SPX Options History — November 2019

In November 2019, SPX traded between $3063.40 and $3152.38. ATM implied volatility averaged 10.2%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.6% (HV 20d: 6.6%). Max pain ranged from $2975.00 to $3045.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2019-11-15: Highest Volume — 965,644 contracts
  • 2019-11-15: Largest IV drop — 9.7% change
  • 2019-11-21: Highest IV Rank — 6.9%
  • 2019-11-07: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3103.50$3063.40$3152.38$3063.40$3141.70
Max Pain$3000.25$2975.00$3045.00$2975.00$3045.00
ATM IV10.2%9.3%11.0%9.8%10.2%
Expected Move3.0%2.6%3.3%2.6%3.0%
HV 20d6.6%5.0%10.6%10.6%5.6%
HV 60d11.7%9.8%14.5%14.5%9.8%
IV Rank3.2%0.0%6.9%0.8%4.5%
IV Percentile9.7%0.0%23.4%2.0%11.9%
Term Structure0.1%-0.2%0.4%0.2%0.1%
VWIV12.6%10.0%18.6%10.0%12.5%
Skew 25d4.2%3.4%5.3%3.4%4.8%
Skew 10d8.4%7.1%9.8%7.1%9.5%
Call IV 25d8.7%7.8%9.4%8.7%8.3%
Put IV 25d12.9%12.0%14.3%12.1%13.1%
Bid-Ask Spread %8.075.1414.2014.208.41
Gamma HHI0.050.030.090.050.07
Net GEX39.44B25.46B60.46B39.69B44.61B
Net DEX-205.84B-294.86B-156.46B-185.95B-230.36B
Net VEX-2.48B-2.60B-2.34B-2.34B-2.60B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.701.042.541.082.15
Total Volume670,795.95494,021965,644879,139538,689
Total OI8,121,185.37,410,3938,877,1507,668,2878,877,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$3063.40$2975.009.8%2.6%10.6%0.8%10.0%3.4%0.2%39.69B-185.95B-2.34B1.0814.20422,129457,0102,185,6515,482,636
2019-11-04$3076.46$2975.0010.1%3.2%10.6%2.4%13.2%3.5%0.2%40.67B-193.95B-2.36B1.245.53285,846355,1802,148,2705,262,123
2019-11-05$3078.45$2980.0010.2%3.2%8.4%3.2%12.4%3.7%0.3%34.09B-186.11B-2.40B1.495.53203,689303,5852,156,6635,297,819
2019-11-06$3074.18$2985.0010.4%3.2%8.4%4.1%12.2%4.1%-0.1%31.05B-177.26B-2.43B1.575.14236,624372,3032,250,6775,478,562
2019-11-07$3081.39$2985.0010.5%3.3%8.4%4.6%12.0%4.0%-0.2%35.79B-192.84B-2.45B1.046.36298,616309,5202,246,1885,438,348
2019-11-08$3089.48$2990.009.7%3.2%7.0%0.8%11.9%3.5%0.4%40.70B-220.56B-2.44B1.787.42226,563403,4622,349,6085,617,133
2019-11-11$3085.01$2995.0010.6%3.2%6.6%4.8%12.1%3.9%0.3%28.14B-178.10B-2.44B1.647.53233,107381,5742,202,1555,432,543
2019-11-12$3089.94$2990.0010.6%3.2%5.8%5.1%12.0%3.9%0.3%32.50B-185.59B-2.45B2.108.40177,932373,2092,230,0505,457,252
2019-11-13$3094.89$2995.0010.8%3.2%5.5%5.9%16.3%4.3%-0.1%36.51B-190.77B-2.51B2.098.85236,011493,6412,284,4765,673,324
2019-11-14$3095.99$2995.0010.8%3.2%5.5%5.7%18.6%4.5%-0.1%34.41B-186.50B-2.52B2.547.84147,471374,4852,282,2725,748,650
2019-11-15$3114.39$3000.009.7%2.9%5.4%0.6%12.3%4.0%0.3%60.46B-247.03B-2.49B1.307.50419,132546,5122,340,5775,993,935
2019-11-18$3119.42$3000.0010.2%3.0%5.3%2.9%11.1%4.2%0.3%42.99B-237.56B-2.47B1.338.01301,055399,0222,310,4235,866,874
2019-11-19$3123.21$3000.0010.1%2.9%5.0%2.6%11.6%4.3%0.3%44.43B-233.60B-2.49B1.507.08197,725296,2962,347,8155,947,827
2019-11-20$3107.38$3000.0010.8%3.1%5.6%6.2%13.9%5.1%-0.1%27.23B-177.09B-2.53B1.858.96313,183580,9502,389,1906,121,320
2019-11-21$3103.20$3005.0011.0%3.2%5.7%6.9%12.7%5.3%-0.2%25.46B-156.46B-2.56B2.528.76168,641424,3812,384,6906,098,167
2019-11-22$3109.07$3010.0010.3%3.0%5.6%3.5%12.2%5.0%0.0%28.35B-174.57B-2.57B2.419.52199,794481,7482,434,8176,363,425
2019-11-25$3130.58$3025.009.6%2.8%5.8%0.0%11.8%4.3%0.1%52.82B-221.03B-2.52B1.688.82290,663487,4402,298,5806,096,119
2019-11-26$3139.39$3025.009.3%2.7%5.7%0.0%11.6%4.5%-0.0%52.33B-246.53B-2.53B1.428.87226,019320,6592,366,0776,159,258
2019-11-27$3152.38$3030.009.4%2.7%5.8%0.3%10.7%4.0%-0.0%56.52B-294.86B-2.54B1.268.60412,634519,4192,457,2386,345,824
2019-11-29$3141.70$3045.0010.2%3.0%5.6%4.5%12.5%4.8%0.1%44.61B-230.36B-2.60B2.158.41171,124367,5652,493,4026,383,748