SPX Options History — November 2015 In November 2015, SPX traded between $2024.07 and $2113.72. ATM implied volatility averaged 13.6%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.1% (HV 20d: 12.5%). Max pain ranged from $2000.00 to $2025.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.22.
Notable Days 2015-11-13 : Highest Volume — 1,636,302 contracts2015-11-12 : Largest IV spike — 20.1% change2015-11-13 : Highest IV Rank — 41.2%2015-11-13 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $2080.91 $2024.07 $2113.72 $2101.25 $2081.59 Max Pain $2003.50 $2000.00 $2025.00 $2000.00 $2000.00 ATM IV 13.6% 11.6% 17.0% 11.6% 14.0% Expected Move 4.0% 3.3% 5.1% 3.4% 4.1% HV 20d 12.5% 11.1% 14.8% 11.2% 12.5% HV 60d 19.2% 15.6% 21.1% 20.9% 15.6% IV Rank 25.5% 15.3% 41.2% 18.7% 19.9% IV Percentile 57.3% 29.0% 82.5% 29.4% 63.5% Term Structure 0.3% 0.0% 0.9% 0.9% 0.2% VWIV 15.5% 12.7% 19.8% 13.3% 15.2% Skew 25d 5.3% 4.4% 6.1% 4.4% 5.6% Skew 10d 10.1% 8.2% 11.9% 8.4% 10.5% Call IV 25d 11.4% 9.4% 14.2% 9.4% 11.5% Put IV 25d 16.7% 13.9% 20.3% 13.9% 17.1% Bid-Ask Spread % 29.49 18.86 42.48 30.31 41.71 Gamma HHI 0.03 0.03 0.06 0.04 0.03 Net GEX 11.32B -20.32B 26.21B 23.24B 6.94B Net DEX -221.55B -386.81B 62.97B -337.60B -185.97B Net VEX -2.03B -2.18B -1.86B -2.03B -1.86B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.22 1.38 2.88 1.71 2.69 Total Volume 1,066,919.25 630,079 1,636,302 946,867 778,161 Total OI 14,219,516.65 13,219,064 15,633,637 13,365,404 13,307,387
Daily Data (20 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 2015-11-02 $2101.25 $2000.00 11.6% 3.4% 11.2% 18.7% 13.3% 4.4% 0.9% 23.24B -337.60B -2.03B 1.71 30.31 349,970 596,897 4,740,695 8,624,709 2015-11-03 $2113.72 $2000.00 11.6% 3.3% 11.1% 18.6% 12.7% 4.6% 0.1% 26.21B -386.81B -2.01B 1.38 34.61 441,143 608,401 4,821,802 8,794,208 2015-11-04 $2098.56 $2000.00 12.9% 3.6% 11.6% 24.3% 14.0% 5.1% 0.0% 21.00B -322.27B -2.13B 1.68 33.18 383,237 642,664 4,927,292 8,972,227 2015-11-05 $2101.12 $2005.00 12.6% 3.5% 11.3% 23.1% 13.4% 4.9% 0.1% 21.05B -332.27B -2.09B 2.01 40.73 328,107 658,265 4,983,211 9,185,826 2015-11-06 $2098.10 $2000.00 11.8% 3.6% 11.4% 19.6% 13.4% 4.5% 0.3% 23.41B -328.62B -2.06B 1.86 24.23 421,772 784,937 5,050,040 9,368,912 2015-11-09 $2077.14 $2000.00 13.9% 4.1% 12.2% 28.5% 15.3% 5.5% 0.4% 10.58B -208.90B -2.14B 2.60 27.05 296,613 770,042 4,898,259 9,031,884 2015-11-10 $2079.60 $2010.00 13.0% 3.6% 11.8% 24.7% 13.9% 5.4% 0.5% 11.09B -222.51B -2.09B 2.05 29.90 265,323 543,477 4,949,867 9,388,946 2015-11-11 $2084.30 $2015.00 12.8% 3.5% 11.5% 23.8% 14.4% 5.2% 0.6% 13.11B -246.72B -2.07B 2.46 33.92 181,966 448,113 4,982,246 9,513,257 2015-11-12 $2046.79 $2015.00 15.4% 4.6% 12.6% 34.6% 16.5% 5.7% 0.5% -5.85B -54.89B -2.14B 2.35 38.60 367,437 863,127 5,005,254 9,676,500 2015-11-13 $2024.07 $2025.00 17.0% 5.1% 13.1% 41.2% 19.8% 6.1% 0.5% -20.32B 62.97B -2.18B 2.11 42.48 526,840 1,109,462 5,056,328 9,908,941 2015-11-16 $2051.29 $2000.00 15.6% 4.5% 14.0% 35.5% 16.9% 5.8% 0.0% -1.35B -92.20B -2.07B 1.67 24.88 376,478 629,328 4,888,095 9,398,440 2015-11-17 $2052.39 $2000.00 16.0% 4.6% 14.0% 37.1% 18.6% 6.0% 0.0% -672.6M -99.30B -2.09B 2.16 20.32 339,333 732,019 4,960,158 9,631,664 2015-11-18 $2084.88 $2000.00 14.0% 4.2% 14.8% 28.9% 17.1% 5.4% 0.1% 16.66B -265.65B -2.00B 2.46 20.70 419,009 1,028,730 5,013,837 9,813,411 2015-11-19 $2082.19 $2000.00 14.4% 4.3% 13.7% 30.4% 17.6% 5.4% 0.2% 13.77B -245.48B -2.05B 2.12 18.86 416,480 882,912 5,094,564 10,222,538 2015-11-20 $2088.14 $2000.00 13.3% 4.0% 13.1% 25.8% 16.9% 5.4% 0.2% 16.03B -286.81B -2.02B 2.32 22.26 462,070 1,072,713 5,192,517 10,441,120 2015-11-23 $2086.68 $2000.00 13.1% 3.7% 13.1% 25.2% 14.0% 5.2% 0.1% 12.97B -208.88B -1.93B 2.68 23.69 205,706 550,844 4,595,243 8,623,821 2015-11-24 $2087.15 $2000.00 13.3% 3.8% 13.0% 18.4% 14.2% 5.4% 0.1% 12.08B -211.07B -1.92B 2.45 22.48 205,406 503,788 4,648,817 8,849,948 2015-11-25 $2089.21 $2000.00 12.7% 3.8% 12.4% 15.3% 16.4% 5.1% 0.2% 13.58B -223.54B -1.89B 2.88 23.61 279,160 804,003 4,699,566 9,083,665 2015-11-27 $2090.11 $2000.00 13.1% 3.9% 12.4% 17.2% 15.9% 5.2% 0.1% 12.91B -234.46B -1.86B 2.73 36.29 285,672 778,780 4,755,431 9,289,707 2015-11-30 $2081.59 $2000.00 14.0% 4.1% 12.5% 19.9% 15.2% 5.6% 0.2% 6.94B -185.97B -1.86B 2.69 41.71 210,648 567,513 4,582,526 8,724,861
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