SPX Options History — July 2017

In July 2017, SPX traded between $2409.32 and $2476.79. ATM implied volatility averaged 7.4%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.1% (HV 20d: 7.5%). Max pain ranged from $2400.00 to $2425.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.12.

Notable Days

  • 2017-07-21: Highest Volume — 1,500,764 contracts
  • 2017-07-06: Largest IV spike — 20.1% change
  • 2017-07-06: Highest IV Rank — 23.7%
  • 2017-07-06: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2454.61$2409.32$2476.79$2429.01$2474.91
Max Pain$2421.00$2400.00$2425.00$2400.00$2425.00
ATM IV7.4%6.6%9.9%8.6%7.0%
Expected Move2.1%1.8%2.9%2.5%1.9%
HV 20d7.5%6.1%8.3%6.7%6.1%
HV 60d7.1%6.8%7.5%7.0%6.8%
IV Rank5.0%0.0%23.7%12.7%3.2%
IV Percentile8.1%0.0%54.4%21.0%3.2%
Term Structure0.1%-0.1%0.3%0.1%0.1%
VWIV9.2%7.5%11.1%9.9%8.7%
Skew 25d3.5%2.8%4.7%4.0%3.8%
Skew 10d6.8%5.5%8.9%8.1%6.9%
Call IV 25d6.2%5.7%8.0%7.0%5.7%
Put IV 25d9.7%8.6%12.7%11.0%9.5%
Bid-Ask Spread %22.9117.8626.9624.6225.60
Gamma HHI0.040.030.070.030.06
Net GEX34.31B-26.50B73.65B-9.73B44.27B
Net DEX-250.64B-400.40B-3.20B-117.64B-301.52B
Net VEX-2.55B-2.72B-2.44B-2.69B-2.49B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.121.682.812.592.21
Total Volume1,221,919.6867,1211,500,764867,1211,197,523
Total OI12,326,896.611,641,28413,405,72711,641,28412,694,403

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$2429.01$2400.008.6%2.5%6.7%12.7%9.9%4.0%0.1%-9.73B-117.64B-2.69B2.5924.62241,686625,4353,808,0917,833,193
2017-07-05$2433.99$2400.008.2%2.3%6.6%9.7%9.3%3.8%-0.1%4.64B-142.00B-2.59B2.3824.59313,859746,6803,832,9137,849,366
2017-07-06$2409.32$2420.009.9%2.9%7.5%23.7%10.5%4.7%-0.1%-26.50B-3.20B-2.72B2.1521.89411,913887,3633,844,2437,907,400
2017-07-07$2426.38$2420.008.3%2.5%8.0%10.2%10.9%4.2%0.2%-2.52B-106.08B-2.62B2.2418.83416,738932,6383,956,3238,154,126
2017-07-10$2430.80$2420.008.1%2.4%8.0%8.7%10.1%4.1%0.1%8.33B-133.83B-2.59B2.2017.86408,221899,9103,877,3727,929,214
2017-07-11$2426.28$2420.008.4%2.5%8.0%11.6%11.1%3.8%0.1%-623.1M-118.51B-2.58B2.8119.25269,892758,4143,933,7938,053,633
2017-07-12$2444.88$2420.007.5%2.2%8.2%3.5%10.2%4.0%-0.0%38.45B-213.96B-2.58B1.9320.11394,898760,2293,990,0178,188,939
2017-07-13$2448.40$2420.007.1%2.1%8.1%0.5%10.1%3.2%0.0%36.07B-239.06B-2.54B1.9719.47343,945678,6414,013,3628,232,567
2017-07-14$2461.91$2425.006.8%2.1%8.3%0.0%8.9%2.9%0.3%62.48B-325.35B-2.49B1.6921.37549,024928,6054,107,3548,382,596
2017-07-17$2458.90$2425.007.0%2.1%8.3%2.0%9.5%3.1%0.2%48.30B-301.51B-2.46B1.8420.20420,977774,6484,068,9448,195,015
2017-07-18$2460.07$2425.007.0%2.0%7.7%2.1%8.7%3.1%0.2%48.48B-292.33B-2.53B1.6821.79416,705701,7064,128,5638,288,454
2017-07-19$2472.72$2425.006.9%2.0%7.6%0.8%9.8%3.0%-0.0%73.65B-394.11B-2.45B1.8826.96452,635850,8854,230,0468,468,564
2017-07-20$2474.84$2425.006.9%2.0%7.6%1.2%8.0%2.8%-0.0%71.17B-400.40B-2.50B1.8326.78512,345935,9454,290,6188,661,786
2017-07-21$2470.12$2425.006.7%1.9%7.6%0.0%7.8%2.9%0.2%61.07B-363.63B-2.52B2.0126.13498,3441,002,4204,449,2658,956,462
2017-07-24$2472.70$2425.006.6%1.8%7.6%0.0%7.9%2.9%0.2%52.36B-315.92B-2.51B2.5624.98305,788782,5534,136,0598,012,910
2017-07-25$2476.79$2425.006.7%1.9%7.6%1.2%7.5%2.9%0.1%56.75B-340.09B-2.44B1.7023.85456,629774,4724,096,3168,027,955
2017-07-26$2475.92$2425.006.8%1.9%7.1%1.9%7.5%3.0%-0.0%52.25B-331.12B-2.48B1.9124.37470,506899,9654,202,0648,233,164
2017-07-27$2471.51$2425.007.1%2.0%6.9%4.4%8.5%4.1%-0.1%35.25B-291.90B-2.54B2.2924.82373,952854,6214,226,3258,345,695
2017-07-28$2472.78$2425.006.8%1.9%6.2%2.1%8.5%3.6%0.2%32.14B-280.71B-2.60B2.5124.70338,097849,5854,288,4878,642,335
2017-07-31$2474.91$2425.007.0%1.9%6.1%3.2%8.7%3.8%0.1%44.27B-301.52B-2.49B2.2125.60373,362824,1614,218,2988,476,105