SPX Options History — February 2017

In February 2017, SPX traded between $2280.54 and $2369.76. ATM implied volatility averaged 8.9%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.9% (HV 20d: 6.0%). Max pain ranged from $2250.00 to $2265.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.75.

Notable Days

  • 2017-02-15: Highest Volume — 2,018,837 contracts
  • 2017-02-03: Largest IV drop — 13.1% change
  • 2017-02-28: Highest IV Rank — 20.0%
  • 2017-02-28: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2329.42$2280.54$2369.76$2281.05$2362.13
Max Pain$2254.74$2250.00$2265.00$2250.00$2265.00
ATM IV8.9%8.0%10.3%8.9%10.3%
Expected Move2.7%2.5%3.0%2.5%3.0%
HV 20d6.0%5.2%6.4%6.3%5.2%
HV 60d7.1%6.9%8.1%8.1%6.9%
IV Rank7.0%0.0%20.0%4.5%20.0%
IV Percentile7.1%0.0%32.5%3.2%32.5%
Term Structure0.4%0.1%0.9%0.5%0.2%
VWIV10.1%9.1%11.1%10.1%11.1%
Skew 25d2.9%2.1%3.8%3.3%3.0%
Skew 10d5.8%4.2%8.1%7.6%5.8%
Call IV 25d8.0%7.2%9.2%7.9%9.2%
Put IV 25d10.9%9.8%12.2%11.2%12.2%
Bid-Ask Spread %33.5528.4539.5436.8930.15
Gamma HHI0.050.030.090.030.05
Net GEX43.33B9.91B72.34B11.26B33.54B
Net DEX-396.73B-572.52B-150.84B-155.98B-468.46B
Net VEX-2.68B-2.81B-2.55B-2.68B-2.81B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.751.312.281.871.78
Total Volume1,497,395.5261,082,6272,018,8371,167,2711,371,178
Total OI13,732,367.73712,315,66515,256,80712,315,66514,673,958

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$2281.05$2250.008.9%2.5%6.3%4.5%10.1%3.3%0.5%11.26B-155.98B-2.68B1.8736.89406,230761,0414,419,9467,895,719
2017-02-02$2280.54$2250.009.2%2.9%5.7%5.8%11.1%3.5%0.5%9.91B-150.84B-2.73B2.2833.28354,695808,7014,480,3018,046,115
2017-02-03$2298.06$2250.008.0%2.6%6.2%0.0%10.7%2.9%0.7%43.71B-262.89B-2.64B2.1532.50499,1811,074,8874,554,1858,350,514
2017-02-06$2291.18$2250.008.7%2.7%6.1%4.1%10.4%3.1%0.7%19.01B-212.11B-2.62B1.8839.22521,656979,6114,525,8358,195,232
2017-02-07$2291.45$2250.008.9%2.8%5.9%5.2%10.5%3.2%0.4%18.42B-208.94B-2.67B1.9939.54362,403720,2244,606,1128,320,718
2017-02-08$2295.55$2250.008.8%2.7%6.0%4.9%10.1%3.8%0.7%30.30B-237.26B-2.66B1.4836.78502,543741,2954,697,7718,538,834
2017-02-09$2307.99$2250.008.6%2.7%6.2%3.8%10.2%2.7%0.8%44.79B-310.83B-2.72B1.5038.79581,485874,1114,783,5948,559,535
2017-02-10$2316.61$2250.008.2%2.6%6.2%1.6%9.9%2.5%0.9%56.74B-369.47B-2.68B1.4438.48667,015957,3744,880,5898,825,789
2017-02-13$2329.25$2250.008.6%2.6%6.4%4.4%10.0%2.2%0.9%63.83B-436.45B-2.62B1.3137.82767,5631,004,9534,878,3508,676,742
2017-02-14$2336.27$2250.008.5%2.5%6.1%4.3%9.1%2.2%0.1%65.00B-495.66B-2.55B1.4528.93593,933862,2405,016,6678,850,587
2017-02-15$2349.51$2250.009.1%2.6%6.2%9.4%9.9%2.1%0.1%72.34B-572.52B-2.58B1.6131.17773,7701,245,0675,189,9369,136,917
2017-02-16$2345.30$2255.009.2%2.6%6.0%10.1%9.8%2.5%0.2%54.45B-528.36B-2.67B2.0330.03534,3221,084,1335,279,9329,439,989
2017-02-17$2348.01$2255.008.6%2.5%6.0%5.7%10.0%2.9%0.4%57.37B-538.05B-2.73B1.9031.65607,9681,154,2685,423,1859,833,622
2017-02-21$2366.22$2260.009.1%2.6%6.3%9.5%10.4%2.5%0.1%54.49B-547.51B-2.63B1.4631.62744,5591,083,8494,953,5328,770,449
2017-02-22$2362.57$2260.009.2%2.6%6.2%10.2%10.0%2.7%0.2%46.26B-503.68B-2.72B1.7531.42545,456952,9025,043,4758,904,334
2017-02-23$2362.80$2265.009.2%2.6%5.8%10.5%9.4%3.2%0.2%45.06B-503.42B-2.73B1.5928.45506,451803,7665,099,7499,090,603
2017-02-24$2364.64$2265.008.7%2.5%5.8%6.5%9.8%3.0%0.5%45.98B-501.46B-2.80B1.8931.29543,2991,026,2885,165,1899,389,401
2017-02-27$2369.76$2265.009.4%2.7%5.7%12.5%10.0%3.1%0.4%50.71B-533.93B-2.68B1.9929.43479,389952,7095,131,5669,286,015
2017-02-28$2362.13$2265.0010.3%3.0%5.2%20.0%11.1%3.0%0.2%33.54B-468.46B-2.81B1.7830.15493,534877,6445,190,4979,483,461