SPX Options History — May 2018

In May 2018, SPX traded between $2627.58 and $2729.86. ATM implied volatility averaged 11.1%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 1.3% (HV 20d: 12.4%). Max pain ranged from $2650.00 to $2675.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.66.

Notable Days

2018-05-11: Highest Volume — 1,935,495 contracts
2018-05-29: Largest IV spike — 31.0% change
2018-05-03: Highest IV Rank — 36.7%
2018-05-03: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2700.05	$2627.58	$2729.86	$2647.05	$2707.31
Max Pain	$2661.14	$2650.00	$2675.00	$2675.00	$2670.00
ATM IV	11.1%	9.6%	13.5%	13.0%	11.3%
Expected Move	3.2%	2.7%	4.0%	3.9%	3.3%
HV 20d	12.4%	8.8%	16.6%	16.6%	10.7%
HV 60d	17.8%	16.6%	20.6%	20.6%	16.9%
IV Rank	24.6%	16.7%	36.7%	34.3%	25.7%
IV Percentile	72.4%	64.3%	82.9%	82.1%	72.2%
Term Structure	0.0%	-0.4%	0.6%	0.1%	-0.3%
VWIV	12.5%	10.6%	14.9%	14.2%	12.3%
Skew 25d	3.9%	2.8%	5.7%	4.0%	5.4%
Skew 10d	8.1%	5.3%	11.7%	8.5%	11.7%
Call IV 25d	9.6%	8.1%	12.0%	11.4%	9.5%
Put IV 25d	13.6%	11.9%	16.2%	15.4%	15.0%
Bid-Ask Spread %	10.10	7.51	14.02	12.28	8.57
Gamma HHI	0.03	0.02	0.04	0.02	0.02
Net GEX	15.28B	-29.08B	46.54B	-18.70B	5.28B
Net DEX	-145.60B	-337.80B	183.64B	102.39B	-119.96B
Net VEX	-3.48B	-3.63B	-3.36B	-3.51B	-3.37B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	1.28	2.06	1.66	1.67
Total Volume	1,489,650.5	1,143,494	1,935,495	1,312,511	1,456,697
Total OI	14,411,483.682	13,430,731	15,598,105	13,430,731	14,666,731

Daily Data (22 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
2018-05-01	$2647.05	$2675.00	13.0%	3.9%	16.6%	34.3%	14.2%	4.0%	0.1%	-18.70B	102.39B	-3.51B	1.66	12.28	493,397	819,114	4,750,067	8,680,664
2018-05-02	$2638.36	$2675.00	13.0%	3.8%	15.9%	34.1%	14.3%	3.8%	-0.3%	-25.59B	141.19B	-3.52B	1.54	14.02	538,452	831,774	4,882,049	8,896,685
2018-05-03	$2627.58	$2655.00	13.5%	4.0%	15.8%	36.7%	14.8%	4.1%	-0.4%	-29.08B	183.64B	-3.52B	1.50	9.29	741,964	1,112,210	4,928,104	8,965,554
2018-05-04	$2665.87	$2650.00	12.0%	3.6%	14.2%	29.2%	13.7%	3.7%	0.2%	-670.4M	-17.87B	-3.63B	1.72	8.88	577,733	995,252	5,134,329	9,223,932
2018-05-07	$2671.41	$2650.00	12.1%	3.6%	13.9%	29.6%	14.6%	3.6%	0.2%	2.82B	-39.77B	-3.56B	1.67	8.66	494,446	823,644	5,015,465	8,980,293
2018-05-08	$2670.82	$2650.00	12.1%	3.6%	13.3%	29.7%	13.7%	3.8%	0.2%	566.1M	-30.57B	-3.55B	1.77	8.82	412,564	730,930	5,062,259	8,992,903
2018-05-09	$2693.59	$2650.00	11.3%	3.3%	13.4%	25.3%	12.8%	3.4%	-0.2%	22.88B	-156.06B	-3.51B	1.35	7.51	709,872	958,953	5,180,435	9,174,931
2018-05-10	$2721.07	$2650.00	10.3%	3.1%	13.4%	20.6%	12.0%	2.8%	-0.2%	39.48B	-306.96B	-3.49B	1.28	8.36	777,132	998,421	5,239,176	9,242,253
2018-05-11	$2726.40	$2655.00	10.0%	3.0%	13.1%	18.6%	11.1%	3.1%	0.6%	46.54B	-337.80B	-3.43B	1.69	8.86	719,905	1,215,590	5,371,756	9,429,172
2018-05-14	$2729.86	$2655.00	10.2%	2.9%	12.7%	19.7%	11.2%	3.0%	0.1%	40.47B	-324.41B	-3.47B	1.67	9.01	611,668	1,019,015	5,314,477	9,361,162
2018-05-15	$2705.66	$2660.00	11.5%	3.3%	12.6%	26.5%	12.8%	3.9%	0.0%	17.26B	-166.01B	-3.57B	1.66	10.43	542,531	898,786	5,352,083	9,422,613
2018-05-16	$2721.48	$2660.00	10.6%	3.0%	12.8%	22.1%	12.1%	3.6%	-0.1%	32.69B	-271.45B	-3.51B	2.06	8.83	443,595	912,034	5,445,520	9,652,556
2018-05-17	$2718.65	$2660.00	10.3%	3.0%	12.5%	20.5%	11.3%	3.9%	-0.0%	26.80B	-247.09B	-3.44B	1.62	9.88	561,394	910,855	5,425,556	9,814,847
2018-05-18	$2714.98	$2665.00	10.2%	2.9%	11.9%	20.1%	11.5%	4.2%	0.2%	22.88B	-223.34B	-3.48B	1.83	10.06	481,437	882,683	5,544,445	10,053,660
2018-05-21	$2729.40	$2665.00	10.1%	2.9%	12.0%	19.5%	11.3%	3.6%	0.2%	33.94B	-265.78B	-3.39B	1.69	10.89	502,176	849,932	4,943,977	8,862,709
2018-05-22	$2726.67	$2665.00	10.3%	2.9%	9.9%	20.1%	11.4%	3.8%	0.1%	28.58B	-252.14B	-3.40B	1.57	10.74	523,911	823,666	5,021,274	8,898,909
2018-05-23	$2728.15	$2665.00	9.8%	2.8%	9.9%	17.7%	10.6%	4.0%	-0.2%	29.01B	-249.36B	-3.42B	1.54	11.56	592,929	911,171	5,117,851	9,081,912
2018-05-24	$2726.76	$2665.00	9.6%	2.7%	8.8%	16.7%	11.0%	4.2%	-0.2%	27.52B	-234.13B	-3.43B	1.65	12.01	556,187	920,098	5,161,451	9,210,439
2018-05-25	$2718.89	$2670.00	9.8%	2.8%	8.9%	17.8%	10.7%	4.5%	0.2%	19.69B	-180.94B	-3.45B	1.95	12.39	471,784	921,909	5,238,666	9,425,722
2018-05-29	$2688.17	$2665.00	12.8%	3.8%	9.7%	33.1%	14.9%	5.7%	0.1%	-11.05B	13.69B	-3.46B	1.68	9.36	605,589	1,017,617	5,091,071	9,240,832
2018-05-30	$2723.07	$2670.00	10.8%	3.1%	10.5%	23.1%	11.6%	4.8%	-0.2%	24.83B	-220.44B	-3.36B	1.75	11.72	511,124	892,170	5,161,178	9,392,973
2018-05-31	$2707.31	$2670.00	11.3%	3.3%	10.7%	25.7%	12.3%	5.4%	-0.3%	5.28B	-119.96B	-3.37B	1.67	8.57	546,457	910,240	5,193,614	9,473,117