SPX Options History — October 2017

In October 2017, SPX traded between $2528.20 and $2579.29. ATM implied volatility averaged 6.9%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.8% (HV 20d: 4.1%). Max pain ranged from $2450.00 to $2525.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.09.

Notable Days

2017-10-20: Highest Volume — 2,106,316 contracts
2017-10-27: Largest IV drop — 17.4% change
2017-10-25: Highest IV Rank — 17.3%
2017-10-25: Largest Expected Move — 2.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2556.41	$2528.20	$2579.29	$2528.20	$2575.23
Max Pain	$2497.05	$2450.00	$2525.00	$2450.00	$2525.00
ATM IV	6.9%	6.3%	8.5%	6.6%	7.2%
Expected Move	2.0%	1.7%	2.5%	1.7%	2.0%
HV 20d	4.1%	3.5%	5.8%	5.8%	4.4%
HV 60d	6.5%	6.4%	6.7%	6.6%	6.7%
IV Rank	4.5%	0.0%	17.3%	0.8%	7.4%
IV Percentile	9.8%	0.0%	44.8%	1.6%	18.7%
Term Structure	0.1%	-0.2%	0.3%	0.1%	0.1%
VWIV	8.9%	6.5%	12.1%	8.2%	8.8%
Skew 25d	3.5%	2.7%	4.7%	3.0%	3.8%
Skew 10d	6.7%	5.2%	9.1%	6.6%	6.8%
Call IV 25d	5.8%	5.4%	6.6%	5.8%	6.1%
Put IV 25d	9.3%	8.2%	11.2%	8.8%	9.8%
Bid-Ask Spread %	18.90	11.34	23.43	22.84	23.28
Gamma HHI	0.05	0.04	0.09	0.05	0.06
Net GEX	54.87B	17.60B	74.54B	56.77B	55.47B
Net DEX	-410.72B	-526.81B	-266.30B	-345.03B	-392.40B
Net VEX	-2.72B	-3.05B	-2.59B	-2.59B	-2.83B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	1.51	2.93	1.70	2.61
Total Volume	1,562,774.864	1,181,207	2,106,316	1,972,415	1,187,528
Total OI	14,111,748.591	12,704,556	15,098,512	12,704,556	14,692,968

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
2017-10-02	$2528.20	$2450.00	6.6%	1.7%	5.8%	0.8%	8.2%	3.0%	0.1%	56.77B	-345.03B	-2.59B	1.70	22.84	729,933	1,242,482	3,958,218	8,746,338
2017-10-03	$2533.70	$2460.00	6.8%	1.7%	4.6%	2.3%	6.5%	2.9%	0.1%	58.42B	-368.00B	-2.61B	1.66	23.43	555,339	924,522	4,029,647	8,901,071
2017-10-04	$2536.72	$2465.00	6.7%	1.8%	4.6%	2.1%	7.0%	3.1%	-0.1%	65.50B	-391.90B	-2.63B	1.84	22.76	688,013	1,263,181	4,235,393	9,142,098
2017-10-05	$2551.50	$2490.00	6.4%	2.0%	4.8%	0.0%	8.6%	2.9%	-0.1%	70.33B	-478.20B	-2.62B	1.51	14.92	816,698	1,237,263	4,301,405	9,335,555
2017-10-06	$2548.20	$2495.00	6.3%	2.0%	4.8%	0.0%	8.7%	2.7%	0.3%	68.38B	-471.70B	-2.60B	1.72	15.37	600,714	1,033,870	4,488,609	9,662,116
2017-10-09	$2543.80	$2485.00	7.0%	2.1%	3.8%	5.7%	11.2%	3.2%	0.1%	52.15B	-392.41B	-2.69B	2.70	14.63	352,249	949,777	4,432,127	9,341,891
2017-10-10	$2549.44	$2475.00	6.9%	2.1%	3.7%	4.6%	8.8%	3.1%	0.1%	55.90B	-407.29B	-2.74B	1.73	16.42	503,500	872,286	4,415,387	9,404,733
2017-10-11	$2554.59	$2490.00	6.6%	2.0%	3.7%	2.3%	9.7%	3.1%	-0.0%	72.87B	-449.15B	-2.69B	2.93	16.93	318,973	934,799	4,447,465	9,574,701
2017-10-12	$2550.16	$2490.00	6.8%	2.1%	3.8%	3.8%	9.8%	3.2%	0.0%	49.82B	-406.03B	-2.74B	2.13	17.94	476,522	1,013,754	4,436,016	9,638,822
2017-10-13	$2552.42	$2500.00	6.5%	2.0%	3.8%	1.6%	8.6%	3.1%	0.3%	53.45B	-427.51B	-2.74B	2.50	19.75	387,808	970,114	4,540,008	9,916,666
2017-10-16	$2557.59	$2500.00	6.3%	1.9%	3.8%	0.1%	8.1%	4.1%	0.2%	56.12B	-428.23B	-2.66B	2.35	20.09	480,373	1,127,743	4,441,551	9,633,234
2017-10-17	$2559.32	$2500.00	6.5%	1.9%	3.8%	1.9%	8.0%	3.4%	0.2%	57.74B	-449.82B	-2.60B	2.03	17.85	464,608	943,763	4,460,413	9,720,987
2017-10-18	$2560.99	$2500.00	6.6%	1.9%	3.8%	2.4%	8.4%	3.3%	-0.0%	67.68B	-465.60B	-2.66B	1.92	11.34	544,789	1,048,281	4,642,360	9,958,869
2017-10-19	$2560.46	$2500.00	6.7%	1.9%	3.5%	3.1%	7.9%	3.6%	0.0%	53.74B	-461.96B	-2.63B	2.10	17.97	458,792	961,730	4,664,798	10,061,405
2017-10-20	$2572.62	$2500.00	6.3%	1.8%	3.7%	0.0%	8.9%	3.2%	0.2%	65.66B	-526.81B	-2.71B	1.79	16.84	753,990	1,352,326	4,769,382	10,329,130
2017-10-23	$2564.73	$2515.00	7.4%	2.1%	3.7%	8.7%	9.3%	4.4%	-0.2%	43.53B	-370.91B	-2.73B	1.94	19.35	568,664	1,100,483	4,416,366	9,249,337
2017-10-24	$2567.85	$2515.00	7.5%	2.1%	3.7%	9.3%	9.2%	4.1%	-0.2%	39.43B	-358.45B	-2.87B	2.30	17.51	386,528	889,950	4,490,746	9,464,710
2017-10-25	$2557.43	$2515.00	8.5%	2.5%	4.0%	17.3%	12.1%	4.7%	-0.1%	17.60B	-266.30B	-3.05B	2.52	20.61	528,717	1,333,405	4,608,955	9,726,562
2017-10-26	$2562.47	$2515.00	8.1%	2.4%	4.0%	14.5%	10.8%	4.5%	-0.1%	27.92B	-326.14B	-2.88B	2.40	20.64	347,841	833,366	4,643,794	9,970,518
2017-10-27	$2579.29	$2525.00	6.7%	1.9%	4.4%	3.4%	7.5%	3.5%	0.3%	74.54B	-469.71B	-2.75B	1.58	22.34	672,311	1,059,933	4,725,736	10,220,944
2017-10-30	$2574.28	$2525.00	7.2%	2.0%	4.4%	7.4%	9.4%	3.9%	0.1%	44.19B	-382.23B	-2.84B	2.05	22.94	479,641	984,488	4,667,942	9,949,496
2017-10-31	$2575.23	$2525.00	7.2%	2.0%	4.4%	7.4%	8.8%	3.8%	0.1%	55.47B	-392.40B	-2.83B	2.61	23.28	329,108	858,420	4,724,522	9,968,446