SPX Options History — September 2018

In September 2018, SPX traded between $2872.80 and $2932.24. ATM implied volatility averaged 9.0%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 2.4% (HV 20d: 6.6%). Max pain ranged from $2795.00 to $2875.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.09.

Notable Days

  • 2018-09-21: Highest Volume — 2,044,321 contracts
  • 2018-09-17: Largest IV spike — 19.3% change
  • 2018-09-07: Highest IV Rank — 20.4%
  • 2018-09-07: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2902.65$2872.80$2932.24$2895.64$2913.85
Max Pain$2842.63$2795.00$2875.00$2795.00$2875.00
ATM IV9.0%8.0%10.3%9.4%8.6%
Expected Move2.6%2.3%3.0%2.6%2.4%
HV 20d6.6%5.4%7.8%7.7%5.4%
HV 60d7.7%7.0%8.0%8.0%7.0%
IV Rank13.9%8.6%20.4%16.1%11.9%
IV Percentile46.3%29.0%65.1%58.3%38.1%
Term Structure0.1%-0.2%0.4%0.2%0.2%
VWIV10.9%9.0%12.7%10.2%10.9%
Skew 25d3.9%3.0%5.0%3.8%3.8%
Skew 10d7.4%5.5%10.9%7.3%7.0%
Call IV 25d7.6%6.9%8.6%8.1%7.2%
Put IV 25d11.6%10.1%13.6%11.9%11.0%
Bid-Ask Spread %8.376.0012.6710.2910.88
Gamma HHI0.030.020.050.030.03
Net GEX35.10B10.24B64.73B41.57B18.26B
Net DEX-481.04B-770.83B-297.44B-508.49B-319.53B
Net VEX-3.19B-3.42B-3.00B-3.26B-3.18B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.091.792.721.882.45
Total Volume1,497,745.0531,258,8402,044,3211,459,6621,652,427
Total OI15,105,779.15813,351,19117,010,28314,702,47714,213,166

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$2895.64$2795.009.4%2.6%7.7%16.1%10.2%3.8%0.2%41.57B-508.49B-3.26B1.8810.29506,328953,3345,150,6019,551,876
2018-09-05$2888.61$2795.009.7%2.6%7.7%17.1%10.3%4.0%-0.2%35.06B-457.70B-3.25B1.7912.67544,269974,2135,210,3419,665,111
2018-09-06$2881.70$2825.0010.2%3.0%7.7%19.9%11.5%5.0%-0.2%26.75B-414.56B-3.37B1.906.00547,3331,040,2335,282,3759,838,980
2018-09-07$2872.80$2825.0010.3%3.0%7.8%20.4%12.7%4.9%0.1%10.24B-343.89B-3.42B2.266.05484,7741,093,8155,380,85210,209,709
2018-09-10$2878.94$2825.009.8%2.9%7.1%17.8%11.5%4.5%0.2%19.16B-402.94B-3.24B2.726.04355,709965,7795,165,35710,009,693
2018-09-11$2889.27$2825.009.2%2.7%7.1%15.0%10.7%3.9%0.2%33.82B-472.92B-3.15B1.876.29438,152820,6885,194,1859,990,183
2018-09-12$2891.57$2825.009.0%2.6%6.9%13.6%10.9%4.0%-0.1%38.97B-516.13B-3.05B1.877.09481,218898,1065,299,89210,219,978
2018-09-13$2901.06$2840.008.5%2.5%6.0%11.4%10.5%3.3%-0.1%51.55B-576.81B-3.03B2.076.37480,236994,1185,326,34810,300,072
2018-09-14$2904.66$2850.008.0%2.4%5.4%8.6%9.0%3.2%0.2%61.27B-621.18B-3.00B1.876.62535,6361,002,8115,456,15410,621,004
2018-09-17$2886.57$2850.009.5%2.8%5.9%16.4%11.2%4.2%0.1%19.22B-445.00B-3.13B1.977.21472,718928,8725,290,09910,250,326
2018-09-18$2907.61$2850.008.7%2.5%6.4%12.5%11.4%3.8%0.1%45.00B-609.44B-3.07B2.056.60437,877899,4315,367,09210,327,140
2018-09-19$2909.39$2850.008.3%2.4%6.3%10.4%9.9%3.5%-0.0%54.26B-643.86B-3.00B2.558.62382,940974,7135,514,61510,588,355
2018-09-20$2932.24$2850.008.3%2.4%6.8%10.1%9.3%3.0%-0.1%64.73B-770.83B-3.02B1.997.27680,2941,354,5355,526,25010,740,280
2018-09-21$2929.97$2850.008.1%2.3%6.7%9.2%9.6%3.7%0.4%53.88B-754.66B-3.22B1.8510.10717,0311,327,2905,763,52911,246,754
2018-09-24$2919.33$2860.008.9%2.5%6.6%13.2%12.1%4.3%0.3%25.43B-326.67B-3.28B2.1710.46432,610940,6674,364,1338,987,058
2018-09-25$2917.57$2870.008.9%2.5%6.2%13.1%10.8%4.2%0.2%26.68B-334.66B-3.24B2.049.40424,237867,2154,417,3449,039,241
2018-09-26$2916.42$2875.009.1%2.5%6.2%14.3%12.4%3.7%-0.2%23.13B-323.12B-3.28B1.8510.09463,266858,6634,495,1159,249,797
2018-09-27$2913.10$2875.008.9%2.5%5.8%13.1%12.3%3.9%-0.2%17.92B-297.44B-3.34B2.4610.91441,2741,084,3444,505,7159,251,084
2018-09-28$2913.85$2875.008.6%2.4%5.4%11.9%10.9%3.8%0.2%18.26B-319.53B-3.18B2.4510.88478,2971,174,1304,587,2399,625,927