SPX Options History — May 2016

In May 2016, SPX traded between $2041.19 and $2098.85. ATM implied volatility averaged 12.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.8% (HV 20d: 10.0%). Max pain ranged from $2025.00 to $2040.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.03.

Notable Days

2016-05-20: Highest Volume — 1,504,406 contracts
2016-05-10: Largest IV drop — 10.4% change
2016-05-19: Highest IV Rank — 21.0%
2016-05-05: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2065.82	$2041.19	$2098.85	$2080.56	$2098.85
Max Pain	$2036.43	$2025.00	$2040.00	$2025.00	$2040.00
ATM IV	12.8%	10.9%	14.3%	12.2%	11.8%
Expected Move	3.6%	2.8%	4.1%	3.5%	3.0%
HV 20d	10.0%	8.7%	11.7%	10.5%	10.6%
HV 60d	11.0%	10.0%	12.8%	12.8%	10.0%
IV Rank	14.2%	5.3%	21.0%	11.2%	9.5%
IV Percentile	34.9%	5.2%	53.6%	30.2%	17.1%
Term Structure	0.5%	0.0%	1.2%	0.4%	0.1%
VWIV	13.5%	10.6%	15.1%	13.5%	11.2%
Skew 25d	4.6%	4.0%	5.1%	4.5%	4.5%
Skew 10d	8.9%	7.8%	9.8%	8.9%	8.8%
Call IV 25d	10.9%	9.3%	12.1%	10.2%	10.0%
Put IV 25d	15.5%	13.3%	17.1%	14.7%	14.5%
Bid-Ask Spread %	28.57	19.37	36.17	35.22	31.79
Gamma HHI	0.03	0.03	0.08	0.03	0.06
Net GEX	2.37B	-17.32B	33.35B	7.52B	27.10B
Net DEX	-68.90B	-230.99B	49.84B	-121.54B	-218.92B
Net VEX	-2.49B	-2.57B	-2.39B	-2.51B	-2.39B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.03	1.53	2.66	2.10	2.08
Total Volume	1,117,362.381	566,427	1,504,406	786,973	1,288,366
Total OI	13,077,625.381	11,977,988	14,278,168	11,977,988	13,413,377

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
2016-05-02	$2080.56	$2025.00	12.2%	3.5%	10.5%	11.2%	13.5%	4.5%	0.4%	7.52B	-121.54B	-2.51B	2.10	35.22	253,891	533,082	4,301,658	7,676,330
2016-05-03	$2063.57	$2025.00	13.2%	3.8%	10.3%	16.1%	14.2%	5.0%	0.1%	-467.1M	-51.37B	-2.53B	2.23	33.99	308,934	690,351	4,370,994	7,816,336
2016-05-04	$2051.71	$2025.00	14.1%	4.0%	9.8%	20.4%	15.0%	4.9%	0.0%	-12.27B	-309.1M	-2.57B	1.68	32.17	435,094	730,594	4,433,483	8,043,961
2016-05-05	$2048.08	$2035.00	14.0%	4.1%	8.7%	19.6%	15.1%	4.8%	0.1%	-8.09B	11.41B	-2.57B	2.38	22.20	296,450	704,543	4,467,878	8,112,776
2016-05-06	$2055.73	$2035.00	13.1%	3.9%	8.8%	15.4%	14.5%	4.4%	0.1%	-2.00B	-25.30B	-2.55B	2.04	25.60	436,727	890,751	4,529,529	8,339,764
2016-05-09	$2057.22	$2035.00	12.9%	3.8%	8.8%	14.7%	14.4%	4.6%	0.3%	-2.26B	-39.69B	-2.48B	2.66	23.05	229,444	609,674	4,466,043	8,042,005
2016-05-10	$2083.71	$2035.00	11.6%	3.4%	9.5%	8.4%	13.3%	4.2%	0.4%	14.29B	-158.21B	-2.46B	1.99	25.54	348,688	694,639	4,535,897	8,210,666
2016-05-11	$2065.17	$2035.00	12.7%	3.7%	9.3%	13.5%	13.9%	4.5%	0.4%	1.83B	-69.94B	-2.50B	2.20	25.35	340,138	746,784	4,649,489	8,360,965
2016-05-12	$2063.83	$2035.00	12.4%	3.7%	9.3%	12.4%	13.9%	4.4%	0.4%	-807.5M	-58.39B	-2.49B	2.29	25.74	293,389	671,543	4,681,693	8,446,043
2016-05-13	$2046.85	$2040.00	13.3%	3.9%	9.7%	16.5%	14.0%	4.6%	0.4%	-12.84B	24.39B	-2.49B	2.29	21.21	377,325	863,731	4,752,748	8,640,080
2016-05-16	$2065.43	$2040.00	12.7%	3.7%	10.0%	13.7%	13.7%	4.7%	1.1%	246.3M	-68.98B	-2.44B	1.69	19.37	336,121	568,515	4,637,369	8,441,874
2016-05-17	$2060.13	$2040.00	13.0%	3.8%	10.0%	15.2%	14.0%	4.9%	1.2%	-3.91B	-41.34B	-2.47B	2.31	28.97	171,000	395,427	4,740,381	8,652,062
2016-05-18	$2044.72	$2040.00	13.9%	4.0%	10.2%	19.4%	14.8%	4.9%	1.1%	-14.48B	34.94B	-2.52B	1.75	28.77	478,672	839,954	4,852,923	8,864,304
2016-05-19	$2041.19	$2040.00	14.3%	4.0%	10.0%	21.0%	14.8%	5.0%	1.2%	-17.32B	49.84B	-2.52B	1.87	32.36	491,215	920,387	4,890,507	8,992,957
2016-05-20	$2051.37	$2040.00	13.4%	3.7%	10.3%	16.8%	13.7%	4.5%	1.2%	-6.75B	-9.22B	-2.52B	1.75	33.18	547,635	956,771	5,027,815	9,250,353
2016-05-23	$2048.28	$2040.00	13.8%	3.7%	10.2%	18.8%	13.6%	5.1%	0.3%	-8.25B	13.71B	-2.48B	2.26	34.65	322,891	731,162	4,477,609	8,101,224
2016-05-24	$2076.82	$2040.00	12.5%	3.3%	11.4%	12.7%	12.5%	4.8%	0.2%	10.99B	-118.34B	-2.46B	1.76	36.17	464,703	816,364	4,575,627	8,346,620
2016-05-25	$2091.05	$2040.00	11.8%	3.1%	11.7%	9.3%	11.9%	4.3%	0.3%	23.20B	-190.95B	-2.46B	1.53	27.89	545,218	834,110	4,705,189	8,558,040
2016-05-26	$2089.96	$2040.00	11.6%	3.0%	10.9%	8.3%	11.3%	4.1%	0.3%	20.74B	-177.77B	-2.48B	1.88	28.10	369,795	696,677	4,805,255	8,647,864
2016-05-27	$2098.07	$2040.00	10.9%	2.8%	10.9%	5.3%	10.6%	4.0%	0.3%	33.35B	-230.99B	-2.42B	1.91	28.70	423,779	810,076	4,915,153	8,855,292
2016-05-31	$2098.85	$2040.00	11.8%	3.0%	10.6%	9.5%	11.2%	4.5%	0.1%	27.10B	-218.92B	-2.39B	2.08	31.79	418,473	869,893	4,821,491	8,591,886