SPX Options History — June 2019

In June 2019, SPX traded between $2737.63 and $2956.76. ATM implied volatility averaged 13.9%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.2% (HV 20d: 14.2%). Max pain ranged from $2800.00 to $2870.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.72.

Notable Days

  • 2019-06-07: Highest Volume — 1,212,033 contracts
  • 2019-06-04: Largest IV drop — 11.8% change
  • 2019-06-03: Highest IV Rank — 46.3%
  • 2019-06-03: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2890.04$2737.63$2956.76$2737.63$2933.43
Max Pain$2831.25$2800.00$2870.00$2825.00$2870.00
ATM IV13.9%12.1%18.0%18.0%13.1%
Expected Move4.0%3.5%5.1%5.1%3.8%
HV 20d14.2%10.7%17.4%15.0%10.7%
HV 60d12.2%11.9%12.6%11.9%11.9%
IV Rank28.1%19.9%46.3%46.3%24.4%
IV Percentile61.3%46.8%88.1%88.1%52.8%
Term Structure-0.0%-0.4%0.4%-0.2%0.4%
VWIV15.1%13.5%17.6%17.6%14.8%
Skew 25d4.5%3.5%5.1%5.1%4.8%
Skew 10d8.6%7.1%9.8%9.7%9.8%
Call IV 25d11.9%10.6%15.5%15.5%11.0%
Put IV 25d16.4%14.4%20.6%20.6%15.8%
Bid-Ask Spread %9.096.0613.5910.1310.68
Gamma HHI0.030.020.040.030.02
Net GEX10.48B-29.46B27.89B-29.46B12.93B
Net DEX-135.62B-297.46B202.22B202.22B-189.91B
Net VEX-3.14B-3.21B-3.08B-3.08B-3.18B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.721.292.071.941.39
Total Volume864,769.8551,9561,212,033997,5651,187,341
Total OI9,217,867.058,677,8989,951,5028,677,8989,951,502

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$2737.63$2825.0018.0%5.1%15.0%46.3%17.6%5.1%-0.2%-29.46B202.22B-3.08B1.9410.13339,439658,1262,872,4445,805,454
2019-06-04$2795.96$2820.0015.9%4.5%17.4%36.9%16.0%4.9%-0.1%-13.12B61.55B-3.11B1.7110.43326,032556,1922,906,5045,940,899
2019-06-05$2822.28$2820.0014.9%4.2%16.5%32.6%15.3%4.5%-0.4%4.00B-13.08B-3.12B1.9213.59347,367665,3573,005,9426,091,671
2019-06-06$2846.34$2800.0014.1%4.0%16.7%28.8%15.7%4.4%-0.4%7.22B-69.49B-3.12B1.637.28305,783498,5733,006,8436,068,258
2019-06-07$2874.47$2810.0013.9%4.0%17.0%28.0%15.7%4.5%0.1%16.46B-144.96B-3.15B1.496.06486,140725,8933,095,1576,226,096
2019-06-10$2887.59$2810.0013.8%4.0%17.1%27.5%15.2%4.2%0.2%15.44B-156.29B-3.12B1.296.73311,683402,4452,969,5775,923,082
2019-06-11$2884.80$2820.0014.2%4.1%14.5%29.5%15.5%4.5%0.2%12.17B-137.38B-3.14B1.797.49220,571395,2283,006,0135,913,378
2019-06-12$2877.75$2820.0014.1%4.0%14.2%28.9%15.7%4.8%-0.3%8.16B-115.60B-3.16B1.707.58244,311415,7553,057,8256,110,560
2019-06-13$2885.02$2820.0014.2%4.1%14.0%29.1%15.5%4.9%-0.4%11.22B-131.89B-3.15B2.078.07213,520441,3843,068,5776,119,885
2019-06-14$2891.04$2820.0013.5%3.9%13.9%26.2%15.5%4.5%0.2%12.22B-147.74B-3.13B1.829.19276,602502,1483,119,5506,303,430
2019-06-17$2890.89$2820.0013.6%4.0%13.7%26.7%15.2%4.6%0.2%11.88B-134.20B-3.11B1.898.89191,157360,7992,921,1225,915,247
2019-06-18$2918.45$2820.0013.3%3.8%13.8%25.1%14.8%4.5%0.2%17.27B-197.87B-3.12B1.718.63322,587550,7242,924,4235,940,984
2019-06-19$2931.31$2825.0012.3%3.5%13.6%21.0%13.5%4.2%-0.2%23.62B-238.07B-3.10B1.5310.64340,973521,3453,075,9956,145,626
2019-06-20$2955.22$2830.0012.1%3.5%13.8%19.9%14.1%3.5%-0.2%27.89B-292.74B-3.09B1.728.44393,655678,2553,095,4406,071,325
2019-06-21$2956.76$2845.0012.6%3.7%12.2%22.3%13.8%3.8%0.2%27.39B-297.46B-3.12B1.757.92384,475672,3953,228,9766,312,959
2019-06-24$2946.96$2860.0013.1%3.8%12.4%24.4%13.7%4.0%0.2%21.96B-241.20B-3.15B1.739.77227,310392,3213,165,0046,252,230
2019-06-25$2919.87$2860.0014.2%4.1%12.5%29.2%14.7%4.7%0.2%7.05B-155.10B-3.21B1.8810.47341,319639,9963,166,9076,229,741
2019-06-26$2917.68$2865.0014.0%4.0%12.0%28.4%15.0%4.9%-0.3%3.93B-142.39B-3.18B1.7510.04337,534589,8843,236,6686,449,986
2019-06-27$2927.30$2865.0013.6%3.9%12.0%26.6%14.5%4.9%-0.3%11.35B-170.86B-3.18B1.719.79306,782523,9953,240,8116,421,250
2019-06-28$2933.43$2870.0013.1%3.8%10.7%24.4%14.8%4.8%0.4%12.93B-189.91B-3.18B1.3910.68497,234690,1073,330,8106,620,692