SPX Options History — April 2018

In April 2018, SPX traded between $2581.15 and $2712.07. ATM implied volatility averaged 15.2%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 7.1% (HV 20d: 22.3%). Max pain ranged from $2675.00 to $2710.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.72.

Notable Days

2018-04-02: Highest Volume — 1,928,373 contracts
2018-04-24: Largest IV spike — 15.5% change
2018-04-02: Highest IV Rank — 69.5%
2018-04-02: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2655.29	$2581.15	$2712.07	$2581.15	$2657.80
Max Pain	$2679.52	$2675.00	$2710.00	$2710.00	$2675.00
ATM IV	15.2%	11.7%	20.0%	20.0%	12.7%
Expected Move	4.4%	3.4%	6.2%	6.2%	3.8%
HV 20d	22.3%	17.0%	24.4%	21.6%	17.0%
HV 60d	20.5%	19.3%	21.0%	19.3%	21.0%
IV Rank	45.2%	27.7%	69.5%	69.5%	32.4%
IV Percentile	89.4%	80.6%	98.4%	98.4%	81.0%
Term Structure	-0.1%	-0.7%	0.2%	-0.1%	0.1%
VWIV	16.8%	13.6%	21.7%	21.7%	13.9%
Skew 25d	4.7%	3.5%	5.6%	5.5%	3.9%
Skew 10d	9.5%	6.6%	11.2%	11.0%	8.0%
Call IV 25d	13.2%	10.5%	17.4%	17.4%	11.0%
Put IV 25d	17.9%	14.0%	22.9%	22.9%	15.0%
Bid-Ask Spread %	17.62	11.14	35.19	31.68	14.64
Gamma HHI	0.02	0.02	0.03	0.03	0.02
Net GEX	-12.42B	-37.81B	19.31B	-37.81B	-13.32B
Net DEX	85.37B	-191.88B	413.60B	413.60B	56.18B
Net VEX	-3.74B	-3.89B	-3.50B	-3.72B	-3.50B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	1.44	2.14	1.69	1.80
Total Volume	1,536,819.476	1,169,545	1,928,373	1,928,373	1,326,302
Total OI	14,183,747.524	13,091,301	15,493,009	13,091,301	13,788,483

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
2018-04-02	$2581.15	$2710.00	20.0%	6.2%	21.6%	69.5%	21.7%	5.5%	-0.1%	-37.81B	413.60B	-3.72B	1.69	31.68	715,677	1,212,696	4,500,896	8,590,405
2018-04-03	$2613.19	$2700.00	18.4%	5.7%	21.8%	61.4%	21.1%	5.2%	-0.1%	-29.75B	292.16B	-3.76B	1.44	26.62	657,251	948,453	4,596,806	8,793,056
2018-04-04	$2649.80	$2700.00	17.2%	5.3%	22.5%	55.2%	20.3%	5.2%	-0.4%	-14.36B	138.17B	-3.84B	1.71	35.19	548,524	938,250	4,786,463	9,008,861
2018-04-05	$2665.95	$2675.00	16.1%	4.6%	22.6%	49.6%	17.4%	5.1%	-0.4%	-11.52B	64.26B	-3.83B	1.69	16.45	533,125	901,838	4,856,254	9,090,628
2018-04-06	$2603.72	$2675.00	17.9%	5.1%	23.9%	58.9%	19.1%	5.6%	0.2%	-36.93B	343.64B	-3.83B	1.57	17.91	719,158	1,130,835	4,993,398	9,394,552
2018-04-09	$2627.93	$2675.00	18.0%	5.1%	23.1%	59.4%	18.3%	5.3%	0.1%	-24.95B	213.37B	-3.84B	1.54	14.12	579,926	894,811	4,826,020	9,163,599
2018-04-10	$2659.13	$2675.00	17.4%	4.9%	23.7%	56.5%	19.1%	4.7%	0.1%	-11.51B	69.70B	-3.89B	1.84	13.63	446,302	819,686	4,922,067	9,207,483
2018-04-11	$2645.18	$2675.00	17.1%	4.8%	23.6%	54.9%	18.5%	5.1%	-0.5%	-17.62B	140.63B	-3.88B	1.56	14.99	607,614	948,063	5,020,508	9,335,633
2018-04-12	$2672.19	$2675.00	15.4%	4.4%	24.0%	46.3%	17.0%	4.4%	-0.5%	-5.52B	9.86B	-3.84B	1.69	15.79	567,914	957,843	5,048,864	9,454,001
2018-04-13	$2654.52	$2675.00	14.8%	4.3%	24.0%	43.1%	15.8%	4.3%	0.2%	-13.84B	90.06B	-3.77B	1.61	22.14	625,020	1,008,082	5,160,759	9,599,604
2018-04-16	$2682.32	$2675.00	13.0%	3.8%	24.4%	34.1%	14.7%	4.2%	0.1%	4.12B	-51.25B	-3.63B	1.63	16.87	531,036	865,198	5,049,568	9,296,280
2018-04-17	$2710.50	$2675.00	11.7%	3.4%	24.1%	27.7%	13.6%	3.5%	0.1%	19.31B	-191.88B	-3.59B	1.59	14.23	640,528	1,018,153	5,096,866	9,338,730
2018-04-18	$2712.07	$2675.00	11.8%	3.4%	24.1%	28.1%	14.2%	3.9%	-0.1%	17.50B	-186.98B	-3.70B	2.14	11.14	582,901	1,248,958	5,237,094	9,556,889
2018-04-19	$2695.59	$2675.00	12.4%	3.6%	24.2%	30.8%	14.5%	4.3%	-0.2%	5.92B	-97.33B	-3.71B	1.62	14.80	618,521	1,000,641	5,292,684	9,828,856
2018-04-20	$2666.89	$2680.00	13.5%	3.9%	22.8%	36.8%	15.0%	5.1%	0.1%	-11.41B	66.40B	-3.77B	1.62	14.27	618,945	1,005,663	5,440,610	10,052,399
2018-04-23	$2666.73	$2680.00	13.7%	4.0%	21.4%	37.7%	15.2%	4.7%	0.1%	-8.42B	27.08B	-3.65B	2.01	14.37	388,606	780,939	4,751,284	8,807,517
2018-04-24	$2621.87	$2675.00	15.8%	4.6%	20.2%	48.5%	16.8%	5.0%	0.1%	-32.26B	227.61B	-3.66B	1.85	15.43	583,564	1,079,679	4,768,422	8,812,579
2018-04-25	$2633.72	$2675.00	15.7%	4.5%	19.2%	47.6%	17.1%	5.0%	-0.7%	-28.92B	180.92B	-3.70B	1.71	15.90	613,928	1,051,687	4,898,815	9,065,108
2018-04-26	$2670.71	$2675.00	13.6%	3.9%	19.8%	37.0%	15.9%	4.4%	-0.5%	-4.86B	-5.45B	-3.69B	1.69	15.07	499,296	841,944	4,939,488	9,158,929
2018-04-27	$2670.05	$2675.00	12.8%	3.7%	19.2%	32.9%	14.3%	4.0%	-0.4%	-4.69B	-7.92B	-3.64B	2.01	14.70	403,283	812,369	5,035,723	9,292,517
2018-04-30	$2657.80	$2675.00	12.7%	3.8%	17.0%	32.4%	13.9%	3.9%	0.1%	-13.32B	56.18B	-3.50B	1.80	14.64	473,137	853,165	4,830,174	8,958,309