SPX Options History — April 2016

In April 2016, SPX traded between $2041.07 and $2103.69. ATM implied volatility averaged 12.3%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.3% (HV 20d: 10.0%). Max pain ranged from $2000.00 to $2025.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.91.

Notable Days

2016-04-20: Highest Volume — 1,514,676 contracts
2016-04-07: Largest IV spike — 16.2% change
2016-04-07: Highest IV Rank — 21.0%
2016-04-07: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2074.99	$2041.07	$2103.69	$2073.02	$2065.80
Max Pain	$2009.29	$2000.00	$2025.00	$2000.00	$2025.00
ATM IV	12.3%	11.0%	14.3%	11.1%	13.5%
Expected Move	3.5%	2.8%	4.1%	2.8%	3.9%
HV 20d	10.0%	9.0%	11.1%	9.0%	10.3%
HV 60d	15.0%	12.7%	17.5%	17.5%	12.7%
IV Rank	11.6%	5.7%	21.0%	6.1%	17.2%
IV Percentile	28.8%	9.9%	53.6%	11.5%	45.6%
Term Structure	0.1%	-0.4%	0.4%	0.3%	-0.4%
VWIV	13.9%	11.8%	16.1%	12.1%	14.9%
Skew 25d	4.5%	3.8%	5.3%	3.9%	5.1%
Skew 10d	8.7%	7.2%	10.1%	8.1%	10.1%
Call IV 25d	10.4%	9.3%	11.8%	9.3%	11.5%
Put IV 25d	14.9%	13.3%	17.0%	13.3%	16.6%
Bid-Ask Spread %	37.44	28.92	47.22	47.22	36.06
Gamma HHI	0.03	0.03	0.04	0.04	0.04
Net GEX	14.40B	-6.28B	26.28B	23.03B	-6.28B
Net DEX	-167.74B	-248.77B	-58.71B	-211.04B	-58.71B
Net VEX	-2.39B	-2.60B	-2.22B	-2.22B	-2.60B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	1.38	2.27	1.93	1.98
Total Volume	1,104,751.048	832,500	1,514,676	1,265,755	1,403,423
Total OI	11,698,282.381	10,743,180	12,603,631	11,031,450	12,603,631

Daily Data (21 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
2016-04-01	$2073.02	$2000.00	11.1%	2.8%	9.0%	6.1%	12.1%	3.9%	0.3%	23.03B	-211.04B	-2.22B	1.93	47.22	431,399	834,356	3,814,833	7,216,617
2016-04-04	$2064.60	$2000.00	12.2%	3.6%	9.2%	11.3%	14.8%	4.4%	0.2%	17.36B	-171.85B	-2.23B	1.91	33.98	349,943	666,990	3,783,616	7,127,709
2016-04-05	$2044.26	$2000.00	13.6%	4.0%	10.1%	18.0%	15.6%	5.1%	0.2%	6.73B	-90.92B	-2.30B	2.02	31.71	332,103	669,761	3,842,917	7,342,011
2016-04-06	$2066.62	$2000.00	12.3%	3.6%	9.8%	11.7%	15.2%	4.5%	0.2%	17.94B	-177.74B	-2.28B	2.21	35.47	317,454	699,973	3,905,456	7,538,555
2016-04-07	$2041.07	$2000.00	14.3%	4.1%	11.1%	21.0%	16.1%	5.2%	0.1%	3.53B	-72.63B	-2.35B	1.88	30.90	391,775	738,401	3,921,051	7,612,960
2016-04-08	$2045.46	$2000.00	13.5%	3.9%	11.0%	17.3%	15.3%	5.1%	0.2%	8.13B	-90.04B	-2.34B	2.27	33.62	336,589	763,721	4,003,027	7,822,066
2016-04-11	$2044.58	$2000.00	13.8%	4.0%	9.4%	18.8%	15.4%	5.3%	0.1%	4.82B	-85.56B	-2.33B	1.97	37.67	305,279	601,045	3,948,089	7,503,363
2016-04-12	$2061.05	$2000.00	12.9%	3.7%	9.8%	14.7%	14.3%	4.9%	0.1%	12.59B	-148.12B	-2.33B	1.75	38.16	333,066	581,539	4,021,265	7,695,821
2016-04-13	$2081.98	$2000.00	11.7%	3.4%	10.2%	9.0%	13.3%	4.5%	0.2%	24.13B	-232.18B	-2.29B	1.38	40.16	499,367	688,783	4,094,488	7,868,791
2016-04-14	$2082.06	$2000.00	11.6%	3.4%	10.0%	8.6%	13.0%	4.4%	0.2%	24.37B	-237.41B	-2.34B	1.54	42.83	494,862	761,425	4,200,379	7,941,575
2016-04-15	$2080.26	$2000.00	11.6%	3.3%	9.9%	8.2%	13.4%	4.6%	0.2%	18.62B	-230.80B	-2.38B	1.69	43.72	487,939	823,072	4,345,214	8,223,378
2016-04-18	$2093.71	$2005.00	11.1%	3.2%	10.0%	6.1%	13.1%	4.4%	0.3%	20.87B	-209.10B	-2.33B	2.07	43.39	285,266	590,174	3,890,238	6,852,942
2016-04-19	$2099.10	$2005.00	11.2%	3.2%	10.0%	6.5%	11.8%	4.2%	0.2%	22.50B	-233.38B	-2.33B	1.45	44.64	491,066	713,731	3,982,084	7,042,674
2016-04-20	$2103.69	$2010.00	11.0%	3.2%	10.0%	5.7%	13.1%	3.9%	0.4%	26.28B	-248.77B	-2.38B	1.81	33.89	539,459	975,217	4,121,385	7,251,153
2016-04-21	$2091.41	$2025.00	11.7%	3.3%	10.0%	9.1%	13.2%	4.0%	0.3%	16.44B	-196.98B	-2.49B	1.87	45.31	422,184	788,009	4,270,751	7,497,105
2016-04-22	$2092.04	$2025.00	11.3%	3.2%	9.9%	7.0%	12.9%	3.8%	0.4%	14.33B	-199.31B	-2.51B	2.26	45.11	362,496	819,154	4,386,902	7,754,084
2016-04-25	$2085.08	$2025.00	12.2%	3.4%	10.1%	11.1%	14.5%	4.5%	-0.3%	10.46B	-153.70B	-2.53B	2.10	28.92	274,145	575,112	4,231,919	7,512,791
2016-04-26	$2090.58	$2025.00	12.1%	3.4%	9.7%	10.6%	12.9%	4.3%	-0.3%	13.38B	-178.44B	-2.53B	2.25	30.38	255,862	576,638	4,316,552	7,680,045
2016-04-27	$2095.81	$2025.00	11.8%	3.3%	9.6%	9.5%	12.5%	4.1%	-0.3%	19.57B	-201.54B	-2.50B	1.99	30.75	324,943	645,303	4,372,672	7,821,439
2016-04-28	$2072.71	$2025.00	13.0%	3.7%	10.5%	15.2%	14.4%	4.8%	-0.4%	3.63B	-94.43B	-2.56B	1.85	32.32	367,610	681,138	4,392,683	7,909,699
2016-04-29	$2065.80	$2025.00	13.5%	3.9%	10.3%	17.2%	14.9%	5.1%	-0.4%	-6.28B	-58.71B	-2.60B	1.98	36.06	471,170	932,253	4,463,707	8,139,924