SPX Options History — August 2017

In August 2017, SPX traded between $2429.27 and $2480.28. ATM implied volatility averaged 8.8%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.0% (HV 20d: 6.8%). Max pain ranged from $2425.00 to $2425.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.21.

Notable Days

2017-08-18: Highest Volume — 2,100,238 contracts
2017-08-10: Largest IV spike — 41.0% change
2017-08-10: Highest IV Rank — 39.1%
2017-08-10: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2456.78	$2429.27	$2480.28	$2475.72	$2472.02
Max Pain	$2425.00	$2425.00	$2425.00	$2425.00	$2425.00
ATM IV	8.8%	6.8%	11.4%	6.8%	8.2%
Expected Move	2.5%	1.8%	3.3%	1.8%	2.0%
HV 20d	6.8%	3.3%	9.2%	6.1%	9.2%
HV 60d	7.0%	6.4%	7.4%	6.8%	7.3%
IV Rank	18.3%	1.5%	39.1%	1.8%	12.9%
IV Percentile	36.5%	1.2%	79.8%	1.6%	23.0%
Term Structure	0.1%	-0.1%	0.3%	0.1%	0.1%
VWIV	9.6%	7.1%	12.3%	7.1%	7.7%
Skew 25d	4.8%	3.6%	6.8%	4.3%	4.0%
Skew 10d	9.0%	6.7%	12.4%	8.5%	7.6%
Call IV 25d	6.9%	5.5%	8.6%	5.8%	6.8%
Put IV 25d	11.7%	9.1%	15.4%	10.0%	10.7%
Bid-Ask Spread %	21.15	16.36	28.14	26.08	22.84
Gamma HHI	0.03	0.03	0.05	0.04	0.04
Net GEX	-1.49B	-44.53B	41.21B	34.45B	28.57B
Net DEX	-134.97B	-292.61B	69.51B	-271.26B	-261.11B
Net VEX	-2.71B	-2.92B	-2.51B	-2.57B	-2.67B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.21	1.87	2.81	1.87	1.87
Total Volume	1,382,047.783	980,659	2,100,238	1,226,878	1,573,893
Total OI	13,419,608.696	12,368,101	14,494,195	12,368,101	14,041,864

Daily Data (23 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
2017-08-01	$2475.72	$2425.00	6.8%	1.8%	6.1%	1.8%	7.1%	4.3%	0.1%	34.45B	-271.26B	-2.57B	1.87	26.08	427,814	799,064	4,100,593	8,267,508
2017-08-02	$2475.46	$2425.00	7.0%	1.8%	6.1%	3.6%	8.2%	3.8%	-0.1%	36.76B	-288.13B	-2.51B	2.44	26.03	367,922	897,491	4,152,487	8,477,568
2017-08-03	$2471.43	$2425.00	7.3%	2.2%	4.6%	5.6%	8.8%	3.9%	-0.1%	25.45B	-230.80B	-2.67B	2.81	16.36	284,146	797,731	4,184,561	8,598,952
2017-08-04	$2474.70	$2425.00	6.8%	2.2%	4.0%	2.0%	9.0%	3.9%	-0.1%	32.17B	-267.49B	-2.58B	2.14	16.74	486,646	1,041,553	4,229,494	8,800,833
2017-08-07	$2480.28	$2425.00	6.8%	2.1%	4.1%	1.5%	9.0%	3.6%	0.2%	41.21B	-292.61B	-2.54B	2.20	16.87	377,169	828,808	4,155,525	8,611,921
2017-08-08	$2474.52	$2425.00	7.6%	2.3%	4.1%	8.3%	9.3%	4.2%	0.2%	22.39B	-247.32B	-2.62B	2.27	18.27	382,925	869,331	4,187,892	8,690,402
2017-08-09	$2472.75	$2425.00	8.1%	2.4%	3.3%	12.3%	9.9%	5.5%	0.0%	13.07B	-222.91B	-2.69B	2.56	18.24	391,731	1,003,193	4,250,860	8,918,487
2017-08-10	$2440.13	$2425.00	11.4%	3.3%	5.9%	39.1%	11.8%	6.8%	-0.1%	-29.78B	-7.25B	-2.90B	2.25	21.92	476,690	1,074,286	4,289,181	9,040,700
2017-08-11	$2443.22	$2425.00	11.1%	3.3%	5.5%	37.0%	12.3%	6.8%	0.2%	-29.10B	-24.44B	-2.92B	2.65	28.14	426,926	1,130,541	4,439,419	9,310,675
2017-08-14	$2465.24	$2425.00	8.6%	2.5%	6.4%	16.1%	9.6%	5.0%	0.2%	10.74B	-205.14B	-2.62B	2.16	20.45	442,556	954,588	4,279,623	9,057,991
2017-08-15	$2467.07	$2425.00	8.3%	2.4%	6.4%	14.4%	9.3%	4.8%	0.1%	6.88B	-203.82B	-2.67B	2.13	17.00	382,594	815,879	4,320,146	9,094,646
2017-08-16	$2467.30	$2425.00	8.3%	2.4%	6.2%	14.1%	9.0%	4.6%	-0.1%	7.16B	-208.86B	-2.68B	2.32	16.96	546,172	1,268,483	4,404,690	9,320,963
2017-08-17	$2433.79	$2425.00	11.1%	3.2%	7.8%	36.9%	10.6%	6.5%	-0.1%	-38.60B	33.57B	-2.90B	2.13	19.42	516,153	1,098,380	4,478,553	9,612,376
2017-08-18	$2431.33	$2425.00	10.8%	3.1%	7.8%	34.4%	12.1%	5.8%	0.3%	-44.53B	69.51B	-2.91B	2.12	25.88	674,147	1,426,091	4,591,464	9,902,731
2017-08-21	$2429.27	$2425.00	10.6%	3.0%	7.8%	32.5%	11.1%	5.0%	0.1%	-40.19B	50.52B	-2.78B	2.42	22.55	378,024	915,156	4,255,577	8,992,361
2017-08-22	$2453.48	$2425.00	8.9%	2.5%	8.6%	19.2%	10.0%	4.2%	0.1%	-9.57B	-110.79B	-2.73B	2.01	21.50	536,870	1,078,246	4,271,234	9,061,929
2017-08-23	$2446.58	$2425.00	9.6%	2.6%	8.7%	24.4%	10.0%	4.5%	-0.1%	-17.65B	-65.75B	-2.76B	1.97	18.88	415,402	819,591	4,351,639	9,256,832
2017-08-24	$2439.49	$2425.00	9.9%	2.7%	8.7%	27.0%	10.2%	4.9%	-0.1%	-27.16B	-16.18B	-2.79B	2.13	17.07	313,567	667,092	4,334,813	9,242,017
2017-08-25	$2446.19	$2425.00	8.8%	2.4%	8.8%	18.6%	8.9%	4.5%	0.2%	-14.68B	-70.36B	-2.71B	2.26	23.72	381,504	863,128	4,437,325	9,477,297
2017-08-28	$2443.04	$2425.00	8.8%	2.4%	8.8%	18.5%	8.7%	4.4%	0.3%	-23.30B	-47.63B	-2.66B	2.15	23.02	390,396	839,379	4,317,839	9,249,445
2017-08-29	$2447.14	$2425.00	9.3%	2.5%	8.8%	22.3%	9.5%	4.6%	0.3%	-19.01B	-76.12B	-2.72B	1.96	24.33	394,820	772,948	4,359,098	9,321,652
2017-08-30	$2455.69	$2425.00	8.8%	2.3%	8.9%	18.6%	8.3%	4.6%	0.1%	410.3M	-140.05B	-2.69B	1.94	24.13	428,172	829,901	4,445,957	9,463,880
2017-08-31	$2472.02	$2425.00	8.2%	2.0%	9.2%	12.9%	7.7%	4.0%	0.1%	28.57B	-261.11B	-2.67B	1.87	22.84	548,049	1,025,844	4,510,015	9,531,849