SPX Options History — July 2019

In July 2019, SPX traded between $2962.25 and $3026.69. ATM implied volatility averaged 10.7%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.2% (HV 20d: 7.5%). Max pain ranged from $2870.00 to $2950.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.93.

Notable Days

2019-07-19: Highest Volume — 1,202,058 contracts
2019-07-30: Largest IV spike — 12.9% change
2019-07-31: Highest IV Rank — 19.4%
2019-07-31: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2996.07	$2962.25	$3026.69	$2962.25	$2993.00
Max Pain	$2910.00	$2870.00	$2950.00	$2870.00	$2950.00
ATM IV	10.7%	9.7%	12.0%	11.6%	12.0%
Expected Move	3.0%	2.5%	3.5%	3.1%	3.5%
HV 20d	7.5%	6.4%	10.4%	10.4%	7.0%
HV 60d	12.1%	12.1%	12.3%	12.1%	12.1%
IV Rank	13.7%	9.1%	19.4%	17.7%	19.4%
IV Percentile	32.3%	18.7%	45.6%	39.7%	45.6%
Term Structure	0.0%	-0.4%	0.3%	0.3%	-0.4%
VWIV	12.1%	9.4%	13.6%	11.9%	13.5%
Skew 25d	4.3%	3.5%	5.2%	4.5%	5.2%
Skew 10d	9.0%	7.3%	10.7%	9.0%	10.7%
Call IV 25d	8.9%	8.0%	9.9%	9.6%	9.9%
Put IV 25d	13.2%	11.7%	15.1%	14.1%	15.1%
Bid-Ask Spread %	10.47	6.71	13.03	12.33	13.03
Gamma HHI	0.03	0.02	0.07	0.03	0.02
Net GEX	21.83B	4.00B	42.86B	26.93B	5.72B
Net DEX	-208.98B	-300.71B	-88.09B	-237.54B	-88.09B
Net VEX	-2.90B	-3.34B	-2.38B	-3.08B	-2.47B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	1.20	2.75	1.57	1.87
Total Volume	807,896.136	538,316	1,202,058	968,590	853,293
Total OI	8,617,399.318	7,357,662	9,930,817	8,922,895	7,635,997

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
2019-07-01	$2962.25	$2870.00	11.6%	3.1%	10.4%	17.7%	11.9%	4.5%	0.3%	26.93B	-237.54B	-3.08B	1.57	12.33	377,503	591,087	3,010,628	5,912,267
2019-07-02	$2968.47	$2875.00	10.7%	2.6%	8.2%	13.4%	10.2%	4.3%	0.3%	25.38B	-232.07B	-3.08B	1.73	11.91	252,160	437,060	3,018,417	5,948,857
2019-07-03	$2991.11	$2875.00	10.6%	2.5%	8.0%	13.2%	9.4%	3.8%	-0.2%	40.40B	-300.71B	-3.09B	1.20	12.54	391,371	470,288	3,103,427	6,146,822
2019-07-05	$2988.97	$2875.00	10.6%	3.1%	7.8%	13.2%	11.8%	3.8%	0.2%	28.24B	-280.29B	-3.08B	1.54	6.71	415,038	638,416	3,080,225	6,119,143
2019-07-08	$2977.53	$2880.00	11.2%	3.3%	7.6%	16.1%	13.3%	4.7%	0.1%	16.44B	-212.24B	-3.13B	1.50	8.52	334,575	502,114	2,892,752	5,892,416
2019-07-09	$2975.88	$2885.00	11.8%	3.4%	7.6%	18.4%	13.0%	4.8%	0.1%	15.99B	-207.74B	-3.18B	2.75	8.22	146,069	401,577	2,964,887	5,993,092
2019-07-10	$2992.24	$2895.00	11.0%	3.2%	7.6%	14.9%	13.0%	4.1%	-0.2%	29.18B	-259.12B	-3.18B	1.91	9.24	306,861	585,244	3,025,410	6,153,332
2019-07-11	$2996.01	$2900.00	10.6%	3.1%	7.5%	13.4%	13.4%	4.2%	-0.2%	28.32B	-257.58B	-3.20B	2.22	9.48	259,095	574,390	3,024,815	6,169,016
2019-07-12	$3011.23	$2900.00	9.9%	2.9%	7.6%	10.2%	13.6%	4.1%	0.2%	32.48B	-299.83B	-3.17B	2.42	9.93	283,490	685,147	3,073,770	6,403,418
2019-07-15	$3012.69	$2905.00	10.0%	2.9%	7.6%	10.5%	11.8%	4.0%	0.1%	26.70B	-269.91B	-3.21B	1.86	9.26	250,643	465,403	2,964,839	6,189,383
2019-07-16	$3006.74	$2915.00	10.1%	2.9%	7.7%	11.2%	12.1%	4.1%	0.1%	25.30B	-251.58B	-3.22B	1.90	10.33	264,567	501,708	3,031,331	6,272,288
2019-07-17	$2989.42	$2915.00	10.9%	3.1%	7.6%	14.4%	12.4%	4.8%	-0.2%	6.26B	-198.18B	-3.31B	2.13	10.69	276,454	589,406	3,113,864	6,493,861
2019-07-18	$2992.35	$2920.00	10.9%	3.2%	7.5%	14.6%	11.9%	4.8%	-0.2%	11.55B	-202.99B	-3.30B	2.03	8.94	310,073	630,185	3,072,021	6,486,098
2019-07-19	$2984.68	$2925.00	11.1%	3.2%	7.1%	15.2%	13.2%	5.1%	0.2%	4.15B	-171.14B	-3.34B	2.52	8.81	341,032	861,026	3,168,876	6,761,941
2019-07-22	$2983.63	$2925.00	10.9%	3.2%	7.1%	14.8%	11.5%	4.5%	0.2%	4.00B	-94.08B	-2.44B	1.92	10.02	218,560	420,187	2,215,031	5,258,725
2019-07-23	$3004.93	$2925.00	10.2%	2.9%	7.4%	11.5%	10.5%	3.9%	0.2%	19.76B	-155.89B	-2.40B	1.91	11.12	211,085	403,390	2,191,690	5,179,992
2019-07-24	$3017.98	$2930.00	9.8%	2.8%	6.4%	9.5%	11.4%	3.5%	-0.1%	32.56B	-197.04B	-2.38B	1.51	11.84	310,501	470,328	2,272,056	5,331,191
2019-07-25	$3004.60	$2930.00	10.5%	3.0%	6.7%	12.6%	11.8%	4.1%	-0.1%	15.30B	-148.31B	-2.41B	2.11	12.69	216,880	456,648	2,271,152	5,251,137
2019-07-26	$3026.69	$2930.00	9.7%	2.8%	7.0%	9.1%	11.1%	3.8%	0.2%	42.86B	-217.01B	-2.38B	1.94	12.74	307,614	597,003	2,330,393	5,435,149
2019-07-29	$3022.37	$2945.00	10.1%	2.9%	7.1%	11.0%	11.5%	4.2%	0.2%	27.54B	-176.25B	-2.38B	1.80	10.67	191,966	346,350	2,227,527	5,130,135
2019-07-30	$3010.73	$2950.00	11.4%	3.4%	6.6%	16.8%	12.7%	4.6%	0.2%	15.28B	-139.96B	-2.44B	2.10	11.35	202,636	425,292	2,236,335	5,129,079
2019-07-31	$2993.00	$2950.00	12.0%	3.5%	7.0%	19.4%	13.5%	5.2%	-0.4%	5.72B	-88.09B	-2.47B	1.87	13.03	297,578	555,715	2,300,938	5,335,059