SPX Options History — January 2019

In January 2019, SPX traded between $2454.71 and $2700.84. ATM implied volatility averaged 16.4%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 7.3% (HV 20d: 23.8%). Max pain ranged from $2575.00 to $2620.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.66.

Notable Days

2019-01-02: Highest Volume — 2,098,610 contracts
2019-01-22: Largest IV spike — 21.8% change
2019-01-03: Highest IV Rank — 69.0%
2019-01-03: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2606.09	$2454.71	$2700.84	$2500.04	$2700.84
Max Pain	$2600.71	$2575.00	$2620.00	$2600.00	$2575.00
ATM IV	16.4%	13.7%	22.8%	21.1%	13.7%
Expected Move	4.8%	4.0%	6.4%	6.1%	4.0%
HV 20d	23.8%	16.2%	29.8%	27.3%	17.1%
HV 60d	23.2%	21.8%	24.3%	23.0%	21.8%
IV Rank	39.8%	27.2%	69.0%	61.8%	27.2%
IV Percentile	72.8%	55.6%	96.0%	93.3%	55.6%
Term Structure	-0.1%	-0.6%	0.4%	-0.5%	-0.3%
VWIV	18.6%	14.7%	22.5%	22.4%	15.4%
Skew 25d	5.3%	4.1%	6.8%	6.5%	4.1%
Skew 10d	10.7%	8.6%	12.8%	11.9%	9.6%
Call IV 25d	14.2%	12.3%	19.6%	18.1%	12.4%
Put IV 25d	19.6%	16.5%	26.3%	24.6%	16.5%
Bid-Ask Spread %	11.20	6.98	15.57	11.59	6.98
Gamma HHI	0.02	0.02	0.05	0.02	0.03
Net GEX	2.59B	-21.78B	23.51B	-16.76B	23.51B
Net DEX	187.8M	-336.57B	495.43B	368.72B	-336.57B
Net VEX	-3.71B	-3.93B	-3.26B	-3.34B	-3.83B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	1.31	2.09	1.49	1.42
Total Volume	1,507,215.571	918,092	2,098,610	2,098,610	1,480,725
Total OI	14,460,095.238	12,968,338	15,964,982	13,726,353	14,388,284

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
2019-01-02	$2500.04	$2600.00	21.1%	6.1%	27.3%	61.8%	22.4%	6.5%	-0.5%	-16.76B	368.72B	-3.34B	1.49	11.59	844,156	1,254,454	5,156,945	8,569,408
2019-01-03	$2454.71	$2620.00	22.8%	6.4%	27.5%	69.0%	22.5%	6.8%	-0.6%	-21.78B	495.43B	-3.26B	1.78	10.76	534,757	953,733	5,338,620	8,782,344
2019-01-04	$2529.00	$2620.00	19.1%	5.6%	29.8%	53.1%	20.8%	5.6%	0.2%	-7.84B	251.38B	-3.49B	1.76	11.97	680,016	1,195,672	5,494,434	9,076,283
2019-01-07	$2556.34	$2600.00	18.5%	5.4%	28.5%	50.7%	20.8%	5.6%	0.2%	-4.65B	158.69B	-3.48B	1.79	9.01	529,221	945,859	5,470,295	8,915,175
2019-01-08	$2574.37	$2600.00	17.7%	5.1%	28.7%	46.9%	20.2%	5.5%	0.2%	-3.19B	101.50B	-3.54B	1.61	9.61	636,929	1,025,926	5,530,881	8,980,603
2019-01-09	$2584.35	$2600.00	17.3%	5.0%	27.2%	44.6%	19.5%	5.7%	-0.4%	-5.73B	63.59B	-3.61B	1.54	9.88	634,893	979,594	5,734,395	9,201,193
2019-01-10	$2596.90	$2600.00	16.8%	4.8%	26.9%	42.2%	18.9%	5.5%	-0.4%	2.81B	13.61B	-3.66B	1.63	10.60	626,075	1,019,689	5,855,236	9,214,530
2019-01-11	$2594.97	$2600.00	15.6%	4.5%	26.8%	35.3%	17.3%	5.0%	0.3%	2.73B	32.05B	-3.66B	1.67	11.28	724,854	1,207,979	6,013,645	9,530,138
2019-01-14	$2583.58	$2600.00	15.8%	4.6%	26.8%	36.6%	18.4%	5.6%	0.0%	-2.31B	94.17B	-3.65B	1.67	9.43	436,036	729,794	5,915,422	9,190,872
2019-01-15	$2609.90	$2600.00	14.7%	4.2%	25.9%	31.5%	17.4%	5.4%	0.1%	6.53B	-17.35B	-3.67B	1.60	11.86	589,138	941,510	6,005,168	9,272,461
2019-01-16	$2617.73	$2600.00	14.6%	4.2%	24.6%	30.9%	18.6%	5.2%	-0.3%	13.47B	-52.51B	-3.74B	2.09	9.67	546,200	1,139,057	6,121,533	9,524,951
2019-01-17	$2632.51	$2600.00	14.0%	4.0%	24.7%	28.6%	17.3%	4.8%	-0.3%	9.67B	-118.53B	-3.82B	1.68	11.44	517,034	870,797	6,195,550	9,769,432
2019-01-18	$2667.03	$2600.00	13.9%	4.0%	23.9%	28.1%	14.7%	4.2%	-0.3%	14.85B	-217.92B	-3.83B	1.64	11.11	704,917	1,158,067	4,915,163	8,053,175
2019-01-22	$2623.74	$2600.00	17.0%	5.0%	24.0%	41.6%	19.8%	5.9%	0.2%	-122.1M	-40.07B	-3.92B	1.65	11.18	605,322	998,735	5,102,983	8,406,427
2019-01-23	$2636.49	$2600.00	16.7%	4.8%	22.7%	40.4%	20.2%	5.9%	-0.4%	4.01B	-87.38B	-3.93B	1.87	13.08	459,242	860,679	5,191,726	8,559,426
2019-01-24	$2638.88	$2600.00	15.2%	4.4%	19.8%	33.9%	17.6%	5.5%	-0.4%	2.83B	-83.60B	-3.90B	1.69	10.72	409,379	693,783	5,191,638	8,650,492
2019-01-25	$2664.45	$2600.00	14.1%	4.1%	16.2%	28.9%	15.6%	4.3%	0.4%	12.27B	-204.84B	-3.86B	1.31	14.49	588,982	772,630	5,291,321	8,894,275
2019-01-28	$2640.74	$2600.00	15.8%	4.7%	16.7%	36.3%	17.2%	5.2%	0.1%	1.61B	-74.49B	-3.90B	1.65	12.24	428,079	706,624	5,233,431	8,610,053
2019-01-29	$2640.29	$2600.00	16.0%	4.7%	16.8%	37.2%	19.1%	5.2%	0.2%	2.72B	-79.46B	-3.90B	1.81	12.68	326,704	591,388	5,297,494	8,733,669
2019-01-30	$2681.08	$2600.00	14.8%	4.3%	17.2%	32.0%	16.0%	4.5%	-0.3%	19.69B	-262.49B	-3.83B	1.43	15.57	535,688	767,210	5,365,932	8,916,997
2019-01-31	$2700.84	$2575.00	13.7%	4.0%	17.1%	27.2%	15.4%	4.1%	-0.3%	23.51B	-336.57B	-3.83B	1.42	6.98	611,348	869,377	5,368,940	9,019,344