SPX Options History — September 2017

In September 2017, SPX traded between $2457.47 and $2518.26. ATM implied volatility averaged 7.4%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 0.1% (HV 20d: 7.5%). Max pain ranged from $2425.00 to $2450.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.19.

Notable Days

  • 2017-09-11: Highest Volume — 1,782,309 contracts
  • 2017-09-05: Largest IV spike — 33.2% change
  • 2017-09-05: Highest IV Rank — 26.2%
  • 2017-09-05: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2492.62$2457.47$2518.26$2477.68$2518.26
Max Pain$2448.75$2425.00$2450.00$2425.00$2450.00
ATM IV7.4%6.5%9.8%7.3%6.5%
Expected Move2.2%1.8%3.0%1.8%1.8%
HV 20d7.5%5.7%9.7%9.3%5.7%
HV 60d7.4%6.7%7.7%7.3%6.7%
IV Rank7.2%0.0%26.2%6.4%0.2%
IV Percentile13.6%0.0%58.3%8.7%0.4%
Term Structure0.1%-0.1%0.3%0.3%0.2%
VWIV9.5%6.7%13.2%6.7%8.0%
Skew 25d3.9%2.9%5.2%3.4%2.9%
Skew 10d7.4%6.2%10.4%7.4%6.2%
Call IV 25d6.0%5.5%7.3%6.3%5.6%
Put IV 25d9.9%8.5%12.5%9.7%8.5%
Bid-Ask Spread %19.6115.4725.9825.9824.88
Gamma HHI0.050.030.080.050.06
Net GEX34.57B-7.40B62.41B39.60B62.41B
Net DEX-288.61B-471.43B-137.95B-308.12B-343.22B
Net VEX-2.61B-2.71B-2.45B-2.64B-2.57B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.191.532.952.332.10
Total Volume1,431,382.051,092,7121,782,3091,326,9651,639,006
Total OI13,613,224.312,130,20415,355,86413,860,41413,590,931

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$2477.68$2425.007.3%1.8%9.3%6.4%6.7%3.4%0.3%39.60B-308.12B-2.64B2.3325.98398,707928,2584,459,9629,400,452
2017-09-05$2457.47$2450.009.8%3.0%9.7%26.2%13.2%5.2%0.2%-7.40B-137.95B-2.69B2.5818.26463,6651,194,6704,369,4129,223,819
2017-09-06$2465.55$2450.008.7%2.7%9.7%17.0%11.0%4.7%-0.1%4.87B-200.68B-2.67B2.0815.47422,226876,2364,441,6099,384,002
2017-09-07$2464.76$2450.008.5%2.7%9.7%15.4%11.5%4.8%-0.1%1.93B-184.35B-2.66B2.6615.76298,900793,8124,476,3959,503,661
2017-09-08$2461.76$2450.008.9%2.8%8.4%19.2%11.5%5.2%0.3%-3.56B-153.36B-2.71B2.6317.76375,437988,5494,538,4719,723,483
2017-09-11$2487.01$2450.007.5%2.4%9.1%7.7%10.1%4.0%0.3%45.82B-388.10B-2.45B1.6516.13673,7361,108,5734,472,4269,623,441
2017-09-12$2495.54$2450.007.1%2.2%8.7%4.3%10.1%3.6%0.3%55.24B-431.76B-2.55B1.5315.68639,732978,6044,574,5449,743,860
2017-09-13$2497.28$2450.007.1%2.2%8.7%4.8%10.5%3.5%0.0%53.71B-451.77B-2.53B2.2316.29368,513822,6034,724,76810,047,346
2017-09-14$2495.86$2450.007.0%2.1%8.7%3.4%8.8%3.6%-0.0%52.76B-441.80B-2.55B2.1516.50417,630898,7854,753,32410,133,812
2017-09-15$2498.66$2450.006.5%2.0%6.8%0.0%8.9%4.3%0.3%59.30B-471.43B-2.51B2.4817.92483,0801,198,8704,896,69910,459,165
2017-09-18$2504.24$2450.006.7%2.0%6.8%1.9%8.3%3.4%0.2%54.10B-269.93B-2.54B1.7118.88598,3951,025,8643,755,8388,374,366
2017-09-19$2506.21$2450.007.0%2.0%6.7%3.9%8.0%3.4%0.2%43.01B-277.51B-2.55B1.6718.70467,051779,6063,814,9188,513,748
2017-09-20$2508.59$2450.006.7%1.9%6.0%2.0%11.4%3.5%-0.0%47.03B-294.68B-2.59B2.0919.07525,5741,097,7503,969,7458,730,628
2017-09-21$2500.61$2450.007.0%2.0%6.0%3.9%8.1%3.5%0.0%32.17B-254.82B-2.58B2.0921.20433,636905,2854,042,0248,998,563
2017-09-22$2503.23$2450.006.6%1.9%5.8%0.8%7.9%3.4%0.2%36.57B-250.02B-2.69B2.9521.72326,786963,0534,120,4899,177,959
2017-09-25$2496.16$2450.007.5%2.1%6.0%8.0%8.4%3.9%0.2%17.47B-192.64B-2.66B2.1321.83464,355988,0063,968,7328,876,617
2017-09-26$2496.82$2450.007.5%2.1%5.9%8.5%9.5%3.8%0.2%18.48B-194.29B-2.66B2.7024.17314,992851,8903,980,5648,981,368
2017-09-27$2507.66$2450.007.2%2.0%6.0%5.6%8.5%3.9%-0.1%39.87B-257.37B-2.66B2.0323.96549,4281,116,3304,010,4859,132,632
2017-09-28$2509.11$2450.007.0%1.9%6.0%4.1%10.3%4.0%-0.0%37.94B-268.48B-2.66B2.0922.04405,194844,8544,050,1569,224,072
2017-09-29$2518.26$2450.006.5%1.8%5.7%0.2%8.0%2.9%0.2%62.41B-343.22B-2.57B2.1024.88528,0001,111,0064,179,7469,411,185