SPX Options History — April 2015 In April 2015, SPX traded between $2058.37 and $2117.83. ATM implied volatility averaged 11.8%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.6% (HV 20d: 11.2%). Max pain ranged from $2075.00 to $2085.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.13.
Notable Days 2015-04-17 : Highest Volume — 1,720,228 contracts2015-04-30 : Largest IV spike — 13.6% change2015-04-01 : Highest IV Rank — 61.5%2015-04-01 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $2094.74 $2058.37 $2117.83 $2058.37 $2084.21 Max Pain $2080.00 $2075.00 $2085.00 $2075.00 $2085.00 ATM IV 11.8% 10.3% 13.8% 13.8% 12.9% Expected Move 3.4% 2.9% 3.9% 3.9% 3.8% HV 20d 11.2% 8.1% 14.9% 14.8% 8.8% HV 60d 12.4% 10.9% 13.7% 13.7% 10.9% IV Rank 51.1% 43.6% 61.5% 61.5% 57.0% IV Percentile 54.5% 31.0% 77.4% 77.4% 71.4% Term Structure 0.2% -0.0% 0.4% 0.2% 0.2% VWIV 13.5% 11.5% 15.3% 15.2% 15.3% Skew 25d 4.6% 4.1% 5.1% 5.1% 5.0% Skew 10d 8.2% 7.3% 9.1% 9.1% 9.1% Call IV 25d 9.9% 8.8% 11.6% 11.6% 10.9% Put IV 25d 14.5% 12.9% 16.7% 16.7% 15.9% Bid-Ask Spread % 32.92 21.21 49.15 21.21 24.37 Gamma HHI 0.03 0.03 0.06 0.03 0.03 Net GEX 2.00B -15.42B 14.89B -15.21B -15.42B Net DEX -81.96B -152.55B 35.58B 35.58B 4.12B Net VEX -2.09B -2.22B -2.01B -2.11B -2.22B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.13 1.83 2.43 2.43 2.12 Total Volume 1,092,057.905 563,637 1,720,228 1,114,574 1,302,924 Total OI 10,969,990.619 10,240,734 11,924,585 10,389,437 11,614,377
Daily Data (21 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 2015-04-01 $2058.37 $2075.00 13.8% 3.9% 14.8% 61.5% 15.2% 5.1% 0.2% -15.21B 35.58B -2.11B 2.43 21.21 325,103 789,471 3,169,039 7,220,398 2015-04-02 $2069.04 $2075.00 12.9% 3.8% 14.9% 56.9% 14.6% 5.0% 0.3% -9.68B -5.84B -2.09B 2.29 41.27 330,345 756,990 3,260,955 7,458,572 2015-04-06 $2081.65 $2075.00 13.2% 3.8% 14.1% 58.4% 15.1% 5.1% -0.0% -2.88B -50.73B -2.05B 2.25 42.97 277,158 622,475 3,185,171 7,183,495 2015-04-07 $2076.31 $2075.00 13.3% 3.8% 14.0% 58.6% 14.9% 5.1% -0.0% -5.89B -34.65B -2.06B 1.99 35.61 333,058 662,756 3,267,334 7,308,562 2015-04-08 $2082.95 $2075.00 12.2% 3.5% 12.5% 53.5% 15.3% 5.0% 0.1% -3.30B -52.51B -2.06B 2.17 26.67 178,080 385,557 3,343,905 7,467,576 2015-04-09 $2090.87 $2075.00 11.6% 3.4% 12.5% 50.3% 13.8% 4.5% 0.3% 2.98B -86.88B -2.03B 2.23 37.69 316,051 706,203 3,396,905 7,617,599 2015-04-10 $2101.52 $2075.00 11.0% 3.2% 11.8% 47.3% 13.7% 4.2% 0.3% 14.89B -130.25B -2.01B 2.42 41.78 371,554 899,591 3,460,794 7,796,483 2015-04-13 $2093.07 $2075.00 12.3% 3.6% 11.6% 53.8% 14.5% 4.5% 0.2% 3.47B -91.71B -2.06B 1.91 32.87 340,464 649,289 3,372,339 7,461,467 2015-04-14 $2094.27 $2075.00 12.1% 3.5% 10.8% 52.6% 13.2% 4.5% 0.2% 3.46B -96.51B -2.04B 2.08 45.04 316,344 658,907 3,440,968 7,620,303 2015-04-15 $2105.94 $2075.00 11.2% 3.2% 11.0% 48.2% 12.3% 4.2% 0.3% 13.34B -142.51B -2.03B 1.83 30.56 459,761 839,276 3,506,954 7,791,727 2015-04-16 $2106.21 $2080.00 11.0% 3.1% 10.0% 47.2% 11.7% 4.2% 0.4% 11.77B -141.47B -2.06B 2.27 49.15 355,915 808,465 3,625,387 8,046,617 2015-04-17 $2080.44 $2085.00 12.3% 3.5% 10.8% 53.7% 15.3% 4.9% 0.3% -9.17B -27.11B -2.13B 2.31 40.23 520,045 1,200,183 3,693,562 8,231,023 2015-04-20 $2100.42 $2085.00 11.2% 3.2% 11.0% 48.3% 12.2% 4.8% -0.0% 3.39B -92.73B -2.07B 2.27 34.84 264,027 598,858 3,281,089 6,959,645 2015-04-21 $2098.06 $2085.00 11.2% 3.1% 11.0% 48.4% 13.5% 4.6% 0.0% 2.18B -86.51B -2.07B 1.95 31.79 331,886 646,835 3,352,183 7,077,872 2015-04-22 $2107.83 $2085.00 10.7% 3.0% 10.9% 45.5% 12.3% 4.4% 0.1% 7.62B -115.81B -2.09B 2.08 27.08 306,753 639,134 3,422,860 7,230,206 2015-04-23 $2113.60 $2085.00 10.5% 3.0% 9.4% 44.9% 12.0% 4.2% 0.1% 12.44B -138.66B -2.12B 2.33 28.71 344,988 805,117 3,478,007 7,399,647 2015-04-24 $2117.83 $2085.00 10.3% 2.9% 9.3% 43.6% 11.5% 4.1% 0.2% 14.03B -152.55B -2.11B 1.86 27.07 475,583 884,782 3,555,947 7,620,049 2015-04-27 $2107.59 $2085.00 11.3% 3.2% 9.5% 48.8% 13.3% 4.4% 0.3% 4.80B -101.77B -2.16B 2.19 23.10 369,646 809,124 3,494,597 7,411,533 2015-04-28 $2112.97 $2085.00 10.8% 3.0% 8.6% 46.2% 11.6% 4.2% 0.4% 7.42B -120.36B -2.13B 1.87 23.91 330,987 617,538 3,561,216 7,620,785 2015-04-29 $2106.44 $2085.00 11.4% 3.3% 8.1% 49.2% 12.4% 4.6% 0.3% 1.70B -92.28B -2.16B 1.93 25.39 376,428 725,565 3,634,669 7,727,986 2015-04-30 $2084.21 $2085.00 12.9% 3.8% 8.8% 57.0% 15.3% 5.0% 0.2% -15.42B 4.12B -2.22B 2.12 24.37 417,935 884,989 3,682,365 7,932,012
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