SPX Options History — November 2018

In November 2018, SPX traded between $2632.56 and $2810.85. ATM implied volatility averaged 16.8%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 4.7% (HV 20d: 21.5%). Max pain ranged from $2730.00 to $2775.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.58.

Notable Days

2018-11-07: Highest Volume — 2,101,703 contracts
2018-11-12: Largest IV spike — 21.8% change
2018-11-20: Highest IV Rank — 68.9%
2018-11-20: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2723.01	$2632.56	$2810.85	$2736.25	$2758.00
Max Pain	$2746.67	$2730.00	$2775.00	$2775.00	$2730.00
ATM IV	16.8%	13.8%	19.9%	16.6%	16.3%
Expected Move	5.0%	4.1%	5.7%	5.1%	5.1%
HV 20d	21.5%	18.4%	23.1%	22.9%	18.4%
HV 60d	15.7%	14.4%	17.2%	14.4%	17.2%
IV Rank	52.6%	37.4%	68.9%	51.5%	50.0%
IV Percentile	87.2%	77.4%	96.4%	87.7%	81.7%
Term Structure	-0.1%	-0.4%	0.3%	-0.3%	-0.1%
VWIV	18.2%	15.5%	19.9%	19.2%	18.9%
Skew 25d	5.2%	3.9%	6.4%	5.8%	4.5%
Skew 10d	10.3%	7.6%	12.5%	11.4%	8.6%
Call IV 25d	14.5%	11.8%	17.2%	14.1%	14.2%
Put IV 25d	19.7%	16.5%	23.1%	19.9%	18.7%
Bid-Ask Spread %	10.52	7.59	17.82	13.29	11.30
Gamma HHI	0.02	0.02	0.03	0.02	0.02
Net GEX	-15.80B	-43.06B	17.43B	-17.84B	14.70B
Net DEX	180.24B	-239.71B	567.58B	187.98B	-105.82B
Net VEX	-3.75B	-4.01B	-3.44B	-3.99B	-3.77B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	1.23	1.93	1.71	1.23
Total Volume	1,726,237.714	1,366,488	2,101,703	1,544,868	1,889,771
Total OI	16,693,466.048	15,823,608	17,861,648	16,261,923	17,202,984

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
2018-11-01	$2736.25	$2775.00	16.6%	5.1%	22.9%	51.5%	19.2%	5.8%	-0.3%	-17.84B	187.98B	-3.99B	1.71	13.29	569,236	975,632	5,911,311	10,350,612
2018-11-02	$2722.08	$2775.00	17.0%	5.4%	22.9%	53.9%	19.9%	5.5%	0.2%	-22.30B	253.03B	-4.01B	1.62	17.82	651,268	1,052,656	6,086,446	10,654,794
2018-11-05	$2737.08	$2750.00	17.1%	5.0%	23.0%	54.3%	18.2%	5.8%	0.2%	-17.84B	163.04B	-3.94B	1.84	8.37	570,427	1,047,757	5,948,868	10,266,545
2018-11-06	$2747.02	$2745.00	17.1%	5.0%	23.1%	54.3%	17.9%	5.7%	0.2%	-12.57B	102.96B	-3.94B	1.55	9.11	535,633	830,855	6,000,385	10,314,464
2018-11-07	$2810.85	$2745.00	13.9%	4.1%	22.5%	37.7%	15.7%	4.4%	-0.2%	17.43B	-239.71B	-3.85B	1.68	8.27	782,946	1,318,757	6,088,597	10,492,204
2018-11-08	$2800.02	$2745.00	13.8%	4.1%	21.3%	37.4%	15.5%	4.7%	-0.2%	11.87B	-182.42B	-3.86B	1.81	7.59	548,301	994,746	6,151,421	10,543,569
2018-11-09	$2786.97	$2750.00	14.1%	4.2%	21.3%	38.9%	16.1%	5.1%	0.3%	2.50B	-102.55B	-3.87B	1.60	9.45	664,192	1,061,500	6,298,460	10,813,307
2018-11-12	$2732.18	$2750.00	17.2%	4.9%	22.5%	54.8%	17.3%	6.4%	0.1%	-27.22B	214.40B	-3.79B	1.45	10.83	687,192	997,347	6,157,432	10,462,607
2018-11-13	$2721.82	$2750.00	17.5%	5.0%	21.6%	56.1%	18.3%	6.0%	0.0%	-28.79B	260.42B	-3.78B	1.49	11.47	659,377	983,653	6,240,218	10,501,127
2018-11-14	$2710.02	$2750.00	18.0%	5.1%	21.7%	58.8%	18.4%	6.1%	-0.3%	-32.85B	319.88B	-3.79B	1.93	10.14	606,701	1,170,789	6,402,291	10,801,265
2018-11-15	$2725.12	$2750.00	17.5%	5.0%	21.4%	56.3%	18.8%	5.7%	-0.4%	-24.36B	229.80B	-3.85B	1.57	11.33	721,418	1,133,479	6,462,116	10,935,647
2018-11-16	$2741.28	$2750.00	15.7%	4.6%	21.6%	47.1%	16.6%	5.0%	0.3%	-11.47B	129.81B	-3.80B	1.50	11.02	807,773	1,212,807	6,701,406	11,160,242
2018-11-19	$2685.90	$2750.00	18.4%	5.3%	22.7%	61.1%	19.0%	5.5%	-0.0%	-30.46B	356.46B	-3.62B	1.63	10.40	636,940	1,038,300	5,993,493	9,830,115
2018-11-20	$2647.00	$2745.00	19.9%	5.7%	23.1%	68.9%	19.7%	5.9%	-0.1%	-40.54B	515.02B	-3.55B	1.35	9.69	801,670	1,079,290	6,107,845	9,955,857
2018-11-21	$2652.83	$2740.00	17.9%	5.1%	21.6%	58.5%	19.0%	5.2%	-0.4%	-43.06B	494.18B	-3.53B	1.75	9.80	644,368	1,124,504	6,426,871	10,252,821
2018-11-23	$2632.56	$2740.00	18.6%	5.4%	21.1%	62.0%	19.9%	5.1%	-0.1%	-39.88B	567.58B	-3.46B	1.69	10.87	551,437	929,411	6,434,867	10,388,279
2018-11-26	$2672.30	$2735.00	16.6%	4.9%	20.6%	51.4%	19.2%	4.3%	0.1%	-24.98B	360.93B	-3.44B	1.72	10.42	707,331	1,216,485	6,200,108	10,013,155
2018-11-27	$2679.63	$2735.00	16.6%	5.0%	19.6%	51.7%	18.2%	4.5%	0.1%	-21.70B	317.23B	-3.49B	1.40	9.05	632,384	886,350	6,264,110	10,121,983
2018-11-28	$2738.10	$2735.00	16.2%	4.9%	19.3%	49.6%	18.6%	3.9%	-0.2%	8.65B	-13.60B	-3.72B	1.42	9.53	754,580	1,073,510	6,427,562	10,347,374
2018-11-29	$2746.28	$2735.00	16.4%	5.0%	18.4%	50.7%	17.9%	4.3%	-0.3%	9.00B	-43.66B	-3.76B	1.28	11.15	746,518	953,701	6,449,105	10,400,924
2018-11-30	$2758.00	$2730.00	16.3%	5.1%	18.4%	50.0%	18.9%	4.5%	-0.1%	14.70B	-105.82B	-3.77B	1.23	11.30	846,027	1,043,744	6,602,879	10,600,105