SPX Options History — December 2016

In December 2016, SPX traded between $2188.65 and $2274.31. ATM implied volatility averaged 10.3%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.4% (HV 20d: 7.9%). Max pain ranged from $2135.00 to $2180.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.50.

Notable Days

2016-12-16: Highest Volume — 1,981,397 contracts
2016-12-05: Largest IV drop — 13.3% change
2016-12-01: Highest IV Rank — 18.7%
2016-12-01: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2246.31	$2188.65	$2274.31	$2188.65	$2236.04
Max Pain	$2161.90	$2135.00	$2180.00	$2135.00	$2180.00
ATM IV	10.3%	9.4%	11.9%	11.9%	11.7%
Expected Move	3.0%	2.7%	3.6%	3.6%	3.3%
HV 20d	7.9%	6.8%	10.0%	10.0%	8.2%
HV 60d	9.2%	8.5%	10.9%	10.9%	8.6%
IV Rank	8.9%	3.3%	18.7%	18.7%	17.6%
IV Percentile	15.7%	3.2%	41.3%	36.5%	41.3%
Term Structure	0.3%	-0.4%	0.6%	0.1%	0.2%
VWIV	11.4%	9.9%	12.9%	12.9%	12.0%
Skew 25d	3.1%	2.3%	4.4%	4.4%	4.2%
Skew 10d	6.1%	4.4%	8.9%	8.9%	8.5%
Call IV 25d	9.2%	8.3%	10.2%	10.2%	10.0%
Put IV 25d	12.3%	10.9%	14.6%	14.6%	14.2%
Bid-Ask Spread %	33.27	23.83	47.59	31.91	27.21
Gamma HHI	0.05	0.03	0.06	0.03	0.03
Net GEX	37.65B	-3.16B	66.42B	11.82B	-3.16B
Net DEX	-399.17B	-703.40B	-98.37B	-224.77B	-98.37B
Net VEX	-2.45B	-2.60B	-2.24B	-2.50B	-2.56B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.99	1.90	1.73	1.50
Total Volume	1,390,554.857	925,912	1,981,397	1,152,672	1,325,789
Total OI	14,158,312.095	11,845,798	17,190,174	14,342,547	12,538,942

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
2016-12-01	$2188.65	$2135.00	11.9%	3.6%	10.0%	18.7%	12.9%	4.4%	0.1%	11.82B	-224.77B	-2.50B	1.73	31.91	422,693	729,979	5,226,350	9,116,197
2016-12-02	$2191.77	$2135.00	11.4%	3.4%	9.3%	15.5%	12.6%	4.3%	-0.4%	8.89B	-243.94B	-2.49B	1.53	31.15	518,912	792,754	5,361,116	9,363,633
2016-12-05	$2204.18	$2150.00	9.9%	3.1%	9.3%	6.3%	12.2%	3.3%	0.5%	28.44B	-336.13B	-2.31B	1.55	34.27	506,966	783,789	5,347,320	9,205,289
2016-12-06	$2210.06	$2150.00	9.7%	3.0%	6.8%	4.9%	11.7%	3.1%	0.4%	36.29B	-385.44B	-2.26B	1.45	38.95	477,231	692,211	5,431,972	9,229,055
2016-12-07	$2239.07	$2150.00	10.0%	3.0%	7.6%	6.8%	11.7%	3.0%	0.4%	62.63B	-562.62B	-2.24B	1.15	23.83	829,946	951,182	5,580,183	9,408,415
2016-12-08	$2245.90	$2150.00	10.4%	3.1%	7.1%	9.6%	11.7%	2.6%	0.4%	60.38B	-595.52B	-2.30B	0.99	27.58	981,459	974,561	5,740,820	9,563,262
2016-12-09	$2258.21	$2150.00	9.5%	2.9%	7.2%	4.3%	11.6%	2.8%	0.5%	66.42B	-650.73B	-2.38B	1.29	26.94	792,285	1,024,621	5,964,869	9,959,969
2016-12-12	$2256.24	$2150.00	10.4%	3.1%	7.2%	9.5%	12.1%	2.7%	0.6%	52.72B	-607.60B	-2.40B	1.49	25.62	602,312	895,234	5,949,135	9,783,037
2016-12-13	$2274.31	$2150.00	10.7%	3.1%	7.4%	11.1%	11.4%	2.3%	0.3%	62.41B	-703.40B	-2.37B	1.06	35.26	831,199	881,721	6,033,181	9,964,299
2016-12-14	$2259.12	$2160.00	10.7%	3.1%	7.8%	11.4%	11.5%	2.7%	0.1%	53.50B	-623.12B	-2.45B	1.49	36.61	635,306	943,726	6,239,658	10,326,379
2016-12-15	$2264.78	$2165.00	10.3%	3.0%	7.7%	9.0%	10.8%	3.2%	0.1%	51.91B	-638.60B	-2.48B	1.27	39.53	638,134	808,639	6,291,644	10,597,608
2016-12-16	$2256.76	$2175.00	9.9%	2.9%	7.8%	6.6%	11.0%	3.2%	-0.3%	46.92B	-599.92B	-2.53B	1.45	36.55	810,250	1,171,147	6,483,212	10,706,962
2016-12-19	$2260.76	$2175.00	9.4%	2.8%	7.8%	3.3%	10.8%	2.5%	0.4%	38.27B	-282.23B	-2.51B	1.79	38.75	422,653	754,791	4,648,477	7,197,321
2016-12-20	$2268.89	$2175.00	9.4%	2.7%	7.7%	3.7%	10.4%	2.4%	0.2%	48.28B	-325.73B	-2.51B	1.59	34.76	441,698	700,616	4,703,008	7,241,974
2016-12-21	$2266.54	$2175.00	9.6%	2.7%	7.7%	4.6%	10.4%	2.4%	0.6%	41.93B	-305.36B	-2.53B	1.79	27.98	458,649	821,558	4,839,586	7,437,955
2016-12-22	$2260.16	$2175.00	9.8%	2.8%	7.8%	5.6%	9.9%	2.7%	0.6%	30.75B	-262.49B	-2.57B	1.50	31.93	562,903	845,050	4,866,492	7,586,406
2016-12-23	$2262.14	$2175.00	9.6%	2.7%	7.8%	4.9%	10.8%	2.8%	0.6%	30.46B	-278.80B	-2.60B	1.90	30.32	372,102	705,794	4,991,057	7,842,260
2016-12-27	$2269.96	$2175.00	10.0%	2.7%	7.4%	7.1%	10.8%	2.9%	0.3%	43.19B	-300.20B	-2.49B	1.51	29.32	369,188	556,724	4,694,708	7,440,549
2016-12-28	$2250.04	$2175.00	10.9%	2.9%	8.3%	12.5%	11.0%	3.6%	-0.0%	11.36B	-181.39B	-2.53B	1.70	47.59	416,546	709,875	4,715,247	7,486,157
2016-12-29	$2248.87	$2175.00	11.2%	3.1%	8.3%	14.3%	12.1%	4.0%	-0.1%	7.29B	-176.28B	-2.54B	1.78	42.63	374,696	666,763	4,683,110	7,537,740
2016-12-30	$2236.04	$2180.00	11.7%	3.3%	8.2%	17.6%	12.0%	4.2%	0.2%	-3.16B	-98.37B	-2.56B	1.50	27.21	529,249	796,540	4,772,190	7,766,752