SPX Options History — January 2017

In January 2017, SPX traded between $2254.47 and $2298.66. ATM implied volatility averaged 9.3%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.8% (HV 20d: 7.4%). Max pain ranged from $2180.00 to $2250.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.78.

Notable Days

  • 2017-01-20: Highest Volume — 1,770,118 contracts
  • 2017-01-20: Largest IV drop — 11.7% change
  • 2017-01-03: Highest IV Rank — 12.4%
  • 2017-01-03: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2275.04$2254.47$2298.66$2254.47$2278.76
Max Pain$2238.75$2180.00$2250.00$2180.00$2250.00
ATM IV9.3%8.2%10.9%10.9%9.1%
Expected Move2.7%2.3%2.9%2.9%2.6%
HV 20d7.4%6.7%8.8%8.6%6.8%
HV 60d8.5%8.3%8.8%8.8%8.3%
IV Rank3.6%0.0%12.4%12.4%5.7%
IV Percentile5.6%0.0%26.2%26.2%5.6%
Term Structure0.2%-0.1%0.5%0.2%0.2%
VWIV10.7%8.8%12.2%10.8%10.8%
Skew 25d3.2%2.3%4.3%3.9%3.6%
Skew 10d6.3%4.5%8.7%7.8%6.6%
Call IV 25d8.1%7.4%9.3%9.3%8.0%
Put IV 25d11.3%9.8%13.2%13.2%11.5%
Bid-Ask Spread %39.6031.2649.0241.5435.59
Gamma HHI0.040.030.070.040.04
Net GEX25.50B4.38B54.50B15.81B16.74B
Net DEX-231.13B-318.84B-110.56B-175.80B-153.50B
Net VEX-2.50B-2.68B-2.38B-2.44B-2.68B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.781.242.091.642.07
Total Volume1,391,0091,100,8561,770,1181,513,8961,204,058
Total OI12,391,388.1511,299,73913,981,32811,299,73912,570,660

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$2254.47$2180.0010.9%2.9%8.6%12.4%10.8%3.9%0.2%15.81B-175.80B-2.44B1.6441.54573,268940,6284,337,4876,962,252
2017-01-04$2271.84$2180.009.8%2.6%8.7%6.2%9.5%3.2%0.2%37.16B-267.29B-2.38B1.3734.41545,300748,6054,449,7847,219,336
2017-01-05$2268.49$2225.009.7%2.9%8.8%5.4%11.1%3.4%0.2%28.47B-244.39B-2.43B1.7443.83422,344734,2864,537,0537,303,212
2017-01-06$2279.87$2230.009.3%2.8%7.8%2.8%10.8%2.6%0.4%44.85B-318.84B-2.42B1.6443.87581,802956,5724,665,3017,531,064
2017-01-09$2271.43$2235.009.5%2.9%7.9%4.3%11.4%2.6%0.5%26.43B-258.61B-2.41B1.9746.12399,542786,6644,629,9017,397,903
2017-01-10$2271.80$2240.009.6%2.9%7.7%4.7%11.2%2.8%0.2%27.13B-259.35B-2.44B1.9646.98387,655759,6904,670,6707,542,133
2017-01-11$2273.94$2240.009.4%2.8%7.6%3.6%11.6%2.9%0.3%28.88B-263.24B-2.48B1.8345.11479,870877,6944,781,0897,760,090
2017-01-12$2270.40$2245.009.5%2.8%7.1%4.0%11.0%3.2%0.3%21.99B-241.54B-2.48B1.6148.53512,340827,3364,819,3887,867,037
2017-01-13$2276.46$2250.008.9%2.7%6.7%0.4%10.5%3.2%0.5%37.08B-285.63B-2.47B1.7449.02526,601914,9544,949,3638,134,012
2017-01-17$2266.08$2250.009.6%2.8%6.9%4.4%11.3%3.7%0.1%14.12B-208.31B-2.48B1.7043.88528,783901,1354,876,0787,999,587
2017-01-18$2271.46$2250.009.3%2.7%6.8%3.1%12.2%3.8%0.2%22.17B-248.46B-2.45B1.9834.33565,5201,119,5254,949,9908,211,333
2017-01-19$2262.96$2250.009.9%2.8%6.9%6.3%11.9%4.3%0.1%4.38B-187.21B-2.58B1.8036.42505,917911,5405,042,5348,540,680
2017-01-20$2268.84$2250.008.7%2.5%6.9%0.0%10.7%3.7%-0.1%12.39B-230.88B-2.57B1.9037.08611,1071,159,0115,155,2468,826,082
2017-01-23$2266.61$2250.009.2%2.6%6.9%2.7%11.3%3.8%0.3%5.04B-110.56B-2.52B1.9435.11503,519974,4884,110,3097,316,739
2017-01-24$2281.36$2250.008.7%2.5%7.2%0.0%9.4%3.0%0.2%26.02B-191.43B-2.52B1.4836.48480,054711,3264,165,7787,478,899
2017-01-25$2298.66$2250.008.4%2.4%7.6%0.0%9.1%2.3%-0.0%54.50B-294.95B-2.45B1.2431.26777,154966,3754,321,8077,641,493
2017-01-26$2296.58$2250.008.5%2.4%7.6%0.5%9.4%2.4%-0.0%43.39B-280.13B-2.54B2.0436.29362,078738,7784,480,9377,729,946
2017-01-27$2292.48$2250.008.2%2.3%6.8%0.0%8.8%2.5%0.1%33.72B-252.97B-2.61B1.9334.55484,606933,3144,568,1457,990,872
2017-01-30$2278.24$2250.009.0%2.6%7.2%4.9%11.0%3.4%0.3%9.73B-149.54B-2.62B2.0931.58455,384951,3574,470,3717,823,202
2017-01-31$2278.76$2250.009.1%2.6%6.8%5.7%10.8%3.6%0.2%16.74B-153.50B-2.68B2.0735.59392,435811,6234,534,2758,036,385