SPX Options History — December 2018

In December 2018, SPX traded between $2362.54 and $2788.04. ATM implied volatility averaged 22.1%, placing in the 75.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.8% (HV 20d: 23.9%). Max pain ranged from $2600.00 to $2750.00. Net GEX was positive for 1 of 18 trading days. Term structure was in contango for 6 of 18 days. Put/call ratio averaged 1.62.

Notable Days

  • 2018-12-20: Highest Volume — 2,471,392 contracts
  • 2018-12-04: Largest IV spike — 45.4% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2561.66$2362.54$2788.04$2788.04$2501.88
Max Pain$2701.18$2600.00$2750.00$2735.00$2600.00
ATM IV22.1%13.9%30.1%13.9%23.1%
Expected Move6.5%4.3%9.0%4.3%7.0%
HV 20d23.9%18.6%29.0%18.6%27.4%
HV 60d20.3%17.4%23.0%17.4%23.0%
IV Rank75.0%37.7%100.0%37.7%70.2%
IV Percentile95.5%73.0%100.0%73.0%96.8%
Term Structure-0.5%-2.5%0.4%0.2%0.1%
VWIV23.5%16.2%32.2%16.2%24.8%
Skew 25d6.0%3.9%9.0%3.9%6.7%
Skew 10d12.1%8.0%18.4%8.0%12.8%
Call IV 25d19.3%12.2%26.0%12.2%19.9%
Put IV 25d25.4%16.1%35.1%16.1%26.6%
Bid-Ask Spread %11.258.6414.9513.529.73
Gamma HHI0.030.020.040.030.03
Net GEX-23.01B-44.66B33.65B33.65B-16.41B
Net DEX497.41B-270.64B1028.03B-270.64B389.38B
Net VEX-3.08B-3.57B0-3.57B-3.44B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.621.082.161.511.34
Total Volume1,729,654.833767,3752,471,3921,349,4361,715,507
Total OI15,021,755.333018,995,33416,380,02814,816,689

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$2788.04$2735.0013.9%4.3%18.6%37.7%16.2%3.9%0.2%33.65B-270.64B-3.57B1.5113.52536,869812,5676,377,03110,002,997
2018-12-04$2701.85$2735.0020.2%5.8%21.8%70.3%21.4%5.3%-2.2%-8.65B149.10B-3.17B1.8011.51314,956566,5834,672,4737,319,605
2018-12-06$2692.15$2750.0018.5%5.3%21.8%61.3%18.5%5.7%-0.4%-21.68B284.97B-3.56B1.8611.80656,0571,222,1056,453,42910,181,390
2018-12-10$2618.26$0.0021.5%6.1%21.8%76.8%21.4%5.9%0.2%0001.468.78483,027705,31100
2018-12-11$2645.12$2750.0019.1%5.5%22.4%64.3%20.5%5.2%0.3%-27.69B447.29B-3.42B1.438.64566,824811,9446,667,00510,443,379
2018-12-12$2661.34$2740.0018.6%5.4%22.6%62.1%18.8%5.1%-0.4%-20.83B372.96B-3.45B1.379.42700,949963,7116,825,25810,629,531
2018-12-13$2653.93$2740.0017.7%5.2%21.6%57.4%18.9%4.4%-0.3%-25.40B419.82B-3.42B1.419.75537,847758,6036,939,53410,730,000
2018-12-14$2595.67$2740.0019.4%5.7%22.8%65.9%20.1%4.7%0.4%-44.66B685.19B-3.25B1.8310.61593,1621,086,2447,100,84610,934,700
2018-12-17$2540.58$2725.0021.9%6.3%23.8%79.1%22.5%5.5%0.0%-43.00B832.44B-3.07B1.7711.15737,5011,306,6126,961,35510,668,262
2018-12-18$2550.89$2725.0022.1%6.3%23.7%80.0%22.9%5.3%-0.0%-37.27B776.34B-3.20B1.449.83791,2751,143,2797,115,03810,764,884
2018-12-19$2506.55$2725.0021.8%6.3%24.0%78.7%24.1%5.4%-0.6%-43.68B944.78B-3.06B1.7713.55888,1961,574,7217,432,96811,156,798
2018-12-20$2467.28$2705.0023.8%6.9%23.6%88.9%24.7%6.3%-0.7%-42.09B1028.03B-3.06B2.169.74782,9751,688,4177,598,61911,396,715
2018-12-21$2423.95$2700.0025.4%7.4%23.8%96.8%26.2%7.5%-0.7%-29.59B690.77B-3.05B2.0714.95692,6091,436,0855,301,9368,110,156
2018-12-24$2362.54$2675.0030.1%9.0%24.8%100.0%31.7%9.0%-0.2%-30.87B808.13B-2.98B1.6713.37719,7091,199,0005,612,6018,785,011
2018-12-26$2450.49$2650.0026.7%8.0%29.0%85.7%31.2%7.4%-0.8%-24.29B594.55B-3.25B1.8112.05825,3671,490,4415,786,5938,858,831
2018-12-27$2472.38$2625.0027.4%8.4%28.6%88.7%32.2%7.7%-0.9%-20.48B503.68B-3.49B1.3512.84874,5211,183,4385,934,9829,073,671
2018-12-28$2477.03$2600.0026.9%7.7%28.5%86.4%26.9%7.8%-2.5%-11.29B296.59B-3.03B1.0811.21368,047399,3283,853,9065,885,403
2018-12-31$2501.88$2600.0023.1%7.0%27.4%70.2%24.8%6.7%0.1%-16.41B389.38B-3.44B1.349.73733,726981,7815,758,2879,058,402