SPX Options History — July 2016

In July 2016, SPX traded between $2088.67 and $2174.86. ATM implied volatility averaged 10.7%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 6.5% (HV 20d: 17.1%). Max pain ranged from $2070.00 to $2110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2016-07-08: Highest Volume — 1,999,243 contracts
  • 2016-07-08: Largest IV drop — 15.5% change
  • 2016-07-05: Highest IV Rank — 15.1%
  • 2016-07-05: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2149.11$2088.67$2174.86$2105.00$2174.86
Max Pain$2093.25$2070.00$2110.00$2070.00$2110.00
ATM IV10.7%9.4%13.0%12.2%9.4%
Expected Move3.0%2.6%3.8%3.1%2.6%
HV 20d17.1%8.0%20.0%19.0%8.0%
HV 60d13.3%13.0%13.5%13.1%13.0%
IV Rank4.7%0.0%15.1%11.1%0.0%
IV Percentile7.8%0.0%34.5%23.8%0.0%
Term Structure0.2%-0.1%0.6%0.4%0.1%
VWIV12.2%10.2%16.2%12.9%12.2%
Skew 25d4.0%3.1%5.3%4.6%4.0%
Skew 10d7.7%5.4%10.5%9.8%7.4%
Call IV 25d9.1%8.1%10.9%10.1%8.1%
Put IV 25d13.1%11.7%16.1%14.7%12.1%
Bid-Ask Spread %35.4628.9249.9746.0931.50
Gamma HHI0.050.030.100.030.10
Net GEX34.98B5.26B53.83B15.94B47.16B
Net DEX-285.33B-419.67B-61.71B-141.89B-342.49B
Net VEX-2.75B-2.91B-2.60B-2.66B-2.81B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.741.102.181.962.07
Total Volume1,377,926.65904,0921,999,2431,622,5961,501,392
Total OI14,208,686.3513,228,32715,398,98113,501,21515,000,509

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$2105.00$2070.0012.2%3.1%19.0%11.1%12.9%4.6%0.4%15.94B-141.89B-2.66B1.9646.09548,4911,074,1054,715,7418,785,474
2016-07-05$2088.67$2075.0013.0%3.8%19.1%15.1%16.2%5.2%0.2%5.26B-61.71B-2.62B2.1429.31412,746883,1324,628,4438,599,884
2016-07-06$2100.13$2075.0012.7%3.7%19.2%13.4%14.9%5.3%0.1%19.38B-113.13B-2.65B2.0729.84422,100875,7214,731,9358,851,561
2016-07-07$2097.50$2075.0012.6%3.7%19.1%12.9%14.9%5.0%-0.1%9.79B-99.47B-2.65B1.8032.89473,504853,6894,795,5368,950,507
2016-07-08$2130.38$2075.0010.6%3.1%20.0%3.8%12.9%4.1%0.2%43.25B-263.21B-2.60B1.2330.79894,8751,104,3684,930,6969,145,148
2016-07-11$2138.40$2080.0010.8%3.2%19.6%4.6%12.6%4.1%0.2%40.64B-288.93B-2.61B1.1032.26764,590844,2185,035,8898,765,848
2016-07-12$2152.42$2090.0010.7%3.1%19.4%4.2%12.1%3.2%0.2%52.66B-365.53B-2.63B1.2332.18778,127958,0075,258,2769,044,574
2016-07-13$2152.91$2095.0010.3%3.0%19.4%2.3%11.6%3.6%0.1%50.45B-366.54B-2.70B1.6132.53512,093826,0915,446,5679,346,408
2016-07-14$2164.87$2100.0010.2%3.0%19.4%2.0%11.0%3.1%0.3%53.83B-419.67B-2.72B1.1933.51768,837914,2615,423,2329,509,004
2016-07-15$2161.27$2100.0010.0%2.9%19.4%0.9%11.4%3.4%0.3%43.86B-389.02B-2.79B1.4537.86677,584981,9985,547,8979,851,084
2016-07-18$2167.48$2100.0010.1%2.9%19.3%1.5%11.6%3.7%0.4%35.66B-325.76B-2.76B1.9938.54392,322779,0684,963,4438,439,307
2016-07-19$2162.23$2100.009.9%2.9%19.3%0.0%11.3%3.6%0.1%33.49B-297.96B-2.80B1.9234.23354,762679,6565,083,5258,664,149
2016-07-20$2174.27$2100.009.5%2.7%19.4%0.0%10.2%3.4%0.4%53.49B-365.09B-2.79B1.3933.03696,213970,8505,181,0968,838,270
2016-07-21$2164.64$2100.0010.3%2.9%19.5%4.0%11.5%4.1%0.4%32.25B-308.74B-2.91B1.9437.34399,703777,4005,290,1459,076,090
2016-07-22$2173.86$2100.009.5%2.7%19.1%0.1%10.9%3.5%0.6%42.43B-351.97B-2.84B2.0728.92394,201816,7655,309,6809,271,023
2016-07-25$2166.81$2100.0010.5%2.9%14.7%4.9%11.4%4.3%0.1%28.83B-290.17B-2.86B1.8845.28360,569678,1145,135,0528,969,251
2016-07-26$2168.48$2100.0010.4%2.9%11.3%4.2%11.5%3.9%0.3%30.32B-298.69B-2.88B2.1843.49284,002620,0905,218,3929,183,134
2016-07-27$2166.62$2110.0010.4%2.9%10.2%4.3%11.2%4.1%0.1%27.59B-291.48B-2.87B1.7049.97392,756666,1015,270,1579,298,958
2016-07-28$2171.46$2110.0010.3%2.9%8.8%3.8%11.0%3.9%0.0%33.40B-325.06B-2.83B1.8729.67427,085798,9475,293,4189,324,424
2016-07-29$2174.86$2110.009.4%2.6%8.0%0.0%12.2%4.0%0.1%47.16B-342.49B-2.81B2.0731.50489,4971,011,8955,427,2769,573,233