SPX Options History — June 2017

In June 2017, SPX traded between $2422.28 and $2452.28. ATM implied volatility averaged 7.9%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.1% (HV 20d: 6.8%). Max pain ranged from $2350.00 to $2400.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.21.

Notable Days

2017-06-02: Highest Volume — 1,794,166 contracts
2017-06-27: Largest IV spike — 15.2% change
2017-06-29: Highest IV Rank — 16.7%
2017-06-29: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2434.04	$2422.28	$2452.28	$2426.47	$2431.54
Max Pain	$2393.64	$2350.00	$2400.00	$2350.00	$2400.00
ATM IV	7.9%	7.1%	9.0%	7.6%	8.2%
Expected Move	2.3%	2.1%	2.6%	2.2%	2.3%
HV 20d	6.8%	5.0%	8.0%	7.7%	6.7%
HV 60d	6.8%	6.4%	7.1%	7.0%	7.0%
IV Rank	6.5%	0.0%	16.7%	2.9%	9.3%
IV Percentile	9.3%	0.0%	30.6%	2.8%	14.7%
Term Structure	0.1%	-0.2%	0.3%	-0.1%	0.1%
VWIV	9.8%	8.2%	12.7%	8.5%	9.7%
Skew 25d	3.6%	2.8%	4.6%	3.9%	3.7%
Skew 10d	7.0%	5.0%	9.2%	7.3%	7.0%
Call IV 25d	6.6%	6.1%	7.4%	6.3%	6.6%
Put IV 25d	10.2%	9.1%	12.0%	10.3%	10.3%
Bid-Ask Spread %	22.15	13.39	41.20	21.94	21.29
Gamma HHI	0.04	0.03	0.06	0.05	0.03
Net GEX	27.10B	-12.84B	62.73B	53.72B	4.63B
Net DEX	-318.99B	-512.93B	-81.97B	-430.50B	-141.89B
Net VEX	-2.65B	-2.78B	-2.53B	-2.66B	-2.69B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.21	1.73	2.93	1.90	2.51
Total Volume	1,283,111.727	1,011,328	1,794,166	1,453,001	1,213,621
Total OI	13,208,664.273	11,154,671	15,250,914	13,615,550	12,562,221

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
2017-06-01	$2426.47	$2350.00	7.6%	2.2%	7.7%	2.9%	8.5%	3.9%	-0.1%	53.72B	-430.50B	-2.66B	1.90	21.94	500,890	952,111	4,734,481	8,881,069
2017-06-02	$2437.85	$2350.00	7.1%	2.1%	7.8%	0.0%	8.2%	2.8%	0.0%	62.73B	-512.93B	-2.63B	1.86	21.23	626,765	1,167,401	4,860,113	9,189,560
2017-06-05	$2437.45	$2385.00	7.2%	2.3%	7.8%	0.9%	9.7%	3.0%	0.2%	49.96B	-482.41B	-2.61B	2.06	18.41	374,589	770,451	4,794,806	9,002,349
2017-06-06	$2430.01	$2390.00	8.0%	2.5%	7.9%	7.4%	9.5%	3.5%	0.2%	36.81B	-423.29B	-2.70B	2.21	16.65	315,251	696,077	4,841,980	9,073,770
2017-06-07	$2435.13	$2395.00	7.8%	2.4%	7.9%	5.4%	12.7%	3.2%	-0.0%	40.21B	-443.99B	-2.73B	2.93	17.81	306,496	897,139	4,922,340	9,268,649
2017-06-08	$2432.96	$2395.00	7.5%	2.4%	7.9%	3.4%	10.1%	3.3%	-0.0%	39.86B	-449.27B	-2.66B	1.99	17.88	365,666	728,673	4,939,949	9,369,087
2017-06-09	$2427.04	$2395.00	8.2%	2.5%	8.0%	9.0%	10.7%	4.0%	0.3%	23.90B	-375.05B	-2.78B	1.84	19.85	586,171	1,079,622	5,032,641	9,557,159
2017-06-12	$2425.12	$2400.00	8.3%	2.5%	7.9%	10.0%	11.6%	4.3%	0.2%	18.73B	-367.38B	-2.69B	2.21	17.23	358,180	792,258	4,973,978	9,335,008
2017-06-13	$2439.85	$2400.00	7.5%	2.3%	8.0%	3.7%	8.8%	3.5%	0.2%	45.63B	-500.69B	-2.53B	1.73	18.46	469,001	813,593	5,003,242	9,417,343
2017-06-14	$2435.44	$2400.00	7.8%	2.4%	8.0%	5.8%	9.6%	4.2%	0.0%	34.77B	-458.97B	-2.61B	1.94	20.66	470,664	912,848	5,112,521	9,630,120
2017-06-15	$2430.43	$2400.00	8.0%	2.4%	5.0%	7.4%	9.8%	4.0%	-0.0%	25.78B	-435.93B	-2.60B	1.94	19.36	475,699	924,161	5,114,802	9,679,403
2017-06-16	$2430.97	$2400.00	7.6%	2.3%	5.0%	4.5%	9.1%	3.7%	0.3%	26.75B	-440.33B	-2.64B	2.11	20.58	465,740	982,844	5,238,337	10,012,577
2017-06-19	$2452.28	$2400.00	7.4%	2.2%	5.5%	2.8%	9.7%	3.0%	0.2%	43.17B	-265.11B	-2.58B	1.89	13.39	415,281	784,085	3,660,081	7,494,590
2017-06-20	$2438.09	$2400.00	8.2%	2.4%	5.9%	9.0%	10.0%	3.5%	0.3%	21.98B	-183.82B	-2.68B	2.00	21.32	401,879	802,882	3,746,946	7,583,251
2017-06-21	$2436.07	$2400.00	8.4%	2.4%	5.9%	10.3%	10.3%	3.6%	-0.1%	14.32B	-175.96B	-2.66B	2.73	26.33	332,137	905,568	3,847,965	7,810,159
2017-06-22	$2436.36	$2400.00	8.0%	2.3%	5.8%	7.5%	10.1%	3.4%	0.0%	15.07B	-175.10B	-2.68B	2.58	34.98	293,393	756,563	3,845,233	8,018,795
2017-06-23	$2436.93	$2400.00	7.7%	2.2%	5.6%	4.9%	8.8%	3.5%	0.3%	14.50B	-187.43B	-2.59B	2.85	41.20	314,078	893,984	3,911,053	8,193,874
2017-06-26	$2440.93	$2400.00	7.5%	2.1%	5.6%	3.3%	9.1%	3.4%	0.2%	19.75B	-192.18B	-2.56B	2.18	25.43	390,771	851,242	3,787,795	7,950,388
2017-06-27	$2424.97	$2400.00	8.6%	2.4%	6.1%	12.2%	10.2%	3.8%	0.2%	-5.38B	-99.94B	-2.67B	2.05	22.44	415,733	854,138	3,851,976	8,012,445
2017-06-28	$2440.68	$2400.00	7.9%	2.2%	6.5%	6.7%	8.9%	3.6%	-0.1%	22.22B	-193.60B	-2.62B	2.52	21.76	341,264	860,732	3,942,355	8,201,403
2017-06-29	$2422.28	$2400.00	9.0%	2.6%	6.7%	16.7%	11.2%	4.6%	-0.2%	-12.84B	-81.97B	-2.66B	2.49	29.14	392,358	976,459	3,952,562	8,232,238
2017-06-30	$2431.54	$2400.00	8.2%	2.3%	6.7%	9.3%	9.7%	3.7%	0.1%	4.63B	-141.89B	-2.69B	2.51	21.29	345,729	867,892	4,067,133	8,495,088