SPX Options History — November 2016

In November 2016, SPX traded between $2085.58 and $2213.35. ATM implied volatility averaged 12.6%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.0% (HV 20d: 9.6%). Max pain ranged from $2120.00 to $2150.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.79.

Notable Days

2016-11-09: Highest Volume — 1,912,635 contracts
2016-11-07: Largest IV drop — 18.3% change
2016-11-04: Highest IV Rank — 61.1%
2016-11-02: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2165.12	$2085.58	$2213.35	$2111.94	$2203.60
Max Pain	$2128.10	$2120.00	$2150.00	$2150.00	$2130.00
ATM IV	12.6%	9.8%	18.9%	16.0%	10.8%
Expected Move	3.7%	2.8%	5.3%	5.2%	3.2%
HV 20d	9.6%	7.0%	10.4%	7.1%	9.7%
HV 60d	10.5%	9.5%	10.9%	9.5%	10.8%
IV Rank	23.1%	6.2%	61.1%	43.3%	11.6%
IV Percentile	37.6%	7.1%	88.1%	76.2%	19.0%
Term Structure	0.2%	-0.5%	1.0%	0.0%	0.1%
VWIV	13.9%	10.5%	19.3%	19.1%	12.0%
Skew 25d	4.9%	3.3%	8.0%	6.5%	3.9%
Skew 10d	9.5%	6.7%	15.2%	12.2%	7.3%
Call IV 25d	10.6%	8.7%	15.1%	13.0%	9.3%
Put IV 25d	15.4%	12.0%	23.0%	19.5%	13.2%
Bid-Ask Spread %	31.55	18.62	39.79	39.79	32.16
Gamma HHI	0.04	0.03	0.05	0.03	0.03
Net GEX	14.27B	-35.78B	49.12B	-26.57B	27.16B
Net DEX	-156.53B	-400.75B	258.51B	146.62B	-330.14B
Net VEX	-2.46B	-2.64B	-2.35B	-2.55B	-2.40B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	1.35	2.42	2.16	1.54
Total Volume	1,465,489.762	1,082,610	1,912,635	1,339,343	1,484,455
Total OI	14,328,276	13,117,056	15,448,523	13,117,056	14,679,905

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
2016-11-01	$2111.94	$2150.00	16.0%	5.2%	7.1%	43.3%	19.1%	6.5%	0.0%	-26.57B	146.62B	-2.55B	2.16	39.79	423,877	915,466	4,572,255	8,544,801
2016-11-02	$2102.76	$2150.00	16.2%	5.3%	7.0%	44.5%	19.3%	6.3%	-0.2%	-32.67B	191.27B	-2.54B	1.73	38.16	484,529	838,958	4,692,095	8,851,074
2016-11-03	$2086.51	$2125.00	18.5%	5.1%	7.3%	58.8%	18.4%	7.6%	-0.5%	-35.73B	257.05B	-2.60B	2.01	18.93	465,561	937,584	4,736,201	8,935,993
2016-11-04	$2085.58	$2125.00	18.9%	5.3%	7.3%	61.1%	18.9%	8.0%	-0.1%	-35.78B	258.51B	-2.64B	2.14	18.62	518,646	1,107,656	4,906,170	9,233,831
2016-11-07	$2127.28	$2125.00	15.4%	4.4%	10.4%	40.1%	16.0%	7.5%	0.0%	-10.02B	47.09B	-2.58B	1.96	20.73	514,441	1,010,468	4,822,290	9,065,527
2016-11-08	$2143.97	$2120.00	14.1%	4.1%	9.9%	31.8%	15.7%	7.0%	0.0%	-401.5M	-41.68B	-2.56B	2.42	23.96	414,499	1,004,901	4,852,007	9,209,752
2016-11-09	$2163.68	$2120.00	12.2%	3.6%	10.3%	20.5%	14.7%	5.3%	0.5%	17.68B	-158.03B	-2.46B	1.77	23.90	689,443	1,223,192	4,953,912	9,575,424
2016-11-10	$2167.46	$2120.00	12.5%	3.7%	10.3%	22.0%	14.0%	5.0%	0.7%	19.73B	-178.19B	-2.49B	1.43	22.82	690,817	984,533	4,979,899	9,383,992
2016-11-11	$2164.21	$2125.00	11.8%	3.6%	10.3%	17.9%	14.1%	4.6%	1.0%	13.53B	-159.48B	-2.49B	2.03	28.74	479,220	972,349	5,160,726	9,728,070
2016-11-14	$2161.89	$2125.00	12.3%	3.6%	10.1%	20.9%	13.6%	4.4%	1.0%	7.30B	-142.50B	-2.45B	1.42	35.52	697,267	987,987	5,088,397	9,385,820
2016-11-15	$2179.55	$2125.00	11.5%	3.3%	10.3%	16.3%	12.7%	3.7%	0.2%	30.52B	-260.75B	-2.41B	1.56	35.64	533,454	833,800	5,237,330	9,448,198
2016-11-16	$2176.55	$2125.00	11.7%	3.4%	10.3%	17.4%	12.6%	4.1%	0.2%	30.18B	-242.32B	-2.43B	1.44	35.80	699,592	1,007,243	5,335,696	9,644,755
2016-11-17	$2186.50	$2125.00	11.4%	3.3%	10.3%	15.6%	12.0%	3.8%	0.1%	36.31B	-304.33B	-2.42B	1.35	37.97	684,396	922,255	5,350,671	9,741,161
2016-11-18	$2183.94	$2125.00	10.7%	3.1%	10.3%	11.4%	11.6%	3.7%	0.3%	32.80B	-292.30B	-2.43B	1.46	35.80	775,579	1,131,787	5,470,071	9,978,452
2016-11-21	$2196.12	$2125.00	10.3%	2.9%	10.4%	8.7%	11.1%	3.3%	0.2%	35.71B	-314.66B	-2.36B	1.59	37.57	501,653	799,862	5,020,017	8,752,838
2016-11-22	$2203.72	$2130.00	10.1%	2.9%	10.3%	7.8%	10.6%	3.5%	0.0%	41.72B	-359.52B	-2.35B	1.93	34.16	478,788	923,755	5,135,281	8,906,395
2016-11-23	$2204.25	$2130.00	10.3%	2.9%	10.2%	8.7%	11.2%	3.4%	0.2%	39.79B	-350.82B	-2.45B	2.06	37.11	406,207	835,142	5,222,834	9,172,410
2016-11-25	$2213.35	$2130.00	9.8%	2.8%	10.1%	6.2%	10.5%	3.3%	-0.2%	49.12B	-400.75B	-2.37B	1.66	37.79	455,268	756,584	5,266,520	9,267,273
2016-11-28	$2201.64	$2130.00	10.6%	3.2%	10.3%	10.6%	11.6%	3.6%	0.4%	29.69B	-326.41B	-2.36B	1.89	37.74	380,740	720,721	5,179,005	9,036,100
2016-11-29	$2203.07	$2130.00	10.5%	3.1%	10.3%	10.0%	12.2%	3.7%	0.3%	29.59B	-325.77B	-2.38B	1.97	29.56	364,214	718,396	5,201,808	9,168,840
2016-11-30	$2203.60	$2130.00	10.8%	3.2%	9.7%	11.6%	12.0%	3.9%	0.1%	27.16B	-330.14B	-2.40B	1.54	32.16	585,161	899,294	5,282,624	9,397,281