SPX Options History — October 2016

In October 2016, SPX traded between $2126.84 and $2163.75. ATM implied volatility averaged 12.7%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.6% (HV 20d: 10.1%). Max pain ranged from $2150.00 to $2160.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.01.

Notable Days

2016-10-21: Highest Volume — 1,619,726 contracts
2016-10-11: Largest IV spike — 19.0% change
2016-10-13: Highest IV Rank — 34.7%
2016-10-31: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2143.90	$2126.84	$2163.75	$2162.76	$2127.62
Max Pain	$2152.14	$2150.00	$2160.00	$2150.00	$2150.00
ATM IV	12.7%	11.1%	14.5%	11.3%	14.5%
Expected Move	3.7%	3.2%	4.7%	3.2%	4.7%
HV 20d	10.1%	6.9%	14.4%	14.2%	6.9%
HV 60d	9.4%	9.1%	9.5%	9.2%	9.3%
IV Rank	23.3%	13.9%	34.7%	15.3%	34.5%
IV Percentile	42.7%	19.0%	68.3%	21.4%	68.3%
Term Structure	0.2%	-0.5%	1.7%	0.5%	0.1%
VWIV	13.9%	12.0%	17.5%	12.6%	17.5%
Skew 25d	5.3%	4.8%	6.2%	5.0%	6.2%
Skew 10d	9.7%	8.8%	11.8%	9.1%	11.8%
Call IV 25d	10.3%	8.8%	12.0%	9.0%	12.0%
Put IV 25d	15.6%	13.7%	18.3%	14.0%	18.3%
Bid-Ask Spread %	36.95	26.44	54.41	54.41	36.47
Gamma HHI	0.03	0.03	0.04	0.03	0.04
Net GEX	-13.92B	-29.27B	1.39B	-1.53B	-23.21B
Net DEX	19.05B	-68.53B	100.81B	-53.22B	84.93B
Net VEX	-2.53B	-2.59B	-2.43B	-2.58B	-2.54B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.01	1.65	2.42	1.93	2.13
Total Volume	1,165,506.095	949,223	1,619,726	1,087,034	1,016,808
Total OI	13,453,193.095	12,747,907	14,533,000	12,747,907	13,459,244

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
2016-10-03	$2162.76	$2150.00	11.3%	3.2%	14.2%	15.3%	12.6%	5.0%	0.5%	-1.53B	-53.22B	-2.58B	1.93	54.41	370,455	716,579	4,302,696	8,445,211
2016-10-04	$2150.96	$2150.00	12.1%	3.5%	14.3%	19.9%	12.5%	5.2%	0.3%	-12.19B	-2.21B	-2.58B	1.88	26.44	374,528	705,654	4,350,211	8,530,463
2016-10-05	$2159.83	$2150.00	11.5%	3.2%	14.4%	15.9%	12.0%	5.2%	1.3%	-4.90B	-48.23B	-2.55B	2.08	27.70	311,484	646,328	4,420,707	8,695,447
2016-10-06	$2160.93	$2160.00	11.5%	3.6%	14.4%	16.1%	13.4%	4.9%	1.5%	-3.11B	-58.31B	-2.54B	2.28	40.41	303,108	690,499	4,441,628	8,689,041
2016-10-07	$2154.91	$2155.00	11.1%	3.6%	11.9%	13.9%	13.9%	4.8%	1.7%	-9.10B	-29.95B	-2.56B	2.12	42.78	422,772	896,297	4,493,865	8,841,810
2016-10-10	$2163.75	$2155.00	11.8%	3.4%	11.1%	18.2%	13.4%	5.3%	0.2%	1.39B	-68.53B	-2.49B	2.17	45.36	344,203	745,214	4,391,514	8,614,860
2016-10-11	$2136.72	$2160.00	14.1%	3.9%	10.3%	31.9%	14.0%	5.6%	0.2%	-20.70B	61.92B	-2.54B	1.86	37.84	457,623	851,311	4,454,358	8,689,620
2016-10-12	$2140.93	$2160.00	13.9%	3.9%	10.3%	30.9%	15.0%	5.9%	-0.4%	-18.03B	44.38B	-2.54B	2.26	38.29	338,571	766,448	4,522,996	8,925,481
2016-10-13	$2134.05	$2155.00	14.5%	4.1%	9.6%	34.7%	15.4%	5.9%	-0.5%	-22.82B	78.76B	-2.59B	1.79	34.83	459,627	821,941	4,553,528	9,005,185
2016-10-14	$2137.43	$2150.00	13.9%	4.0%	9.5%	30.8%	14.7%	5.5%	0.0%	-19.12B	56.12B	-2.57B	1.84	39.48	461,954	851,361	4,666,573	9,231,391
2016-10-17	$2127.48	$2150.00	14.4%	4.1%	9.6%	33.7%	15.0%	5.4%	0.0%	-25.35B	100.81B	-2.54B	1.96	37.49	341,141	667,952	4,578,239	8,987,802
2016-10-18	$2140.02	$2150.00	13.2%	3.8%	9.9%	26.3%	14.3%	5.4%	-0.1%	-15.44B	35.87B	-2.50B	1.65	31.12	469,077	776,199	4,649,814	9,093,261
2016-10-19	$2146.63	$2150.00	12.4%	3.6%	9.3%	21.6%	14.2%	5.2%	-0.1%	-9.95B	-1.68B	-2.50B	1.84	28.09	461,211	847,346	4,786,628	9,272,414
2016-10-20	$2141.22	$2150.00	12.0%	3.4%	8.9%	19.3%	13.1%	4.9%	-0.1%	-15.86B	29.97B	-2.49B	1.81	40.12	451,630	817,813	4,844,706	9,399,101
2016-10-21	$2141.17	$2150.00	11.7%	3.4%	8.7%	17.1%	12.9%	4.8%	-0.0%	-14.43B	22.95B	-2.47B	2.02	33.80	536,762	1,082,964	4,955,132	9,577,868
2016-10-24	$2150.74	$2150.00	11.1%	3.3%	8.4%	14.0%	12.9%	4.9%	-0.1%	-2.68B	-25.44B	-2.43B	2.42	37.60	282,180	681,946	4,375,744	8,541,667
2016-10-25	$2143.10	$2150.00	11.8%	3.5%	8.2%	17.9%	12.4%	4.8%	-0.2%	-12.33B	7.19B	-2.46B	2.42	37.69	277,267	671,956	4,441,346	8,643,318
2016-10-26	$2141.22	$2150.00	12.3%	3.7%	8.0%	21.1%	13.0%	5.1%	-0.1%	-14.55B	18.41B	-2.48B	1.87	37.90	374,755	701,965	4,521,803	8,802,626
2016-10-27	$2133.66	$2150.00	12.9%	3.9%	7.7%	24.9%	14.0%	5.3%	-0.1%	-19.15B	54.09B	-2.51B	1.86	33.27	386,229	718,027	4,605,013	8,891,620
2016-10-28	$2126.84	$2150.00	14.1%	4.4%	7.1%	31.9%	16.5%	5.9%	0.1%	-29.27B	92.20B	-2.58B	2.09	34.82	445,186	931,257	4,739,568	9,083,556
2016-10-31	$2127.62	$2150.00	14.5%	4.7%	6.9%	34.5%	17.5%	6.2%	0.1%	-23.21B	84.93B	-2.54B	2.13	36.47	325,088	691,720	4,634,622	8,824,622