SPX Options History — January 2016

In January 2016, SPX traded between $1860.64 and $2016.89. ATM implied volatility averaged 20.5%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.5% (HV 20d: 20.0%). Max pain ranged from $1950.00 to $2050.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.91.

Notable Days

  • 2016-01-20: Highest Volume — 2,180,778 contracts
  • 2016-01-07: Largest IV spike — 15.8% change
  • 2016-01-20: Highest IV Rank — 63.9%
  • 2016-01-20: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1918.79$1860.64$2016.89$2009.01$1934.79
Max Pain$1991.05$1950.00$2050.00$2050.00$1950.00
ATM IV20.5%17.2%23.4%18.2%17.4%
Expected Move5.8%4.8%6.7%5.0%5.0%
HV 20d20.0%17.5%22.8%19.0%22.8%
HV 60d16.7%15.0%18.3%15.1%18.3%
IV Rank50.1%34.6%63.9%39.4%35.8%
IV Percentile90.2%79.8%97.6%87.3%79.8%
Term Structure-0.3%-1.1%0.6%-0.1%0.6%
VWIV21.4%18.1%26.7%19.3%18.1%
Skew 25d6.7%5.5%8.3%6.6%5.5%
Skew 10d13.2%10.4%16.5%12.5%10.4%
Call IV 25d17.5%14.3%19.8%15.2%14.9%
Put IV 25d24.2%20.3%28.2%21.7%20.4%
Bid-Ask Spread %25.8519.5660.0024.1160.00
Gamma HHI0.040.030.050.040.03
Net GEX-17.36B-26.09B-2.68B-14.25B-2.68B
Net DEX247.55B84.79B392.27B108.24B95.61B
Net VEX-1.83B-2.05B-1.68B-1.69B-2.05B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.911.462.361.861.53
Total Volume1,323,897.211938,9522,180,7781,290,1121,278,582
Total OI11,229,161.3689,591,69712,463,3629,591,69712,424,944

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$2009.01$2050.0018.2%5.0%19.0%39.4%19.3%6.6%-0.1%-14.25B108.24B-1.69B1.8624.11451,037839,0753,022,6266,569,071
2016-01-05$2016.89$2050.0017.2%4.8%17.5%34.6%18.2%6.0%-0.0%-12.35B84.79B-1.69B2.1024.09333,633700,3863,112,3226,859,182
2016-01-06$1987.69$2050.0018.4%5.1%18.1%40.2%19.0%5.9%-0.2%-18.70B162.15B-1.68B2.0624.69380,196781,3503,217,1937,072,415
2016-01-07$1950.50$2030.0021.3%5.8%18.9%53.8%21.0%6.4%-0.4%-23.17B256.86B-1.72B2.3627.26477,7951,126,9833,338,6567,309,513
2016-01-08$1920.08$2025.0022.9%6.3%19.3%61.4%23.2%7.1%-0.4%-26.09B328.30B-1.73B2.3125.89444,4921,027,3043,545,9247,641,821
2016-01-11$1925.32$2025.0020.5%5.7%19.3%50.1%21.6%6.8%-0.7%-23.29B286.69B-1.68B2.2326.31424,024947,1793,407,6277,320,550
2016-01-12$1939.51$2000.0019.2%5.3%18.7%43.9%19.6%6.2%-0.6%-20.97B250.32B-1.75B1.7527.26403,409706,2173,585,7687,641,157
2016-01-13$1891.91$2000.0021.9%6.1%20.2%56.9%21.4%6.7%-0.8%-24.96B364.70B-1.71B2.0124.27433,593872,0023,732,0907,853,500
2016-01-14$1920.93$2000.0020.8%5.8%20.5%51.6%21.5%6.9%-0.8%-21.34B295.62B-1.82B1.7825.86586,9851,045,4833,873,4638,088,651
2016-01-15$1881.17$2000.0023.0%6.4%20.3%61.8%23.2%8.2%-1.1%-22.59B392.27B-1.82B2.0719.56647,3041,339,4984,129,9658,333,397
2016-01-19$1885.68$1975.0021.7%6.2%20.1%55.7%23.3%7.6%0.0%-18.46B287.24B-1.83B1.9221.46364,871701,3373,248,9657,120,598
2016-01-20$1860.64$1975.0023.4%6.7%19.8%63.9%26.7%8.3%-0.2%-19.41B334.90B-1.82B2.3127.73658,2311,522,5473,391,6347,324,702
2016-01-21$1873.49$1950.0022.5%6.4%20.0%59.4%24.8%8.2%-0.1%-16.65B290.19B-1.93B1.6423.60586,513964,1213,657,6107,778,162
2016-01-22$1905.84$1950.0019.1%5.4%20.8%43.6%20.5%6.3%0.2%-10.65B201.88B-1.98B1.6119.85499,208805,2733,847,9738,062,526
2016-01-25$1877.05$1950.0021.2%6.1%20.3%53.5%21.4%6.9%-0.4%-15.18B267.64B-1.93B1.6720.74362,786604,2893,674,6947,571,158
2016-01-26$1900.74$1950.0020.0%5.7%21.2%47.9%20.4%6.0%-0.4%-11.93B209.32B-1.98B1.4620.25381,020557,9323,778,0017,808,334
2016-01-27$1881.60$1950.0021.0%6.0%21.3%52.5%21.8%6.1%-0.5%-14.76B262.04B-1.97B1.6323.41364,385595,4193,913,6427,987,829
2016-01-28$1894.24$1950.0019.5%5.6%21.0%45.5%21.1%5.7%-0.5%-12.44B224.71B-1.98B1.9724.83316,021623,5673,995,3568,113,047
2016-01-29$1934.79$1950.0017.4%5.0%22.8%35.8%18.1%5.5%0.6%-2.68B95.61B-2.05B1.5360.00504,798773,7844,086,1738,338,771