SPX Options History — December 2019

In December 2019, SPX traded between $3090.28 and $3238.34. ATM implied volatility averaged 10.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.0% (HV 20d: 7.9%). Max pain ranged from $3040.00 to $3110.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2019-12-13: Highest Volume — 1,110,167 contracts
  • 2019-12-03: Largest IV spike — 16.6% change
  • 2019-12-03: Highest IV Rank — 22.8%
  • 2019-12-03: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3176.84$3090.28$3238.34$3120.23$3226.94
Max Pain$3068.57$3040.00$3110.00$3050.00$3110.00
ATM IV10.9%9.1%14.0%12.0%11.3%
Expected Move3.2%2.7%4.2%3.5%3.1%
HV 20d7.9%5.5%8.6%5.5%7.7%
HV 60d9.9%8.1%10.4%9.9%8.1%
IV Rank8.5%0.0%22.8%13.2%15.3%
IV Percentile23.6%0.0%61.1%39.7%34.1%
Term Structure0.1%-0.2%0.4%0.2%0.2%
VWIV12.7%10.2%17.5%13.5%11.7%
Skew 25d5.1%3.8%6.7%6.0%5.3%
Skew 10d9.8%7.0%12.6%10.6%10.6%
Call IV 25d8.9%7.7%11.0%9.5%8.8%
Put IV 25d14.0%11.6%17.7%15.5%14.1%
Bid-Ask Spread %8.835.7212.408.1112.40
Gamma HHI0.040.020.130.020.04
Net GEX28.34B-4.32B48.80B10.53B22.89B
Net DEX-223.99B-347.33B-35.72B-116.25B-260.15B
Net VEX-2.67B-2.75B-2.56B-2.62B-2.73B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.711.212.251.811.68
Total Volume737,622.19300,1071,110,1671,086,493924,349
Total OI8,482,736.2867,930,9528,886,7957,930,9528,518,565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$3120.23$3050.0012.0%3.5%5.5%13.2%13.5%6.0%0.2%10.53B-116.25B-2.62B1.818.11387,091699,4022,273,9885,656,964
2019-12-03$3090.28$3050.0014.0%4.2%6.5%22.8%14.5%6.7%-0.2%-4.32B-35.72B-2.69B1.899.25290,104547,6162,265,3735,822,457
2019-12-04$3116.13$3050.0012.8%3.8%7.1%16.7%14.7%6.0%-0.2%18.55B-115.26B-2.68B1.928.20264,014506,2412,382,8386,103,535
2019-12-05$3118.73$3040.0012.3%3.8%7.0%14.8%13.9%5.9%-0.2%14.37B-120.18B-2.69B2.107.93159,800336,2782,347,9726,067,232
2019-12-06$3148.73$3040.0010.9%3.4%7.7%7.9%13.1%5.2%0.3%46.92B-216.31B-2.66B1.536.83393,358602,0382,404,0176,267,845
2019-12-09$3138.39$3040.0012.3%3.7%7.8%14.5%17.5%6.3%0.3%16.44B-144.15B-2.69B2.035.72246,718500,5392,259,0785,928,987
2019-12-10$3131.23$3040.0013.0%3.8%7.9%17.6%15.0%6.5%0.3%10.14B-117.38B-2.74B1.636.07184,062300,0812,264,4435,967,297
2019-12-11$3139.52$3040.0012.5%3.7%7.9%15.4%13.3%6.3%-0.2%15.61B-142.71B-2.73B1.676.73245,256410,5832,339,9176,121,920
2019-12-12$3169.36$3045.0011.0%3.3%8.5%8.1%12.7%5.3%-0.2%32.34B-227.40B-2.68B1.348.33342,205456,9962,361,7886,031,947
2019-12-13$3169.17$3050.009.6%2.9%8.5%1.3%12.4%4.7%0.3%39.33B-235.77B-2.61B2.258.51341,440768,7272,494,6676,261,465
2019-12-16$3191.23$3055.009.2%2.7%8.6%0.0%10.2%3.8%0.3%41.63B-274.94B-2.56B1.398.13394,048548,2932,381,2866,048,595
2019-12-17$3193.24$3070.009.1%2.7%8.6%0.0%10.5%3.8%0.3%34.74B-261.93B-2.60B1.659.08179,157295,0722,432,8926,036,655
2019-12-18$3195.23$3075.009.6%2.7%8.6%2.1%11.8%3.9%-0.2%36.04B-267.58B-2.62B1.687.54197,338331,8062,506,1466,216,196
2019-12-19$3202.58$3080.009.3%2.7%8.2%1.0%10.4%3.8%-0.2%38.51B-285.15B-2.61B1.358.40226,968307,0032,468,6576,126,157
2019-12-20$3221.20$3090.009.3%2.7%8.3%0.5%10.4%4.0%-0.2%48.80B-347.33B-2.64B1.2110.52475,786574,1722,572,1246,314,671
2019-12-23$3223.70$3100.009.3%2.7%8.3%0.7%11.5%4.4%0.3%40.75B-313.35B-2.68B1.369.12289,103393,5962,547,2556,031,916
2019-12-24$3222.31$3100.009.6%2.7%8.1%2.3%13.2%4.4%0.3%34.34B-301.18B-2.70B2.0910.0697,085203,0222,568,3006,023,787
2019-12-26$3236.00$3100.009.5%2.7%8.2%2.0%10.5%4.4%-0.1%40.34B-334.35B-2.66B2.1410.96137,660294,6752,528,5066,007,026
2019-12-27$3238.34$3105.0010.3%3.0%8.1%6.6%11.4%4.6%0.4%34.83B-335.60B-2.72B1.7411.75292,842509,7372,566,6256,151,027
2019-12-30$3221.10$3110.0012.0%3.4%8.3%16.3%13.5%5.7%0.2%22.41B-251.21B-2.75B1.5211.85332,060503,7452,488,7765,978,570
2019-12-31$3226.94$3110.0011.3%3.1%7.7%15.3%11.7%5.3%0.2%22.89B-260.15B-2.73B1.6812.40344,367579,9822,482,5586,036,007