SPX Options History — June 2020

In June 2020, SPX traded between $3019.46 and $3223.32. ATM implied volatility averaged 25.7%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.6% (HV 20d: 26.3%). Max pain ranged from $2850.00 to $3020.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.68.

Notable Days

2020-06-05: Highest Volume — 1,186,893 contracts
2020-06-11: Largest IV spike — 51.6% change
2020-06-11: Highest IV Rank — 36.2%
2020-06-11: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3102.94	$3019.46	$3223.32	$3056.61	$3095.38
Max Pain	$2977.50	$2850.00	$3020.00	$2850.00	$3000.00
ATM IV	25.7%	19.5%	33.7%	23.2%	24.3%
Expected Move	7.4%	5.8%	9.5%	6.7%	7.0%
HV 20d	26.3%	21.9%	30.0%	21.9%	29.4%
HV 60d	39.3%	29.8%	51.4%	51.4%	29.8%
IV Rank	24.4%	15.2%	36.2%	20.6%	22.2%
IV Percentile	76.7%	70.2%	86.5%	74.6%	72.2%
Term Structure	0.3%	-0.6%	0.9%	0.4%	0.5%
VWIV	28.6%	22.4%	35.3%	25.2%	29.9%
Skew 25d	10.4%	6.8%	14.9%	9.4%	9.8%
Skew 10d	19.0%	13.5%	28.8%	18.1%	16.7%
Call IV 25d	21.2%	17.0%	27.0%	19.2%	19.9%
Put IV 25d	31.6%	23.7%	41.9%	28.6%	29.7%
Bid-Ask Spread %	5.94	3.96	11.49	10.14	6.65
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	2.52B	-14.01B	14.79B	7.69B	2.63B
Net DEX	-171.57B	-687.55B	8.28B	-144.82B	-122.45B
Net VEX	-3.78B	-4.99B	-3.53B	-3.53B	-3.53B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.99	2.53	1.38	1.41
Total Volume	814,378.864	439,195	1,186,893	628,576	819,982
Total OI	8,517,010.045	7,383,405	15,867,779	7,383,405	8,104,830

Daily Data (22 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
2020-06-01	$3056.61	$2850.00	23.2%	6.7%	21.9%	20.6%	25.2%	9.4%	0.4%	7.69B	-144.82B	-3.53B	1.38	10.14	263,912	364,664	2,698,317	4,685,088
2020-06-02	$3066.12	$2865.00	22.3%	6.4%	21.9%	19.3%	24.6%	9.1%	-0.1%	6.55B	-152.19B	-3.54B	1.44	10.77	214,730	309,440	2,728,878	4,693,176
2020-06-03	$3127.09	$2875.00	20.9%	5.8%	22.6%	17.3%	22.4%	7.7%	0.1%	14.79B	-247.37B	-3.53B	1.07	11.49	470,899	503,204	2,813,115	4,833,800
2020-06-04	$3100.46	$2950.00	21.8%	6.3%	22.8%	18.6%	25.5%	8.3%	-0.1%	10.27B	-687.55B	-4.93B	1.55	4.49	446,057	690,566	6,084,360	9,783,419
2020-06-05	$3186.23	$2950.00	19.5%	5.8%	24.2%	15.2%	23.0%	6.8%	0.6%	13.67B	-319.21B	-3.53B	0.99	5.77	594,983	591,910	2,900,006	5,020,120
2020-06-08	$3223.32	$2960.00	20.9%	6.1%	24.0%	17.3%	23.7%	7.0%	0.6%	11.64B	-330.97B	-3.56B	1.12	5.08	381,160	426,467	2,857,239	4,922,770
2020-06-09	$3213.93	$2975.00	22.6%	6.5%	24.2%	19.7%	24.5%	7.9%	0.3%	9.19B	-303.55B	-3.63B	2.11	5.42	170,428	359,987	2,866,847	4,947,877
2020-06-10	$3198.42	$3000.00	22.3%	6.4%	22.9%	19.3%	25.3%	8.5%	0.0%	7.33B	-278.78B	-3.65B	1.45	5.63	321,672	467,120	2,919,465	5,128,381
2020-06-11	$3019.46	$3000.00	33.7%	9.5%	30.0%	36.2%	35.0%	14.9%	-0.6%	-4.81B	-4.69B	-3.88B	2.53	6.69	285,754	723,736	2,903,218	5,137,250
2020-06-12	$3031.11	$3000.00	30.3%	8.8%	29.8%	31.2%	35.3%	13.4%	0.5%	-5.38B	-17.31B	-3.87B	1.90	5.39	375,757	715,198	2,979,702	5,332,922
2020-06-15	$3052.39	$3000.00	29.7%	8.6%	29.8%	30.2%	31.3%	11.5%	0.6%	-1.74B	-65.06B	-3.81B	1.52	4.73	352,904	535,086	2,865,399	5,197,600
2020-06-16	$3113.37	$3000.00	28.7%	8.3%	27.4%	28.8%	32.2%	11.1%	0.6%	3.25B	-149.85B	-3.87B	1.69	4.24	220,328	372,089	2,869,414	5,156,176
2020-06-17	$3113.63	$3010.00	28.4%	8.1%	27.1%	28.3%	30.1%	11.6%	-0.2%	2.37B	-146.93B	-3.87B	1.66	3.96	236,240	391,496	2,937,908	5,314,635
2020-06-18	$3108.17	$3015.00	27.5%	7.9%	27.0%	27.0%	30.2%	11.0%	0.0%	2.66B	-133.99B	-3.67B	2.12	4.52	140,584	298,611	2,797,519	5,065,008
2020-06-19	$3106.95	$3020.00	26.8%	7.8%	26.8%	25.9%	28.1%	11.5%	0.9%	2.44B	-130.89B	-3.68B	2.08	4.73	323,404	674,166	2,845,085	5,258,951
2020-06-22	$3114.21	$3000.00	26.2%	7.6%	26.7%	25.1%	30.4%	11.0%	0.6%	1.38B	-126.02B	-3.62B	1.97	4.80	227,799	449,772	2,739,725	5,158,708
2020-06-23	$3138.64	$3000.00	25.3%	7.2%	26.5%	23.7%	29.0%	10.7%	0.3%	4.12B	-266.37B	-4.99B	1.83	5.20	337,613	616,197	4,324,309	8,015,677
2020-06-24	$3063.02	$3010.00	28.4%	8.2%	27.8%	28.4%	29.5%	11.9%	-0.0%	-8.66B	-47.42B	-3.63B	1.57	5.48	366,590	576,663	2,807,291	5,254,919
2020-06-25	$3075.03	$3010.00	27.2%	7.9%	27.9%	26.6%	30.5%	11.6%	0.1%	-3.60B	-72.96B	-3.63B	1.77	4.84	182,753	324,046	2,803,055	5,254,551
2020-06-26	$3020.46	$3015.00	28.6%	8.5%	28.6%	28.7%	31.9%	11.9%	0.7%	-14.01B	8.28B	-3.62B	1.82	4.95	365,126	662,725	2,868,548	5,417,136
2020-06-29	$3040.64	$3000.00	27.1%	7.9%	28.7%	26.4%	31.0%	11.5%	0.8%	-6.39B	-34.42B	-3.55B	1.94	5.81	259,627	504,890	2,776,010	5,305,817
2020-06-30	$3095.38	$3000.00	24.3%	7.0%	29.4%	22.2%	29.9%	9.8%	0.5%	2.63B	-122.45B	-3.53B	1.41	6.65	340,678	479,304	2,801,480	5,303,350