SPX Options History — April 2020

In April 2020, SPX traded between $2458.57 and $2951.30. ATM implied volatility averaged 36.1%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 23.0% (HV 20d: 59.1%). Max pain ranged from $2800.00 to $2900.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.47.

Notable Days

2020-04-09: Highest Volume — 870,092 contracts
2020-04-20: Largest IV spike — 13.8% change
2020-04-01: Highest IV Rank — 65.3%
2020-04-01: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2762.47	$2458.57	$2951.30	$2458.57	$2906.63
Max Pain	$2809.29	$2800.00	$2900.00	$2900.00	$2800.00
ATM IV	36.1%	25.6%	53.6%	53.6%	28.5%
Expected Move	10.4%	7.4%	16.3%	16.3%	8.3%
HV 20d	59.1%	36.1%	79.2%	76.7%	36.1%
HV 60d	52.1%	48.9%	53.5%	48.9%	53.5%
IV Rank	39.7%	24.2%	65.3%	65.3%	28.5%
IV Percentile	88.9%	82.9%	95.2%	95.2%	84.5%
Term Structure	-0.0%	-1.1%	0.9%	-1.1%	0.1%
VWIV	40.5%	30.7%	55.0%	55.0%	33.0%
Skew 25d	15.0%	11.4%	21.0%	21.0%	12.8%
Skew 10d	26.4%	20.5%	35.7%	35.7%	23.4%
Call IV 25d	29.2%	21.1%	42.6%	42.6%	23.2%
Put IV 25d	44.2%	32.6%	63.6%	63.6%	36.0%
Bid-Ask Spread %	10.44	7.42	14.49	13.78	10.78
Gamma HHI	0.02	0.01	0.03	0.02	0.01
Net GEX	-2.60B	-11.00B	7.64B	-11.00B	1.44B
Net DEX	136.72B	-93.11B	478.89B	478.89B	-25.70B
Net VEX	-3.81B	-4.28B	-3.40B	-3.40B	-3.64B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	1.18	1.85	1.69	1.49
Total Volume	685,651.19	476,221	870,092	798,329	709,433
Total OI	8,429,349.667	7,645,439	9,211,567	8,594,764	8,031,551

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
2020-04-01	$2458.57	$2900.00	53.6%	16.3%	76.7%	65.3%	55.0%	21.0%	-1.1%	-11.00B	478.89B	-3.40B	1.69	13.78	297,005	501,324	3,017,686	5,577,078
2020-04-02	$2511.21	$2850.00	46.6%	13.0%	77.2%	55.0%	48.8%	19.4%	-0.6%	-8.59B	429.35B	-3.54B	1.50	10.15	247,972	371,362	3,057,919	5,563,931
2020-04-03	$2470.24	$2835.00	43.4%	12.4%	77.1%	50.4%	41.7%	17.1%	0.7%	-9.48B	464.65B	-3.45B	1.53	14.49	302,354	463,946	3,171,414	5,714,428
2020-04-06	$2643.87	$2810.00	37.6%	10.8%	79.2%	41.8%	39.8%	16.3%	0.8%	-5.11B	272.58B	-3.84B	1.24	11.88	361,995	447,731	3,088,213	5,575,302
2020-04-07	$2689.47	$2800.00	39.2%	11.1%	78.7%	44.2%	41.0%	16.6%	0.1%	-4.58B	228.08B	-3.98B	1.18	12.08	312,123	369,560	3,137,718	5,554,459
2020-04-08	$2737.64	$2800.00	37.9%	10.8%	77.7%	42.3%	42.1%	16.0%	-0.3%	-2.91B	166.57B	-4.06B	1.34	10.22	314,868	421,394	3,205,226	5,657,402
2020-04-09	$2792.53	$2800.00	36.6%	10.5%	70.7%	40.3%	39.0%	14.8%	-1.1%	-1.84B	109.11B	-4.14B	1.31	7.42	376,277	493,815	3,225,646	5,670,481
2020-04-13	$2763.12	$2800.00	37.0%	10.7%	69.6%	41.0%	54.0%	14.3%	0.6%	-3.64B	148.95B	-4.05B	1.36	9.81	260,433	353,903	3,147,545	5,603,386
2020-04-14	$2846.33	$2800.00	33.1%	9.5%	64.6%	35.2%	38.4%	12.4%	0.4%	-1.21B	53.52B	-4.13B	1.43	8.29	263,358	377,576	3,161,783	5,593,286
2020-04-15	$2788.38	$2800.00	35.9%	10.3%	64.9%	39.3%	36.9%	14.5%	-0.3%	-4.20B	127.63B	-4.14B	1.55	8.81	308,098	478,526	3,244,502	5,746,293
2020-04-16	$2794.43	$2800.00	36.0%	10.3%	57.6%	39.5%	43.6%	14.9%	-0.3%	-3.60B	120.58B	-4.21B	1.85	9.88	177,781	328,489	3,239,960	5,751,640
2020-04-17	$2863.41	$2800.00	32.6%	9.4%	56.4%	34.4%	38.8%	13.7%	0.4%	-459.8M	27.45B	-4.28B	1.44	9.08	329,293	473,928	3,315,741	5,895,826
2020-04-20	$2829.19	$2800.00	37.0%	10.9%	53.1%	41.0%	39.6%	16.0%	0.5%	-1.82B	52.67B	-3.66B	1.44	12.41	310,664	447,675	2,761,968	4,883,471
2020-04-21	$2746.43	$2800.00	40.4%	11.8%	51.4%	46.0%	43.3%	15.7%	0.5%	-5.60B	143.47B	-3.62B	1.62	12.33	212,394	343,280	2,795,441	4,943,913
2020-04-22	$2808.59	$2800.00	36.7%	10.6%	43.5%	40.5%	40.6%	15.6%	-0.8%	-1.91B	72.64B	-3.67B	1.28	9.32	248,399	318,226	2,858,304	5,077,093
2020-04-23	$2807.60	$2800.00	35.1%	10.1%	41.6%	38.2%	39.7%	15.0%	-0.5%	-2.32B	74.13B	-3.66B	1.68	10.50	195,032	328,161	2,852,702	5,042,763
2020-04-24	$2841.57	$2800.00	30.5%	8.8%	41.3%	31.5%	38.2%	13.0%	-1.0%	543.7M	32.11B	-3.65B	1.33	8.71	295,776	393,891	2,909,369	5,158,960
2020-04-27	$2886.98	$2800.00	27.2%	8.0%	41.3%	26.5%	32.9%	11.4%	0.9%	3.45B	-17.74B	-3.60B	1.62	9.13	268,771	435,398	2,827,717	5,008,746
2020-04-28	$2874.30	$2800.00	28.1%	8.3%	41.1%	27.8%	34.3%	12.9%	0.4%	685.2M	5.34B	-3.59B	1.59	9.91	183,756	292,465	2,830,610	5,051,442
2020-04-29	$2951.30	$2800.00	25.6%	7.4%	41.2%	24.2%	30.7%	11.5%	0.5%	7.64B	-93.11B	-3.63B	1.29	10.28	341,665	440,578	2,891,629	5,173,799
2020-04-30	$2906.63	$2800.00	28.5%	8.3%	36.1%	28.5%	33.0%	12.8%	0.1%	1.44B	-25.70B	-3.64B	1.49	10.78	285,166	424,267	2,891,180	5,140,371