SPX Options History — July 2018

In July 2018, SPX traded between $2713.22 and $2842.04. ATM implied volatility averaged 9.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.6% (HV 20d: 8.9%). Max pain ranged from $2725.00 to $2770.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.77.

Notable Days

2018-07-09: Highest Volume — 1,639,556 contracts
2018-07-06: Largest IV drop — 12.1% change
2018-07-03: Highest IV Rank — 31.2%
2018-07-03: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2793.19	$2713.22	$2842.04	$2719.42	$2817.19
Max Pain	$2743.10	$2725.00	$2770.00	$2730.00	$2770.00
ATM IV	9.5%	8.3%	12.4%	12.2%	9.4%
Expected Move	2.7%	2.4%	3.6%	3.5%	2.6%
HV 20d	8.9%	7.2%	10.1%	8.1%	8.2%
HV 60d	9.9%	8.8%	10.9%	10.9%	8.8%
IV Rank	16.4%	10.2%	31.2%	29.8%	15.9%
IV Percentile	54.1%	38.5%	77.4%	76.6%	55.6%
Term Structure	0.1%	-0.2%	0.2%	0.1%	0.2%
VWIV	11.3%	9.7%	13.8%	13.4%	11.1%
Skew 25d	4.2%	2.9%	5.8%	5.4%	4.0%
Skew 10d	8.3%	5.5%	11.3%	10.0%	7.3%
Call IV 25d	8.0%	7.3%	10.0%	9.9%	7.9%
Put IV 25d	12.2%	10.3%	15.8%	15.3%	11.9%
Bid-Ask Spread %	9.08	6.60	15.24	9.23	11.50
Gamma HHI	0.03	0.02	0.05	0.02	0.03
Net GEX	39.27B	-20.45B	78.03B	-17.79B	34.79B
Net DEX	-273.92B	-476.93B	62.94B	47.18B	-309.61B
Net VEX	-3.28B	-3.41B	-3.12B	-3.36B	-3.29B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	1.27	2.20	1.59	1.99
Total Volume	1,397,868.381	1,065,628	1,639,556	1,225,299	1,363,240
Total OI	13,198,607.286	12,426,592	14,492,012	12,426,592	13,672,877

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
2018-07-02	$2719.42	$2730.00	12.2%	3.5%	8.1%	29.8%	13.4%	5.4%	0.1%	-17.79B	47.18B	-3.36B	1.59	9.23	472,736	752,563	4,177,636	8,248,956
2018-07-03	$2713.22	$2730.00	12.4%	3.6%	8.2%	31.2%	13.8%	5.8%	0.2%	-20.45B	62.94B	-3.36B	1.97	15.24	358,272	707,356	4,237,570	8,274,612
2018-07-05	$2735.14	$2725.00	11.4%	3.3%	8.3%	26.0%	12.7%	5.3%	-0.2%	-3.07B	-39.26B	-3.25B	1.85	6.60	395,500	732,094	4,269,254	8,339,167
2018-07-06	$2759.09	$2725.00	10.0%	3.0%	8.9%	19.0%	12.5%	4.5%	0.2%	21.28B	-149.57B	-3.29B	1.87	6.71	470,544	877,880	4,374,024	8,581,062
2018-07-09	$2783.41	$2725.00	9.1%	2.7%	9.4%	14.4%	10.4%	4.0%	0.2%	43.64B	-279.24B	-3.12B	1.72	6.87	601,789	1,037,767	4,194,835	8,320,956
2018-07-10	$2793.44	$2725.00	9.1%	2.7%	9.5%	14.5%	10.4%	4.1%	0.2%	50.45B	-323.59B	-3.18B	1.75	7.38	553,314	967,394	4,299,207	8,409,951
2018-07-11	$2776.41	$2730.00	10.0%	2.9%	9.7%	18.9%	11.8%	4.3%	-0.1%	27.70B	-221.50B	-3.28B	1.80	7.46	420,879	759,648	4,418,189	8,637,623
2018-07-12	$2796.73	$2740.00	9.2%	2.7%	10.0%	14.6%	10.6%	3.9%	-0.1%	49.38B	-323.90B	-3.23B	1.48	7.57	512,183	758,761	4,406,384	8,665,661
2018-07-13	$2801.07	$2750.00	8.8%	2.6%	10.0%	12.7%	11.0%	4.1%	0.2%	56.38B	-353.98B	-3.22B	1.48	7.33	632,537	933,624	4,505,107	8,869,515
2018-07-16	$2798.48	$2750.00	8.9%	2.6%	10.0%	13.1%	11.4%	4.2%	0.1%	49.85B	-308.99B	-3.26B	2.16	8.17	434,309	938,165	4,502,021	8,671,626
2018-07-17	$2813.82	$2750.00	8.3%	2.4%	10.1%	10.2%	9.8%	2.9%	0.1%	69.61B	-407.33B	-3.17B	1.61	8.04	546,292	879,230	4,558,667	8,788,358
2018-07-18	$2815.11	$2750.00	8.3%	2.4%	9.9%	10.3%	10.8%	2.9%	-0.1%	78.03B	-424.34B	-3.22B	1.72	7.11	556,366	955,563	4,739,091	9,026,780
2018-07-19	$2806.76	$2750.00	9.0%	2.6%	10.0%	13.8%	13.5%	3.5%	-0.1%	58.94B	-361.18B	-3.30B	1.70	8.76	550,731	934,261	4,797,025	9,229,720
2018-07-20	$2803.72	$2750.00	8.7%	2.5%	9.4%	12.4%	10.7%	4.4%	0.2%	45.54B	-321.91B	-3.39B	1.84	8.47	495,413	909,652	4,920,495	9,571,517
2018-07-23	$2806.91	$2750.00	9.0%	2.5%	9.2%	13.6%	10.7%	4.0%	0.1%	40.42B	-268.36B	-3.36B	2.20	8.80	385,209	845,628	4,435,302	8,365,036
2018-07-24	$2816.78	$2750.00	9.1%	2.6%	7.2%	14.1%	10.5%	3.9%	0.1%	53.55B	-333.54B	-3.30B	1.61	9.54	573,428	924,457	4,478,851	8,417,829
2018-07-25	$2842.04	$2750.00	8.5%	2.4%	7.6%	11.3%	9.7%	3.5%	-0.1%	75.60B	-476.93B	-3.24B	1.49	11.95	631,177	942,256	4,588,790	8,652,117
2018-07-26	$2837.04	$2750.00	8.8%	2.5%	7.2%	12.8%	10.1%	3.9%	-0.2%	60.09B	-440.23B	-3.29B	1.27	11.38	684,825	871,866	4,576,767	8,749,030
2018-07-27	$2819.02	$2750.00	9.3%	2.6%	7.8%	15.1%	10.4%	4.2%	0.2%	36.43B	-321.21B	-3.34B	2.12	11.64	490,631	1,042,407	4,775,749	8,977,750
2018-07-30	$2802.17	$2755.00	10.2%	2.9%	8.3%	20.1%	12.2%	5.1%	0.1%	14.37B	-197.75B	-3.41B	2.02	11.02	481,811	973,478	4,704,715	8,740,931
2018-07-31	$2817.19	$2770.00	9.4%	2.6%	8.2%	15.9%	11.1%	4.0%	0.2%	34.79B	-309.61B	-3.29B	1.99	11.50	456,165	907,075	4,764,155	8,908,722