SPX Options History — February 2015

In February 2015, SPX traded between $2021.57 and $2114.64. ATM implied volatility averaged 13.2%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.4% (HV 20d: 14.6%). Max pain ranged from $2005.00 to $2025.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.07.

Notable Days

  • 2015-02-06: Highest Volume — 1,713,648 contracts
  • 2015-02-12: Largest IV drop — 13.4% change
  • 2015-02-02: Highest IV Rank — 74.4%
  • 2015-02-02: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2080.89$2021.57$2114.64$2021.57$2104.90
Max Pain$2017.37$2005.00$2025.00$2025.00$2025.00
ATM IV13.2%11.0%16.4%16.4%11.1%
Expected Move3.8%3.0%4.7%4.7%3.0%
HV 20d14.6%10.9%17.7%17.7%10.9%
HV 60d15.2%14.7%15.4%14.7%15.3%
IV Rank58.3%47.3%74.4%74.4%48.0%
IV Percentile70.7%42.9%92.5%92.5%44.0%
Term Structure0.2%-0.1%0.8%0.0%0.1%
VWIV14.7%11.8%18.5%18.5%11.8%
Skew 25d5.3%4.0%7.0%7.0%4.2%
Skew 10d10.6%8.3%13.6%13.6%8.5%
Call IV 25d11.1%9.4%13.4%13.4%9.5%
Put IV 25d16.3%13.5%20.4%20.4%13.6%
Bid-Ask Spread %27.7721.3140.7829.9825.15
Gamma HHI0.040.030.080.030.05
Net GEX12.87B-8.35B25.17B-8.35B17.04B
Net DEX-176.02B-273.51B21.19B21.19B-236.02B
Net VEX-2.15B-2.28B-2.02B-2.24B-2.07B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.071.462.561.632.21
Total Volume1,071,265.947835,1511,713,648835,1511,261,912
Total OI11,704,513.68410,710,14012,875,59410,714,48112,315,933

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$2021.57$2025.0016.4%4.7%17.7%74.4%18.5%7.0%0.0%-8.35B21.19B-2.24B1.6329.98317,812517,3393,494,1647,220,317
2015-02-03$2047.46$2025.0014.5%4.0%17.1%65.1%15.2%6.0%0.2%1.75B-69.78B-2.20B2.0132.93374,118751,1363,561,5067,387,800
2015-02-04$2037.94$2025.0015.0%4.2%16.7%67.1%16.5%6.5%0.2%-2.43B-35.04B-2.23B2.2633.92268,918607,7603,628,9227,560,486
2015-02-05$2061.50$2005.0014.1%4.2%16.6%62.8%15.7%5.8%0.1%7.88B-117.78B-2.20B1.8725.04360,379675,4993,661,4747,733,181
2015-02-06$2053.80$2005.0015.2%4.4%15.6%68.2%16.9%6.1%0.1%2.14B-86.16B-2.26B1.8926.57592,9181,120,7303,745,0507,946,528
2015-02-09$2045.48$2005.0015.6%4.5%15.4%70.2%17.3%6.4%0.2%-2.48B-49.58B-2.28B2.0623.15328,738678,3853,703,3037,711,107
2015-02-10$2067.37$2010.0014.2%4.2%15.4%63.4%16.0%5.8%0.4%7.39B-133.67B-2.24B2.1926.04283,991621,5163,784,3688,000,119
2015-02-11$2065.74$2010.0014.4%4.2%15.1%64.2%15.8%5.9%0.3%6.87B-129.76B-2.25B2.2226.08292,687649,9623,841,7558,112,087
2015-02-12$2087.60$2010.0012.4%3.7%15.4%54.5%14.9%4.8%0.6%20.61B-221.54B-2.16B1.9527.09387,806755,0403,903,1508,251,678
2015-02-13$2096.25$2010.0012.2%3.7%14.9%53.4%14.8%4.5%0.8%25.17B-256.26B-2.13B2.2829.80402,493917,0663,999,1618,454,924
2015-02-17$2096.46$2015.0013.1%3.8%14.4%57.9%15.7%5.2%0.2%21.23B-242.19B-2.09B2.0730.13315,394652,5253,880,6988,163,157
2015-02-18$2096.87$2015.0013.0%3.7%14.4%57.2%14.3%5.5%0.2%21.50B-243.27B-2.07B2.4527.15384,853944,4863,932,8278,332,346
2015-02-19$2098.21$2020.0012.3%3.5%14.3%53.8%13.9%5.1%0.4%20.32B-244.75B-2.10B1.4621.59409,052596,9294,046,5488,829,046
2015-02-20$2108.86$2025.0011.7%3.3%13.7%50.5%13.1%4.0%0.5%17.17B-246.61B-2.08B1.7840.78330,179586,4253,514,7067,195,434
2015-02-23$2106.76$2025.0012.1%3.4%13.5%52.7%12.4%4.7%0.0%19.31B-248.89B-2.03B1.9128.67304,503582,2443,653,3977,520,009
2015-02-24$2114.64$2025.0011.1%3.1%13.5%48.0%12.1%4.2%-0.1%24.73B-273.51B-2.02B2.5626.36297,484761,1743,712,8967,706,496
2015-02-25$2113.97$2025.0011.0%3.0%12.6%47.3%12.1%4.1%0.0%23.01B-271.55B-2.04B2.2325.87337,053752,8503,782,9117,973,348
2015-02-26$2111.54$2025.0011.3%3.1%10.9%49.0%11.8%4.1%-0.1%21.74B-259.22B-2.07B2.2721.31284,997647,7003,866,7768,258,152
2015-02-27$2104.90$2025.0011.1%3.0%10.9%48.0%11.8%4.2%0.1%17.04B-236.02B-2.07B2.2125.15393,373868,5393,910,3508,405,583