SPX Options History — June 2018

In June 2018, SPX traded between $2712.39 and $2786.70. ATM implied volatility averaged 10.1%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.8% (HV 20d: 9.3%). Max pain ranged from $2670.00 to $2740.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.80.

Notable Days

2018-06-15: Highest Volume — 1,770,419 contracts
2018-06-25: Largest IV spike — 33.5% change
2018-06-27: Highest IV Rank — 38.7%
2018-06-27: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2755.59	$2712.39	$2786.70	$2731.44	$2727.88
Max Pain	$2719.29	$2670.00	$2740.00	$2670.00	$2730.00
ATM IV	10.1%	8.5%	13.9%	10.0%	11.8%
Expected Move	3.0%	2.5%	4.0%	2.8%	3.4%
HV 20d	9.3%	8.4%	10.8%	10.8%	8.4%
HV 60d	15.0%	12.0%	17.0%	17.0%	12.0%
IV Rank	19.5%	11.3%	38.7%	19.1%	28.2%
IV Percentile	63.7%	49.2%	86.9%	65.5%	73.8%
Term Structure	0.0%	-0.4%	0.3%	0.0%	0.1%
VWIV	12.3%	10.2%	16.2%	10.3%	14.7%
Skew 25d	4.6%	3.1%	6.6%	4.5%	5.7%
Skew 10d	9.3%	5.9%	14.0%	9.3%	10.9%
Call IV 25d	8.5%	7.4%	11.2%	8.4%	9.6%
Put IV 25d	13.0%	10.8%	17.7%	12.9%	15.3%
Bid-Ask Spread %	8.94	6.85	14.08	13.26	13.62
Gamma HHI	0.03	0.02	0.05	0.03	0.02
Net GEX	28.95B	-24.56B	71.07B	31.60B	-13.58B
Net DEX	-272.05B	-573.95B	97.12B	-283.56B	-8.39B
Net VEX	-3.25B	-3.44B	-3.11B	-3.24B	-3.35B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	1.51	2.14	1.80	2.14
Total Volume	1,472,937.286	1,235,277	1,770,419	1,389,860	1,326,708
Total OI	13,911,556.143	12,111,837	16,097,790	14,373,708	13,385,820

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
2018-06-01	$2731.44	$2670.00	10.0%	2.8%	10.8%	19.1%	10.3%	4.5%	0.0%	31.60B	-283.56B	-3.24B	1.80	13.26	495,778	894,082	5,042,597	9,331,111
2018-06-04	$2747.48	$2700.00	9.4%	2.9%	9.9%	16.0%	11.8%	4.2%	0.0%	45.38B	-360.52B	-3.19B	1.65	7.17	518,124	853,234	5,012,507	9,147,609
2018-06-05	$2748.25	$2700.00	9.2%	2.8%	9.9%	15.0%	12.1%	4.3%	-0.1%	43.78B	-364.18B	-3.17B	1.76	7.37	447,636	787,641	5,082,485	9,243,993
2018-06-06	$2767.71	$2700.00	8.6%	2.7%	10.1%	11.6%	10.7%	3.3%	-0.1%	63.82B	-489.29B	-3.11B	1.57	7.36	613,624	961,366	5,142,594	9,415,135
2018-06-07	$2771.17	$2700.00	8.9%	2.7%	9.7%	13.3%	10.8%	3.8%	-0.2%	56.69B	-475.07B	-3.21B	1.57	7.22	638,524	1,003,143	5,174,482	9,518,094
2018-06-08	$2777.12	$2700.00	8.8%	2.7%	9.2%	12.6%	11.6%	4.0%	0.2%	66.93B	-518.50B	-3.24B	1.97	8.28	476,531	936,427	5,314,772	9,807,707
2018-06-11	$2786.70	$2700.00	8.9%	2.7%	9.2%	13.1%	10.4%	3.9%	0.3%	71.07B	-563.78B	-3.11B	1.61	7.44	616,038	993,955	5,239,237	9,674,124
2018-06-12	$2783.73	$2710.00	8.8%	2.6%	9.3%	12.7%	10.5%	3.6%	0.3%	60.97B	-557.02B	-3.20B	1.65	6.90	609,370	1,007,583	5,417,133	9,811,116
2018-06-13	$2781.06	$2725.00	9.3%	2.7%	8.5%	15.1%	10.6%	3.4%	-0.1%	54.83B	-546.94B	-3.26B	1.63	7.06	546,340	888,948	5,532,614	10,105,715
2018-06-14	$2784.69	$2725.00	8.7%	2.6%	8.4%	12.3%	10.6%	3.1%	-0.1%	61.38B	-573.95B	-3.21B	1.79	6.85	493,408	884,289	5,596,811	10,179,863
2018-06-15	$2777.86	$2725.00	8.5%	2.5%	8.4%	11.3%	11.0%	3.8%	0.3%	47.83B	-516.56B	-3.23B	1.96	8.36	597,837	1,172,582	5,693,594	10,404,196
2018-06-18	$2771.30	$2735.00	9.2%	2.7%	8.5%	14.8%	10.2%	4.2%	0.1%	29.52B	-206.69B	-3.15B	1.86	7.37	574,146	1,066,187	4,148,951	7,962,886
2018-06-19	$2759.81	$2730.00	10.0%	2.9%	8.5%	18.8%	13.0%	4.7%	0.2%	16.23B	-133.46B	-3.24B	1.89	7.39	442,670	834,566	4,163,566	8,032,772
2018-06-20	$2769.48	$2730.00	9.4%	2.7%	8.6%	15.7%	13.2%	4.3%	-0.1%	31.46B	-191.76B	-3.21B	2.12	7.87	509,560	1,081,267	4,271,111	8,265,403
2018-06-21	$2744.91	$2735.00	11.2%	3.2%	9.2%	24.8%	14.2%	5.7%	-0.1%	135.5M	-39.77B	-3.38B	1.80	7.74	472,657	852,947	4,301,568	8,434,340
2018-06-22	$2759.10	$2740.00	9.9%	2.8%	9.4%	18.2%	12.4%	5.0%	0.2%	16.81B	-121.69B	-3.31B	2.05	9.29	443,676	910,287	4,390,284	8,643,066
2018-06-25	$2718.78	$2740.00	13.2%	3.8%	10.8%	35.1%	16.2%	6.6%	0.1%	-20.19B	65.57B	-3.36B	1.95	11.54	576,330	1,124,350	4,201,187	8,271,125
2018-06-26	$2727.90	$2735.00	12.0%	3.4%	10.0%	28.8%	14.9%	5.5%	0.1%	-13.27B	25.36B	-3.39B	1.75	9.85	476,309	835,796	4,297,416	8,410,195
2018-06-27	$2712.39	$2740.00	13.9%	4.0%	9.1%	38.7%	15.1%	6.5%	-0.4%	-24.56B	97.12B	-3.44B	1.66	14.08	578,821	961,564	4,378,052	8,625,554
2018-06-28	$2718.65	$2735.00	12.8%	3.7%	8.9%	33.3%	14.0%	5.8%	-0.3%	-18.82B	49.95B	-3.37B	1.51	11.67	569,347	858,035	4,396,322	8,675,572
2018-06-29	$2727.88	$2730.00	11.8%	3.4%	8.4%	28.2%	14.7%	5.7%	0.1%	-13.58B	-8.39B	-3.35B	2.14	13.62	422,101	904,607	4,507,658	8,878,162