SPX Options History — January 2018

In January 2018, SPX traded between $2694.35 and $2869.05. ATM implied volatility averaged 8.6%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.5% (HV 20d: 6.1%). Max pain ranged from $2600.00 to $2735.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.76.

Notable Days

2018-01-17: Highest Volume — 2,412,347 contracts
2018-01-29: Largest IV spike — 21.6% change
2018-01-30: Highest IV Rank — 86.1%
2018-01-30: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2789.81	$2694.35	$2869.05	$2694.35	$2825.11
Max Pain	$2689.29	$2600.00	$2735.00	$2600.00	$2735.00
ATM IV	8.6%	6.6%	11.9%	6.9%	11.4%
Expected Move	2.5%	1.7%	3.6%	1.9%	3.4%
HV 20d	6.1%	5.4%	8.2%	5.4%	8.2%
HV 60d	5.8%	5.3%	6.7%	5.3%	6.7%
IV Rank	35.6%	4.9%	86.1%	9.8%	78.9%
IV Percentile	58.0%	5.6%	98.0%	13.9%	97.2%
Term Structure	0.0%	-0.2%	0.2%	0.2%	-0.1%
VWIV	10.0%	7.0%	14.6%	7.9%	12.8%
Skew 25d	2.6%	1.8%	3.9%	3.3%	3.6%
Skew 10d	5.6%	3.7%	8.7%	6.3%	8.2%
Call IV 25d	7.8%	5.7%	10.2%	5.7%	9.9%
Put IV 25d	10.3%	8.2%	14.0%	9.0%	13.5%
Bid-Ask Spread %	20.80	14.43	30.47	19.69	30.47
Gamma HHI	0.05	0.02	0.12	0.06	0.03
Net GEX	43.88B	15.68B	72.81B	41.88B	18.20B
Net DEX	-661.03B	-860.72B	-378.54B	-378.54B	-528.87B
Net VEX	-3.09B	-3.83B	-2.62B	-2.70B	-3.80B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	1.26	2.54	2.20	1.71
Total Volume	1,804,527.476	1,443,516	2,412,347	1,443,516	1,555,487
Total OI	14,136,561.905	12,178,263	16,071,298	12,178,263	15,426,668

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
2018-01-02	$2694.35	$2600.00	6.9%	1.9%	5.4%	9.8%	7.9%	3.3%	0.2%	41.88B	-378.54B	-2.70B	2.20	19.69	450,955	992,561	3,838,019	8,340,244
2018-01-03	$2713.41	$2600.00	6.6%	1.7%	5.8%	4.9%	7.0%	2.5%	-0.0%	60.55B	-493.81B	-2.62B	1.57	19.73	649,110	1,021,718	3,887,481	8,456,218
2018-01-04	$2724.22	$2650.00	6.8%	2.2%	5.5%	8.5%	8.5%	2.4%	-0.1%	58.53B	-538.80B	-2.67B	1.34	16.53	771,225	1,033,812	3,987,700	8,604,245
2018-01-05	$2742.24	$2650.00	7.0%	2.2%	5.7%	11.3%	9.4%	1.8%	0.2%	56.38B	-627.51B	-2.74B	2.02	20.74	611,863	1,233,155	4,250,787	8,946,861
2018-01-08	$2747.47	$2650.00	7.1%	2.2%	5.7%	13.2%	9.2%	2.0%	0.2%	54.40B	-628.88B	-2.71B	1.84	19.35	564,556	1,038,435	4,259,056	8,826,783
2018-01-09	$2751.51	$2665.00	7.8%	2.3%	5.6%	22.6%	9.1%	1.9%	0.2%	47.32B	-617.41B	-2.86B	1.77	18.22	565,558	1,000,227	4,324,902	9,012,726
2018-01-10	$2747.63	$2675.00	7.6%	2.3%	5.7%	21.0%	9.6%	2.2%	-0.1%	40.29B	-589.07B	-2.94B	2.54	20.28	424,656	1,078,288	4,477,774	9,324,112
2018-01-11	$2766.07	$2675.00	7.7%	2.2%	6.0%	21.1%	8.4%	1.9%	-0.1%	48.40B	-695.82B	-2.84B	1.38	19.60	778,919	1,071,675	4,533,624	9,533,592
2018-01-12	$2784.34	$2675.00	7.8%	2.3%	6.1%	23.9%	9.3%	1.9%	0.2%	72.81B	-773.82B	-2.94B	1.57	18.26	826,358	1,295,086	4,782,666	9,811,261
2018-01-16	$2777.77	$2690.00	9.1%	2.6%	6.0%	43.2%	9.9%	2.9%	0.1%	35.47B	-666.09B	-3.11B	1.45	20.06	893,365	1,297,852	4,733,522	9,658,446
2018-01-17	$2801.08	$2700.00	9.1%	2.6%	6.1%	42.6%	10.2%	2.9%	-0.2%	40.31B	-763.91B	-3.11B	1.55	14.43	946,983	1,465,364	4,908,098	9,920,369
2018-01-18	$2798.22	$2710.00	9.1%	2.6%	6.0%	42.9%	10.1%	2.9%	-0.2%	39.00B	-744.64B	-3.22B	1.63	15.31	741,377	1,209,519	5,118,375	10,421,816
2018-01-19	$2809.23	$2710.00	8.4%	2.4%	5.8%	32.6%	9.7%	2.7%	-0.2%	43.47B	-816.55B	-3.20B	1.91	18.07	626,429	1,198,115	5,301,134	10,770,164
2018-01-22	$2832.97	$2720.00	8.3%	2.4%	6.0%	31.5%	10.8%	3.0%	0.2%	43.88B	-690.65B	-3.12B	2.26	19.35	476,051	1,075,250	4,507,925	9,016,992
2018-01-23	$2839.87	$2725.00	8.7%	2.5%	6.0%	37.4%	9.0%	2.5%	0.1%	43.48B	-755.23B	-3.05B	1.26	20.90	881,358	1,108,823	4,619,612	9,276,086
2018-01-24	$2839.56	$2725.00	9.4%	2.7%	6.0%	48.2%	10.3%	2.2%	-0.1%	41.23B	-731.54B	-3.28B	1.70	27.52	726,827	1,232,722	4,856,028	9,561,977
2018-01-25	$2839.25	$2725.00	9.4%	2.7%	5.9%	47.7%	10.4%	2.4%	-0.1%	37.77B	-727.38B	-3.30B	2.22	23.51	450,197	998,113	4,991,632	9,738,917
2018-01-26	$2869.05	$2730.00	9.2%	2.7%	6.4%	44.9%	10.7%	2.0%	0.2%	50.91B	-860.72B	-3.29B	1.79	22.79	738,506	1,321,908	5,095,620	9,980,958
2018-01-29	$2856.62	$2730.00	11.2%	3.4%	7.0%	75.4%	12.7%	3.2%	0.2%	31.60B	-718.55B	-3.51B	1.59	27.82	703,567	1,115,795	5,005,353	9,683,702
2018-01-30	$2826.13	$2735.00	11.9%	3.6%	8.2%	86.1%	14.6%	3.9%	0.1%	15.68B	-533.86B	-3.83B	1.70	24.16	637,142	1,086,170	5,212,183	9,864,172
2018-01-31	$2825.11	$2735.00	11.4%	3.4%	8.2%	78.9%	12.8%	3.6%	-0.1%	18.20B	-528.87B	-3.80B	1.71	30.47	572,967	982,520	5,358,912	10,067,756