SPX Options History — August 2016

In August 2016, SPX traded between $2157.41 and $2189.27. ATM implied volatility averaged 9.9%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 4.0% (HV 20d: 5.9%). Max pain ranged from $2080.00 to $2120.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.06.

Notable Days

2016-08-05: Highest Volume — 1,575,239 contracts
2016-08-24: Largest IV spike — 14.0% change
2016-08-25: Highest IV Rank — 14.2%
2016-08-02: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2177.29	$2157.41	$2189.27	$2167.95	$2170.64
Max Pain	$2098.91	$2080.00	$2120.00	$2115.00	$2110.00
ATM IV	9.9%	8.8%	11.5%	9.9%	11.2%
Expected Move	2.7%	2.4%	3.0%	2.7%	2.9%
HV 20d	5.9%	5.0%	8.1%	8.1%	5.2%
HV 60d	12.4%	12.1%	13.0%	13.0%	12.1%
IV Rank	4.6%	0.0%	14.2%	1.9%	12.6%
IV Percentile	5.5%	0.0%	17.1%	1.2%	16.3%
Term Structure	0.4%	0.0%	1.2%	0.3%	0.0%
VWIV	10.5%	9.4%	12.0%	10.5%	11.2%
Skew 25d	4.5%	3.5%	5.4%	4.0%	5.4%
Skew 10d	8.7%	6.8%	10.4%	8.1%	9.9%
Call IV 25d	8.2%	7.0%	9.2%	8.5%	8.8%
Put IV 25d	12.6%	11.0%	14.5%	12.5%	14.2%
Bid-Ask Spread %	33.91	28.80	41.88	34.33	33.41
Gamma HHI	0.04	0.03	0.06	0.04	0.03
Net GEX	21.85B	-1.45B	42.13B	24.92B	1.25B
Net DEX	-282.47B	-375.47B	-166.74B	-273.46B	-187.44B
Net VEX	-2.69B	-2.83B	-2.56B	-2.79B	-2.61B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.43	2.64	2.34	2.50
Total Volume	1,116,032.217	803,147	1,575,239	1,123,749	1,133,531
Total OI	14,868,253.087	13,925,886	16,093,512	14,067,420	15,010,713

Daily Data (23 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
2016-08-01	$2167.95	$2115.00	9.9%	2.7%	8.1%	1.9%	10.5%	4.0%	0.3%	24.92B	-273.46B	-2.79B	2.34	34.33	336,719	787,030	5,103,699	8,963,721
2016-08-02	$2157.41	$2120.00	11.0%	3.0%	7.7%	7.2%	12.0%	4.3%	0.3%	13.89B	-208.00B	-2.82B	1.96	28.92	389,506	764,229	5,194,822	9,196,278
2016-08-03	$2162.25	$2120.00	10.5%	2.8%	7.6%	4.8%	10.8%	4.4%	0.2%	17.30B	-230.41B	-2.83B	2.59	32.89	262,555	678,861	5,265,822	9,380,913
2016-08-04	$2164.11	$2080.00	10.1%	3.0%	7.5%	2.9%	11.7%	4.2%	0.2%	20.23B	-248.77B	-2.80B	2.39	33.89	278,827	665,914	5,250,087	9,455,487
2016-08-05	$2181.97	$2080.00	9.0%	2.8%	6.0%	0.0%	10.8%	3.5%	0.3%	42.13B	-355.21B	-2.74B	1.93	33.31	537,250	1,037,989	5,313,411	9,657,155
2016-08-08	$2179.70	$2085.00	9.1%	2.7%	6.0%	0.3%	10.2%	4.0%	0.3%	35.04B	-338.62B	-2.66B	1.94	34.54	370,369	718,053	5,221,943	9,358,851
2016-08-09	$2181.16	$2085.00	9.0%	2.7%	5.6%	0.0%	10.3%	3.6%	0.3%	37.22B	-342.06B	-2.67B	2.10	37.19	321,356	676,179	5,315,388	9,559,619
2016-08-10	$2174.69	$2085.00	9.6%	2.8%	5.7%	2.7%	10.8%	4.2%	0.3%	27.00B	-286.10B	-2.74B	1.96	30.70	380,929	747,974	5,391,171	9,731,175
2016-08-11	$2186.85	$2090.00	9.2%	2.7%	5.7%	0.8%	10.7%	3.9%	0.5%	38.50B	-375.47B	-2.69B	2.06	36.59	323,574	667,320	5,402,522	9,816,147
2016-08-12	$2183.96	$2090.00	8.8%	2.6%	5.7%	0.0%	10.7%	4.0%	0.5%	35.09B	-349.67B	-2.71B	1.98	38.36	376,554	744,001	5,473,527	10,021,938
2016-08-15	$2189.27	$2095.00	9.0%	2.6%	5.7%	0.8%	10.1%	4.6%	1.0%	37.54B	-370.58B	-2.65B	1.76	32.44	423,641	747,655	5,318,492	9,636,931
2016-08-16	$2179.89	$2100.00	9.8%	2.8%	5.9%	4.2%	11.4%	4.5%	0.2%	25.11B	-308.73B	-2.73B	1.95	33.18	398,575	776,594	5,405,859	9,850,972
2016-08-17	$2182.46	$2100.00	9.6%	2.8%	5.6%	3.3%	10.6%	4.5%	1.0%	23.19B	-319.13B	-2.71B	1.55	30.44	403,371	625,731	5,499,098	10,125,261
2016-08-18	$2186.26	$2100.00	9.0%	2.5%	5.3%	0.8%	9.4%	4.1%	1.2%	26.49B	-355.30B	-2.63B	1.43	29.49	330,213	472,934	5,522,751	10,246,899
2016-08-19	$2183.87	$2100.00	8.8%	2.4%	5.1%	0.0%	9.6%	4.1%	1.2%	25.37B	-343.49B	-2.65B	2.01	41.88	479,266	962,828	5,626,673	10,466,839
2016-08-22	$2182.63	$2100.00	9.5%	2.5%	5.0%	3.2%	9.5%	4.8%	0.2%	17.98B	-258.52B	-2.62B	2.37	35.64	310,730	735,163	4,938,537	8,987,349
2016-08-23	$2187.51	$2100.00	9.6%	2.5%	5.0%	3.5%	10.0%	4.7%	0.2%	22.08B	-292.34B	-2.62B	2.15	32.04	367,924	789,808	5,003,026	9,184,360
2016-08-24	$2176.97	$2100.00	11.0%	2.9%	5.3%	10.8%	10.0%	5.3%	0.1%	9.92B	-227.53B	-2.65B	1.47	28.80	405,645	595,453	5,075,885	9,303,492
2016-08-25	$2172.17	$2100.00	11.5%	3.0%	5.4%	14.2%	11.0%	5.3%	0.1%	4.38B	-189.84B	-2.72B	2.64	40.45	288,046	760,123	5,112,649	9,459,988
2016-08-26	$2170.26	$2105.00	11.4%	3.0%	5.3%	13.5%	10.8%	5.4%	0.0%	-1.45B	-166.74B	-2.71B	2.10	31.87	460,498	968,419	5,190,705	9,714,225
2016-08-29	$2180.03	$2105.00	10.5%	2.7%	5.4%	9.1%	10.0%	5.3%	0.1%	12.01B	-247.33B	-2.56B	2.13	35.91	322,755	687,447	5,070,733	9,438,005
2016-08-30	$2175.76	$2110.00	10.6%	2.7%	5.2%	9.3%	10.3%	4.9%	0.2%	7.27B	-222.19B	-2.59B	2.15	33.59	366,810	790,392	5,155,021	9,551,682
2016-08-31	$2170.64	$2110.00	11.2%	2.9%	5.2%	12.6%	11.2%	5.4%	0.0%	1.25B	-187.44B	-2.61B	2.50	33.41	323,663	809,868	5,244,028	9,766,685