SPX Options History — September 2020

In September 2020, SPX traded between $3246.09 and $3585.45. ATM implied volatility averaged 22.8%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.0% (HV 20d: 21.8%). Max pain ranged from $3300.00 to $3375.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.68.

Notable Days

2020-09-04: Highest Volume — 1,070,901 contracts
2020-09-03: Largest IV spike — 29.8% change
2020-09-03: Highest IV Rank — 25.4%
2020-09-03: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3367.59	$3246.09	$3585.45	$3521.09	$3358.13
Max Pain	$3324.76	$3300.00	$3375.00	$3300.00	$3325.00
ATM IV	22.8%	19.2%	26.5%	19.2%	22.7%
Expected Move	6.5%	5.2%	7.5%	5.2%	6.5%
HV 20d	21.8%	7.5%	26.7%	7.5%	26.7%
HV 60d	17.1%	15.3%	19.6%	17.3%	17.4%
IV Rank	20.0%	14.8%	25.4%	14.8%	19.9%
IV Percentile	63.9%	55.6%	75.4%	55.6%	62.3%
Term Structure	0.3%	-0.3%	0.8%	0.4%	-0.1%
VWIV	24.4%	20.4%	28.9%	20.4%	24.2%
Skew 25d	8.0%	6.3%	11.2%	7.7%	7.3%
Skew 10d	15.7%	12.6%	24.2%	17.6%	12.7%
Call IV 25d	19.5%	16.7%	22.1%	16.7%	19.7%
Put IV 25d	27.5%	24.4%	33.3%	24.4%	27.0%
Bid-Ask Spread %	6.19	4.32	8.48	7.15	8.34
Gamma HHI	0.02	0.01	0.04	0.03	0.02
Net GEX	-1.23B	-14.94B	15.20B	11.32B	5.37B
Net DEX	-85.54B	-331.33B	47.98B	-249.41B	-125.17B
Net VEX	-2.58B	-2.83B	-2.46B	-2.48B	-2.60B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	1.32	2.42	1.52	1.42
Total Volume	728,543.667	382,404	1,070,901	428,277	984,271
Total OI	5,731,727.952	5,246,041	6,216,020	5,246,041	6,178,225

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
2020-09-01	$3521.09	$3300.00	19.2%	5.2%	7.5%	14.8%	20.4%	7.7%	0.4%	11.32B	-249.41B	-2.48B	1.52	7.15	170,177	258,100	1,817,406	3,428,635
2020-09-02	$3585.45	$3300.00	20.4%	5.4%	9.1%	16.5%	21.4%	6.3%	0.1%	15.20B	-331.33B	-2.46B	1.35	8.48	453,493	612,269	1,883,436	3,583,287
2020-09-03	$3445.83	$3320.00	26.5%	7.5%	17.8%	25.4%	27.0%	11.2%	-0.3%	213.3M	-129.74B	-2.69B	1.52	5.14	307,196	466,438	1,916,582	3,551,754
2020-09-04	$3438.54	$3325.00	23.1%	6.7%	17.9%	20.6%	24.0%	9.8%	0.4%	-1.37B	-120.25B	-2.65B	1.75	5.46	389,408	681,493	2,000,176	3,742,252
2020-09-08	$3345.58	$3325.00	25.6%	7.3%	20.6%	24.2%	28.1%	9.9%	0.2%	-5.18B	-24.11B	-2.57B	1.70	4.91	275,340	468,596	1,902,859	3,632,142
2020-09-09	$3408.53	$3325.00	23.2%	6.6%	21.5%	20.7%	28.9%	8.3%	-0.1%	1.40B	-109.25B	-2.57B	1.51	4.32	287,520	435,338	1,909,576	3,649,118
2020-09-10	$3349.12	$3325.00	24.6%	7.0%	22.0%	22.7%	25.1%	8.3%	-0.2%	-4.20B	-41.27B	-2.60B	1.32	6.07	246,613	325,209	1,947,456	3,658,291
2020-09-11	$3339.22	$3325.00	22.6%	6.6%	22.0%	19.8%	24.2%	7.7%	0.5%	-5.05B	-30.62B	-2.57B	1.59	6.57	312,320	497,282	2,027,445	3,787,820
2020-09-14	$3391.42	$3325.00	21.3%	6.2%	22.7%	17.9%	26.7%	6.9%	0.6%	2.32B	-112.57B	-2.54B	1.75	4.94	261,704	457,158	1,900,214	3,605,041
2020-09-15	$3395.76	$3325.00	21.1%	6.1%	22.6%	17.7%	24.7%	7.5%	0.5%	778.8M	-115.35B	-2.83B	2.10	4.73	123,349	259,055	1,922,879	3,631,138
2020-09-16	$3399.64	$3325.00	20.9%	6.0%	22.6%	17.3%	23.0%	7.6%	0.3%	-2.87B	-120.16B	-2.57B	1.60	5.72	242,329	386,945	1,964,454	3,750,662
2020-09-17	$3347.26	$3325.00	22.3%	6.4%	23.2%	19.3%	22.2%	7.9%	0.3%	-3.36B	-60.74B	-2.54B	2.42	5.78	170,700	413,234	1,942,164	3,610,184
2020-09-18	$3325.80	$3325.00	21.3%	6.2%	23.3%	18.0%	23.6%	7.1%	0.8%	-11.82B	-36.22B	-2.54B	1.76	6.10	325,795	574,276	2,010,731	3,814,668
2020-09-21	$3267.56	$3325.00	23.7%	6.9%	24.0%	21.4%	24.0%	8.1%	0.6%	-8.51B	21.41B	-2.54B	1.78	6.70	323,539	574,860	1,972,139	3,708,197
2020-09-22	$3319.19	$3325.00	22.4%	6.4%	24.5%	19.5%	23.4%	7.8%	0.4%	-2.37B	-50.32B	-2.57B	2.19	5.60	177,659	389,364	1,989,271	3,758,127
2020-09-23	$3246.09	$3325.00	24.8%	7.1%	25.5%	23.0%	23.6%	8.5%	0.3%	-14.94B	47.98B	-2.57B	1.57	8.16	340,926	535,177	2,067,694	3,929,444
2020-09-24	$3247.98	$3325.00	24.7%	7.1%	25.0%	22.8%	24.4%	8.4%	0.3%	-8.38B	34.57B	-2.60B	1.75	6.25	235,822	413,292	2,060,144	3,902,647
2020-09-25	$3294.05	$3375.00	22.5%	6.4%	25.6%	19.6%	23.5%	7.8%	0.7%	-1.48B	-26.25B	-2.61B	1.41	6.87	351,521	495,197	2,135,789	4,080,231
2020-09-28	$3353.34	$3325.00	22.4%	6.4%	26.6%	19.5%	24.6%	6.9%	0.7%	6.24B	-119.63B	-2.58B	1.46	6.52	276,321	403,862	2,073,299	3,906,953
2020-09-29	$3339.89	$3325.00	23.0%	6.7%	26.6%	20.4%	25.3%	7.3%	0.3%	873.0M	-97.93B	-2.59B	1.73	6.11	145,266	251,003	2,080,876	3,932,881
2020-09-30	$3358.13	$3325.00	22.7%	6.5%	26.7%	19.9%	24.2%	7.3%	-0.1%	5.37B	-125.17B	-2.60B	1.42	8.34	406,176	578,095	2,145,562	4,032,663