SPX Options History — May 2019

In May 2019, SPX traded between $2753.97 and $2944.79. ATM implied volatility averaged 14.7%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.5% (HV 20d: 12.2%). Max pain ranged from $2825.00 to $2855.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.09.

Notable Days

2019-05-14: Highest Volume — 1,450,998 contracts
2019-05-07: Largest IV spike — 49.6% change
2019-05-13: Highest IV Rank — 46.2%
2019-05-13: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2854.71	$2753.97	$2944.79	$2931.10	$2753.97
Max Pain	$2834.09	$2825.00	$2855.00	$2850.00	$2825.00
ATM IV	14.7%	10.1%	18.0%	10.8%	17.5%
Expected Move	4.2%	2.8%	5.1%	3.1%	5.0%
HV 20d	12.2%	4.9%	15.8%	4.9%	15.8%
HV 60d	10.7%	8.8%	12.0%	8.8%	12.0%
IV Rank	31.3%	10.8%	46.2%	14.1%	44.2%
IV Percentile	69.2%	34.5%	88.1%	44.0%	84.9%
Term Structure	0.2%	-0.4%	0.6%	0.1%	-0.0%
VWIV	15.6%	11.7%	18.2%	13.6%	17.5%
Skew 25d	5.9%	4.0%	8.1%	4.6%	5.2%
Skew 10d	10.9%	8.8%	15.9%	8.8%	9.7%
Call IV 25d	11.9%	8.5%	14.9%	9.1%	14.9%
Put IV 25d	17.7%	12.5%	22.3%	13.7%	20.1%
Bid-Ask Spread %	9.86	6.07	13.13	11.33	9.30
Gamma HHI	0.02	0.02	0.04	0.03	0.04
Net GEX	-9.44B	-34.60B	28.41B	19.73B	-34.60B
Net DEX	4.84B	-219.31B	203.54B	-180.97B	203.54B
Net VEX	-3.11B	-4.54B	-2.89B	-2.89B	-3.09B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	1.54	2.95	2.04	1.54
Total Volume	962,073.591	603,138	1,450,998	959,382	1,437,915
Total OI	9,036,960.045	7,918,730	16,114,558	7,982,133	9,498,465

Daily Data (22 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
2019-05-01	$2931.10	$2850.00	10.8%	3.1%	4.9%	14.1%	13.6%	4.6%	0.1%	19.73B	-180.97B	-2.89B	2.04	11.33	315,148	644,234	2,670,066	5,312,067
2019-05-02	$2913.83	$2855.00	11.6%	3.3%	5.5%	17.7%	12.4%	5.2%	0.1%	3.91B	-115.80B	-2.95B	1.99	11.23	327,939	652,175	2,684,655	5,449,560
2019-05-03	$2944.79	$2855.00	10.1%	2.8%	6.5%	10.8%	11.7%	4.0%	0.4%	28.41B	-219.31B	-2.90B	2.10	12.13	332,967	699,523	2,750,500	5,632,632
2019-05-06	$2932.57	$2825.00	11.9%	3.5%	6.6%	19.1%	14.2%	5.4%	0.4%	8.06B	-151.90B	-2.98B	2.13	6.08	307,006	653,105	2,615,861	5,302,869
2019-05-07	$2873.56	$2825.00	17.8%	4.9%	10.0%	45.4%	17.6%	8.1%	0.0%	-9.33B	-1.41B	-3.15B	2.95	7.03	261,817	773,255	2,661,381	5,426,540
2019-05-08	$2888.28	$2825.00	16.3%	4.5%	10.0%	38.4%	18.2%	8.1%	-0.4%	-5.04B	-34.57B	-3.13B	2.58	6.07	241,325	622,811	2,761,171	5,744,326
2019-05-09	$2871.66	$2825.00	17.0%	4.7%	10.1%	41.6%	16.8%	7.6%	-0.4%	-7.71B	-4.37B	-3.12B	2.91	6.93	267,236	778,515	2,754,763	5,715,145
2019-05-10	$2876.87	$2825.00	14.1%	4.1%	10.1%	28.7%	15.5%	6.3%	0.2%	-6.00B	-26.38B	-3.05B	2.29	8.51	335,568	769,773	2,836,177	6,029,117
2019-05-13	$2808.33	$2825.00	18.0%	5.1%	12.9%	46.2%	17.9%	7.0%	0.1%	-19.61B	113.32B	-3.06B	2.24	9.22	318,789	714,728	2,630,191	5,420,320
2019-05-14	$2836.46	$2840.00	16.1%	4.6%	13.6%	37.8%	16.5%	6.7%	0.2%	-23.95B	95.21B	-4.54B	2.21	10.01	452,379	998,619	5,621,741	10,492,817
2019-05-15	$2854.13	$2830.00	14.5%	4.2%	13.8%	30.5%	15.9%	6.0%	0.1%	-6.69B	-1.35B	-3.08B	1.73	8.39	249,790	432,647	2,805,966	5,987,164
2019-05-16	$2873.73	$2830.00	13.4%	3.9%	14.1%	25.8%	14.8%	5.7%	0.2%	984.1M	-55.58B	-3.07B	1.83	8.25	256,000	467,637	2,799,578	5,921,798
2019-05-17	$2860.68	$2835.00	13.8%	4.0%	14.1%	27.4%	15.8%	5.8%	0.4%	-5.23B	-15.28B	-3.08B	2.16	9.52	310,557	671,281	2,888,369	6,134,136
2019-05-20	$2840.67	$2835.00	14.7%	4.3%	14.3%	31.5%	15.1%	5.7%	0.4%	-14.68B	36.40B	-3.07B	1.71	10.30	234,040	400,111	2,771,346	6,124,090
2019-05-21	$2864.44	$2840.00	13.3%	3.8%	14.3%	25.1%	14.4%	5.2%	0.2%	-4.68B	-28.96B	-3.02B	1.95	10.64	204,708	398,430	2,797,596	6,118,988
2019-05-22	$2859.62	$2840.00	13.1%	3.7%	14.3%	24.1%	14.1%	5.3%	0.3%	-6.51B	-16.90B	-2.99B	1.70	11.83	278,814	473,343	2,854,378	6,211,748
2019-05-23	$2815.51	$2840.00	15.7%	4.5%	15.2%	35.8%	16.0%	5.7%	0.1%	-25.35B	96.29B	-3.09B	1.65	11.71	389,319	642,249	2,856,973	6,141,303
2019-05-24	$2827.33	$2835.00	14.3%	4.2%	15.3%	29.8%	15.2%	5.3%	0.6%	-16.86B	58.22B	-3.08B	1.92	11.43	324,242	623,627	3,018,726	6,369,001
2019-05-28	$2804.04	$2835.00	16.0%	4.6%	15.3%	37.2%	16.5%	5.5%	0.3%	-24.08B	94.64B	-3.04B	2.09	13.13	249,951	522,368	2,887,669	5,995,603
2019-05-29	$2783.88	$2830.00	16.5%	4.7%	15.4%	39.5%	16.8%	5.3%	0.2%	-33.59B	142.27B	-3.05B	2.22	11.96	387,479	861,762	2,913,454	6,038,238
2019-05-30	$2788.17	$2825.00	16.1%	4.6%	15.5%	37.7%	16.2%	5.2%	0.3%	-24.94B	119.42B	-3.08B	2.03	11.84	290,763	591,674	2,984,435	6,182,198
2019-05-31	$2753.97	$2825.00	17.5%	5.0%	15.8%	44.2%	17.5%	5.2%	-0.0%	-34.60B	203.54B	-3.09B	1.54	9.30	565,811	872,104	3,116,372	6,382,093