SPX Options History — May 2017

In May 2017, SPX traded between $2361.41 and $2416.90. ATM implied volatility averaged 8.1%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.0% (HV 20d: 7.2%). Max pain ranged from $2335.00 to $2350.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.15.

Notable Days

2017-05-17: Highest Volume — 1,915,573 contracts
2017-05-17: Largest IV spike — 44.2% change
2017-05-17: Highest IV Rank — 32.7%
2017-05-17: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2395.21	$2361.41	$2416.90	$2392.74	$2411.65
Max Pain	$2344.09	$2335.00	$2350.00	$2350.00	$2350.00
ATM IV	8.1%	7.2%	11.4%	7.4%	8.3%
Expected Move	2.4%	2.1%	3.3%	2.1%	2.3%
HV 20d	7.2%	6.4%	8.9%	6.8%	7.5%
HV 60d	7.3%	7.0%	7.8%	7.3%	7.0%
IV Rank	6.8%	0.0%	32.7%	0.0%	8.2%
IV Percentile	9.4%	0.0%	65.5%	0.0%	9.9%
Term Structure	0.1%	-0.2%	0.8%	0.3%	-0.2%
VWIV	9.6%	8.2%	13.4%	9.1%	9.4%
Skew 25d	3.6%	2.6%	5.8%	3.2%	3.9%
Skew 10d	7.2%	4.8%	12.4%	7.2%	7.9%
Call IV 25d	6.9%	6.0%	9.0%	6.5%	6.8%
Put IV 25d	10.5%	9.0%	14.8%	9.7%	10.7%
Bid-Ask Spread %	24.20	13.30	34.26	34.26	25.04
Gamma HHI	0.05	0.03	0.06	0.06	0.04
Net GEX	26.33B	-25.39B	50.19B	38.64B	31.75B
Net DEX	-267.70B	-391.39B	-4.59B	-288.45B	-337.71B
Net VEX	-2.78B	-3.01B	-2.65B	-2.74B	-2.70B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.15	1.77	2.81	1.80	2.20
Total Volume	1,299,342.409	997,500	1,915,573	1,169,398	1,261,782
Total OI	13,754,309.364	12,824,018	14,986,014	12,824,018	13,875,512

Daily Data (22 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
2017-05-01	$2392.74	$2350.00	7.4%	2.1%	6.8%	0.0%	9.1%	3.2%	0.3%	38.64B	-288.45B	-2.74B	1.80	34.26	418,300	751,098	4,522,804	8,301,214
2017-05-02	$2388.55	$2350.00	7.8%	2.3%	6.7%	3.8%	9.2%	3.0%	0.2%	27.40B	-261.53B	-2.75B	2.03	33.84	380,960	773,684	4,588,027	8,442,170
2017-05-03	$2387.74	$2350.00	8.0%	2.2%	6.7%	4.6%	10.3%	3.7%	-0.1%	25.47B	-251.80B	-2.78B	2.23	32.09	399,528	888,986	4,668,061	8,613,704
2017-05-04	$2388.98	$2335.00	7.7%	2.5%	6.7%	2.5%	9.3%	2.9%	-0.1%	28.95B	-261.74B	-2.76B	2.15	22.77	316,390	681,110	4,707,159	8,784,952
2017-05-05	$2396.78	$2335.00	7.8%	2.6%	6.7%	3.8%	10.3%	3.1%	0.3%	39.16B	-307.26B	-2.84B	2.48	21.95	369,210	915,510	4,754,420	8,943,212
2017-05-08	$2396.12	$2335.00	7.2%	2.4%	6.7%	0.0%	8.9%	2.6%	0.2%	38.88B	-307.08B	-2.65B	2.18	23.02	428,138	934,888	4,626,401	8,698,396
2017-05-09	$2394.11	$2335.00	7.4%	2.4%	6.7%	1.5%	9.2%	2.7%	0.2%	32.55B	-277.43B	-2.74B	2.07	22.45	429,589	890,745	4,668,533	8,742,555
2017-05-10	$2398.50	$2340.00	7.4%	2.4%	6.6%	1.4%	10.2%	2.9%	0.0%	37.95B	-309.35B	-2.76B	2.22	22.72	347,659	770,210	4,771,467	9,027,636
2017-05-11	$2394.59	$2340.00	7.6%	2.5%	6.5%	3.3%	10.1%	3.6%	0.0%	27.50B	-264.61B	-2.82B	1.78	24.40	426,472	759,497	4,781,493	9,083,035
2017-05-12	$2389.00	$2340.00	7.5%	2.4%	6.4%	2.3%	9.7%	3.6%	0.8%	19.54B	-240.77B	-2.79B	2.05	24.77	408,909	837,077	4,919,154	9,350,710
2017-05-15	$2401.57	$2340.00	8.0%	2.3%	6.5%	6.1%	8.7%	3.2%	0.1%	38.44B	-327.77B	-2.67B	1.77	25.80	493,494	872,869	4,744,345	8,994,401
2017-05-16	$2400.38	$2340.00	7.9%	2.3%	6.5%	5.1%	8.9%	3.7%	0.2%	34.72B	-322.27B	-2.65B	2.11	20.75	380,256	804,109	4,824,848	9,103,090
2017-05-17	$2361.41	$2345.00	11.4%	3.3%	8.9%	32.7%	13.4%	5.8%	-0.1%	-25.39B	-4.59B	-3.01B	2.34	13.30	574,177	1,341,396	4,915,267	9,341,209
2017-05-18	$2369.49	$2345.00	10.6%	3.0%	8.2%	26.5%	12.4%	5.8%	-0.1%	-13.84B	-72.08B	-3.00B	1.90	20.15	607,322	1,151,728	4,957,800	9,632,129
2017-05-19	$2380.05	$2345.00	9.5%	2.7%	8.2%	18.0%	10.4%	4.6%	0.2%	-2.75B	-140.00B	-2.95B	2.17	23.03	531,741	1,156,300	5,057,568	9,928,446
2017-05-22	$2394.31	$2345.00	8.4%	2.3%	7.7%	8.9%	9.7%	3.9%	0.2%	16.08B	-227.98B	-2.81B	2.31	21.77	349,210	806,170	4,582,398	8,771,999
2017-05-23	$2397.30	$2350.00	8.5%	2.4%	7.4%	9.8%	9.2%	3.7%	0.2%	18.80B	-260.28B	-2.79B	2.13	22.32	378,576	804,805	4,611,628	8,823,368
2017-05-24	$2404.22	$2350.00	7.8%	2.1%	7.5%	4.2%	8.4%	3.4%	-0.1%	32.07B	-304.36B	-2.75B	2.06	24.97	393,571	810,797	4,701,659	9,045,837
2017-05-25	$2416.90	$2350.00	7.5%	2.1%	7.7%	2.3%	8.2%	3.2%	-0.0%	50.19B	-391.39B	-2.69B	1.85	23.69	535,856	993,654	4,730,592	9,092,658
2017-05-26	$2415.22	$2350.00	7.3%	2.1%	7.6%	0.3%	8.2%	3.6%	0.2%	44.36B	-367.66B	-2.75B	2.65	27.19	312,737	829,292	4,833,178	9,277,693
2017-05-30	$2414.96	$2350.00	7.7%	2.2%	7.5%	3.8%	8.7%	3.3%	0.2%	38.79B	-363.37B	-2.65B	2.81	22.20	280,115	787,616	4,749,001	9,005,077
2017-05-31	$2411.65	$2350.00	8.3%	2.3%	7.5%	8.2%	9.4%	3.9%	-0.2%	31.75B	-337.71B	-2.70B	2.20	25.04	394,473	867,309	4,787,411	9,088,101