SPX Options History — August 2018

In August 2018, SPX traded between $2815.92 and $2916.06. ATM implied volatility averaged 8.7%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.2% (HV 20d: 7.5%). Max pain ranged from $2755.00 to $2795.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.93.

Notable Days

2018-08-27: Highest Volume — 2,069,735 contracts
2018-08-15: Largest IV spike — 16.7% change
2018-08-15: Highest IV Rank — 22.1%
2018-08-15: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2858.83	$2815.92	$2916.06	$2815.92	$2899.34
Max Pain	$2775.65	$2755.00	$2795.00	$2770.00	$2795.00
ATM IV	8.7%	7.6%	10.6%	9.3%	8.9%
Expected Move	2.5%	2.1%	3.1%	2.6%	2.4%
HV 20d	7.5%	6.2%	8.2%	8.1%	7.7%
HV 60d	8.4%	7.9%	8.8%	8.8%	8.0%
IV Rank	12.3%	6.9%	22.1%	15.3%	13.3%
IV Percentile	42.7%	25.8%	65.9%	54.0%	47.2%
Term Structure	0.0%	-0.3%	0.4%	-0.3%	0.2%
VWIV	9.9%	8.6%	11.8%	10.4%	10.6%
Skew 25d	3.6%	2.3%	5.3%	4.5%	4.2%
Skew 10d	7.2%	4.5%	10.3%	9.3%	9.2%
Call IV 25d	7.6%	7.0%	8.8%	7.9%	7.7%
Put IV 25d	11.3%	9.4%	13.9%	12.5%	11.9%
Bid-Ask Spread %	8.81	6.05	13.88	13.42	10.70
Gamma HHI	0.04	0.02	0.07	0.03	0.05
Net GEX	55.79B	642.9M	97.53B	28.39B	65.34B
Net DEX	-439.62B	-739.80B	-194.56B	-249.37B	-576.85B
Net VEX	-3.29B	-3.48B	-3.12B	-3.39B	-3.35B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	1.21	3.02	2.09	1.94
Total Volume	1,488,492.783	1,032,258	2,069,735	1,157,946	1,487,506
Total OI	14,356,251.043	13,249,671	15,624,799	13,249,671	15,624,799

Daily Data (23 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
2018-08-01	$2815.92	$2770.00	9.3%	2.6%	8.1%	15.3%	10.4%	4.5%	-0.3%	28.39B	-249.37B	-3.39B	2.09	13.42	374,326	783,620	4,645,673	8,603,998
2018-08-02	$2827.79	$2775.00	8.5%	2.3%	7.8%	11.2%	10.1%	3.9%	-0.3%	42.93B	-329.83B	-3.30B	2.34	13.88	344,496	806,973	4,703,437	8,690,532
2018-08-03	$2838.86	$2775.00	7.9%	2.1%	7.4%	8.2%	8.6%	3.4%	-0.3%	62.51B	-390.41B	-3.33B	2.13	12.68	488,497	1,040,038	4,778,218	8,957,260
2018-08-06	$2850.18	$2755.00	7.8%	2.5%	7.0%	7.5%	9.3%	3.2%	0.2%	64.04B	-453.66B	-3.17B	1.91	6.52	463,717	884,229	4,614,787	8,829,180
2018-08-07	$2859.83	$2760.00	7.7%	2.4%	7.0%	7.2%	9.1%	2.7%	0.2%	78.52B	-515.26B	-3.12B	1.53	9.49	606,570	925,230	4,750,405	8,921,947
2018-08-08	$2861.74	$2765.00	7.6%	2.4%	6.4%	6.9%	9.3%	2.3%	-0.1%	81.30B	-508.53B	-3.22B	1.95	6.91	460,411	896,978	4,871,840	9,147,716
2018-08-09	$2856.89	$2770.00	7.9%	2.4%	6.2%	8.0%	9.4%	2.6%	-0.1%	69.68B	-467.28B	-3.27B	1.69	6.63	452,842	763,791	4,916,767	9,278,775
2018-08-10	$2832.98	$2770.00	9.1%	2.7%	7.0%	14.4%	11.7%	4.7%	0.1%	24.91B	-273.62B	-3.48B	2.25	7.23	537,902	1,212,597	4,952,107	9,466,813
2018-08-13	$2825.68	$2775.00	10.0%	2.9%	7.1%	18.9%	11.4%	5.3%	0.1%	14.62B	-242.31B	-3.46B	2.83	6.06	340,010	961,273	4,879,209	9,463,306
2018-08-14	$2841.80	$2775.00	9.1%	2.7%	7.1%	14.4%	10.2%	4.4%	0.1%	33.85B	-341.83B	-3.29B	3.02	6.05	256,932	775,326	4,825,239	9,467,589
2018-08-15	$2818.52	$2775.00	10.6%	3.1%	7.7%	22.1%	11.8%	5.1%	-0.2%	642.9M	-194.56B	-3.38B	1.87	7.17	645,124	1,204,718	4,878,905	9,699,031
2018-08-16	$2841.72	$2775.00	9.4%	2.8%	8.2%	16.0%	11.8%	4.7%	-0.2%	35.14B	-348.85B	-3.39B	1.97	6.61	478,889	943,690	4,937,860	9,850,886
2018-08-17	$2851.60	$2775.00	8.6%	2.5%	8.2%	11.6%	9.7%	4.2%	0.2%	56.39B	-435.55B	-3.29B	1.95	7.18	560,708	1,095,116	5,078,731	10,175,099
2018-08-20	$2859.18	$2775.00	8.6%	2.5%	8.2%	11.5%	10.5%	3.5%	0.2%	54.99B	-399.54B	-3.27B	2.13	7.20	413,998	882,168	4,708,421	9,081,725
2018-08-21	$2866.23	$2775.00	8.6%	2.5%	8.2%	11.8%	9.2%	3.3%	0.2%	63.50B	-466.03B	-3.24B	1.39	7.49	657,440	913,051	4,807,117	9,232,786
2018-08-22	$2864.41	$2775.00	8.4%	2.4%	7.6%	10.9%	9.3%	3.4%	0.0%	63.54B	-453.71B	-3.23B	1.75	7.89	563,878	988,764	4,960,993	9,471,104
2018-08-23	$2857.11	$2780.00	8.9%	2.5%	7.7%	13.2%	10.3%	3.5%	0.0%	47.95B	-380.64B	-3.40B	1.79	8.60	465,790	835,420	5,027,253	9,584,991
2018-08-24	$2874.60	$2780.00	8.3%	2.4%	7.5%	10.4%	9.1%	3.0%	0.4%	80.73B	-506.00B	-3.29B	2.39	8.21	431,490	1,031,608	5,040,113	9,787,925
2018-08-27	$2895.41	$2780.00	8.5%	2.3%	7.3%	11.4%	8.8%	2.7%	0.2%	71.84B	-607.09B	-3.12B	1.21	9.70	936,054	1,133,681	4,934,492	9,461,641
2018-08-28	$2897.94	$2785.00	8.6%	2.3%	7.2%	11.7%	8.7%	2.8%	0.3%	81.46B	-634.66B	-3.14B	1.55	9.96	678,269	1,054,155	5,188,988	9,582,079
2018-08-29	$2916.06	$2790.00	8.6%	2.3%	7.4%	11.7%	9.1%	2.6%	-0.1%	97.53B	-739.80B	-3.15B	1.22	11.22	797,172	969,016	5,292,131	9,824,772
2018-08-30	$2899.33	$2790.00	9.4%	2.6%	7.8%	15.9%	9.4%	3.8%	-0.2%	63.36B	-595.95B	-3.33B	1.47	11.79	685,163	1,006,708	5,331,958	9,865,176
2018-08-31	$2899.34	$2795.00	8.9%	2.4%	7.7%	13.3%	10.6%	4.2%	0.2%	65.34B	-576.85B	-3.35B	1.94	10.70	505,583	981,923	5,449,369	10,175,430