SPX Options History — October 2018

In October 2018, SPX traded between $2613.19 and $2924.40. ATM implied volatility averaged 15.7%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.6% (HV 20d: 13.1%). Max pain ranged from $2775.00 to $2875.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.89.

Notable Days

2018-10-11: Highest Volume — 2,885,878 contracts
2018-10-10: Largest IV spike — 37.3% change
2018-10-29: Highest IV Rank — 84.2%
2018-10-29: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2787.28	$2613.19	$2924.40	$2919.62	$2722.08
Max Pain	$2825.43	$2775.00	$2875.00	$2875.00	$2775.00
ATM IV	15.7%	8.6%	22.9%	8.7%	18.0%
Expected Move	4.6%	2.3%	7.5%	2.4%	5.7%
HV 20d	13.1%	5.3%	22.8%	5.4%	22.8%
HV 60d	9.9%	6.6%	14.3%	6.9%	14.3%
IV Rank	47.9%	11.6%	84.2%	12.3%	58.9%
IV Percentile	83.0%	36.1%	99.2%	38.5%	93.7%
Term Structure	-0.2%	-0.7%	0.8%	0.2%	-0.4%
VWIV	17.8%	9.8%	26.3%	10.8%	21.3%
Skew 25d	6.4%	3.8%	8.3%	3.8%	5.9%
Skew 10d	12.7%	7.0%	16.4%	7.0%	12.0%
Call IV 25d	13.0%	7.2%	19.5%	7.3%	15.5%
Put IV 25d	19.4%	11.1%	27.4%	11.1%	21.4%
Bid-Ask Spread %	12.11	8.18	16.26	12.38	12.30
Gamma HHI	0.02	0.02	0.03	0.03	0.02
Net GEX	-30.54B	-59.72B	30.22B	27.01B	-21.67B
Net DEX	217.67B	-329.41B	743.20B	-303.29B	266.42B
Net VEX	-3.64B	-3.99B	-3.20B	-3.21B	-3.99B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	1.44	2.38	1.97	1.47
Total Volume	1,914,466.043	1,171,991	2,885,878	1,448,901	2,011,143
Total OI	15,245,089.13	13,173,173	16,981,923	13,173,173	16,972,136

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
2018-10-01	$2919.62	$2875.00	8.7%	2.4%	5.4%	12.3%	10.8%	3.8%	0.2%	27.01B	-303.29B	-3.21B	1.97	12.38	488,377	960,524	4,317,902	8,855,271
2018-10-02	$2923.54	$2875.00	8.6%	2.3%	5.4%	11.6%	9.8%	4.2%	0.3%	30.22B	-319.46B	-3.24B	2.05	13.75	384,280	787,711	4,396,279	8,993,947
2018-10-03	$2924.40	$2875.00	8.9%	2.4%	5.3%	13.1%	10.0%	4.1%	-0.1%	27.61B	-329.41B	-3.20B	1.86	14.81	505,143	938,834	4,499,147	9,219,818
2018-10-04	$2895.49	$2850.00	10.8%	3.3%	6.4%	22.8%	13.5%	5.8%	-0.2%	-6.74B	-133.64B	-3.44B	2.20	8.18	592,939	1,306,056	4,507,902	9,293,629
2018-10-05	$2883.15	$2850.00	11.7%	3.5%	6.5%	27.5%	13.1%	6.0%	0.8%	-24.88B	-62.83B	-3.51B	2.29	8.30	548,930	1,256,841	4,669,188	9,720,162
2018-10-08	$2888.16	$2850.00	12.2%	3.5%	6.5%	30.2%	14.1%	6.4%	0.2%	-15.05B	-107.80B	-3.45B	1.81	9.51	615,049	1,114,944	4,587,956	9,438,126
2018-10-09	$2881.66	$2850.00	12.8%	3.6%	6.4%	33.2%	13.9%	6.3%	0.1%	-15.80B	-91.42B	-3.50B	2.03	8.24	398,776	809,501	4,658,126	9,595,275
2018-10-10	$2797.89	$2850.00	17.6%	4.8%	12.2%	57.5%	17.7%	7.9%	-0.6%	-58.74B	313.52B	-3.65B	1.81	13.00	912,929	1,647,912	4,763,955	9,840,378
2018-10-11	$2744.67	$2850.00	20.7%	5.6%	13.6%	73.3%	20.4%	8.3%	-0.7%	-57.69B	515.69B	-3.75B	2.38	14.60	853,008	2,032,870	4,937,628	10,044,929
2018-10-12	$2762.12	$2850.00	18.5%	5.1%	13.9%	62.0%	19.3%	7.6%	-0.2%	-59.72B	441.27B	-3.77B	2.02	15.49	795,478	1,606,829	5,244,508	10,538,635
2018-10-15	$2763.37	$2825.00	16.7%	4.7%	13.8%	52.7%	17.9%	7.2%	-0.3%	-56.14B	397.18B	-3.66B	1.71	10.47	644,413	1,100,719	5,155,300	10,402,852
2018-10-16	$2808.25	$2825.00	14.1%	4.0%	15.0%	39.8%	16.7%	6.0%	-0.2%	-37.74B	149.41B	-3.71B	1.69	9.72	707,493	1,197,136	5,320,078	10,437,808
2018-10-17	$2805.24	$2820.00	14.2%	4.1%	14.9%	40.3%	17.2%	6.0%	-0.2%	-35.47B	151.92B	-3.76B	2.19	10.05	598,250	1,312,598	5,558,495	10,716,558
2018-10-18	$2771.04	$2810.00	16.3%	4.7%	14.9%	50.7%	18.9%	6.7%	-0.3%	-46.33B	315.02B	-3.81B	2.00	11.27	573,018	1,144,282	5,584,785	10,888,190
2018-10-19	$2771.84	$2805.00	16.0%	4.6%	14.9%	49.2%	17.7%	6.7%	0.1%	-45.09B	316.16B	-3.84B	1.93	10.04	686,680	1,325,509	5,786,004	11,195,919
2018-10-22	$2760.84	$2800.00	16.2%	4.7%	14.9%	50.1%	17.8%	6.5%	-0.3%	-40.76B	279.03B	-3.66B	1.80	10.61	589,351	1,061,883	5,006,032	9,927,388
2018-10-23	$2745.20	$2800.00	17.0%	5.1%	15.0%	53.8%	19.9%	6.6%	-0.4%	-42.25B	329.52B	-3.72B	1.55	12.86	794,222	1,229,371	5,078,026	9,974,490
2018-10-24	$2679.73	$2800.00	19.9%	6.0%	16.7%	68.6%	22.0%	7.4%	-0.6%	-50.12B	573.14B	-3.68B	1.79	16.26	657,287	1,175,747	5,373,998	10,244,166
2018-10-25	$2713.47	$2800.00	18.7%	5.8%	17.7%	62.5%	22.4%	6.5%	-0.6%	-41.62B	429.56B	-3.90B	1.44	12.68	950,125	1,366,352	5,490,604	10,281,309
2018-10-26	$2657.19	$2795.00	21.4%	6.9%	18.7%	76.4%	24.9%	7.4%	-0.1%	-48.53B	645.10B	-3.85B	2.09	16.04	773,993	1,615,754	5,801,163	10,694,068
2018-10-29	$2613.19	$2780.00	22.9%	7.5%	19.0%	84.2%	26.3%	7.9%	-0.0%	-45.90B	743.20B	-3.66B	1.79	15.70	699,705	1,254,505	5,753,441	10,513,749
2018-10-30	$2675.32	$2775.00	20.2%	6.6%	21.5%	70.4%	24.8%	6.6%	-0.0%	-36.91B	488.17B	-3.85B	1.58	12.26	778,786	1,227,466	5,843,597	10,514,133
2018-10-31	$2722.08	$2775.00	18.0%	5.7%	22.8%	58.9%	21.3%	5.9%	-0.4%	-21.67B	266.42B	-3.99B	1.47	12.30	813,381	1,197,762	6,097,449	10,874,687