SPX Options History — December 2017

In December 2017, SPX traded between $2628.77 and $2690.28. ATM implied volatility averaged 7.6%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.3% (HV 20d: 6.2%). Max pain ranged from $2525.00 to $2600.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.95.

Notable Days

  • 2017-12-01: Highest Volume — 2,290,348 contracts
  • 2017-12-26: Largest IV spike — 9.7% change
  • 2017-12-01: Highest IV Rank — 40.4%
  • 2017-12-01: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2664.39$2628.77$2690.28$2641.59$2677.74
Max Pain$2562.50$2525.00$2600.00$2525.00$2600.00
ATM IV7.6%6.9%8.9%8.9%7.1%
Expected Move2.2%2.0%2.7%2.7%2.0%
HV 20d6.2%5.2%6.7%6.4%5.2%
HV 60d5.1%4.8%5.3%5.1%5.3%
IV Rank19.8%9.1%40.4%40.4%13.1%
IV Percentile32.0%13.1%64.3%64.3%22.2%
Term Structure0.0%-0.3%0.2%-0.3%0.2%
VWIV9.3%7.7%11.4%10.2%8.5%
Skew 25d3.0%2.0%3.8%3.4%3.7%
Skew 10d6.4%4.2%8.0%7.5%6.9%
Call IV 25d6.5%5.8%7.7%7.7%5.9%
Put IV 25d9.5%8.3%11.1%11.1%9.5%
Bid-Ask Spread %19.3312.3127.9827.1226.12
Gamma HHI0.050.030.110.040.07
Net GEX49.65B25.77B74.32B45.67B41.24B
Net DEX-580.97B-876.45B-360.80B-679.65B-360.80B
Net VEX-2.77B-2.93B-2.53B-2.88B-2.84B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.951.622.401.902.40
Total Volume1,583,183.61,089,4992,290,3482,290,3481,574,543
Total OI14,929,604.212,405,65817,534,05616,029,25213,487,498

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$2641.59$2525.008.9%2.7%6.4%40.4%10.2%3.4%-0.3%45.67B-679.65B-2.88B1.9027.12789,5331,500,8155,293,94310,735,309
2017-12-04$2640.63$2530.008.9%2.6%6.4%40.4%10.8%3.3%0.2%38.17B-622.26B-2.90B1.7113.55676,3821,159,8295,194,89510,587,197
2017-12-05$2630.62$2550.008.5%2.6%6.6%34.3%10.4%3.3%0.2%29.15B-531.23B-2.93B2.3115.38442,3431,020,5215,231,68010,661,833
2017-12-06$2628.77$2550.008.4%2.5%6.6%32.2%10.1%3.3%-0.1%25.77B-534.02B-2.89B1.8412.31574,8311,056,1355,337,89810,933,056
2017-12-07$2637.04$2550.007.9%2.4%6.7%24.3%11.4%3.1%-0.1%40.87B-632.48B-2.73B2.1412.77461,416988,0835,368,90611,014,659
2017-12-08$2649.15$2550.007.1%2.2%6.6%13.1%10.7%2.5%0.2%72.88B-733.80B-2.68B1.8113.53650,3801,178,1855,486,19911,267,165
2017-12-11$2659.40$2550.006.9%2.1%6.6%9.9%8.7%2.5%0.2%59.38B-788.47B-2.53B1.8115.90552,8121,001,9795,399,61010,902,696
2017-12-12$2664.70$2550.007.3%2.1%6.6%15.4%8.1%2.5%0.2%57.57B-811.05B-2.59B1.6619.34675,0531,121,0045,425,66710,977,841
2017-12-13$2663.25$2550.007.6%2.2%6.5%19.6%8.7%2.8%-0.3%63.45B-805.69B-2.64B1.8217.31583,4381,064,6775,618,36211,242,539
2017-12-14$2653.60$2550.007.4%2.2%6.2%17.6%9.2%2.7%-0.3%47.03B-703.00B-2.81B1.6917.91676,5971,143,7225,701,34711,389,245
2017-12-15$2672.49$2555.006.9%2.0%6.1%9.1%7.7%2.6%-0.2%63.81B-876.45B-2.66B1.6519.68783,2361,290,0745,864,56111,669,495
2017-12-18$2690.28$2570.006.9%2.0%6.1%10.1%10.3%2.0%0.2%74.32B-507.24B-2.69B1.6216.15662,0261,070,5303,986,2928,419,366
2017-12-19$2682.50$2575.007.5%2.2%6.3%18.2%8.6%2.4%0.2%47.92B-446.47B-2.73B2.0222.02471,087952,3804,061,9508,489,099
2017-12-20$2680.28$2575.007.2%2.1%6.2%13.8%9.4%2.9%-0.0%45.77B-428.41B-2.84B2.0419.13472,706963,8644,202,9218,806,029
2017-12-21$2684.39$2575.007.1%2.0%6.1%12.9%9.9%2.9%0.1%51.46B-464.64B-2.78B1.8318.75473,241867,5624,234,8748,911,860
2017-12-22$2682.69$2575.007.1%2.0%6.2%12.4%8.5%3.5%0.2%51.56B-452.75B-2.87B2.2225.99403,123896,4794,347,9349,149,152
2017-12-26$2679.46$2580.007.8%2.2%6.2%22.9%8.1%3.3%0.1%46.15B-408.72B-2.82B2.1727.98343,552745,9474,140,4878,821,388
2017-12-27$2682.14$2590.007.8%2.2%5.6%23.2%8.3%3.8%-0.1%45.14B-405.96B-2.80B2.1223.04385,270818,3024,175,2028,888,810
2017-12-28$2687.06$2600.007.2%2.0%5.6%14.0%8.0%3.6%-0.0%45.74B-426.29B-2.77B2.2322.56362,632809,3834,202,1268,962,993
2017-12-29$2677.74$2600.007.1%2.0%5.2%13.1%8.5%3.7%0.2%41.24B-360.80B-2.84B2.4026.12462,7971,111,7464,282,7229,204,776