SPX Options History — July 2020

In July 2020, SPX traded between $3126.70 and $3275.22. ATM implied volatility averaged 21.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.4% (HV 20d: 18.3%). Max pain ranged from $3000.00 to $3140.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.59.

Notable Days

2020-07-15: Highest Volume — 1,211,175 contracts
2020-07-13: Largest IV spike — 13.0% change
2020-07-13: Highest IV Rank — 23.8%
2020-07-13: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3208.41	$3126.70	$3275.22	$3126.70	$3259.66
Max Pain	$3057.50	$3000.00	$3140.00	$3000.00	$3140.00
ATM IV	21.7%	19.1%	25.3%	22.9%	19.3%
Expected Move	6.2%	5.3%	7.3%	6.4%	5.5%
HV 20d	18.3%	11.7%	28.7%	28.7%	11.8%
HV 60d	24.1%	21.9%	26.6%	26.6%	21.9%
IV Rank	18.5%	14.6%	23.8%	20.3%	15.0%
IV Percentile	63.7%	55.2%	73.8%	68.7%	55.2%
Term Structure	0.3%	-0.4%	0.8%	0.3%	0.8%
VWIV	24.4%	19.8%	28.9%	25.6%	21.0%
Skew 25d	8.7%	7.2%	10.7%	9.0%	7.8%
Skew 10d	16.2%	13.8%	20.3%	15.6%	14.5%
Call IV 25d	18.2%	16.1%	20.8%	19.4%	16.1%
Put IV 25d	26.9%	23.9%	31.5%	28.4%	24.0%
Bid-Ask Spread %	4.43	2.40	8.77	6.96	6.29
Gamma HHI	0.02	0.02	0.05	0.02	0.05
Net GEX	8.17B	2.07B	16.32B	6.38B	14.30B
Net DEX	-172.82B	-481.71B	-98.11B	-135.14B	-157.21B
Net VEX	-3.09B	-4.92B	-2.39B	-3.59B	-2.41B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	1.21	1.82	1.56	1.61
Total Volume	644,893.682	340,649	1,211,175	679,836	814,581
Total OI	6,849,511.5	5,198,076	13,268,609	7,448,701	5,646,801

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
2020-07-01	$3126.70	$3000.00	22.9%	6.4%	28.7%	20.3%	25.6%	9.0%	0.3%	6.38B	-135.14B	-3.59B	1.56	6.96	265,454	414,382	2,629,289	4,819,412
2020-07-02	$3136.61	$3000.00	22.2%	6.0%	28.6%	19.1%	23.8%	8.8%	-0.4%	6.53B	-145.11B	-3.59B	1.59	8.77	333,683	529,912	2,635,098	4,813,987
2020-07-06	$3174.82	$3000.00	22.4%	6.6%	27.1%	19.6%	28.0%	8.3%	0.7%	12.16B	-354.48B	-4.89B	1.76	3.14	390,270	685,815	4,414,203	7,974,915
2020-07-07	$3152.85	$3005.00	23.9%	6.9%	26.9%	21.7%	28.9%	9.6%	0.3%	3.64B	-148.55B	-3.60B	1.70	2.40	142,161	241,222	2,599,329	4,741,224
2020-07-08	$3165.61	$3010.00	23.3%	6.7%	26.9%	20.8%	24.4%	9.6%	0.1%	5.20B	-163.65B	-3.59B	1.58	3.21	265,038	418,022	2,656,863	4,885,061
2020-07-09	$3150.00	$3020.00	24.4%	7.0%	26.9%	22.4%	26.7%	10.2%	-0.1%	2.56B	-139.13B	-3.63B	1.59	3.09	185,767	294,633	2,660,843	4,910,165
2020-07-10	$3181.81	$3020.00	22.4%	6.6%	16.8%	19.5%	26.2%	9.2%	0.5%	8.01B	-185.61B	-3.61B	1.55	3.31	274,615	425,499	2,708,849	5,021,691
2020-07-13	$3169.62	$3020.00	25.3%	7.3%	17.0%	23.8%	28.0%	10.7%	0.4%	3.67B	-158.13B	-3.66B	1.66	3.73	376,944	624,117	2,640,432	4,876,262
2020-07-14	$3188.85	$3030.00	24.3%	7.0%	16.9%	22.3%	28.3%	10.3%	0.2%	4.31B	-179.07B	-3.64B	1.77	3.33	179,655	317,305	2,668,470	4,917,481
2020-07-15	$3228.58	$3010.00	22.7%	6.5%	16.1%	20.0%	25.2%	9.0%	-0.2%	16.32B	-481.71B	-4.92B	1.32	3.69	521,322	689,853	4,632,489	8,636,120
2020-07-16	$3216.02	$3050.00	22.4%	6.4%	16.2%	19.6%	24.3%	8.8%	0.0%	7.02B	-128.60B	-2.47B	1.60	3.65	141,448	226,905	1,849,471	3,348,605
2020-07-17	$3228.58	$3060.00	20.5%	6.0%	16.2%	16.8%	23.8%	7.8%	0.5%	10.14B	-146.21B	-2.45B	1.68	3.37	224,961	378,827	1,872,314	3,467,379
2020-07-20	$3256.76	$3075.00	19.5%	5.7%	16.3%	15.3%	19.8%	7.2%	0.4%	13.28B	-167.60B	-2.40B	1.21	3.80	267,073	322,360	1,839,216	3,390,461
2020-07-21	$3259.18	$3080.00	20.1%	5.8%	16.3%	16.1%	22.6%	7.8%	0.2%	11.63B	-167.88B	-2.42B	1.54	3.88	174,174	268,776	1,861,935	3,389,964
2020-07-22	$3275.22	$3090.00	19.6%	5.6%	16.2%	15.3%	23.8%	7.8%	0.3%	14.86B	-185.78B	-2.43B	1.44	4.49	259,821	374,961	1,918,990	3,520,534
2020-07-23	$3234.92	$3090.00	21.2%	6.1%	14.0%	17.7%	22.9%	8.8%	0.2%	6.68B	-130.43B	-2.46B	1.82	4.59	181,424	330,707	1,908,093	3,499,208
2020-07-24	$3212.29	$3100.00	21.0%	6.1%	14.4%	17.4%	23.5%	8.6%	0.7%	2.07B	-98.11B	-2.47B	1.56	4.86	272,952	425,451	1,950,891	3,642,319
2020-07-27	$3238.59	$3110.00	19.8%	5.7%	12.5%	15.6%	23.3%	8.1%	0.8%	7.02B	-130.57B	-2.44B	1.54	4.65	210,695	323,492	1,890,660	3,499,890
2020-07-28	$3224.80	$3110.00	20.4%	5.8%	12.7%	16.6%	22.1%	8.6%	0.3%	4.44B	-109.59B	-2.41B	1.79	5.31	122,033	218,616	1,881,604	3,461,801
2020-07-29	$3259.58	$3120.00	19.1%	5.3%	11.8%	14.6%	21.0%	7.8%	-0.2%	12.31B	-157.43B	-2.39B	1.50	5.60	235,938	353,824	1,928,834	3,576,095
2020-07-30	$3243.99	$3125.00	20.4%	5.8%	11.7%	16.6%	23.2%	8.4%	-0.3%	7.27B	-131.96B	-2.43B	1.52	5.40	191,919	291,054	1,923,495	3,578,510
2020-07-31	$3259.66	$3140.00	19.3%	5.5%	11.8%	15.0%	21.0%	7.8%	0.8%	14.30B	-157.21B	-2.41B	1.61	6.29	312,567	502,014	1,975,742	3,671,059