SPX Options History — June 2015 In June 2015, SPX traded between $2059.94 and $2124.51. ATM implied volatility averaged 12.5%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.1% (HV 20d: 9.5%). Max pain ranged from $2075.00 to $2100.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.31.
Notable Days 2015-06-29 : Highest Volume — 1,760,138 contracts2015-06-29 : Largest IV spike — 32.9% change2015-06-29 : Highest IV Rank — 74.4%2015-06-29 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $2099.73 $2059.94 $2124.51 $2111.10 $2067.37 Max Pain $2096.59 $2075.00 $2100.00 $2075.00 $2100.00 ATM IV 12.5% 10.3% 16.4% 12.1% 15.6% Expected Move 3.6% 2.9% 5.0% 3.5% 4.8% HV 20d 9.5% 8.3% 11.4% 10.1% 11.4% HV 60d 10.3% 9.4% 11.6% 11.6% 10.2% IV Rank 55.1% 44.0% 74.4% 52.9% 70.4% IV Percentile 60.4% 23.8% 92.9% 59.9% 90.5% Term Structure 0.1% -0.2% 0.3% 0.1% -0.1% VWIV 14.2% 12.1% 22.0% 12.8% 17.6% Skew 25d 5.0% 4.3% 6.9% 5.1% 6.6% Skew 10d 9.2% 7.9% 13.6% 9.4% 12.7% Call IV 25d 10.3% 8.7% 13.2% 9.9% 12.5% Put IV 25d 15.4% 13.0% 20.1% 14.9% 19.1% Bid-Ask Spread % 34.49 19.26 46.76 20.59 40.40 Gamma HHI 0.03 0.02 0.04 0.03 0.03 Net GEX -7.82B -28.50B 14.60B -2.93B -24.65B Net DEX -48.16B -215.36B 138.45B -100.58B 116.99B Net VEX -2.01B -2.10B -1.91B -2.04B -2.10B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.31 1.63 3.29 2.30 2.06 Total Volume 1,241,526.591 683,882 1,760,138 937,936 1,492,529 Total OI 12,101,445.545 10,072,468 13,963,253 11,541,787 11,205,693
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 2015-06-01 $2111.10 $2075.00 12.1% 3.5% 10.1% 52.9% 12.8% 5.1% 0.1% -2.93B -100.58B -2.04B 2.30 20.59 284,558 653,378 3,761,870 7,779,917 2015-06-02 $2108.35 $2075.00 12.3% 3.5% 10.1% 53.8% 13.0% 5.0% -0.1% -5.56B -86.98B -2.05B 2.43 20.76 199,182 484,700 3,866,645 7,987,537 2015-06-03 $2114.25 $2075.00 11.8% 3.4% 9.0% 51.5% 12.5% 5.0% -0.1% -1.80B -114.30B -2.05B 2.44 19.26 279,334 681,318 3,916,250 8,179,570 2015-06-04 $2094.17 $2100.00 13.3% 3.8% 9.4% 58.9% 14.5% 5.3% -0.2% -15.80B -16.87B -2.10B 3.29 36.67 347,148 1,141,906 3,976,566 8,333,843 2015-06-05 $2093.60 $2100.00 12.6% 3.6% 9.2% 55.3% 14.0% 4.9% -0.1% -20.43B -13.69B -2.09B 2.48 44.32 423,414 1,050,828 4,033,225 8,781,743 2015-06-08 $2080.68 $2100.00 13.6% 3.9% 8.4% 60.1% 14.6% 5.0% 0.1% -20.47B 24.25B -2.06B 2.23 40.23 357,023 797,594 3,881,748 8,327,503 2015-06-09 $2079.02 $2100.00 13.1% 3.8% 8.3% 57.7% 15.3% 4.7% 0.0% -21.53B 29.98B -2.07B 2.26 41.71 328,897 743,665 3,970,450 8,626,186 2015-06-10 $2105.67 $2100.00 11.7% 3.5% 9.5% 51.0% 13.8% 4.4% 0.3% -1.67B -104.53B -1.99B 2.58 44.87 343,337 885,669 4,060,073 8,825,786 2015-06-11 $2107.21 $2100.00 11.4% 3.3% 9.5% 49.3% 13.0% 4.5% 0.2% 491.6M -120.37B -1.97B 2.62 44.13 296,265 777,407 4,156,469 8,981,025 2015-06-12 $2095.01 $2100.00 12.1% 3.5% 8.9% 52.9% 13.5% 4.7% 0.1% -16.71B -42.52B -2.01B 2.30 46.76 441,016 1,014,629 4,224,106 9,121,652 2015-06-15 $2084.82 $2100.00 13.6% 3.9% 9.0% 60.5% 15.7% 5.4% 0.1% -15.51B 3.18B -2.00B 2.04 29.80 360,652 736,009 4,098,586 8,610,072 2015-06-16 $2095.48 $2100.00 13.1% 3.8% 9.2% 58.0% 14.7% 5.3% 0.1% -9.41B -54.11B -2.00B 1.95 38.40 365,242 710,772 4,170,634 8,782,667 2015-06-17 $2100.68 $2100.00 12.7% 3.6% 9.2% 55.7% 14.3% 4.8% 0.2% -5.77B -92.45B -1.98B 2.33 36.77 356,525 832,039 4,243,539 8,948,275 2015-06-18 $2120.92 $2100.00 11.5% 3.3% 9.9% 49.8% 13.6% 4.6% 0.2% 14.60B -215.36B -1.92B 1.63 42.35 630,964 1,027,871 4,337,855 9,226,132 2015-06-19 $2112.89 $2100.00 11.7% 3.3% 10.0% 50.9% 12.7% 5.0% 0.2% 10.78B -205.93B -1.97B 1.90 31.63 569,577 1,081,671 4,487,662 9,475,591 2015-06-22 $2124.05 $2100.00 10.8% 3.0% 10.2% 46.3% 12.1% 4.6% 0.2% 8.96B -80.40B -1.91B 2.24 30.27 347,696 780,457 3,143,378 6,929,090 2015-06-23 $2124.51 $2100.00 10.3% 2.9% 9.3% 44.0% 12.2% 4.3% 0.3% 9.41B -83.22B -1.92B 2.39 25.67 306,754 733,461 3,264,024 7,161,012 2015-06-24 $2110.49 $2100.00 11.4% 3.3% 8.9% 49.5% 12.5% 4.5% 0.1% -3.06B -34.81B -1.95B 2.30 28.25 359,248 825,722 3,324,198 7,291,441 2015-06-25 $2102.21 $2100.00 12.4% 3.6% 9.0% 54.2% 14.1% 5.0% -0.1% -10.35B -6.64B -1.98B 2.34 28.85 327,897 767,484 3,384,389 7,526,597 2015-06-26 $2101.59 $2100.00 12.3% 3.6% 8.8% 54.0% 13.2% 5.3% 0.0% -12.04B 508.1M -2.01B 2.19 26.59 442,333 967,276 3,480,066 7,765,828 2015-06-29 $2059.94 $2100.00 16.4% 5.0% 11.3% 74.4% 22.0% 6.9% -0.2% -28.50B 138.45B -2.08B 2.59 40.54 489,771 1,270,367 3,336,378 7,246,531 2015-06-30 $2067.37 $2100.00 15.6% 4.8% 11.4% 70.4% 17.6% 6.6% -0.1% -24.65B 116.99B -2.10B 2.06 40.40 487,474 1,005,055 3,469,016 7,736,677
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