SPX Options History — September 2019

In September 2019, SPX traded between $2907.49 and $3015.12. ATM implied volatility averaged 13.1%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.5% (HV 20d: 14.6%). Max pain ranged from $2895.00 to $2950.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.00.

Notable Days

  • 2019-09-27: Highest Volume — 1,293,439 contracts
  • 2019-09-24: Largest IV spike — 19.7% change
  • 2019-09-03: Highest IV Rank — 42.3%
  • 2019-09-03: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2982.15$2907.49$3015.12$2907.49$2979.24
Max Pain$2918.00$2895.00$2950.00$2895.00$2950.00
ATM IV13.1%10.9%17.3%17.3%14.2%
Expected Move3.8%3.3%5.1%5.1%4.0%
HV 20d14.6%8.8%20.3%19.8%10.0%
HV 60d14.6%14.3%14.7%14.3%14.7%
IV Rank22.7%13.3%42.3%42.3%26.0%
IV Percentile43.2%22.2%79.8%79.8%55.2%
Term Structure0.1%-0.3%0.4%0.2%0.2%
VWIV14.8%12.3%19.3%18.4%16.5%
Skew 25d6.0%4.7%8.2%8.2%6.9%
Skew 10d11.0%9.1%14.4%14.4%12.1%
Call IV 25d10.5%9.2%13.3%13.3%11.0%
Put IV 25d16.5%13.9%21.5%21.5%17.8%
Bid-Ask Spread %8.926.2510.899.539.20
Gamma HHI0.030.020.050.020.02
Net GEX11.66B-15.54B33.57B-5.57B-949.8M
Net DEX-91.34B-192.10B16.17B16.17B-40.61B
Net VEX-2.60B-2.83B-2.50B-2.53B-2.75B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.001.362.452.272.19
Total Volume807,081.35474,0031,293,439860,490684,638
Total OI8,008,180.557,437,0558,808,7747,437,0558,557,618

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$2907.49$2895.0017.3%5.1%19.8%42.3%18.4%8.2%0.2%-5.57B16.17B-2.53B2.279.53263,532596,9582,159,0285,278,027
2019-09-04$2937.42$2895.0015.1%4.3%19.8%32.4%16.1%7.1%-0.3%9.75B-47.35B-2.52B1.969.91255,287501,4772,192,8135,356,749
2019-09-05$2977.22$2910.0013.1%4.0%20.3%23.3%16.1%6.2%-0.2%22.30B-133.21B-2.51B1.686.32347,821584,7362,228,4105,396,135
2019-09-06$2980.46$2900.0012.0%3.7%19.4%18.4%14.7%5.5%0.3%25.95B-139.65B-2.51B2.406.25252,341604,7942,361,2685,641,315
2019-09-09$2977.17$2900.0012.5%3.8%19.4%20.6%13.4%5.9%0.3%15.26B-106.67B-2.50B2.447.14243,464594,3322,210,7555,280,856
2019-09-10$2969.98$2900.0012.7%3.8%18.4%21.5%14.4%5.9%0.3%11.38B-85.01B-2.52B1.947.46195,330378,5272,251,2015,323,233
2019-09-11$2993.24$2905.0012.1%3.6%17.9%18.5%14.7%5.5%-0.2%33.57B-146.48B-2.52B1.667.31280,526466,4802,335,6675,559,022
2019-09-12$3015.12$2905.0011.2%3.4%14.6%14.7%13.0%4.8%-0.2%32.53B-192.10B-2.50B1.757.32284,324498,1782,319,5415,537,272
2019-09-13$3008.32$2915.0010.9%3.3%14.7%13.3%13.0%4.7%0.4%24.21B-172.97B-2.52B2.097.53265,597555,1232,394,7255,780,231
2019-09-16$2997.40$2920.0012.3%3.6%14.3%19.4%15.3%5.5%0.3%14.77B-119.11B-2.55B2.308.27224,706516,7472,259,4745,430,304
2019-09-17$3005.32$2925.0012.1%3.5%13.7%18.6%13.9%5.1%0.3%16.82B-132.35B-2.58B1.368.95200,466273,5372,250,7335,495,116
2019-09-18$3006.13$2925.0011.9%3.4%13.4%17.7%12.9%5.6%-0.2%21.04B-131.62B-2.58B1.5810.69309,216488,2022,335,0905,634,919
2019-09-19$3008.01$2925.0011.4%3.3%13.3%15.2%12.3%4.9%-0.2%20.69B-135.51B-2.58B1.8110.46255,205461,6452,342,0515,631,215
2019-09-20$2993.49$2925.0012.6%3.7%13.5%20.6%15.2%5.9%0.2%8.14B-88.94B-2.67B1.8910.06339,421642,7782,445,4775,866,313
2019-09-23$2996.59$2925.0012.4%3.6%8.8%19.8%14.0%5.9%0.3%7.83B-84.45B-2.62B2.1610.86240,930519,5492,357,6705,778,044
2019-09-24$2964.97$2930.0014.9%4.3%9.9%31.0%15.6%6.7%0.2%-8.95B-4.34B-2.75B2.459.66288,966708,9922,357,7405,863,512
2019-09-25$2986.48$2930.0013.7%3.8%10.1%25.4%14.1%6.3%-0.2%1.27B-53.51B-2.74B1.9510.89302,810589,0552,452,2936,144,952
2019-09-26$2981.22$2930.0013.7%3.9%10.1%23.7%14.0%6.3%-0.2%-1.33B-44.75B-2.77B1.839.70223,231409,2672,421,2236,124,845
2019-09-27$2957.76$2950.0015.1%4.4%9.7%30.5%19.3%6.8%0.4%-15.54B15.65B-2.83B2.3010.81392,438901,0012,482,7076,326,067
2019-09-30$2979.24$2950.0014.2%4.0%10.0%26.0%16.5%6.9%0.2%-949.8M-40.61B-2.75B2.199.20214,396470,2422,374,2596,183,359