SPX Options History — July 2015

In July 2015, SPX traded between $2049.69 and $2127.66. ATM implied volatility averaged 12.3%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.3% (HV 20d: 12.0%). Max pain ranged from $2090.00 to $2100.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.31.

Notable Days

2015-07-16: Highest Volume — 1,830,777 contracts
2015-07-28: Largest IV drop — 19.6% change
2015-07-08: Highest IV Rank — 77.9%
2015-07-08: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2094.56	$2049.69	$2127.66	$2077.05	$2103.94
Max Pain	$2098.41	$2090.00	$2100.00	$2100.00	$2100.00
ATM IV	12.3%	9.8%	17.1%	14.3%	10.2%
Expected Move	3.5%	2.8%	4.8%	4.4%	2.8%
HV 20d	12.0%	11.0%	12.8%	11.5%	11.8%
HV 60d	10.7%	10.2%	11.1%	10.2%	10.6%
IV Rank	54.0%	41.2%	77.9%	64.0%	43.1%
IV Percentile	47.7%	11.1%	94.0%	82.5%	13.9%
Term Structure	0.1%	-0.3%	0.7%	-0.0%	0.7%
VWIV	13.9%	11.3%	18.5%	16.2%	11.4%
Skew 25d	5.1%	4.0%	6.9%	5.9%	4.0%
Skew 10d	9.5%	7.4%	13.1%	10.8%	7.6%
Call IV 25d	10.2%	8.2%	14.0%	11.5%	8.6%
Put IV 25d	15.3%	12.2%	20.9%	17.4%	12.7%
Bid-Ask Spread %	30.69	24.64	38.46	32.44	28.65
Gamma HHI	0.03	0.02	0.05	0.03	0.03
Net GEX	-3.56B	-28.14B	26.92B	-18.01B	-1.02B
Net DEX	-23.30B	-176.28B	143.10B	62.71B	-60.43B
Net VEX	-2.02B	-2.15B	-1.94B	-2.06B	-1.98B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	1.76	3.04	2.28	2.73
Total Volume	1,332,066.909	1,029,716	1,830,777	1,320,663	1,315,134
Total OI	11,659,612.364	10,599,456	12,845,182	10,928,925	12,420,993

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
2015-07-01	$2077.05	$2100.00	14.3%	4.4%	11.5%	64.0%	16.2%	5.9%	-0.0%	-18.01B	62.71B	-2.06B	2.28	32.44	402,618	918,045	3,423,389	7,505,536
2015-07-02	$2078.14	$2100.00	14.8%	4.5%	11.0%	66.2%	17.6%	6.7%	-0.0%	-17.37B	59.62B	-2.12B	2.60	26.04	369,568	960,074	3,537,528	7,811,304
2015-07-06	$2067.64	$2100.00	15.4%	4.3%	11.2%	69.3%	16.9%	6.4%	-0.1%	-18.69B	79.45B	-2.05B	2.23	24.95	357,236	796,261	3,399,757	7,402,905
2015-07-07	$2080.50	$2100.00	14.4%	4.1%	11.2%	64.3%	15.6%	6.0%	0.0%	-12.12B	32.04B	-2.04B	1.94	28.06	483,633	936,168	3,503,475	7,638,219
2015-07-08	$2049.69	$2100.00	17.1%	4.8%	12.4%	77.9%	18.5%	6.9%	-0.3%	-25.68B	143.10B	-2.12B	3.04	30.72	313,539	952,783	3,643,363	7,902,000
2015-07-09	$2055.44	$2100.00	16.9%	4.7%	11.4%	76.9%	18.2%	6.9%	-0.2%	-22.76B	118.95B	-2.15B	2.67	31.34	358,778	957,899	3,721,554	8,221,461
2015-07-10	$2078.48	$2100.00	14.5%	4.1%	12.2%	64.9%	15.7%	6.0%	-0.0%	-6.50B	25.30B	-2.09B	2.34	30.44	478,453	1,118,999	3,831,141	8,545,736
2015-07-13	$2100.37	$2090.00	12.0%	3.5%	12.7%	52.6%	14.3%	5.0%	0.1%	2.63B	-59.38B	-1.97B	2.76	34.09	402,532	1,109,891	3,656,053	7,930,695
2015-07-14	$2109.63	$2090.00	11.3%	3.3%	12.6%	48.6%	13.4%	4.7%	0.3%	10.01B	-94.42B	-1.94B	2.25	30.76	396,819	894,616	3,745,973	8,080,721
2015-07-15	$2107.31	$2090.00	11.7%	3.4%	12.5%	50.7%	13.1%	5.1%	0.0%	8.16B	-84.66B	-2.00B	2.22	29.35	405,363	898,424	3,861,888	8,288,964
2015-07-16	$2124.19	$2095.00	10.0%	2.9%	12.8%	42.4%	11.7%	4.5%	0.2%	24.96B	-169.62B	-1.95B	1.76	36.65	662,289	1,168,488	3,924,796	8,468,308
2015-07-17	$2126.85	$2100.00	9.8%	2.9%	12.4%	41.2%	11.7%	4.0%	0.3%	26.92B	-176.28B	-1.96B	2.15	31.40	546,047	1,172,966	4,067,390	8,777,792
2015-07-20	$2127.66	$2100.00	10.0%	2.9%	12.3%	42.1%	11.5%	4.2%	0.4%	18.03B	-139.12B	-1.96B	2.15	38.46	343,402	737,319	3,572,630	7,026,826
2015-07-21	$2119.86	$2100.00	10.3%	3.0%	12.2%	43.8%	12.2%	4.2%	0.2%	10.12B	-110.39B	-1.99B	2.09	31.28	345,378	722,764	3,706,376	7,252,551
2015-07-22	$2113.17	$2100.00	10.0%	2.9%	12.3%	42.3%	11.4%	4.3%	0.4%	3.36B	-82.77B	-1.97B	2.20	31.06	379,278	833,635	3,771,099	7,439,309
2015-07-23	$2100.78	$2100.00	11.0%	3.1%	12.2%	47.4%	12.2%	4.5%	0.2%	-7.49B	-34.85B	-2.03B	2.08	24.64	420,260	874,745	3,842,220	7,734,879
2015-07-24	$2081.07	$2100.00	12.2%	3.5%	12.6%	53.2%	12.6%	4.8%	0.2%	-28.14B	51.98B	-2.06B	2.48	28.14	479,215	1,186,537	3,894,382	7,935,035
2015-07-27	$2066.14	$2100.00	14.1%	4.0%	12.8%	62.8%	15.1%	5.3%	-0.3%	-24.59B	99.03B	-2.07B	2.53	30.33	372,042	941,504	3,692,102	7,572,269
2015-07-28	$2093.21	$2100.00	11.3%	3.2%	11.5%	49.0%	12.5%	4.4%	-0.2%	-10.38B	-10.63B	-2.01B	2.38	32.11	351,341	837,308	3,785,503	7,856,765
2015-07-29	$2109.39	$2100.00	10.3%	2.9%	11.8%	44.0%	11.3%	4.2%	-0.2%	4.33B	-80.91B	-1.98B	2.14	31.44	327,471	702,245	3,876,586	8,058,153
2015-07-30	$2109.89	$2100.00	10.0%	2.8%	11.7%	42.4%	12.1%	4.4%	-0.2%	5.82B	-81.43B	-1.97B	1.90	32.76	370,328	704,077	3,951,084	8,232,762
2015-07-31	$2103.94	$2100.00	10.2%	2.8%	11.8%	43.1%	11.4%	4.0%	0.7%	-1.02B	-60.43B	-1.98B	2.73	28.65	352,189	962,945	4,039,206	8,381,787