SPX Options History — November 2017

In November 2017, SPX traded between $2564.29 and $2647.87. ATM implied volatility averaged 7.7%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.9% (HV 20d: 4.8%). Max pain ranged from $2480.00 to $2525.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.97.

Notable Days

2017-11-30: Highest Volume — 2,435,990 contracts
2017-11-15: Largest IV spike — 15.8% change
2017-11-15: Highest IV Rank — 53.3%
2017-11-15: Largest Expected Move — 2.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2593.50	$2564.29	$2647.87	$2579.15	$2647.87
Max Pain	$2497.62	$2480.00	$2525.00	$2525.00	$2505.00
ATM IV	7.7%	6.6%	9.8%	7.3%	8.7%
Expected Move	2.3%	1.9%	2.8%	2.0%	2.6%
HV 20d	4.8%	3.9%	6.3%	4.4%	6.3%
HV 60d	5.4%	4.9%	6.7%	6.7%	5.1%
IV Rank	20.0%	2.1%	53.3%	8.3%	37.6%
IV Percentile	31.2%	3.2%	77.8%	20.6%	59.5%
Term Structure	0.1%	-0.3%	0.5%	-0.1%	-0.3%
VWIV	8.9%	7.3%	11.1%	9.3%	9.7%
Skew 25d	3.5%	2.3%	5.9%	3.3%	2.9%
Skew 10d	6.8%	4.7%	11.2%	6.2%	5.7%
Call IV 25d	6.6%	5.7%	7.9%	6.4%	7.8%
Put IV 25d	10.1%	8.7%	13.8%	9.8%	10.7%
Bid-Ask Spread %	16.64	12.24	26.09	23.39	26.09
Gamma HHI	0.05	0.03	0.08	0.05	0.05
Net GEX	46.81B	-11.83B	74.02B	48.78B	64.13B
Net DEX	-445.23B	-787.45B	-182.74B	-392.95B	-787.45B
Net VEX	-2.88B	-3.19B	-2.68B	-2.85B	-2.71B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.97	1.34	2.61	1.84	1.39
Total Volume	1,675,700.429	1,244,931	2,435,990	1,575,592	2,435,990
Total OI	15,291,649.381	14,211,251	16,276,990	14,211,251	16,197,127

Daily Data (21 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
2017-11-01	$2579.15	$2525.00	7.3%	2.0%	4.4%	8.3%	9.3%	3.3%	-0.1%	48.78B	-392.95B	-2.85B	1.84	23.39	554,727	1,020,865	4,607,737	9,603,514
2017-11-02	$2579.91	$2480.00	7.2%	2.3%	4.0%	7.5%	9.0%	3.1%	-0.0%	52.29B	-403.95B	-2.83B	2.01	13.60	414,045	830,886	4,685,496	9,704,475
2017-11-03	$2586.26	$2485.00	6.6%	2.2%	4.0%	2.1%	8.5%	3.1%	0.3%	66.67B	-459.86B	-2.77B	1.97	15.27	571,710	1,127,677	4,748,096	9,960,698
2017-11-06	$2591.83	$2490.00	6.8%	2.2%	3.9%	4.2%	8.8%	2.7%	0.3%	63.85B	-461.10B	-2.73B	1.98	14.73	500,948	993,184	4,617,432	9,683,852
2017-11-07	$2589.53	$2490.00	7.2%	2.3%	3.9%	10.6%	9.3%	3.0%	0.2%	49.94B	-434.70B	-2.78B	1.91	14.77	546,982	1,042,593	4,678,272	9,736,678
2017-11-08	$2593.65	$2490.00	7.0%	2.2%	3.9%	9.5%	9.1%	3.4%	0.0%	58.98B	-458.26B	-2.84B	2.48	15.81	368,490	913,288	4,844,820	10,076,740
2017-11-09	$2584.82	$2495.00	7.7%	2.4%	4.1%	22.0%	9.6%	4.2%	-0.0%	33.63B	-384.90B	-2.96B	2.00	14.06	602,332	1,206,792	4,841,865	10,135,443
2017-11-10	$2582.42	$2495.00	8.1%	2.5%	4.1%	27.4%	9.7%	4.0%	0.5%	22.50B	-362.96B	-3.04B	2.61	13.58	454,761	1,188,144	4,946,708	10,518,760
2017-11-13	$2584.60	$2495.00	8.3%	2.4%	4.1%	31.3%	9.5%	4.2%	0.2%	33.36B	-363.23B	-2.99B	2.26	14.60	406,120	916,041	4,858,216	10,357,504
2017-11-14	$2578.79	$2495.00	8.4%	2.5%	4.2%	33.0%	9.4%	4.5%	0.2%	17.04B	-326.58B	-2.98B	2.08	13.26	490,276	1,018,984	4,904,709	10,455,949
2017-11-15	$2564.29	$2500.00	9.8%	2.8%	4.7%	53.3%	11.1%	5.9%	-0.1%	-11.83B	-182.74B	-3.19B	1.94	13.13	605,550	1,173,818	5,018,212	10,753,249
2017-11-16	$2585.93	$2500.00	8.3%	2.4%	5.6%	30.3%	9.0%	4.4%	-0.0%	35.52B	-401.52B	-3.01B	2.09	12.24	507,729	1,059,444	5,062,246	10,839,612
2017-11-17	$2578.83	$2500.00	7.8%	2.2%	5.4%	24.0%	8.7%	4.2%	0.2%	25.29B	-349.30B	-3.03B	2.05	13.09	637,747	1,307,939	5,156,522	11,120,468
2017-11-20	$2581.98	$2500.00	7.8%	2.2%	5.3%	22.9%	8.6%	4.3%	0.2%	25.31B	-317.02B	-2.98B	2.01	16.84	534,736	1,073,610	4,858,526	10,197,028
2017-11-21	$2598.64	$2500.00	6.9%	1.9%	5.7%	9.1%	7.5%	3.1%	0.1%	68.57B	-484.77B	-2.80B	1.49	17.80	815,382	1,212,813	4,919,685	10,266,866
2017-11-22	$2597.91	$2500.00	6.9%	1.9%	5.5%	9.7%	8.0%	3.3%	-0.1%	61.43B	-448.76B	-2.97B	2.31	17.86	506,082	1,170,000	5,117,988	10,578,177
2017-11-24	$2602.42	$2500.00	7.0%	2.0%	5.5%	11.4%	7.3%	2.6%	-0.2%	65.46B	-533.23B	-2.75B	2.35	18.52	399,821	939,559	5,172,676	10,802,575
2017-11-27	$2602.32	$2500.00	7.2%	2.0%	5.0%	13.8%	8.2%	2.9%	0.3%	54.88B	-480.32B	-2.82B	1.82	18.85	632,773	1,152,182	5,044,100	10,403,840
2017-11-28	$2625.50	$2500.00	7.7%	2.2%	5.8%	21.1%	8.3%	2.3%	0.4%	74.02B	-658.85B	-2.68B	1.34	22.76	850,514	1,139,972	5,116,890	10,495,977
2017-11-29	$2626.76	$2505.00	8.3%	2.3%	5.8%	31.5%	8.5%	2.9%	-0.3%	73.16B	-657.35B	-2.79B	1.53	19.25	737,706	1,127,497	5,281,292	10,754,617
2017-11-30	$2647.87	$2505.00	8.7%	2.6%	6.3%	37.6%	9.7%	2.9%	-0.3%	64.13B	-787.45B	-2.71B	1.39	26.09	1,020,261	1,415,729	5,317,740	10,879,387