SPX Options History — February 2016

In February 2016, SPX traded between $1833.81 and $1949.91. ATM implied volatility averaged 20.3%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.7% (HV 20d: 21.0%). Max pain ranged from $1925.00 to $1950.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.04.

Notable Days

2016-02-17: Highest Volume — 1,628,714 contracts
2016-02-02: Largest IV spike — 14.1% change
2016-02-11: Highest IV Rank — 72.6%
2016-02-11: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1903.82	$1833.81	$1949.91	$1939.36	$1936.77
Max Pain	$1932.75	$1925.00	$1950.00	$1950.00	$1925.00
ATM IV	20.3%	17.1%	25.3%	17.5%	18.3%
Expected Move	5.8%	4.9%	7.2%	4.9%	5.4%
HV 20d	21.0%	17.8%	22.9%	22.9%	17.8%
HV 60d	19.1%	18.3%	19.8%	18.3%	19.6%
IV Rank	49.2%	34.0%	72.6%	36.0%	39.7%
IV Percentile	84.9%	72.6%	98.8%	79.8%	76.2%
Term Structure	-0.0%	-0.4%	0.7%	0.7%	0.2%
VWIV	21.2%	18.1%	26.0%	18.6%	18.6%
Skew 25d	6.3%	5.3%	7.5%	5.3%	6.1%
Skew 10d	11.9%	9.8%	14.4%	9.8%	11.7%
Call IV 25d	17.4%	14.7%	22.0%	14.8%	15.5%
Put IV 25d	23.7%	20.1%	29.5%	20.1%	21.6%
Bid-Ask Spread %	23.14	17.30	35.02	34.26	23.26
Gamma HHI	0.04	0.03	0.08	0.03	0.03
Net GEX	-7.91B	-20.35B	6.65B	-4.09B	-5.15B
Net DEX	159.62B	-3.13B	373.21B	82.71B	58.98B
Net VEX	-2.06B	-2.10B	-1.99B	-2.03B	-2.04B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	1.72	2.80	1.90	2.14
Total Volume	1,222,301.55	948,224	1,628,714	1,077,939	1,137,484
Total OI	12,783,010.55	11,683,945	14,168,089	11,683,945	12,599,323

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
2016-02-01	$1939.36	$1950.00	17.5%	4.9%	22.9%	36.0%	18.6%	5.3%	0.7%	-4.09B	82.71B	-2.03B	1.90	34.26	371,144	706,795	3,882,903	7,801,042
2016-02-02	$1902.06	$1950.00	19.9%	5.7%	22.8%	47.5%	20.4%	6.3%	-0.0%	-11.69B	195.36B	-2.00B	1.81	27.64	355,447	644,249	3,964,266	7,973,028
2016-02-03	$1911.99	$1950.00	19.7%	5.6%	22.9%	46.5%	20.2%	6.2%	-0.0%	-10.04B	170.50B	-2.05B	1.72	35.02	438,788	755,419	4,039,248	8,169,181
2016-02-04	$1913.98	$1950.00	19.8%	5.7%	22.5%	46.9%	21.1%	6.2%	0.0%	-9.83B	161.78B	-2.10B	2.31	21.92	286,739	661,485	4,106,807	8,346,487
2016-02-05	$1875.68	$1940.00	21.7%	6.2%	22.6%	55.7%	21.9%	6.1%	-0.0%	-20.33B	279.17B	-2.05B	2.00	21.26	430,397	861,220	4,170,180	8,552,944
2016-02-08	$1851.99	$1940.00	23.8%	6.8%	22.4%	65.4%	24.3%	6.7%	-0.2%	-19.12B	324.85B	-1.99B	1.85	20.09	487,742	903,403	4,028,183	8,180,746
2016-02-09	$1852.04	$1935.00	24.3%	6.9%	22.3%	67.9%	25.1%	7.0%	-0.3%	-18.37B	319.71B	-2.03B	1.96	17.30	364,589	714,827	4,163,747	8,421,320
2016-02-10	$1852.14	$1935.00	24.0%	6.8%	22.1%	66.4%	24.5%	6.8%	-0.1%	-18.46B	320.64B	-2.04B	1.84	19.01	374,941	691,219	4,293,335	8,619,097
2016-02-11	$1833.81	$1930.00	25.3%	7.2%	20.6%	72.6%	26.0%	7.5%	-0.1%	-20.35B	373.21B	-2.01B	1.96	20.74	474,021	929,745	4,397,585	8,769,786
2016-02-12	$1863.60	$1925.00	22.8%	6.6%	20.7%	61.0%	24.0%	6.8%	0.2%	-11.45B	276.62B	-2.10B	1.94	21.42	461,913	896,478	4,556,672	8,944,457
2016-02-16	$1891.20	$1925.00	21.5%	6.2%	20.2%	55.0%	22.9%	7.0%	0.0%	-7.72B	181.80B	-2.06B	2.04	25.38	377,797	770,488	4,441,724	8,616,835
2016-02-17	$1925.70	$1925.00	19.8%	5.7%	21.1%	47.1%	21.6%	6.3%	0.1%	-1.01B	61.58B	-2.09B	2.03	19.30	538,304	1,090,410	4,523,634	8,835,860
2016-02-18	$1917.13	$1925.00	19.4%	5.6%	20.5%	45.0%	19.6%	6.2%	0.2%	-1.93B	99.81B	-2.08B	2.01	22.48	467,676	939,172	4,650,367	9,187,649
2016-02-19	$1916.72	$1925.00	18.4%	5.2%	20.5%	40.4%	19.0%	5.7%	0.4%	-1.90B	101.09B	-2.06B	1.97	21.91	510,459	1,007,563	4,748,807	9,419,282
2016-02-22	$1942.99	$1925.00	17.1%	4.9%	20.1%	34.0%	18.5%	5.6%	-0.1%	1.97B	18.93B	-2.04B	2.13	23.48	402,749	855,848	4,109,024	7,959,684
2016-02-23	$1921.58	$1925.00	18.8%	5.4%	19.7%	42.3%	19.4%	6.2%	-0.3%	-4.21B	91.50B	-2.07B	2.80	19.06	284,801	797,881	4,236,551	8,177,209
2016-02-24	$1928.59	$1925.00	18.8%	5.4%	19.3%	42.3%	20.7%	6.1%	-0.4%	-3.50B	76.11B	-2.10B	2.25	20.74	346,894	779,997	4,286,969	8,368,501
2016-02-25	$1949.91	$1925.00	17.4%	5.0%	19.2%	35.8%	18.5%	5.7%	-0.3%	2.25B	-3.13B	-2.09B	2.25	23.01	309,851	696,261	4,369,611	8,598,159
2016-02-26	$1949.11	$1925.00	17.5%	5.0%	19.1%	36.1%	18.1%	5.9%	-0.2%	6.65B	1.21B	-2.09B	1.90	25.44	455,717	866,118	4,437,202	8,712,806
2016-02-29	$1936.77	$1925.00	18.3%	5.4%	17.8%	39.7%	18.6%	6.1%	0.2%	-5.15B	58.98B	-2.04B	2.14	23.26	361,772	775,712	4,340,645	8,258,678