-22	$2061.89	$2025.00	13.6%	3.9%	15.1%	60.3%	15.7%	5.4%	0.3%	7.86B	-113.67B	-2.17B	2.26	33.51	367,622	830,463	3,408,621	6,937,664
2015-01-23	$2052.19	$2025.00	13.8%	3.9%	15.2%	61.1%	15.5%	5.3%	0.4%	4.13B	-82.90B	-2.20B	2.23	34.94	440,934	985,180	3,497,950	7,128,725
2015-01-26	$2060.10	$2025.00	12.8%	3.6%	15.2%	56.2%	14.6%	5.1%	0.2%	3.34B	-99.74B	-2.14B	1.80	31.04	224,307	402,960	3,373,198	6,831,086
2015-01-27	$2034.88	$2025.00	14.8%	4.2%	15.7%	66.4%	17.1%	5.8%	-0.0%	-5.75B	-17.52B	-2.18B	1.85	33.64	248,562	460,497	3,438,756	6,981,919
2015-01-28	$2004.27	$2025.00	17.1%	4.9%	16.4%	78.0%	17.7%	6.6%	-0.1%	-14.81B	83.92B	-2.24B	1.92	24.71	333,532	641,308	3,503,221	7,130,711
2015-01-29	$2021.23	$2025.00	16.1%	4.6%	16.8%	72.7%	18.5%	6.2%	-0.1%	-10.68B	35.59B	-2.24B	2.01	31.43	448,672	900,167	3,580,896	7,327,691
2015-01-30	$1995.59	$2025.00	18.6%	5.4%	17.0%	85.3%	19.7%	7.3%	-0.2%	-16.50B	123.57B	-2.31B	2.49	31.39	389,771	971,175	3,698,659	7,581,142