SPX Options History — June 2016

In June 2016, SPX traded between $1999.57 and $2118.85. ATM implied volatility averaged 14.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.9% (HV 20d: 10.6%). Max pain ranged from $2040.00 to $2075.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.87.

Notable Days

2016-06-24: Highest Volume — 1,990,141 contracts
2016-06-24: Largest IV spike — 36.9% change
2016-06-27: Highest IV Rank — 47.1%
2016-06-27: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2083.80	$1999.57	$2118.85	$2097.94	$2095.26
Max Pain	$2070.00	$2040.00	$2075.00	$2040.00	$2070.00
ATM IV	14.6%	11.3%	19.9%	12.0%	13.0%
Expected Move	4.2%	3.1%	5.8%	3.1%	3.6%
HV 20d	10.6%	6.8%	18.9%	10.2%	18.9%
HV 60d	10.3%	9.2%	13.4%	10.0%	13.4%
IV Rank	22.4%	6.9%	47.1%	10.2%	15.2%
IV Percentile	46.5%	7.9%	82.5%	20.2%	34.5%
Term Structure	-0.1%	-0.6%	0.4%	-0.2%	-0.1%
VWIV	16.4%	11.7%	22.3%	11.7%	14.0%
Skew 25d	6.2%	4.2%	8.8%	4.8%	5.1%
Skew 10d	12.1%	8.2%	17.1%	8.7%	10.8%
Call IV 25d	11.9%	9.6%	16.1%	10.2%	11.0%
Put IV 25d	18.1%	13.8%	24.1%	14.9%	16.0%
Bid-Ask Spread %	29.89	17.93	46.56	33.94	46.56
Gamma HHI	0.03	0.02	0.08	0.04	0.03
Net GEX	5.36B	-32.64B	38.21B	20.75B	11.83B
Net DEX	-88.13B	-331.70B	296.43B	-205.50B	-113.33B
Net VEX	-2.55B	-2.72B	-2.35B	-2.41B	-2.65B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	1.50	2.39	2.17	1.67
Total Volume	1,426,363.591	1,016,081	1,990,141	1,177,160	1,887,782
Total OI	14,006,240.091	12,301,622	15,921,186	13,348,716	14,195,764

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
2016-06-01	$2097.94	$2040.00	12.0%	3.1%	10.2%	10.2%	11.7%	4.8%	-0.2%	20.75B	-205.50B	-2.41B	2.17	33.94	371,588	805,572	4,830,820	8,517,896
2016-06-02	$2103.41	$2060.00	11.5%	3.3%	9.9%	8.1%	13.8%	4.4%	0.1%	24.89B	-236.61B	-2.38B	2.04	26.75	333,991	682,090	4,900,323	8,756,078
2016-06-03	$2100.06	$2060.00	11.3%	3.2%	9.9%	6.9%	12.8%	4.2%	-0.1%	29.12B	-229.12B	-2.37B	1.50	26.73	530,338	797,389	5,007,074	8,943,152
2016-06-06	$2110.19	$2065.00	11.5%	3.3%	9.9%	7.8%	13.1%	4.3%	-0.0%	26.19B	-268.29B	-2.35B	1.99	28.74	391,303	778,984	4,937,648	8,767,563
2016-06-07	$2112.27	$2065.00	11.6%	3.3%	9.9%	8.3%	13.5%	4.2%	0.1%	28.16B	-292.15B	-2.36B	1.57	27.41	540,134	847,616	5,084,775	8,995,994
2016-06-08	$2118.85	$2070.00	11.5%	3.3%	9.0%	7.8%	13.0%	4.5%	0.0%	38.21B	-331.70B	-2.40B	1.70	28.28	391,045	665,844	5,252,126	9,250,561
2016-06-09	$2116.85	$2070.00	12.0%	3.4%	8.2%	10.5%	14.4%	4.7%	-0.1%	28.26B	-310.41B	-2.45B	1.84	25.98	368,010	676,193	5,298,017	9,309,347
2016-06-10	$2095.85	$2075.00	14.1%	4.0%	9.1%	20.0%	15.6%	6.1%	-0.2%	7.36B	-160.56B	-2.59B	2.02	21.91	437,914	886,286	5,370,470	9,529,501
2016-06-13	$2078.51	$2075.00	16.6%	4.7%	9.1%	32.0%	18.3%	7.9%	-0.0%	-4.16B	-61.07B	-2.64B	1.99	17.93	387,766	770,367	5,220,015	9,174,768
2016-06-14	$2074.52	$2075.00	16.7%	4.8%	8.6%	32.5%	18.6%	7.7%	-0.2%	-6.41B	-46.00B	-2.63B	2.01	22.09	471,580	949,597	5,342,556	9,480,445
2016-06-15	$2070.53	$2075.00	16.4%	4.7%	8.6%	31.1%	19.1%	7.2%	0.0%	-8.45B	-26.74B	-2.62B	2.39	21.80	422,177	1,007,584	5,439,996	9,744,429
2016-06-16	$2077.81	$2075.00	15.6%	4.5%	8.2%	27.4%	18.1%	7.0%	0.0%	-2.54B	-78.25B	-2.61B	2.04	23.18	511,103	1,043,164	5,513,001	9,970,239
2016-06-17	$2071.05	$2075.00	16.1%	4.6%	8.2%	29.4%	18.1%	7.2%	-0.1%	-6.34B	-53.42B	-2.63B	1.90	29.52	593,309	1,128,629	5,654,402	10,266,784
2016-06-20	$2082.91	$2075.00	14.9%	4.3%	8.3%	23.8%	17.2%	7.2%	0.4%	-2.00B	-2.06B	-2.60B	1.96	28.23	396,183	774,928	4,193,727	8,107,895
2016-06-21	$2089.75	$2075.00	15.1%	4.4%	8.3%	24.8%	18.4%	7.3%	0.1%	977.3M	-26.66B	-2.62B	2.12	33.45	411,455	871,020	4,287,953	8,326,111
2016-06-22	$2086.90	$2075.00	17.3%	5.1%	6.8%	35.0%	17.5%	8.0%	-0.5%	-80.0M	-7.52B	-2.72B	1.51	32.81	584,817	883,740	4,377,910	8,579,775
2016-06-23	$2111.51	$2075.00	14.1%	4.1%	7.6%	20.0%	16.9%	6.9%	0.0%	14.11B	-111.46B	-2.65B	1.90	40.50	441,519	836,927	4,518,445	8,662,997
2016-06-24	$2045.08	$2075.00	19.2%	5.7%	13.8%	44.2%	22.3%	8.8%	-0.6%	-24.76B	173.99B	-2.70B	2.09	30.23	644,912	1,345,229	4,640,796	8,946,684
2016-06-27	$1999.57	$2075.00	19.9%	5.8%	15.6%	47.1%	20.8%	7.7%	-0.3%	-32.64B	296.43B	-2.55B	1.59	30.61	765,196	1,216,993	4,506,556	8,564,592
2016-06-28	$2035.15	$2070.00	16.0%	4.6%	17.1%	29.2%	17.6%	5.6%	0.2%	-23.09B	155.68B	-2.57B	1.61	39.24	630,121	1,015,041	4,729,861	8,886,795
2016-06-29	$2069.73	$2070.00	14.2%	4.0%	18.4%	20.7%	15.4%	5.5%	0.1%	-1.46B	-4.05B	-2.62B	1.57	41.74	732,471	1,152,092	4,916,637	9,136,804
2016-06-30	$2095.26	$2070.00	13.0%	3.6%	18.9%	15.2%	14.0%	5.1%	-0.1%	11.83B	-113.33B	-2.65B	1.67	46.56	706,721	1,181,061	4,980,245	9,215,519