SPX Options History — October 2015 In October 2015, SPX traded between $1907.14 and $2089.44. ATM implied volatility averaged 14.5%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.3% (HV 20d: 17.8%). Max pain ranged from $1950.00 to $2000.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.76.
Notable Days 2015-10-23 : Highest Volume — 1,790,085 contracts2015-10-02 : Largest IV drop — 11.9% change2015-10-01 : Highest IV Rank — 68.0%2015-10-01 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $2023.08 $1907.14 $2089.44 $1907.14 $2083.92 Max Pain $1984.55 $1950.00 $2000.00 $1975.00 $2000.00 ATM IV 14.5% 11.9% 21.7% 21.7% 12.0% Expected Move 4.2% 3.4% 6.4% 6.4% 3.6% HV 20d 17.8% 12.4% 21.0% 19.2% 12.4% HV 60d 20.6% 19.8% 20.9% 19.8% 20.9% IV Rank 42.4% 20.6% 68.0% 68.0% 20.6% IV Percentile 63.3% 36.5% 94.4% 94.4% 40.1% Term Structure 0.0% -0.3% 0.8% -0.3% 0.8% VWIV 16.1% 12.9% 22.9% 22.9% 14.0% Skew 25d 5.3% 4.4% 6.9% 6.9% 4.6% Skew 10d 9.8% 8.5% 12.7% 12.7% 8.7% Call IV 25d 12.3% 10.1% 18.3% 18.3% 10.3% Put IV 25d 17.6% 14.6% 25.2% 25.2% 14.9% Bid-Ask Spread % 30.67 23.52 50.41 33.62 31.91 Gamma HHI 0.03 0.03 0.06 0.03 0.04 Net GEX 10.74B -18.44B 29.36B -18.44B 21.74B Net DEX -116.17B -321.41B 250.48B 250.48B -300.34B Net VEX -2.04B -2.13B -1.98B -2.02B -2.13B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.76 1.35 2.11 1.56 2.04 Total Volume 1,201,994.727 858,349 1,790,085 858,349 1,317,118 Total OI 13,279,141.5 12,145,298 14,480,985 13,001,483 14,075,961
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 2015-10-01 $1907.14 $1975.00 21.7% 6.4% 19.2% 68.0% 22.9% 6.9% -0.3% -18.44B 250.48B -2.02B 1.56 33.62 334,778 523,571 4,430,245 8,571,238 2015-10-02 $1947.06 $1975.00 19.1% 5.5% 20.6% 59.3% 20.3% 5.7% -0.1% -8.19B 121.80B -2.07B 2.01 50.41 468,611 943,519 4,533,315 8,819,743 2015-10-05 $1983.95 $1950.00 17.2% 4.9% 21.0% 52.8% 18.4% 5.9% 0.0% 914.3M -3.40B -2.04B 1.56 31.15 442,035 690,889 4,359,439 8,349,465 2015-10-06 $1980.42 $1950.00 17.0% 4.9% 19.9% 52.2% 19.3% 6.0% 0.1% 1.03B 5.76B -2.04B 2.06 29.47 411,128 846,388 4,484,197 8,524,242 2015-10-07 $1992.85 $1960.00 16.2% 4.7% 19.2% 49.5% 18.1% 5.6% 0.1% 5.00B -36.93B -2.04B 2.11 24.09 397,992 840,497 4,569,247 8,691,232 2015-10-08 $2012.20 $1970.00 15.3% 4.4% 19.3% 46.6% 17.3% 5.4% 0.1% 13.22B -112.76B -2.06B 1.65 24.79 498,900 821,442 4,659,600 8,892,352 2015-10-09 $2012.94 $1975.00 14.8% 4.3% 19.3% 44.7% 16.2% 5.3% 0.2% 13.03B -111.80B -2.06B 1.50 31.56 522,591 781,887 4,748,312 9,130,643 2015-10-12 $2015.82 $1975.00 14.0% 4.1% 19.2% 42.2% 16.6% 5.2% 0.1% 10.50B -103.68B -2.00B 1.97 30.20 301,678 594,552 4,610,023 8,600,873 2015-10-13 $2003.84 $1975.00 15.0% 4.3% 18.7% 45.4% 15.3% 5.8% 0.0% 4.50B -51.83B -2.03B 1.74 31.41 374,403 652,841 4,651,366 8,761,977 2015-10-14 $1993.00 $1985.00 15.4% 4.4% 18.6% 46.7% 17.1% 5.4% 0.1% 1.51B -10.37B -2.04B 1.90 32.41 405,000 769,973 4,743,900 8,991,313 2015-10-15 $2023.79 $1990.00 13.7% 3.9% 19.4% 41.1% 16.7% 5.4% 0.1% 13.16B -140.06B -2.03B 1.94 30.05 436,651 847,866 4,844,377 9,246,015 2015-10-16 $2032.36 $1995.00 13.0% 3.8% 18.4% 38.7% 14.8% 5.1% 0.2% 17.06B -171.73B -2.02B 1.83 23.52 488,852 893,247 4,917,891 9,563,094 2015-10-19 $2031.79 $1995.00 12.6% 3.6% 18.4% 37.4% 14.2% 5.1% 0.0% 11.88B -119.91B -1.98B 1.92 26.14 337,106 648,459 4,222,890 7,922,408 2015-10-20 $2027.82 $1995.00 13.3% 3.8% 17.0% 39.5% 14.7% 4.9% 0.0% 10.08B -109.79B -2.04B 1.70 30.95 326,943 554,429 4,322,100 8,080,283 2015-10-21 $2017.55 $1995.00 14.1% 4.0% 17.2% 42.3% 16.1% 5.2% 0.0% 5.74B -69.41B -2.06B 2.09 27.59 383,581 799,951 4,424,325 8,253,443 2015-10-22 $2050.88 $2000.00 12.7% 3.6% 17.7% 37.7% 13.6% 4.8% -0.0% 23.00B -202.49B -2.03B 1.46 30.54 594,330 868,137 4,508,597 8,542,079 2015-10-23 $2075.44 $2000.00 11.9% 3.4% 18.0% 35.0% 13.5% 4.4% 0.1% 29.36B -299.17B -2.01B 1.35 33.81 760,903 1,029,182 4,583,039 8,741,423 2015-10-26 $2071.43 $2000.00 12.9% 3.7% 14.8% 38.3% 13.8% 5.1% -0.1% 17.67B -238.56B -2.06B 1.71 32.11 329,182 563,001 4,471,451 8,367,326 2015-10-27 $2065.50 $2000.00 13.2% 3.9% 14.9% 39.4% 15.3% 5.0% -0.2% 15.76B -214.89B -2.08B 1.82 31.17 351,014 638,420 4,542,078 8,488,419 2015-10-28 $2088.61 $2000.00 11.9% 3.5% 14.1% 33.3% 12.9% 4.7% -0.1% 23.21B -315.32B -2.03B 1.46 30.45 477,122 695,983 4,629,821 8,671,677 2015-10-29 $2089.44 $2000.00 12.1% 3.6% 13.6% 20.9% 13.6% 4.7% -0.2% 24.59B -321.41B -2.06B 1.35 27.32 628,714 851,018 4,725,485 8,874,209 2015-10-30 $2083.92 $2000.00 12.0% 3.6% 12.4% 20.6% 14.0% 4.6% 0.8% 21.74B -300.34B -2.13B 2.04 31.91 433,960 883,158 4,929,126 9,146,835
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