SPX Options History — August 2015

In August 2015, SPX traded between $1887.73 and $2102.18. ATM implied volatility averaged 16.3%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.4% (HV 20d: 14.0%). Max pain ranged from $2050.00 to $2100.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.36.

Notable Days

2015-08-21: Highest Volume — 3,512,367 contracts
2015-08-24: Largest IV spike — 39.9% change
2015-08-21: Highest IV Rank — 100.0%
2015-08-24: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2041.00	$1887.73	$2102.18	$2095.57	$1975.67
Max Pain	$2073.10	$2050.00	$2100.00	$2100.00	$2050.00
ATM IV	16.3%	10.7%	31.2%	10.8%	22.7%
Expected Move	4.8%	2.9%	9.3%	3.0%	6.7%
HV 20d	14.0%	9.9%	23.4%	11.7%	23.4%
HV 60d	12.1%	10.3%	16.4%	10.6%	16.3%
IV Rank	62.8%	45.8%	100.0%	46.1%	71.5%
IV Percentile	64.3%	24.2%	100.0%	25.0%	98.8%
Term Structure	0.0%	-1.3%	1.1%	0.7%	0.2%
VWIV	17.9%	10.6%	33.8%	11.6%	25.6%
Skew 25d	6.9%	4.1%	14.5%	4.1%	9.9%
Skew 10d	13.0%	7.4%	28.7%	7.4%	19.0%
Call IV 25d	13.4%	8.6%	24.4%	8.6%	18.4%
Put IV 25d	20.2%	12.7%	38.9%	12.7%	28.3%
Bid-Ask Spread %	34.93	28.37	43.37	34.65	35.88
Gamma HHI	0.04	0.02	0.28	0.03	0.03
Net GEX	-20.16B	-72.19B	-500.4M	-6.92B	-24.71B
Net DEX	147.70B	-70.11B	616.63B	-27.78B	300.04B
Net VEX	-2.05B	-2.40B	-1.91B	-1.92B	-2.29B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.36	1.86	3.39	1.86	2.18
Total Volume	1,585,701.238	824,524	3,512,367	824,524	1,393,542
Total OI	13,066,998.476	11,390,258	15,180,049	11,390,258	14,229,308

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
2015-08-03	$2095.57	$2100.00	10.8%	3.0%	11.7%	46.1%	11.6%	4.1%	0.7%	-6.92B	-27.78B	-1.92B	1.86	34.65	288,574	535,950	3,810,958	7,579,300
2015-08-04	$2090.13	$2100.00	11.2%	3.1%	11.6%	48.2%	11.5%	4.6%	-0.0%	-11.65B	-7.16B	-1.95B	2.74	28.68	252,374	691,073	3,900,223	7,849,049
2015-08-05	$2099.87	$2100.00	10.7%	2.9%	10.2%	46.0%	10.6%	4.4%	0.1%	-5.11B	-46.45B	-1.93B	2.60	31.09	290,977	755,344	3,930,316	8,013,851
2015-08-06	$2085.28	$2075.00	12.0%	3.6%	10.5%	52.1%	13.2%	4.7%	-0.1%	-16.28B	20.60B	-1.99B	2.19	38.66	457,099	1,000,190	3,993,421	8,163,017
2015-08-07	$2077.42	$2075.00	12.1%	3.6%	9.9%	53.0%	12.9%	4.6%	-0.1%	-23.52B	57.39B	-2.00B	2.30	43.37	498,947	1,149,254	4,099,774	8,461,335
2015-08-10	$2102.18	$2075.00	10.7%	3.3%	10.1%	45.8%	12.3%	4.4%	0.8%	-727.0M	-62.28B	-1.92B	2.34	38.42	332,585	777,977	3,957,769	8,092,393
2015-08-11	$2083.59	$2075.00	11.9%	3.6%	10.4%	52.0%	13.5%	4.7%	0.7%	-14.82B	17.81B	-2.00B	2.10	36.45	328,468	688,969	4,088,293	8,260,504
2015-08-12	$2085.83	$2075.00	12.1%	3.7%	10.4%	52.9%	14.2%	4.9%	0.8%	-12.48B	7.62B	-2.02B	2.25	35.39	500,068	1,127,390	4,185,251	8,541,561
2015-08-13	$2085.28	$2075.00	11.9%	3.6%	10.0%	51.7%	13.5%	4.7%	0.9%	-13.37B	10.34B	-2.01B	2.52	31.65	347,388	874,149	4,311,545	8,801,479
2015-08-14	$2090.96	$2075.00	11.5%	3.5%	10.0%	49.6%	13.3%	4.5%	1.1%	-7.09B	-23.07B	-1.98B	2.63	36.46	348,236	916,721	4,401,397	9,058,225
2015-08-17	$2100.82	$2075.00	11.5%	3.4%	10.2%	49.9%	12.8%	5.1%	0.1%	-500.4M	-70.11B	-1.91B	2.05	34.93	408,333	835,249	4,199,959	8,416,480
2015-08-18	$2096.42	$2075.00	12.0%	3.5%	10.2%	52.4%	13.3%	5.3%	0.2%	-2.84B	-50.33B	-1.92B	2.04	30.12	403,235	823,261	4,277,868	8,567,657
2015-08-19	$2075.69	$2075.00	13.5%	3.9%	10.7%	59.7%	14.1%	5.7%	0.1%	-19.44B	46.83B	-1.97B	1.89	32.94	514,928	971,127	4,389,383	8,759,384
2015-08-20	$2038.67	$2075.00	16.4%	4.7%	12.2%	74.6%	17.1%	6.0%	-0.1%	-43.11B	223.33B	-2.04B	2.57	29.43	617,930	1,586,019	4,477,487	9,156,324
2015-08-21	$1975.51	$2075.00	22.3%	6.4%	16.0%	100.0%	23.8%	10.1%	-0.7%	-72.19B	479.48B	-2.10B	3.12	28.37	851,565	2,660,802	4,599,453	9,554,362
2015-08-24	$1908.81	$2070.00	31.2%	9.3%	19.5%	100.0%	33.8%	14.5%	-1.3%	-31.63B	559.31B	-2.11B	3.39	38.83	570,465	1,933,714	4,223,249	8,706,278
2015-08-25	$1887.73	$2060.00	28.7%	8.5%	18.6%	91.6%	28.5%	12.4%	-1.0%	-33.20B	616.63B	-2.03B	2.25	33.24	610,237	1,375,687	4,474,379	9,071,260
2015-08-26	$1937.32	$2055.00	25.2%	7.4%	21.2%	79.8%	28.9%	10.7%	-0.9%	-32.36B	471.61B	-2.18B	2.44	32.92	615,192	1,502,794	4,688,191	9,300,321
2015-08-27	$1982.51	$2050.00	22.4%	6.6%	23.3%	70.4%	25.5%	9.4%	-0.7%	-27.52B	298.17B	-2.32B	2.07	42.25	643,649	1,333,179	4,937,535	9,698,380
2015-08-28	$1985.76	$2050.00	22.6%	6.7%	23.4%	71.2%	25.2%	10.0%	-0.5%	-23.79B	279.75B	-2.40B	1.99	39.73	497,190	989,895	5,154,426	10,025,623
2015-08-31	$1975.67	$2050.00	22.7%	6.7%	23.4%	71.5%	25.6%	9.9%	0.2%	-24.71B	300.04B	-2.29B	2.18	35.88	437,955	955,587	4,888,918	9,340,390