SPX Options History — September 2016

In September 2016, SPX traded between $2125.22 and $2185.30. ATM implied volatility averaged 12.0%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.3% (HV 20d: 10.6%). Max pain ranged from $2110.00 to $2150.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.98.

Notable Days

2016-09-09: Highest Volume — 1,961,157 contracts
2016-09-09: Largest IV spike — 42.0% change
2016-09-13: Highest IV Rank — 42.5%
2016-09-13: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2158.70	$2125.22	$2185.30	$2168.72	$2173.37
Max Pain	$2146.43	$2110.00	$2150.00	$2110.00	$2150.00
ATM IV	12.0%	9.7%	15.8%	11.3%	10.5%
Expected Move	3.4%	2.3%	4.5%	2.9%	3.0%
HV 20d	10.6%	4.6%	14.2%	5.2%	14.2%
HV 60d	11.5%	9.5%	13.6%	12.1%	9.6%
IV Rank	19.0%	5.2%	42.5%	15.0%	10.0%
IV Percentile	30.0%	6.0%	68.7%	17.5%	13.1%
Term Structure	0.1%	-0.3%	0.6%	0.0%	0.6%
VWIV	13.3%	8.6%	17.7%	11.0%	12.4%
Skew 25d	5.3%	4.4%	6.6%	5.2%	5.0%
Skew 10d	10.0%	8.1%	12.7%	9.3%	9.2%
Call IV 25d	9.7%	7.7%	12.8%	9.2%	8.5%
Put IV 25d	14.9%	12.4%	19.4%	14.4%	13.5%
Bid-Ask Spread %	35.39	25.05	45.97	25.05	45.97
Gamma HHI	0.03	0.03	0.05	0.03	0.05
Net GEX	-2.61B	-29.02B	24.04B	1.54B	14.67B
Net DEX	-77.15B	-286.61B	101.03B	-167.39B	-105.95B
Net VEX	-2.57B	-2.65B	-2.39B	-2.63B	-2.60B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.98	1.56	2.50	2.37	1.87
Total Volume	1,304,465.857	890,312	1,961,157	1,027,175	1,291,644
Total OI	14,194,690.857	12,231,374	16,350,957	14,775,302	13,678,074

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
2016-09-01	$2168.72	$2110.00	11.3%	2.9%	5.2%	15.0%	11.0%	5.2%	0.0%	1.54B	-167.39B	-2.63B	2.37	25.05	304,641	722,534	5,177,832	9,597,470
2016-09-02	$2178.83	$2115.00	9.9%	2.3%	4.6%	6.2%	8.6%	4.6%	0.2%	13.70B	-255.83B	-2.51B	2.50	35.30	373,969	933,217	5,244,532	9,839,228
2016-09-06	$2184.50	$2150.00	9.8%	3.0%	4.7%	5.9%	11.8%	4.5%	0.2%	19.69B	-285.42B	-2.44B	2.12	33.07	360,094	763,314	5,093,510	9,523,735
2016-09-07	$2185.30	$2150.00	9.7%	2.9%	4.7%	5.2%	12.6%	4.7%	0.1%	24.04B	-286.61B	-2.44B	2.37	35.57	380,213	900,987	5,180,335	9,678,226
2016-09-08	$2181.78	$2150.00	10.1%	3.0%	4.6%	7.4%	12.2%	4.8%	0.1%	14.92B	-274.79B	-2.39B	2.19	35.91	368,030	807,687	5,201,775	9,768,086
2016-09-09	$2133.87	$2150.00	14.3%	4.0%	8.8%	33.0%	14.9%	6.2%	0.0%	-29.02B	75.29B	-2.61B	2.29	29.86	596,062	1,365,095	5,292,795	10,036,987
2016-09-12	$2161.47	$2150.00	12.6%	3.6%	10.2%	23.0%	14.1%	5.7%	-0.1%	-4.92B	-130.39B	-2.53B	1.59	31.56	671,820	1,069,264	5,260,948	9,841,778
2016-09-13	$2125.22	$2150.00	15.8%	4.5%	11.6%	42.5%	17.7%	6.6%	0.1%	-25.33B	101.03B	-2.65B	1.88	33.66	426,380	801,070	5,393,547	10,076,177
2016-09-14	$2125.43	$2150.00	15.4%	4.3%	11.6%	39.7%	16.7%	6.3%	-0.3%	-27.00B	94.80B	-2.63B	1.56	32.34	500,045	780,287	5,591,679	10,290,123
2016-09-15	$2148.87	$2150.00	13.5%	3.8%	12.4%	28.2%	15.3%	5.9%	-0.1%	-11.11B	-62.14B	-2.63B	1.81	37.13	461,471	835,108	5,643,253	10,317,952
2016-09-16	$2141.07	$2150.00	13.2%	3.7%	12.4%	26.5%	14.2%	5.5%	-0.2%	-15.05B	-17.20B	-2.59B	1.67	33.87	602,603	1,009,223	5,774,061	10,576,896
2016-09-19	$2141.02	$2150.00	13.4%	3.8%	12.4%	27.4%	14.4%	5.5%	0.2%	-12.72B	41.64B	-2.57B	1.85	32.98	343,351	636,497	4,121,274	8,110,100
2016-09-20	$2143.27	$2150.00	13.3%	3.8%	12.4%	27.0%	14.8%	5.5%	-0.0%	-10.31B	30.88B	-2.61B	1.61	36.39	341,531	548,781	4,159,433	8,194,447
2016-09-21	$2164.24	$2150.00	11.4%	3.3%	12.9%	15.3%	13.2%	5.0%	0.3%	2.72B	-60.07B	-2.54B	2.13	34.58	445,821	950,534	4,222,362	8,377,732
2016-09-22	$2178.11	$2150.00	9.8%	2.8%	13.0%	6.2%	11.8%	4.6%	0.5%	15.16B	-128.28B	-2.52B	1.77	42.97	590,881	1,043,175	4,273,333	8,565,817
2016-09-23	$2165.61	$2150.00	10.4%	2.9%	13.2%	9.5%	11.6%	4.4%	0.5%	1.03B	-68.10B	-2.59B	2.26	44.17	432,536	977,328	4,447,703	8,927,236
2016-09-26	$2147.13	$2150.00	12.8%	3.6%	13.5%	23.9%	13.6%	5.3%	-0.2%	-16.17B	27.12B	-2.65B	2.07	30.23	404,577	836,388	4,300,041	8,597,629
2016-09-27	$2159.28	$2150.00	11.3%	3.2%	13.6%	14.7%	12.9%	4.7%	0.2%	-5.29B	-39.29B	-2.60B	1.86	32.21	380,929	708,789	4,341,268	8,712,289
2016-09-28	$2170.03	$2150.00	10.6%	3.0%	13.7%	11.0%	11.5%	4.7%	-0.2%	4.97B	-91.91B	-2.58B	1.78	35.17	409,618	727,290	4,412,100	8,884,015
2016-09-29	$2155.67	$2150.00	12.3%	3.6%	13.9%	21.2%	13.1%	5.5%	-0.2%	-10.28B	-17.64B	-2.65B	1.98	45.24	432,664	858,335	4,435,817	8,926,913
2016-09-30	$2173.37	$2150.00	10.5%	3.0%	14.2%	10.0%	12.4%	5.0%	0.6%	14.67B	-105.95B	-2.60B	1.87	45.97	450,408	841,236	4,540,287	9,137,787