SPX Options History — May 2015

In May 2015, SPX traded between $2076.64 and $2131.36. ATM implied volatility averaged 11.5%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.8% (HV 20d: 10.7%). Max pain ranged from $2055.00 to $2085.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.24.

Notable Days

  • 2015-05-15: Highest Volume — 1,523,506 contracts
  • 2015-05-08: Largest IV drop — 18.5% change
  • 2015-05-06: Highest IV Rank — 61.0%
  • 2015-05-06: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2111.55$2076.64$2131.36$2106.90$2109.92
Max Pain$2067.50$2055.00$2085.00$2085.00$2075.00
ATM IV11.5%10.5%13.7%11.1%11.9%
Expected Move3.4%3.0%4.0%3.1%3.4%
HV 20d10.7%9.3%11.8%9.4%10.8%
HV 60d11.3%10.9%11.6%11.1%11.6%
IV Rank49.8%44.6%61.0%48.0%51.9%
IV Percentile50.4%33.3%77.4%46.4%56.0%
Term Structure0.3%-0.1%0.6%0.4%-0.1%
VWIV12.7%11.2%15.1%11.3%12.9%
Skew 25d4.6%4.0%5.3%4.3%4.9%
Skew 10d8.4%7.3%9.4%7.5%9.2%
Call IV 25d9.6%8.3%11.4%9.2%9.9%
Put IV 25d14.2%12.8%16.5%13.5%14.9%
Bid-Ask Spread %27.6819.3347.0524.1622.41
Gamma HHI0.030.020.040.030.03
Net GEX4.61B-18.41B19.75B1.87B-7.18B
Net DEX-117.01B-199.14B27.60B-94.59B-89.14B
Net VEX-2.10B-2.20B-2.01B-2.14B-2.08B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.241.542.982.012.98
Total Volume1,074,873.4580,0291,523,5061,440,4831,305,331
Total OI11,754,681.5510,855,27412,600,08611,577,23312,259,349

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$2106.90$2085.0011.1%3.1%9.4%48.0%11.3%4.3%0.4%1.87B-94.59B-2.14B2.0124.16478,275962,2083,651,7077,925,526
2015-05-04$2114.49$2055.0011.1%3.4%9.3%47.6%13.2%4.5%0.2%8.45B-129.34B-2.11B2.3839.33188,339448,1163,607,6217,681,384
2015-05-05$2088.49$2060.0012.7%3.8%10.4%55.7%14.2%5.0%0.1%-9.31B-28.78B-2.17B2.3231.86328,590762,8693,672,7947,869,786
2015-05-06$2076.64$2060.0013.7%4.0%10.5%61.0%15.1%5.1%0.0%-18.41B27.60B-2.20B2.1134.86409,274865,3393,712,2038,047,879
2015-05-07$2088.31$2060.0013.3%3.9%10.6%58.7%14.5%5.3%-0.0%-10.18B-20.58B-2.20B2.1037.10380,078796,8783,783,7998,215,990
2015-05-08$2112.61$2060.0010.8%3.3%11.3%46.4%12.5%4.5%0.3%10.88B-135.62B-2.12B1.6647.05398,738661,1663,869,5178,437,398
2015-05-11$2101.63$2060.0012.0%3.6%11.3%52.3%13.7%4.8%0.6%449.4M-89.37B-2.12B1.9736.03227,239447,2283,721,8737,926,910
2015-05-12$2099.68$2060.0012.0%3.6%11.3%52.2%13.6%4.9%0.4%-2.18B-78.73B-2.15B2.7624.34288,567797,5673,790,7478,077,095
2015-05-13$2097.95$2060.0011.8%3.5%11.2%51.4%12.9%4.9%0.5%-3.04B-73.78B-2.13B2.5326.55268,941679,4943,816,8398,301,331
2015-05-14$2120.13$2060.0010.8%3.2%11.8%46.6%12.2%4.5%0.4%17.49B-170.09B-2.09B1.8022.81465,338837,0703,856,3268,431,713
2015-05-15$2122.13$2065.0010.5%3.1%10.8%44.6%12.2%4.5%0.6%15.72B-178.47B-2.10B2.3223.33459,5141,063,9923,951,4028,648,684
2015-05-18$2128.66$2070.0010.6%3.1%10.4%45.5%12.0%4.6%0.3%14.59B-179.89B-2.05B1.8519.87281,179520,7623,585,8667,269,408
2015-05-19$2127.47$2070.0011.0%3.2%10.3%47.1%11.9%4.4%0.3%13.82B-172.32B-2.08B1.5430.80228,105351,9243,691,1817,470,368
2015-05-20$2127.11$2075.0010.9%3.1%10.2%47.1%12.1%4.3%0.3%14.55B-173.38B-2.05B2.8620.74263,681752,8643,752,5967,596,216
2015-05-21$2131.36$2075.0010.5%3.0%10.2%44.7%11.3%4.0%0.4%19.75B-199.14B-2.03B2.3228.63324,668754,2033,840,4467,814,390
2015-05-22$2127.05$2075.0010.5%3.0%10.2%44.9%11.2%4.2%0.4%13.83B-180.18B-2.04B2.5022.38344,736863,1403,926,7027,971,954
2015-05-26$2103.90$2075.0012.3%3.5%10.8%53.5%12.7%4.9%-0.1%-5.68B-70.74B-2.08B2.1419.65364,296778,6883,792,6867,535,524
2015-05-27$2124.94$2075.0011.2%3.1%11.4%48.0%11.6%4.6%-0.1%10.32B-162.57B-2.01B1.9119.33362,918694,1993,841,9527,808,823
2015-05-28$2121.59$2075.0011.5%3.2%11.3%49.8%12.7%4.9%-0.1%6.36B-141.02B-2.07B2.6722.36297,265794,6893,921,9358,015,711
2015-05-29$2109.92$2075.0011.9%3.4%10.8%51.9%12.9%4.9%-0.1%-7.18B-89.14B-2.08B2.9822.41327,652977,6793,998,8948,260,455