SPX Options History — January 2020

In January 2020, SPX traded between $3222.21 and $3326.19. ATM implied volatility averaged 11.6%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 4.6% (HV 20d: 6.9%). Max pain ranged from $3115.00 to $3225.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.84.

Notable Days

2020-01-24: Highest Volume — 1,315,420 contracts
2020-01-31: Largest IV spike — 21.3% change
2020-01-31: Highest IV Rank — 64.4%
2020-01-31: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3277.59	$3222.21	$3326.19	$3250.84	$3222.21
Max Pain	$3174.29	$3115.00	$3225.00	$3115.00	$3225.00
ATM IV	11.6%	9.6%	16.6%	10.2%	16.6%
Expected Move	3.4%	2.7%	5.0%	2.7%	5.0%
HV 20d	6.9%	5.4%	10.8%	6.7%	10.8%
HV 60d	7.1%	6.5%	8.4%	8.2%	8.4%
IV Rank	21.0%	3.7%	64.4%	7.4%	64.4%
IV Percentile	36.3%	3.6%	92.1%	14.3%	92.1%
Term Structure	0.0%	-0.3%	0.7%	-0.1%	0.7%
VWIV	13.4%	11.0%	18.0%	11.6%	18.0%
Skew 25d	5.3%	3.9%	7.1%	4.9%	7.0%
Skew 10d	10.0%	8.4%	12.8%	9.2%	12.8%
Call IV 25d	9.3%	8.2%	12.9%	8.2%	12.9%
Put IV 25d	14.7%	12.3%	19.9%	13.1%	19.9%
Bid-Ask Spread %	10.94	6.97	15.83	13.64	10.71
Gamma HHI	0.03	0.02	0.06	0.04	0.02
Net GEX	16.82B	-23.26B	46.14B	28.32B	-23.26B
Net DEX	-201.18B	-373.15B	57.17B	-258.21B	57.17B
Net VEX	-2.74B	-2.89B	-2.42B	-2.72B	-2.81B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	1.51	2.27	1.86	1.79
Total Volume	862,736	583,089	1,315,420	602,856	1,211,293
Total OI	8,173,717.667	7,541,752	9,184,373	7,541,752	8,516,767

Daily Data (21 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
2020-01-02	$3250.84	$3115.00	10.2%	2.7%	6.7%	7.4%	11.6%	4.9%	-0.1%	28.32B	-258.21B	-2.72B	1.86	13.64	210,728	392,128	2,228,651	5,313,101
2020-01-03	$3237.51	$3120.00	11.3%	3.2%	6.7%	15.6%	13.9%	5.9%	0.2%	18.07B	-206.44B	-2.80B	2.27	15.83	300,801	682,129	2,293,394	5,555,405
2020-01-06	$3241.23	$3125.00	11.6%	3.4%	6.7%	21.0%	15.2%	5.9%	0.2%	13.12B	-191.94B	-2.78B	2.02	6.97	283,957	575,006	2,188,985	5,464,635
2020-01-07	$3239.90	$3135.00	11.3%	3.3%	6.1%	19.1%	13.3%	5.7%	0.2%	12.51B	-185.10B	-2.81B	1.72	8.07	214,245	368,844	2,209,868	5,598,098
2020-01-08	$3263.22	$3140.00	10.6%	3.1%	6.2%	12.6%	12.4%	5.0%	-0.2%	32.64B	-253.40B	-2.80B	1.51	7.97	388,226	584,899	2,304,847	5,823,255
2020-01-09	$3271.97	$3140.00	10.3%	3.1%	6.0%	10.3%	11.7%	4.8%	-0.2%	28.60B	-264.74B	-2.83B	1.51	8.44	286,728	432,066	2,319,609	5,918,170
2020-01-10	$3264.61	$3150.00	10.2%	3.1%	6.2%	9.3%	12.3%	4.8%	0.3%	22.08B	-245.10B	-2.85B	2.07	9.59	307,662	638,005	2,430,907	6,173,232
2020-01-13	$3283.56	$3155.00	10.0%	3.0%	5.7%	7.5%	11.7%	4.6%	0.2%	26.30B	-264.77B	-2.84B	1.66	10.48	315,061	523,381	2,303,248	5,961,525
2020-01-14	$3283.82	$3155.00	10.2%	3.0%	5.7%	9.1%	12.0%	4.5%	0.2%	22.56B	-258.20B	-2.88B	2.17	10.50	217,049	470,292	2,369,308	6,078,089
2020-01-15	$3284.77	$3155.00	10.3%	3.0%	5.4%	10.1%	12.1%	4.3%	-0.3%	21.36B	-266.71B	-2.86B	1.83	9.28	306,014	560,656	2,444,357	6,338,833
2020-01-16	$3313.10	$3165.00	9.6%	2.8%	5.9%	3.9%	11.3%	4.0%	-0.3%	37.64B	-339.55B	-2.85B	2.18	10.65	225,953	492,937	2,471,384	6,374,260
2020-01-17	$3325.19	$3175.00	9.6%	2.8%	6.0%	3.7%	11.0%	3.9%	-0.3%	46.14B	-373.15B	-2.89B	1.55	10.45	394,070	611,071	2,557,860	6,626,513
2020-01-21	$3322.01	$3190.00	10.5%	3.0%	6.0%	11.9%	14.1%	4.5%	0.2%	31.01B	-256.21B	-2.42B	1.81	12.00	280,243	505,987	2,114,920	5,491,470
2020-01-22	$3323.05	$3200.00	10.6%	3.0%	5.9%	12.5%	12.3%	4.7%	-0.2%	27.51B	-252.56B	-2.46B	1.75	13.29	322,451	565,710	2,149,707	5,575,176
2020-01-23	$3326.19	$3210.00	10.8%	3.1%	5.9%	14.0%	13.3%	4.9%	-0.2%	26.16B	-245.86B	-2.50B	1.86	12.10	226,195	420,185	2,171,970	5,671,898
2020-01-24	$3291.87	$3215.00	12.9%	3.8%	7.2%	32.9%	14.7%	6.1%	0.2%	-2.36B	-126.15B	-2.64B	2.21	13.23	410,146	905,274	2,236,913	5,889,356
2020-01-27	$3247.83	$3220.00	15.1%	4.4%	8.8%	52.1%	16.5%	7.1%	0.2%	-18.36B	583.0M	-2.72B	1.90	9.93	418,955	794,309	2,125,798	5,768,465
2020-01-28	$3280.34	$3220.00	14.0%	4.1%	9.4%	42.0%	15.4%	6.3%	0.2%	1.49B	-100.99B	-2.70B	1.68	11.48	265,015	446,059	2,136,239	5,866,921
2020-01-29	$3278.61	$3225.00	13.9%	4.0%	9.2%	41.7%	14.9%	6.2%	-0.3%	1.36B	-99.80B	-2.73B	1.82	13.54	305,505	555,094	2,237,122	6,083,029
2020-01-30	$3277.66	$3225.00	13.6%	3.9%	9.2%	39.1%	14.5%	6.4%	-0.3%	280.5M	-93.68B	-2.73B	1.53	11.58	277,833	425,294	2,221,113	6,043,673
2020-01-31	$3222.21	$3225.00	16.6%	5.0%	10.8%	64.4%	18.0%	7.0%	0.7%	-23.26B	57.17B	-2.81B	1.79	10.71	433,548	777,745	2,303,050	6,213,717