SPX Options History — February 2019

In February 2019, SPX traded between $2696.80 and $2798.81. ATM implied volatility averaged 12.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.0% (HV 20d: 11.4%). Max pain ranged from $2580.00 to $2675.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.80.

Notable Days

  • 2019-02-01: Highest Volume — 1,565,567 contracts
  • 2019-02-22: Largest IV drop — 8.8% change
  • 2019-02-07: Highest IV Rank — 27.0%
  • 2019-02-07: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2753.27$2696.80$2798.81$2704.11$2785.54
Max Pain$2636.32$2580.00$2675.00$2580.00$2675.00
ATM IV12.5%11.2%13.7%13.1%12.0%
Expected Move3.6%3.2%4.0%3.9%3.3%
HV 20d11.4%8.1%15.1%15.1%8.1%
HV 60d21.0%19.7%21.8%21.8%19.7%
IV Rank21.5%16.0%27.0%24.2%19.3%
IV Percentile46.2%37.3%55.2%50.8%43.7%
Term Structure0.1%-0.3%0.5%0.2%0.1%
VWIV13.9%12.4%15.9%14.0%13.5%
Skew 25d4.1%3.7%5.1%3.9%5.1%
Skew 10d8.6%7.1%10.9%7.7%10.9%
Call IV 25d10.8%9.6%11.7%11.6%9.9%
Put IV 25d14.9%13.3%16.3%15.4%15.0%
Bid-Ask Spread %11.087.4715.307.4711.69
Gamma HHI0.030.020.040.030.03
Net GEX19.49B6.42B26.91B23.23B14.61B
Net DEX-198.68B-373.24B-77.55B-336.24B-182.30B
Net VEX-2.81B-3.81B-2.56B-3.81B-2.75B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.801.232.401.912.33
Total Volume810,619.421534,4181,565,5671,565,567786,653
Total OI8,462,639.8427,049,18514,020,69614,020,6968,385,131

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-02-01$2704.11$2580.0013.1%3.9%15.1%24.2%14.0%3.9%0.2%23.23B-336.24B-3.81B1.917.47538,0151,027,5525,283,7478,736,949
2019-02-04$2718.83$2585.0012.7%3.7%11.9%22.5%13.9%3.9%0.2%23.79B-373.24B-3.79B1.788.56380,446675,7545,268,2038,713,491
2019-02-05$2732.00$2600.0012.9%3.8%11.6%23.5%15.2%3.7%0.3%18.27B-175.35B-2.56B1.979.12209,761413,8472,504,4814,544,704
2019-02-06$2726.80$2610.0013.0%3.8%11.6%23.8%14.6%3.9%-0.2%18.10B-163.79B-2.61B1.369.06325,365443,1592,577,9794,728,112
2019-02-07$2698.80$2610.0013.7%4.0%12.5%27.0%14.7%4.6%-0.3%8.01B-86.19B-2.68B1.5210.08339,652514,6662,636,6784,814,690
2019-02-08$2696.80$2615.0013.3%3.9%12.5%25.1%14.6%4.4%0.3%6.42B-77.55B-2.69B2.2710.54268,994609,9692,686,6005,009,357
2019-02-11$2709.40$2620.0013.2%3.9%12.5%25.0%15.1%4.5%0.3%12.82B-89.10B-2.66B1.239.65239,410295,0082,570,7524,813,603
2019-02-12$2742.46$2625.0012.7%3.7%12.7%22.6%14.9%3.8%0.3%19.43B-161.17B-2.69B1.6710.25251,300419,0742,608,8454,867,229
2019-02-13$2755.09$2630.0012.7%3.6%12.5%22.6%14.2%3.8%-0.2%23.22B-188.72B-2.72B2.069.66273,534562,6222,687,6544,999,446
2019-02-14$2752.75$2640.0012.9%3.7%12.5%23.5%15.9%4.1%-0.3%18.03B-172.21B-2.75B1.579.24316,436497,8042,681,8735,012,934
2019-02-15$2774.23$2640.0011.8%3.4%12.6%18.5%13.8%4.2%0.4%25.31B-223.18B-2.71B1.7110.90354,656606,1992,736,1705,170,217
2019-02-19$2784.53$2650.0012.2%3.4%12.0%20.1%12.9%3.9%0.2%26.62B-237.36B-2.69B1.7013.75219,850374,1062,771,3385,139,875
2019-02-20$2783.85$2660.0011.8%3.3%9.9%18.4%12.4%4.0%0.2%24.02B-230.19B-2.69B1.5714.09249,788391,0052,793,3615,176,044
2019-02-21$2770.68$2665.0012.3%3.5%10.2%20.8%13.6%4.4%0.1%18.03B-187.86B-2.71B1.3914.61373,228517,4892,799,0105,194,575
2019-02-22$2789.30$2670.0011.2%3.2%10.3%16.0%12.8%3.7%0.5%26.91B-240.45B-2.71B1.9615.30310,921609,7452,919,9885,389,463
2019-02-25$2798.81$2670.0011.5%3.2%10.0%17.2%12.5%3.9%0.4%26.80B-232.68B-2.71B1.9211.97230,826442,9812,828,4155,227,562
2019-02-26$2797.63$2670.0011.8%3.3%9.2%18.5%12.8%4.1%0.3%21.61B-219.25B-2.73B2.4012.49191,018458,1962,839,8115,321,369
2019-02-27$2790.57$2675.0012.1%3.3%9.3%19.8%13.4%4.9%0.1%15.07B-198.15B-2.74B1.9912.16228,581454,1592,863,9235,486,578
2019-02-28$2785.54$2675.0012.0%3.3%8.1%19.3%13.5%5.1%0.1%14.61B-182.30B-2.75B2.3311.69236,353550,3002,863,7145,521,417