SPX Options History — April 2017

In April 2017, SPX traded between $2333.69 and $2390.20. ATM implied volatility averaged 10.4%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 4.0% (HV 20d: 6.4%). Max pain ranged from $2350.00 to $2350.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.02.

Notable Days

  • 2017-04-25: Highest Volume — 1,829,225 contracts
  • 2017-04-24: Largest IV drop — 26.5% change
  • 2017-04-13: Highest IV Rank — 40.7%
  • 2017-04-17: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2359.17$2333.69$2390.20$2359.45$2383.16
Max Pain$2350.00$2350.00$2350.00$2350.00$2350.00
ATM IV10.4%7.8%12.8%9.7%7.8%
Expected Move2.9%2.2%3.6%2.5%2.2%
HV 20d6.4%4.3%7.1%7.1%6.7%
HV 60d7.1%6.9%7.4%7.1%7.3%
IV Rank20.5%0.0%40.7%14.8%0.0%
IV Percentile41.3%0.0%79.8%29.8%0.0%
Term Structure-0.0%-0.6%0.4%0.3%-0.2%
VWIV11.3%9.0%13.8%9.7%9.0%
Skew 25d4.5%2.5%6.3%3.6%3.4%
Skew 10d8.9%5.0%12.7%7.0%6.6%
Call IV 25d8.6%7.0%10.4%8.2%7.0%
Put IV 25d13.1%9.9%16.5%11.9%10.4%
Bid-Ask Spread %33.7926.3849.4032.8629.79
Gamma HHI0.040.030.060.030.06
Net GEX1.43B-28.93B46.32B-3.36B39.08B
Net DEX-116.13B-312.07B37.94B-116.53B-250.27B
Net VEX-2.84B-2.97B-2.60B-2.84B-2.79B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.021.412.492.472.03
Total Volume1,319,511.421774,9481,829,2251,238,2581,323,736
Total OI13,289,432.52612,528,96114,465,52312,528,96113,606,858

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$2359.45$2350.009.7%2.5%7.1%14.8%9.7%3.6%0.3%-3.36B-116.53B-2.84B2.4732.86356,927881,3314,255,3108,273,651
2017-04-04$2359.43$2350.009.4%2.3%6.9%11.9%9.7%3.8%0.2%-4.11B-116.56B-2.85B2.3435.52279,299653,5124,305,2578,396,151
2017-04-05$2356.10$2350.009.8%2.5%6.9%15.8%9.6%4.2%0.4%-9.01B-95.36B-2.89B1.9749.40502,981989,6614,379,9218,544,025
2017-04-06$2357.15$2350.0010.1%2.9%6.9%18.0%10.8%3.9%0.4%-7.12B-101.05B-2.90B2.2534.68310,438699,6614,426,9598,596,609
2017-04-07$2356.58$2350.0010.5%3.0%6.9%21.7%13.0%4.6%0.1%-7.63B-92.40B-2.93B2.4934.87354,252881,8604,513,5628,803,707
2017-04-10$2357.43$2350.0011.4%3.2%6.9%29.1%12.4%5.3%0.0%-7.95B-92.39B-2.91B2.3834.22318,826758,9214,409,7098,573,975
2017-04-11$2350.25$2350.0012.4%3.4%6.8%37.1%13.3%5.9%-0.0%-16.16B-46.06B-2.97B1.8529.70444,766822,2574,462,1678,657,952
2017-04-12$2343.04$2350.0012.7%3.5%5.8%40.2%13.6%6.3%-0.6%-24.11B-8.22B-2.95B1.9232.42411,277787,6254,571,2878,871,205
2017-04-13$2334.63$2350.0012.8%3.6%5.8%40.7%13.8%6.1%-0.4%-28.93B37.34B-2.94B2.0033.30528,0281,055,2444,575,3709,001,151
2017-04-17$2333.69$2350.0012.7%3.6%5.8%39.5%13.0%5.9%-0.1%-27.57B37.94B-2.90B1.9537.22263,087511,8614,513,8308,862,693
2017-04-18$2343.51$2350.0011.6%3.3%6.1%30.5%11.0%5.7%-0.0%-18.89B-23.00B-2.86B1.5039.78467,066699,2494,586,3378,952,207
2017-04-19$2335.10$2350.0012.2%3.5%4.3%35.6%13.8%5.4%-0.3%-26.47B24.44B-2.89B1.8527.52521,321966,1084,717,8969,115,516
2017-04-20$2359.33$2350.0010.5%3.0%5.7%21.7%11.9%5.1%0.1%6.61B-138.43B-2.82B1.8233.12569,7121,039,6044,776,1959,297,041
2017-04-21$2351.75$2350.0011.2%3.3%5.7%27.1%12.5%5.4%0.1%-4.55B-78.59B-2.88B2.1437.03547,3561,169,9104,895,7909,569,733
2017-04-24$2375.41$2350.008.2%2.4%6.7%2.2%10.1%3.0%0.3%35.98B-235.97B-2.60B2.1828.40524,9841,145,0364,337,2268,441,123
2017-04-25$2390.20$2350.008.0%2.3%7.0%0.7%9.4%2.5%0.1%46.32B-302.64B-2.68B1.4126.38759,8581,069,3674,362,5328,366,853
2017-04-26$2389.08$2350.008.2%2.3%6.6%2.0%9.1%2.7%-0.2%42.19B-312.07B-2.65B1.6332.33484,656791,3714,576,7328,634,353
2017-04-27$2388.95$2350.007.9%2.2%6.7%0.0%9.1%2.6%-0.2%42.78B-296.65B-2.76B2.2733.46360,750818,8194,654,6208,613,715
2017-04-28$2383.16$2350.007.8%2.2%6.7%0.0%9.0%3.4%-0.2%39.08B-250.27B-2.79B2.0329.79436,308887,4284,733,1508,873,708