SPX Options History — September 2015

In September 2015, SPX traded between $1883.83 and $1995.11. ATM implied volatility averaged 21.1%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.7% (HV 20d: 25.8%). Max pain ranged from $1975.00 to $2050.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.86.

Notable Days

2015-09-18: Highest Volume — 2,118,664 contracts
2015-09-02: Largest IV drop — 18.1% change
2015-09-01: Highest IV Rank — 87.9%
2015-09-01: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1943.29	$1883.83	$1995.11	$1911.81	$1920.07
Max Pain	$1998.57	$1975.00	$2050.00	$2050.00	$1975.00
ATM IV	21.1%	17.7%	27.6%	27.6%	21.3%
Expected Move	6.1%	5.1%	8.2%	8.2%	6.3%
HV 20d	25.8%	20.0%	29.0%	25.7%	20.0%
HV 60d	18.7%	17.5%	19.9%	17.5%	19.9%
IV Rank	66.1%	54.7%	87.9%	87.9%	66.8%
IV Percentile	94.1%	88.9%	99.2%	99.2%	93.3%
Term Structure	-0.1%	-0.6%	0.4%	0.2%	-0.4%
VWIV	22.4%	18.9%	29.4%	29.4%	23.1%
Skew 25d	8.1%	6.8%	11.1%	11.1%	7.1%
Skew 10d	14.9%	12.4%	21.1%	21.1%	13.0%
Call IV 25d	17.4%	14.6%	22.2%	22.2%	17.9%
Put IV 25d	25.5%	21.7%	33.3%	33.3%	25.0%
Bid-Ask Spread %	33.33	21.92	47.66	44.47	43.00
Gamma HHI	0.03	0.02	0.04	0.03	0.03
Net GEX	-20.26B	-28.58B	-8.95B	-26.68B	-16.81B
Net DEX	282.78B	106.12B	475.23B	475.23B	237.74B
Net VEX	-2.06B	-2.23B	-1.97B	-2.23B	-2.03B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	1.45	2.49	2.24	1.57
Total Volume	1,373,740.524	1,013,575	2,118,664	1,491,454	1,256,804
Total OI	14,000,608.429	11,794,286	16,006,867	13,861,481	13,481,936

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
2015-09-01	$1911.81	$2050.00	27.6%	8.2%	25.7%	87.9%	29.4%	11.1%	0.2%	-26.68B	475.23B	-2.23B	2.24	44.47	460,224	1,031,230	4,776,203	9,085,278
2015-09-02	$1943.18	$2050.00	22.6%	6.4%	26.5%	71.0%	23.7%	8.7%	-0.1%	-25.93B	387.61B	-2.17B	2.47	41.69	363,478	898,874	4,871,282	9,360,367
2015-09-03	$1953.33	$2020.00	21.8%	6.1%	26.7%	68.4%	23.3%	8.6%	-0.1%	-24.05B	353.52B	-2.20B	1.91	24.28	477,561	911,677	4,981,833	9,564,606
2015-09-04	$1927.42	$2010.00	23.6%	6.6%	26.9%	74.6%	24.3%	9.1%	-0.1%	-28.58B	442.30B	-2.17B	2.49	22.31	430,046	1,070,888	5,127,705	9,736,050
2015-09-08	$1966.41	$2005.00	21.1%	6.0%	27.7%	66.1%	22.3%	8.8%	-0.2%	-20.44B	276.48B	-2.11B	1.82	25.96	359,241	654,334	4,896,828	9,241,898
2015-09-09	$1938.15	$2000.00	22.7%	6.4%	27.9%	71.5%	22.6%	9.3%	-0.5%	-23.61B	376.82B	-2.08B	1.90	31.90	384,851	729,729	5,025,059	9,429,070
2015-09-10	$1950.27	$2000.00	21.4%	6.1%	28.1%	67.1%	23.7%	8.6%	-0.3%	-23.60B	339.39B	-2.08B	1.64	24.44	506,723	830,936	5,129,072	9,630,204
2015-09-11	$1957.31	$2000.00	20.6%	5.9%	28.2%	64.4%	21.8%	8.1%	-0.1%	-20.09B	311.84B	-2.07B	1.87	37.34	523,421	979,013	5,294,739	9,948,955
2015-09-14	$1950.13	$2000.00	21.1%	6.0%	28.1%	66.0%	21.1%	8.1%	-0.0%	-18.66B	303.27B	-2.05B	1.75	28.91	389,654	681,667	5,143,340	9,319,784
2015-09-15	$1979.38	$2000.00	19.4%	5.6%	28.7%	60.4%	21.4%	7.6%	-0.0%	-13.34B	181.80B	-2.04B	1.45	29.33	443,278	644,530	5,254,865	9,488,400
2015-09-16	$1995.11	$2000.00	18.2%	5.2%	29.0%	56.2%	20.6%	7.9%	-0.0%	-8.95B	106.12B	-2.05B	1.94	34.07	579,796	1,121,922	5,387,290	9,633,991
2015-09-17	$1988.20	$1995.00	17.7%	5.1%	28.9%	54.7%	20.2%	7.4%	0.1%	-9.96B	131.24B	-2.00B	1.68	45.97	600,042	1,006,225	5,529,051	10,061,445
2015-09-18	$1957.84	$1995.00	19.5%	5.6%	28.7%	60.6%	20.9%	8.1%	0.1%	-18.77B	297.74B	-2.04B	1.80	31.85	757,130	1,361,534	5,648,121	10,358,746
2015-09-21	$1965.96	$1980.00	17.9%	5.1%	26.5%	55.2%	18.9%	7.0%	0.4%	-13.03B	126.52B	-1.98B	2.04	21.92	444,863	905,343	3,955,785	7,838,501
2015-09-22	$1931.10	$1975.00	20.5%	5.9%	24.3%	64.1%	21.1%	7.5%	0.2%	-20.46B	233.49B	-1.99B	1.83	28.29	409,840	750,988	4,062,581	8,106,287
2015-09-23	$1939.78	$1975.00	18.9%	5.5%	23.9%	58.8%	19.0%	6.9%	0.2%	-20.01B	210.99B	-1.99B	1.62	32.90	511,413	828,973	4,196,322	8,393,205
2015-09-24	$1932.19	$1990.00	20.3%	5.8%	22.1%	63.4%	21.6%	6.8%	0.1%	-19.88B	230.37B	-2.01B	1.57	47.66	522,745	819,081	4,347,666	8,571,633
2015-09-25	$1932.31	$1990.00	20.2%	5.8%	20.4%	63.1%	21.2%	7.1%	0.1%	-20.40B	227.39B	-2.07B	1.92	35.61	514,698	988,553	4,480,868	8,800,810
2015-09-28	$1885.29	$1985.00	23.8%	7.1%	21.9%	75.0%	25.4%	8.1%	-0.6%	-25.90B	342.87B	-1.97B	1.78	32.67	535,009	954,497	4,336,447	8,368,051
2015-09-29	$1883.83	$1975.00	23.3%	7.0%	21.9%	73.3%	25.5%	7.6%	-0.5%	-26.31B	345.59B	-1.97B	1.76	35.32	437,198	770,542	4,475,989	8,672,514
2015-09-30	$1920.07	$1975.00	21.3%	6.3%	20.0%	66.8%	23.1%	7.1%	-0.4%	-16.81B	237.74B	-2.03B	1.57	43.00	489,149	767,655	4,590,222	8,891,714