SPX Options History — August 2020

In August 2020, SPX traded between $3299.04 and $3510.86. ATM implied volatility averaged 17.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.3% (HV 20d: 10.1%). Max pain ranged from $3150.00 to $3300.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.55.

Notable Days

2020-08-26: Highest Volume — 993,892 contracts
2020-08-31: Largest IV spike — 13.6% change
2020-08-03: Highest IV Rank — 14.8%
2020-08-11: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3392.23	$3299.04	$3510.86	$3299.04	$3510.86
Max Pain	$3231.19	$3150.00	$3300.00	$3150.00	$3300.00
ATM IV	17.5%	16.3%	19.2%	19.2%	18.9%
Expected Move	5.0%	4.6%	5.6%	5.4%	5.2%
HV 20d	10.1%	7.6%	11.8%	11.8%	7.6%
HV 60d	19.5%	17.5%	22.0%	22.0%	17.5%
IV Rank	12.2%	10.6%	14.8%	14.8%	14.4%
IV Percentile	50.0%	46.0%	54.8%	54.8%	54.4%
Term Structure	0.4%	-0.3%	1.0%	0.8%	0.4%
VWIV	20.4%	18.5%	23.6%	20.8%	22.0%
Skew 25d	7.3%	6.3%	8.3%	7.3%	7.5%
Skew 10d	14.8%	12.9%	17.4%	14.4%	17.4%
Call IV 25d	15.0%	13.8%	16.7%	16.1%	16.7%
Put IV 25d	22.3%	20.9%	24.2%	23.4%	24.2%
Bid-Ask Spread %	5.25	3.47	8.50	6.62	6.51
Gamma HHI	0.04	0.02	0.08	0.04	0.04
Net GEX	16.02B	7.83B	28.50B	16.19B	16.84B
Net DEX	-217.64B	-308.87B	-165.64B	-176.11B	-275.17B
Net VEX	-2.47B	-2.58B	-2.33B	-2.46B	-2.44B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	1.08	1.97	1.57	1.90
Total Volume	611,199.762	414,157	993,892	715,372	757,107
Total OI	5,477,364.762	5,099,761	5,832,934	5,126,287	5,530,074

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
2020-08-03	$3299.04	$3150.00	19.2%	5.4%	11.8%	14.8%	20.8%	7.3%	0.8%	16.19B	-176.11B	-2.46B	1.57	6.62	278,446	436,926	1,826,548	3,299,739
2020-08-04	$3299.75	$3160.00	19.0%	5.2%	11.3%	14.5%	21.1%	7.5%	0.4%	11.93B	-165.64B	-2.49B	1.58	5.67	168,102	265,046	1,855,628	3,369,638
2020-08-05	$3323.92	$3175.00	18.2%	4.8%	11.4%	13.3%	19.5%	7.3%	0.2%	17.41B	-193.24B	-2.50B	1.44	7.23	251,468	362,670	1,924,641	3,515,339
2020-08-06	$3347.45	$3200.00	17.6%	5.3%	11.2%	12.4%	21.6%	7.1%	0.1%	15.88B	-214.23B	-2.50B	1.39	3.47	182,986	254,367	1,926,845	3,494,614
2020-08-07	$3350.21	$3200.00	17.0%	5.2%	10.9%	11.6%	23.6%	7.0%	-0.3%	18.92B	-221.87B	-2.51B	1.69	3.75	282,597	476,506	1,994,130	3,632,077
2020-08-10	$3356.75	$3215.00	17.0%	5.2%	10.7%	11.5%	20.3%	7.1%	0.6%	21.14B	-211.36B	-2.48B	1.60	3.48	253,361	405,758	1,921,184	3,551,948
2020-08-11	$3339.33	$3225.00	18.9%	5.6%	11.0%	14.3%	21.3%	8.3%	0.3%	7.83B	-170.51B	-2.56B	1.97	5.83	161,627	317,621	1,926,286	3,537,837
2020-08-12	$3382.95	$3230.00	17.3%	5.1%	11.0%	12.0%	21.0%	7.2%	0.4%	17.65B	-231.29B	-2.53B	1.31	4.45	290,906	382,242	1,972,754	3,685,304
2020-08-13	$3373.13	$3240.00	17.4%	5.1%	11.0%	12.2%	20.5%	7.2%	0.6%	13.13B	-211.98B	-2.55B	1.73	4.88	158,311	273,669	1,973,168	3,677,157
2020-08-14	$3365.53	$3245.00	17.3%	5.2%	11.1%	12.0%	22.1%	7.9%	1.0%	8.41B	-199.67B	-2.58B	1.46	4.56	273,579	399,823	2,018,586	3,776,637
2020-08-17	$3384.51	$3250.00	16.6%	4.9%	10.9%	11.0%	20.3%	6.9%	0.7%	14.65B	-215.17B	-2.54B	1.33	4.23	194,734	259,949	1,955,381	3,652,477
2020-08-18	$3391.12	$3250.00	16.7%	4.8%	10.9%	11.1%	20.1%	7.0%	0.4%	14.15B	-217.89B	-2.55B	1.43	4.53	170,403	243,754	1,950,842	3,606,964
2020-08-19	$3378.76	$3250.00	17.2%	4.9%	11.0%	11.9%	19.3%	7.3%	0.4%	8.35B	-197.25B	-2.57B	1.58	4.98	245,682	387,307	1,993,382	3,754,117
2020-08-20	$3389.40	$3250.00	17.0%	4.9%	9.7%	11.6%	19.5%	7.7%	0.4%	9.90B	-176.29B	-2.33B	1.83	4.64	151,087	276,248	1,744,856	3,354,905
2020-08-21	$3395.64	$3250.00	16.3%	4.7%	9.0%	10.6%	19.2%	7.8%	0.8%	13.53B	-186.34B	-2.35B	1.60	4.84	257,682	412,219	1,808,612	3,518,598
2020-08-24	$3426.49	$3250.00	16.5%	4.7%	9.1%	10.9%	19.6%	7.4%	0.6%	22.67B	-216.35B	-2.33B	1.60	4.69	254,256	407,187	1,785,283	3,422,121
2020-08-25	$3442.56	$3250.00	16.4%	4.6%	8.7%	10.7%	18.5%	7.1%	0.1%	19.21B	-227.41B	-2.34B	1.47	4.62	195,309	287,730	1,792,078	3,458,497
2020-08-26	$3477.45	$3250.00	17.5%	4.9%	8.7%	12.3%	18.7%	7.3%	0.2%	21.00B	-273.75B	-2.37B	1.08	5.62	478,779	515,113	1,863,682	3,601,877
2020-08-27	$3493.48	$3255.00	17.9%	5.0%	8.1%	13.0%	19.7%	7.2%	0.2%	19.17B	-280.09B	-2.40B	1.35	7.06	291,601	393,621	1,909,892	3,608,028
2020-08-28	$3508.57	$3260.00	16.7%	4.7%	8.1%	11.0%	19.5%	6.3%	0.4%	28.50B	-308.87B	-2.39B	1.63	8.50	295,839	483,577	2,007,524	3,825,410
2020-08-31	$3510.86	$3300.00	18.9%	5.2%	7.6%	14.4%	22.0%	7.5%	0.4%	16.84B	-275.17B	-2.44B	1.90	6.51	260,997	496,110	1,897,397	3,632,677