SPX Options History — May 2020

In May 2020, SPX traded between $2805.07 and $3039.58. ATM implied volatility averaged 26.0%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.2% (HV 20d: 28.2%). Max pain ranged from $2780.00 to $2850.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.44.

Notable Days

  • 2020-05-13: Highest Volume — 1,052,676 contracts
  • 2020-05-13: Largest IV spike — 21.3% change
  • 2020-05-13: Highest IV Rank — 33.7%
  • 2020-05-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2920.40$2805.07$3039.58$2831.74$3039.58
Max Pain$2807.50$2780.00$2850.00$2805.00$2850.00
ATM IV26.0%22.4%32.0%31.6%22.7%
Expected Move7.6%6.4%9.5%9.5%6.6%
HV 20d28.2%24.3%37.7%37.7%24.3%
HV 60d53.7%51.9%54.9%53.7%51.9%
IV Rank24.8%19.6%33.7%33.0%19.9%
IV Percentile79.8%74.6%85.3%85.3%74.6%
Term Structure0.5%-0.4%1.2%0.9%0.2%
VWIV28.9%24.8%34.8%34.3%25.6%
Skew 25d11.1%9.0%14.5%14.5%9.0%
Skew 10d19.8%16.7%24.5%24.5%17.2%
Call IV 25d21.1%18.2%25.7%24.4%18.9%
Put IV 25d32.2%27.6%38.9%38.9%27.9%
Bid-Ask Spread %7.565.089.128.729.12
Gamma HHI0.020.010.030.020.03
Net GEX1.69B-10.61B9.87B-6.88B8.44B
Net DEX-22.29B-154.14B140.43B79.02B-154.14B
Net VEX-3.54B-3.63B-3.44B-3.62B-3.55B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.441.131.831.451.35
Total Volume682,838.95435,0021,052,676814,142890,387
Total OI7,612,017.17,372,0128,014,5467,488,7058,014,546

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$2831.74$2805.0031.6%9.5%37.7%33.0%34.3%14.5%0.9%-6.88B79.02B-3.62B1.458.72332,774481,3682,676,3144,812,391
2020-05-04$2843.05$2780.0030.4%8.9%36.8%31.2%31.9%13.3%1.0%-2.45B60.71B-3.61B1.345.08278,033373,3482,619,1304,752,882
2020-05-05$2867.06$2785.0028.5%8.5%29.0%28.5%33.5%12.3%0.7%-939.6M32.93B-3.63B1.795.70171,355306,2952,624,6334,765,131
2020-05-06$2854.55$2790.0029.0%8.5%28.7%29.2%34.8%12.7%0.7%-2.68B51.26B-3.62B1.615.84234,955378,4362,687,1344,912,071
2020-05-07$2881.17$2790.0027.6%8.2%28.3%27.1%31.7%11.9%0.7%-672.6M20.16B-3.63B1.635.57168,767275,6872,674,8114,899,291
2020-05-08$2927.28$2800.0023.2%7.2%28.0%20.7%27.8%10.1%1.2%5.61B-38.47B-3.62B1.516.62279,534422,2922,726,4355,025,691
2020-05-11$2936.19$2800.0022.5%6.7%27.6%19.7%24.8%9.4%1.1%2.08B-33.62B-3.54B1.136.43336,822381,5542,665,1124,892,391
2020-05-12$2883.09$2800.0026.4%7.6%26.7%25.4%27.4%11.6%0.1%-2.53B37.27B-3.56B1.738.49178,946309,8632,689,3694,900,058
2020-05-13$2805.07$2800.0032.0%9.1%27.5%33.7%33.9%13.2%-0.1%-10.61B140.43B-3.58B1.839.08372,190680,4862,753,3485,062,170
2020-05-14$2843.38$2800.0028.9%8.3%27.9%29.1%30.9%12.7%0.0%-4.67B73.93B-3.45B1.539.06206,818317,2122,633,5394,868,013
2020-05-15$2852.79$2800.0027.2%7.9%26.5%26.5%28.8%12.1%0.4%-1.68B57.70B-3.44B1.498.72317,084473,5542,710,8044,960,685
2020-05-18$2966.88$2800.0023.4%6.8%29.5%21.0%27.6%9.8%1.0%7.14B-88.67B-3.47B1.146.89387,280442,7282,613,7124,779,601
2020-05-19$2939.46$2805.0024.9%7.2%27.4%23.2%28.1%10.6%0.3%2.87B-46.77B-3.47B1.177.93222,993261,8852,654,5654,784,466
2020-05-20$2972.23$2810.0023.8%6.8%26.6%21.6%26.2%9.4%0.2%8.40B-97.46B-3.48B1.147.92331,841379,5212,762,9514,894,302
2020-05-21$2951.71$2825.0024.9%7.1%26.8%23.2%28.6%9.9%0.3%3.87B-63.09B-3.52B1.408.13181,035253,9672,786,7714,896,529
2020-05-22$2951.85$2820.0024.1%7.0%26.6%21.9%25.8%9.7%0.9%3.17B-64.69B-3.53B1.398.05283,790394,6682,829,4114,946,141
2020-05-26$2995.08$2825.0023.3%6.7%26.5%20.8%25.5%9.6%0.6%7.82B-112.49B-3.46B1.527.78316,234480,0272,750,2534,810,061
2020-05-27$3029.28$2825.0022.4%6.4%26.6%19.6%25.4%9.6%-0.3%9.87B-148.89B-3.47B1.538.65359,820549,6172,779,6274,869,226
2020-05-28$3036.48$2840.0023.8%6.8%25.1%21.5%25.0%10.4%-0.4%7.65B-150.84B-3.54B1.187.50295,853347,7602,807,9094,948,868
2020-05-29$3039.58$2850.0022.7%6.6%24.3%19.9%25.6%9.0%0.2%8.44B-154.14B-3.55B1.359.12378,908511,4792,902,0735,112,473