SPX Options History — October 2019 In October 2019, SPX traded between $2890.97 and $3045.43. ATM implied volatility averaged 13.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.0% (HV 20d: 13.5%). Max pain ranged from $2925.00 to $2970.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.80.
Notable Days 2019-10-02 : Highest Volume — 1,497,973 contracts2019-10-08 : Largest IV spike — 17.8% change2019-10-02 : Highest IV Rank — 48.4%2019-10-02 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $2978.45 $2890.97 $3045.43 $2943.80 $3031.94 Max Pain $2941.96 $2925.00 $2970.00 $2950.00 $2970.00 ATM IV 13.5% 10.2% 19.0% 16.3% 10.9% Expected Move 3.8% 2.8% 5.6% 4.7% 3.0% HV 20d 13.5% 10.8% 15.1% 10.8% 11.3% HV 60d 15.8% 14.7% 16.4% 14.9% 14.8% IV Rank 19.9% 3.2% 48.4% 35.8% 6.5% IV Percentile 42.4% 8.3% 89.7% 71.4% 15.9% Term Structure -0.0% -0.5% 0.3% 0.1% -0.2% VWIV 14.8% 11.2% 20.9% 17.2% 11.8% Skew 25d 5.6% 3.9% 7.7% 7.6% 4.6% Skew 10d 9.9% 7.7% 13.0% 13.0% 8.9% Call IV 25d 11.1% 8.9% 15.2% 12.6% 9.4% Put IV 25d 16.7% 12.9% 22.4% 20.2% 14.0% Bid-Ask Spread % 10.71 7.04 15.54 9.73 12.99 Gamma HHI 0.03 0.01 0.09 0.02 0.03 Net GEX 8.79B -28.25B 41.70B -14.53B 19.86B Net DEX -45.40B -168.49B 160.56B 48.13B -121.49B Net VEX -2.64B -2.90B -2.30B -2.80B -2.36B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.80 1.32 2.31 2.18 1.81 Total Volume 755,832.087 493,376 1,497,973 801,255 882,869 Total OI 8,275,161.174 7,658,477 9,148,487 7,835,817 8,170,628
Daily Data (23 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 2019-10-01 $2943.80 $2950.00 16.3% 4.7% 10.8% 35.8% 17.2% 7.6% 0.1% -14.53B 48.13B -2.80B 2.18 9.73 251,584 549,671 2,157,439 5,678,378 2019-10-02 $2890.97 $2950.00 19.0% 5.6% 12.0% 48.4% 20.9% 7.2% -0.5% -28.25B 160.56B -2.84B 1.91 10.97 515,558 982,415 2,237,073 5,958,629 2019-10-03 $2904.08 $2930.00 18.0% 5.1% 11.0% 43.9% 20.0% 7.5% -0.5% -19.57B 114.47B -2.88B 2.31 7.04 289,483 669,376 2,283,633 5,948,017 2019-10-04 $2948.97 $2925.00 15.1% 4.4% 12.5% 30.5% 17.0% 6.8% 0.2% -4.45B 3.99B -2.85B 2.11 7.18 301,774 635,710 2,392,954 6,188,806 2019-10-07 $2944.14 $2930.00 15.6% 4.5% 12.5% 31.6% 17.1% 7.1% 0.1% -4.90B 17.68B -2.85B 1.81 8.86 266,306 480,906 2,265,513 5,992,989 2019-10-08 $2900.45 $2930.00 18.3% 5.2% 13.5% 42.7% 17.9% 7.7% 0.1% -18.43B 108.61B -2.90B 1.49 8.05 299,870 445,637 2,289,487 6,021,963 2019-10-09 $2920.91 $2925.00 17.1% 4.9% 13.4% 36.8% 17.2% 7.3% -0.4% -11.64B 63.10B -2.90B 2.05 13.56 213,112 437,241 2,381,104 6,232,126 2019-10-10 $2936.67 $2925.00 16.2% 4.6% 13.3% 32.3% 15.6% 7.0% -0.4% -5.65B 23.93B -2.90B 1.93 8.14 209,914 405,676 2,359,742 6,225,653 2019-10-11 $2980.69 $2925.00 14.2% 4.1% 14.5% 22.5% 14.9% 6.2% 0.0% 14.86B -85.94B -2.86B 1.90 13.62 373,918 709,105 2,460,420 6,391,906 2019-10-14 $2965.98 $2925.00 13.3% 3.9% 14.5% 18.1% 12.8% 5.6% 0.2% 2.15B -35.22B -2.82B 1.69 9.03 248,378 420,121 2,356,236 6,241,027 2019-10-15 $2997.61 $2925.00 11.5% 3.3% 15.0% 9.4% 16.2% 4.7% 0.2% 16.22B -107.39B -2.78B 1.96 9.63 202,440 396,003 2,350,954 6,193,379 2019-10-16 $2989.32 $2935.00 12.0% 3.4% 15.0% 11.8% 14.8% 4.9% 0.0% 9.23B -83.68B -2.82B 1.42 9.40 284,096 404,417 2,436,673 6,409,557 2019-10-17 $3000.22 $2940.00 11.7% 3.3% 15.1% 10.3% 12.8% 4.7% 0.1% 17.22B -108.97B -2.84B 1.66 9.35 185,420 307,956 2,473,516 6,408,088 2019-10-18 $2991.08 $2945.00 12.2% 3.5% 15.0% 12.8% 16.1% 5.0% 0.2% 9.17B -80.20B -2.87B 1.61 10.07 319,510 515,181 2,563,531 6,584,956 2019-10-21 $3005.75 $2950.00 11.9% 3.3% 15.1% 11.4% 13.7% 4.6% 0.2% 21.72B -100.19B -2.30B 1.51 9.40 253,213 382,151 2,141,081 5,540,721 2019-10-22 $2997.33 $2950.00 12.3% 3.4% 14.6% 13.1% 14.0% 4.7% 0.2% 14.72B -73.24B -2.32B 1.91 10.59 187,637 358,161 2,157,469 5,501,008 2019-10-23 $3001.32 $2950.00 12.1% 3.3% 14.4% 12.1% 11.2% 5.0% -0.2% 13.74B -78.20B -2.32B 1.71 11.02 209,349 357,813 2,209,468 5,677,907 2019-10-24 $3008.90 $2950.00 11.3% 3.1% 14.4% 8.4% 11.2% 4.6% -0.2% 19.63B -94.90B -2.31B 1.36 12.33 218,196 296,832 2,203,698 5,610,672 2019-10-25 $3023.05 $2950.00 10.4% 2.8% 14.2% 3.9% 11.2% 4.1% 0.3% 41.70B -137.38B -2.31B 1.32 12.58 349,985 461,837 2,291,546 5,771,409 2019-10-28 $3039.59 $2955.00 10.8% 2.9% 14.1% 5.8% 11.5% 3.9% -0.2% 41.28B -165.68B -2.30B 1.61 13.67 283,782 458,217 2,213,527 5,489,465 2019-10-29 $3036.13 $2960.00 11.0% 3.0% 13.2% 7.1% 12.8% 4.3% -0.2% 29.22B -143.77B -2.32B 2.14 13.58 196,577 421,027 2,232,754 5,547,442 2019-10-30 $3045.43 $2970.00 10.2% 2.8% 11.0% 3.2% 11.4% 4.1% -0.1% 38.79B -168.49B -2.31B 2.09 15.54 240,981 504,733 2,294,834 5,791,329 2019-10-31 $3031.94 $2970.00 10.9% 3.0% 11.3% 6.5% 11.8% 4.6% -0.2% 19.86B -121.49B -2.36B 1.81 12.99 313,718 569,151 2,300,749 5,869,879
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