SPX Options History — February 2018

In February 2018, SPX traded between $2594.11 and $2819.13. ATM implied volatility averaged 16.4%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 4.1% (HV 20d: 20.5%). Max pain ranged from $2685.00 to $2710.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.94.

Notable Days

  • 2018-02-09: Highest Volume — 3,220,187 contracts
  • 2018-02-05: Largest IV spike — 87.4% change
  • 2018-02-02: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2707.79$2594.11$2819.13$2819.13$2719.18
Max Pain$2695.79$2685.00$2710.00$2700.00$2700.00
ATM IV16.4%11.4%26.0%11.4%14.4%
Expected Move4.6%3.3%7.1%3.3%4.2%
HV 20d20.5%8.1%23.7%8.1%23.7%
HV 60d13.0%6.8%14.9%6.8%14.9%
IV Rank57.3%28.7%100.0%78.3%41.2%
IV Percentile97.2%92.5%100.0%96.0%95.6%
Term Structure-0.5%-5.5%0.2%0.1%-0.5%
VWIV17.3%12.4%24.9%12.4%14.7%
Skew 25d7.1%3.6%15.9%3.6%6.5%
Skew 10d13.7%6.6%27.8%6.6%14.0%
Call IV 25d14.0%9.8%21.5%9.8%12.6%
Put IV 25d21.1%13.4%34.5%13.4%19.1%
Bid-Ask Spread %18.8311.8336.9112.7620.76
Gamma HHI0.020.020.030.020.02
Net GEX-16.74B-43.79B23.84B13.61B-16.46B
Net DEX66.77B-469.45B683.39B-469.45B-22.53B
Net VEX-4.12B-4.55B-3.67B-3.75B-3.97B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.941.392.641.971.77
Total Volume1,953,886.5791,352,8583,220,1871,458,2151,515,503
Total OI16,360,898.78914,806,07417,923,90514,806,07416,728,411

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$2819.13$2700.0011.4%3.3%8.1%78.3%12.4%3.6%0.1%13.61B-469.45B-3.75B1.9712.76490,322967,8935,155,9849,650,090
2018-02-02$2761.22$2700.0013.9%4.0%11.4%100.0%13.8%5.7%0.2%-19.05B-69.62B-4.11B2.2822.75687,2051,566,9715,291,4919,971,735
2018-02-05$2665.28$2710.0026.0%7.0%16.9%100.0%23.7%15.9%-5.5%-33.10B408.17B-4.49B2.6436.91728,5451,925,9115,248,9369,953,049
2018-02-06$2693.11$2705.0021.6%5.7%17.4%77.7%23.6%7.5%-0.5%-28.60B252.42B-4.55B2.6324.02738,9691,943,9795,337,51410,174,350
2018-02-07$2689.69$2700.0016.8%4.6%17.4%53.3%17.1%7.7%-0.5%-36.46B270.07B-4.24B1.9122.31699,0871,336,6215,573,13210,505,045
2018-02-08$2594.11$2700.0025.9%7.1%21.4%99.6%24.9%12.4%-0.9%-40.63B683.39B-4.43B2.3422.37554,0231,295,2925,618,00710,591,207
2018-02-09$2620.51$2700.0021.8%6.1%21.6%79.0%24.2%10.0%-0.0%-43.79B606.20B-4.36B2.4223.56940,9012,279,2865,794,36710,870,792
2018-02-12$2655.25$2695.0017.8%5.1%22.1%58.6%18.7%8.1%-0.1%-35.00B366.06B-4.27B1.8216.48710,3421,292,1895,791,51510,918,709
2018-02-13$2664.67$2690.0017.1%4.9%22.2%54.7%18.8%7.7%-0.0%-32.33B309.26B-4.26B1.9411.97558,9181,084,5495,810,92910,962,857
2018-02-14$2699.60$2690.0014.5%4.2%22.5%41.9%16.9%5.4%-0.3%-18.44B75.56B-4.16B1.6214.10750,1201,218,8185,983,96411,301,989
2018-02-15$2727.57$2685.0014.2%4.1%23.0%40.2%15.7%4.9%-0.2%-6.87B-129.48B-4.12B1.5111.83740,1571,114,1386,039,20711,465,144
2018-02-16$2737.73$2690.0013.6%3.9%22.9%37.2%14.4%5.4%0.2%812.0M-197.61B-4.10B1.3914.63970,1301,348,2716,187,25611,736,649
2018-02-20$2718.80$2690.0014.9%4.3%22.7%43.9%16.7%6.5%0.1%-12.06B-32.64B-4.11B2.2315.09438,124978,4525,604,28910,681,761
2018-02-21$2705.40$2690.0015.1%4.4%22.7%44.6%16.1%6.7%-0.4%-21.02B51.07B-4.06B1.9319.84497,208961,2865,571,86410,714,458
2018-02-22$2704.96$2690.0014.5%4.2%22.7%41.9%15.9%6.8%-0.4%-22.28B62.08B-4.01B1.8216.29479,031873,8275,553,40310,786,116
2018-02-23$2745.79$2695.0011.9%3.4%23.5%28.7%13.3%4.9%0.2%5.77B-232.66B-3.77B1.5714.53697,8511,096,7565,656,53510,970,653
2018-02-26$2776.55$2695.0012.1%3.5%23.6%29.5%13.0%3.6%0.1%23.84B-434.60B-3.67B1.5119.55755,7271,140,8945,517,87410,761,285
2018-02-27$2749.37$2695.0013.9%4.1%23.7%38.6%15.0%5.3%-0.5%4.08B-226.99B-3.93B1.5818.10677,5141,069,0355,618,88910,757,621
2018-02-28$2719.18$2700.0014.4%4.2%23.7%41.2%14.7%6.5%-0.5%-16.46B-22.53B-3.97B1.7720.76546,271969,2325,755,13910,973,272