SPX Options History — December 2015 In December 2015, SPX traded between $2010.42 and $2101.61. ATM implied volatility averaged 15.4%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.0% (HV 20d: 16.4%). Max pain ranged from $2000.00 to $2025.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.15.
Notable Days 2015-12-11 : Highest Volume — 1,747,281 contracts2015-12-11 : Largest IV spike — 23.0% change2015-12-11 : Highest IV Rank — 49.6%2015-12-11 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $2054.44 $2010.42 $2101.61 $2101.61 $2049.76 Max Pain $2022.05 $2000.00 $2025.00 $2000.00 $2025.00 ATM IV 15.4% 12.5% 20.4% 12.5% 15.3% Expected Move 4.4% 3.6% 5.7% 3.6% 4.3% HV 20d 16.4% 12.6% 18.8% 12.6% 18.4% HV 60d 15.5% 14.5% 16.4% 15.4% 14.5% IV Rank 26.3% 12.8% 49.6% 12.8% 25.6% IV Percentile 69.9% 43.3% 91.7% 43.3% 72.6% Term Structure 0.1% -0.5% 0.7% 0.4% 0.1% VWIV 17.1% 13.8% 21.6% 13.8% 16.6% Skew 25d 5.8% 4.5% 8.1% 5.0% 6.0% Skew 10d 10.8% 7.3% 16.7% 9.9% 11.3% Call IV 25d 12.9% 10.3% 17.0% 10.3% 12.6% Put IV 25d 18.6% 15.2% 25.1% 15.3% 18.6% Bid-Ask Spread % 27.58 21.67 49.90 21.67 25.78 Gamma HHI 0.03 0.03 0.04 0.04 0.04 Net GEX -2.94B -21.23B 15.98B 15.98B -8.52B Net DEX -45.95B -271.16B 243.43B -271.16B 6.03B Net VEX -1.77B -1.91B -1.70B -1.77B -1.72B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.15 1.83 2.69 2.18 2.20 Total Volume 1,146,013.364 618,139 1,747,281 819,870 1,041,957 Total OI 12,436,508.5 9,750,329 14,839,685 13,033,993 10,532,993
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 2015-12-01 $2101.61 $2000.00 12.5% 3.6% 12.6% 12.8% 13.8% 5.0% 0.4% 15.98B -271.16B -1.77B 2.18 21.67 257,973 561,897 4,495,098 8,538,895 2015-12-02 $2078.76 $2025.00 13.8% 4.1% 13.0% 19.1% 17.1% 5.3% 0.3% 4.08B -169.39B -1.84B 2.08 26.11 406,680 847,456 4,560,201 8,706,855 2015-12-03 $2049.44 $2025.00 15.9% 4.6% 13.6% 28.9% 18.5% 5.9% 0.1% -12.04B -26.99B -1.91B 2.28 25.32 460,279 1,051,293 4,643,082 8,934,244 2015-12-04 $2090.77 $2025.00 12.8% 3.8% 15.6% 14.4% 14.5% 4.5% 0.4% 13.13B -239.38B -1.76B 1.83 27.65 505,574 925,546 4,707,602 9,126,913 2015-12-07 $2081.66 $2025.00 13.6% 4.0% 15.6% 17.9% 16.1% 5.1% 0.2% 5.98B -187.32B -1.75B 2.07 22.47 201,429 416,710 4,536,195 8,606,861 2015-12-08 $2065.58 $2025.00 14.9% 4.3% 15.5% 24.2% 16.6% 5.7% 0.1% -2.04B -111.54B -1.78B 1.94 23.92 305,023 592,679 4,575,619 8,752,744 2015-12-09 $2045.01 $2025.00 16.7% 4.8% 15.8% 32.4% 18.5% 6.1% -0.2% -9.10B -18.73B -1.82B 1.93 26.78 412,241 796,381 4,658,206 8,843,782 2015-12-10 $2050.10 $2025.00 16.6% 4.7% 15.8% 31.8% 18.0% 6.3% -0.1% -7.93B -38.52B -1.80B 2.24 26.55 353,053 792,120 4,722,328 8,994,152 2015-12-11 $2010.78 $2025.00 20.4% 5.7% 16.0% 49.6% 21.6% 8.1% -0.5% -21.23B 150.02B -1.87B 2.09 29.18 566,207 1,181,074 4,804,219 9,247,514 2015-12-14 $2019.78 $2025.00 18.8% 5.4% 15.6% 42.3% 20.4% 6.9% -0.2% -13.15B 63.62B -1.79B 2.41 30.59 388,960 938,744 4,615,030 8,712,256 2015-12-15 $2043.91 $2010.00 17.5% 5.0% 15.5% 36.1% 19.1% 6.4% -0.2% -6.14B -43.65B -1.80B 2.02 28.89 414,962 836,161 4,734,156 8,959,921 2015-12-16 $2075.11 $2015.00 15.2% 4.4% 16.4% 25.4% 17.2% 5.3% -0.1% 5.02B -207.17B -1.73B 1.87 28.49 503,201 940,365 4,836,899 9,233,660 2015-12-17 $2046.03 $2015.00 16.1% 4.6% 16.2% 29.3% 17.6% 5.7% -0.1% -5.90B -69.03B -1.73B 1.88 22.42 522,993 985,060 4,927,240 9,504,858 2015-12-18 $2010.42 $2025.00 17.4% 5.0% 17.2% 35.6% 18.6% 6.2% -0.2% -14.47B 243.43B -1.74B 2.08 26.37 541,583 1,125,464 5,049,906 9,789,779 2015-12-21 $2019.15 $2025.00 16.6% 4.8% 17.3% 31.8% 18.4% 5.7% 0.3% -13.30B 88.96B -1.73B 2.25 22.58 280,010 629,285 3,092,164 6,658,165 2015-12-22 $2037.65 $2025.00 14.9% 4.3% 17.7% 23.9% 16.4% 5.1% 0.4% -6.96B 35.55B -1.72B 2.40 21.72 292,895 701,964 3,183,113 6,840,552 2015-12-23 $2063.87 $2020.00 13.3% 3.8% 18.4% 16.6% 14.6% 5.0% 0.7% 4.05B -45.88B -1.72B 2.02 29.78 382,830 774,271 3,262,377 7,056,260 2015-12-24 $2060.98 $2025.00 13.7% 3.8% 18.4% 18.4% 14.8% 5.1% 0.7% 723.4M -35.21B -1.74B 2.45 49.90 241,460 590,935 3,378,075 7,305,320 2015-12-28 $2054.97 $2025.00 14.7% 4.1% 18.4% 22.9% 15.7% 5.8% 0.3% -1.85B -12.23B -1.71B 2.20 30.13 224,978 495,821 3,197,632 6,785,662 2015-12-29 $2077.98 $2025.00 13.6% 3.7% 18.8% 17.8% 15.0% 5.8% 0.4% 7.71B -82.11B -1.70B 2.14 29.43 291,884 624,101 3,256,347 6,900,025 2015-12-30 $2064.28 $2025.00 14.3% 3.9% 18.6% 21.2% 16.1% 5.8% 0.3% 1.38B -40.23B -1.73B 2.69 30.97 218,985 589,810 3,315,068 7,021,219 2015-12-31 $2049.76 $2025.00 15.3% 4.3% 18.4% 25.6% 16.6% 6.0% 0.1% -8.52B 6.03B -1.72B 2.20 25.78 325,971 715,986 3,351,112 7,181,881
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