SPX Options History — February 2020

In February 2020, SPX traded between $2894.37 and $3387.48. ATM implied volatility averaged 16.8%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.0% (HV 20d: 14.7%). Max pain ranged from $3215.00 to $3285.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.91.

Notable Days

  • 2020-02-28: Highest Volume — 1,867,676 contracts
  • 2020-02-24: Largest IV spike — 41.6% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3276.97$2894.37$3387.48$3250.39$2894.37
Max Pain$3248.95$3215.00$3285.00$3225.00$3245.00
ATM IV16.8%11.0%43.5%15.7%43.5%
Expected Move5.0%3.2%13.9%4.5%13.9%
HV 20d14.7%11.2%25.7%11.2%25.7%
HV 60d10.5%8.5%17.1%8.5%17.1%
IV Rank47.8%15.8%100.0%56.9%100.0%
IV Percentile68.2%34.1%100.0%87.3%100.0%
Term Structure-0.1%-1.0%0.2%0.1%-0.3%
VWIV18.7%12.8%47.5%16.5%47.5%
Skew 25d7.2%4.5%19.6%6.9%19.6%
Skew 10d13.7%9.5%32.9%12.3%32.9%
Call IV 25d13.5%9.1%32.4%12.5%32.4%
Put IV 25d20.7%13.8%52.0%19.3%52.0%
Bid-Ask Spread %11.036.2730.4111.7030.41
Gamma HHI0.030.010.130.010.03
Net GEX9.25B-36.98B64.58B-5.97B-30.08B
Net DEX-47.72B-297.96B672.89B-19.22B672.89B
Net VEX-2.91B-3.38B-2.67B-2.75B-3.38B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.911.482.492.092.27
Total Volume1,049,568.632725,3431,867,676850,3011,867,676
Total OI8,405,774.0537,587,4069,752,9117,587,4069,752,911

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$3250.39$3225.0015.7%4.5%11.2%56.9%16.5%6.9%0.1%-5.97B-19.22B-2.75B2.0911.70275,237575,0642,082,2835,505,123
2020-02-04$3299.69$3225.0013.7%3.7%12.4%39.4%14.3%5.5%0.1%14.08B-138.82B-2.69B1.7416.16302,809526,7852,075,6885,514,288
2020-02-05$3333.31$3230.0012.8%3.3%12.8%31.6%13.7%5.3%-0.3%33.83B-229.12B-2.67B1.6116.20352,658567,7862,171,7345,742,213
2020-02-06$3345.65$3215.0012.1%3.5%12.6%26.0%13.2%5.4%-0.3%28.70B-240.98B-2.70B1.486.27293,180433,7402,168,8215,702,641
2020-02-07$3330.95$3225.0012.7%3.6%12.8%30.7%17.8%5.6%0.1%18.74B-197.72B-2.77B1.977.58324,305639,7582,289,7745,939,805
2020-02-10$3345.15$3225.0012.6%3.6%12.8%29.6%15.1%5.7%0.1%35.41B-210.03B-2.74B1.647.39297,601489,1412,194,4585,715,709
2020-02-11$3359.37$3230.0012.2%3.5%12.7%26.3%12.8%5.3%0.1%26.66B-236.95B-2.77B1.487.18307,972457,2932,209,7805,731,252
2020-02-12$3379.16$3235.0011.0%3.2%12.8%15.8%12.8%4.5%-0.2%64.58B-297.96B-2.72B1.757.41263,808461,5352,330,0825,971,958
2020-02-13$3372.31$3245.0011.6%3.4%12.9%21.6%13.4%5.0%-0.2%26.99B-258.93B-2.79B1.977.71258,909509,1152,326,7955,933,748
2020-02-14$3375.72$3250.0011.0%3.2%12.6%16.2%13.1%4.7%0.2%31.81B-272.43B-2.80B1.717.81308,303528,6642,405,3116,230,421
2020-02-18$3370.98$3260.0011.8%3.4%12.6%23.2%13.4%5.4%0.2%21.78B-221.26B-2.80B1.877.89296,955555,8642,348,3075,932,890
2020-02-19$3387.48$3265.0011.6%3.3%12.6%21.3%13.3%5.1%-0.2%34.21B-264.63B-2.83B1.947.91289,761562,8162,341,6955,991,895
2020-02-20$3370.88$3275.0012.3%3.6%12.8%27.8%13.3%5.9%-0.2%15.99B-202.71B-2.94B1.858.60287,934533,8112,355,6616,057,038
2020-02-21$3334.19$3280.0014.5%4.2%13.4%46.4%16.3%7.2%0.1%-10.81B-83.99B-3.03B1.978.42374,399737,5802,469,6716,321,313
2020-02-24$3238.92$3285.0020.5%6.1%16.6%98.7%22.7%9.8%-0.1%-27.61B145.24B-3.10B2.238.24543,7111,213,0152,378,7216,176,147
2020-02-25$3138.62$3280.0024.3%7.3%19.4%100.0%26.4%9.9%-0.1%-32.60B313.56B-3.22B2.4913.64414,7901,034,8702,424,4566,373,128
2020-02-26$3124.51$3270.0023.8%7.2%18.9%96.7%25.2%8.7%-0.6%-36.98B333.80B-3.24B2.1411.96487,3221,040,6182,598,3336,713,701
2020-02-27$3010.77$3265.0031.2%9.7%22.6%100.0%34.1%11.6%-1.0%-32.92B502.51B-3.30B2.0117.02506,5651,020,4542,611,2416,620,715
2020-02-28$2894.37$3245.0043.5%13.9%25.7%100.0%47.5%19.6%-0.3%-30.08B672.89B-3.38B2.2730.41571,9291,295,7472,874,0116,878,900