SPX Options History — August 2019

In August 2019, SPX traded between $2846.77 and $2961.32. ATM implied volatility averaged 16.7%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.0% (HV 20d: 17.7%). Max pain ranged from $2890.00 to $2950.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.36.

Notable Days

2019-08-05: Highest Volume — 1,665,053 contracts
2019-08-05: Largest IV spike — 32.7% change
2019-08-05: Highest IV Rank — 58.1%
2019-08-14: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2899.26	$2846.77	$2961.32	$2961.32	$2922.14
Max Pain	$2906.36	$2890.00	$2950.00	$2950.00	$2895.00
ATM IV	16.7%	14.1%	20.7%	15.0%	16.1%
Expected Move	4.9%	4.1%	5.9%	4.6%	4.7%
HV 20d	17.7%	7.5%	22.6%	7.5%	22.4%
HV 60d	13.7%	11.6%	15.2%	11.6%	14.4%
IV Rank	40.1%	28.6%	58.1%	32.6%	37.0%
IV Percentile	76.6%	60.7%	93.7%	70.2%	70.6%
Term Structure	-0.0%	-0.6%	0.5%	-0.6%	0.2%
VWIV	17.6%	15.3%	20.4%	16.4%	17.4%
Skew 25d	7.3%	6.1%	8.6%	7.0%	7.6%
Skew 10d	12.7%	10.0%	15.5%	13.7%	13.3%
Call IV 25d	13.3%	11.4%	16.5%	12.0%	12.6%
Put IV 25d	20.6%	17.7%	25.1%	18.9%	20.2%
Bid-Ask Spread %	8.99	6.72	12.31	11.93	10.50
Gamma HHI	0.02	0.02	0.04	0.02	0.02
Net GEX	-12.74B	-30.68B	3.87B	-12.77B	810.5M
Net DEX	61.47B	-26.13B	206.41B	5.96B	-18.71B
Net VEX	-2.57B	-2.76B	-2.40B	-2.54B	-2.56B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.36	1.69	3.02	2.46	3.02
Total Volume	886,606	455,633	1,665,053	1,166,916	973,274
Total OI	7,722,974.545	7,089,248	8,212,374	7,089,248	8,212,374

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
2019-08-01	$2961.32	$2950.00	15.0%	4.6%	7.5%	32.6%	16.4%	7.0%	-0.6%	-12.77B	5.96B	-2.54B	2.46	11.93	337,630	829,286	2,144,951	4,944,297
2019-08-02	$2934.02	$2950.00	15.6%	4.6%	8.1%	35.4%	17.5%	7.1%	-0.5%	-28.51B	76.60B	-2.57B	2.90	12.31	328,456	953,354	2,237,337	5,286,505
2019-08-05	$2850.65	$2930.00	20.7%	5.7%	12.8%	58.1%	18.9%	8.6%	0.1%	-27.21B	206.41B	-2.62B	2.84	10.18	433,615	1,231,438	2,110,389	5,077,806
2019-08-06	$2877.89	$2915.00	17.7%	5.1%	13.4%	45.0%	18.1%	8.2%	0.2%	-21.80B	134.81B	-2.63B	2.67	7.71	230,829	617,034	2,170,212	5,237,989
2019-08-07	$2888.27	$2910.00	17.0%	4.9%	13.3%	41.9%	19.0%	8.0%	-0.4%	-18.39B	108.88B	-2.64B	1.96	8.19	337,802	662,609	2,292,931	5,471,926
2019-08-08	$2937.62	$2905.00	14.1%	4.2%	14.9%	28.6%	16.3%	6.9%	-0.3%	-5.58B	-8.62B	-2.62B	1.74	7.68	260,879	452,707	2,309,960	5,467,397
2019-08-09	$2930.21	$2910.00	14.6%	4.4%	14.7%	31.1%	15.5%	7.1%	0.2%	-4.75B	3.71B	-2.64B	1.69	6.99	339,475	575,235	2,396,904	5,694,272
2019-08-12	$2882.71	$2910.00	18.1%	5.3%	15.6%	46.7%	17.9%	8.0%	0.1%	-17.68B	95.61B	-2.68B	2.69	6.76	198,029	532,119	2,319,655	5,347,500
2019-08-13	$2924.70	$2900.00	15.7%	4.6%	16.7%	35.3%	17.7%	7.3%	0.2%	-4.98B	5.92B	-2.67B	2.41	7.27	193,644	465,984	2,311,373	5,362,873
2019-08-14	$2846.77	$2910.00	20.5%	5.9%	19.0%	56.7%	20.0%	8.0%	-0.6%	-27.62B	173.59B	-2.73B	2.22	9.28	369,061	817,996	2,389,200	5,573,631
2019-08-15	$2851.08	$2890.00	19.5%	5.7%	19.0%	52.3%	20.4%	7.6%	-0.5%	-20.90B	149.70B	-2.76B	2.52	7.28	188,570	475,477	2,368,436	5,522,972
2019-08-16	$2888.75	$2890.00	16.4%	4.9%	19.8%	38.0%	17.9%	7.0%	0.5%	-10.90B	63.81B	-2.74B	2.21	6.72	313,616	692,081	2,458,449	5,723,023
2019-08-19	$2926.97	$2895.00	14.5%	4.2%	20.5%	29.6%	16.0%	6.5%	0.3%	183.2M	-19.28B	-2.40B	2.20	8.30	252,524	554,960	2,203,486	5,337,348
2019-08-20	$2908.28	$2895.00	15.3%	4.4%	20.3%	33.2%	16.2%	6.5%	0.3%	-7.87B	24.02B	-2.42B	1.93	8.54	155,463	300,170	2,208,914	5,377,770
2019-08-21	$2923.30	$2900.00	14.3%	4.1%	20.3%	28.6%	15.3%	6.1%	-0.0%	-1.60B	-12.71B	-2.41B	2.90	9.41	189,554	549,445	2,272,265	5,507,723
2019-08-22	$2927.28	$2900.00	14.9%	4.3%	20.3%	31.2%	15.9%	6.6%	-0.1%	-1.46B	-14.79B	-2.44B	2.11	10.27	176,058	371,525	2,242,388	5,482,633
2019-08-23	$2851.32	$2900.00	18.7%	5.5%	21.9%	48.7%	18.8%	7.2%	0.2%	-30.68B	159.22B	-2.50B	1.88	9.82	472,586	888,710	2,282,579	5,642,019
2019-08-26	$2867.60	$2900.00	18.1%	5.3%	22.1%	46.0%	19.1%	7.5%	0.2%	-17.92B	100.73B	-2.49B	2.37	8.62	138,535	328,593	2,197,775	5,307,702
2019-08-27	$2872.12	$2900.00	18.5%	5.4%	22.1%	47.6%	18.5%	7.5%	0.2%	-14.62B	86.92B	-2.51B	2.18	9.93	210,055	458,770	2,210,817	5,386,431
2019-08-28	$2886.45	$2890.00	17.6%	5.1%	22.3%	43.8%	17.5%	7.7%	-0.3%	-9.99B	56.66B	-2.53B	2.54	9.55	256,254	650,952	2,295,012	5,604,772
2019-08-29	$2924.28	$2895.00	15.5%	4.5%	22.6%	34.1%	17.3%	7.3%	-0.2%	3.87B	-26.13B	-2.53B	2.45	10.45	214,559	526,419	2,294,259	5,619,185
2019-08-30	$2922.14	$2895.00	16.1%	4.7%	22.4%	37.0%	17.4%	7.6%	0.2%	810.5M	-18.71B	-2.56B	3.02	10.50	242,320	730,954	2,369,468	5,842,906