SPX Options History — October 2020

In October 2020, SPX traded between $3253.86 and $3536.77. ATM implied volatility averaged 25.5%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.0% (HV 20d: 19.5%). Max pain ranged from $3335.00 to $3390.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.47.

Notable Days

2020-10-28: Highest Volume — 1,060,341 contracts
2020-10-26: Largest IV spike — 21.4% change
2020-10-28: Highest IV Rank — 36.3%
2020-10-28: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3421.30	$3253.86	$3536.77	$3369.48	$3253.86
Max Pain	$3377.95	$3335.00	$3390.00	$3335.00	$3380.00
ATM IV	25.5%	21.1%	33.9%	23.3%	33.0%
Expected Move	7.4%	6.1%	10.2%	6.7%	10.2%
HV 20d	19.5%	15.6%	25.6%	25.6%	22.0%
HV 60d	18.4%	17.4%	20.3%	17.4%	20.3%
IV Rank	24.0%	17.7%	36.3%	20.8%	35.1%
IV Percentile	69.1%	51.6%	86.5%	65.5%	85.3%
Term Structure	0.1%	-0.8%	2.6%	-0.2%	0.3%
VWIV	27.9%	22.7%	34.8%	23.3%	34.4%
Skew 25d	9.4%	7.5%	12.4%	7.5%	12.3%
Skew 10d	16.9%	12.8%	24.4%	12.8%	23.1%
Call IV 25d	21.2%	17.8%	27.6%	20.3%	26.6%
Put IV 25d	30.6%	25.6%	40.0%	27.7%	38.8%
Bid-Ask Spread %	5.21	3.70	11.53	9.04	4.81
Gamma HHI	0.02	0.01	0.06	0.01	0.04
Net GEX	2.50B	-16.35B	18.27B	3.50B	-12.78B
Net DEX	-108.56B	-267.79B	87.23B	-99.64B	87.23B
Net VEX	-2.52B	-2.71B	-2.32B	-2.70B	-2.45B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	1.08	2.40	1.51	1.12
Total Volume	651,679.818	391,984	1,060,341	458,130	1,042,083
Total OI	5,500,873.727	5,142,335	6,013,700	5,470,351	5,852,730

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
2020-10-01	$3369.48	$3335.00	23.3%	6.7%	25.6%	20.8%	23.3%	7.5%	-0.2%	3.50B	-99.64B	-2.70B	1.51	9.04	182,533	275,597	1,955,960	3,514,391
2020-10-02	$3358.50	$3340.00	22.8%	6.5%	21.7%	20.1%	23.9%	7.6%	2.6%	-1.30B	-82.47B	-2.70B	1.64	11.53	274,638	451,631	2,014,632	3,653,620
2020-10-05	$3405.76	$3375.00	24.8%	7.5%	22.4%	23.0%	30.6%	8.3%	1.4%	8.70B	-132.66B	-2.68B	1.32	4.25	262,117	345,423	1,867,057	3,443,876
2020-10-06	$3363.54	$3375.00	26.5%	7.6%	20.5%	25.6%	28.1%	9.0%	1.2%	65.2M	-79.92B	-2.71B	1.61	5.28	209,360	337,763	1,889,407	3,496,192
2020-10-07	$3420.80	$3375.00	25.1%	7.2%	20.3%	23.5%	27.0%	8.9%	0.1%	9.22B	-149.50B	-2.70B	1.54	4.12	260,013	400,197	1,966,908	3,638,552
2020-10-08	$3444.65	$3375.00	23.5%	6.7%	19.3%	21.1%	25.7%	8.3%	0.1%	10.42B	-174.86B	-2.68B	1.49	3.70	181,985	271,667	1,966,115	3,652,187
2020-10-09	$3474.25	$3375.00	21.3%	6.2%	19.4%	17.9%	24.3%	8.0%	0.3%	18.27B	-214.78B	-2.67B	1.23	4.97	321,081	393,474	2,036,293	3,784,866
2020-10-12	$3536.77	$3370.00	21.1%	6.1%	19.7%	17.7%	22.7%	7.8%	0.0%	14.35B	-267.79B	-2.63B	1.08	4.66	399,118	429,245	1,969,761	3,686,964
2020-10-13	$3520.51	$3375.00	22.1%	6.3%	19.8%	19.1%	23.7%	8.6%	0.1%	11.08B	-235.85B	-2.68B	2.40	4.67	156,196	374,167	2,012,022	3,722,921
2020-10-14	$3496.10	$3375.00	22.7%	6.5%	20.0%	20.0%	24.3%	8.8%	-0.2%	5.64B	-198.76B	-2.70B	1.30	4.40	292,419	381,263	2,080,735	3,932,965
2020-10-15	$3485.67	$3380.00	23.3%	6.6%	19.1%	20.8%	26.9%	9.0%	-0.2%	5.48B	-153.77B	-2.33B	1.48	4.10	170,814	253,253	1,813,672	3,331,294
2020-10-16	$3493.37	$3385.00	22.9%	6.6%	18.8%	20.2%	27.5%	8.8%	0.1%	8.57B	-166.02B	-2.32B	1.35	4.11	293,397	397,458	1,870,555	3,427,905
2020-10-19	$3430.34	$3390.00	25.4%	7.3%	18.9%	23.9%	26.8%	9.7%	0.2%	-2.97B	-75.51B	-2.36B	1.62	4.96	340,743	550,903	1,815,014	3,327,321
2020-10-20	$3454.39	$3390.00	25.5%	7.3%	18.4%	24.1%	29.4%	9.4%	-0.0%	2.29B	-107.08B	-2.37B	1.57	4.30	152,661	239,323	1,845,359	3,406,478
2020-10-21	$3440.08	$3390.00	25.5%	7.3%	16.2%	24.0%	27.6%	9.5%	-0.8%	-1.45B	-86.67B	-2.36B	1.35	4.40	237,776	320,073	1,891,765	3,519,737
2020-10-22	$3455.56	$3390.00	24.7%	7.1%	16.2%	22.9%	27.1%	9.5%	-0.8%	1.30B	-106.56B	-2.35B	1.33	4.67	191,404	254,007	1,855,816	3,504,134
2020-10-23	$3463.14	$3390.00	23.9%	6.9%	15.6%	21.7%	27.5%	9.3%	-0.4%	5.77B	-121.36B	-2.34B	1.63	4.71	231,871	377,287	1,919,601	3,586,977
2020-10-26	$3387.45	$3390.00	29.0%	8.7%	16.8%	29.2%	31.5%	10.5%	-0.3%	-6.29B	-40.75B	-2.38B	1.26	5.54	443,377	556,961	1,831,332	3,389,091
2020-10-27	$3397.62	$3390.00	28.3%	8.4%	16.8%	28.2%	32.7%	11.0%	-0.6%	-2.51B	-55.82B	-2.40B	1.11	5.29	224,833	248,765	1,894,463	3,436,002
2020-10-28	$3290.96	$3390.00	33.9%	10.2%	20.3%	36.3%	34.8%	12.4%	-0.7%	-16.35B	67.33B	-2.45B	1.69	6.02	394,738	665,603	2,015,320	3,540,256
2020-10-29	$3325.77	$3380.00	31.3%	9.6%	20.6%	32.5%	33.9%	12.0%	-0.6%	-5.92B	6.92B	-2.46B	1.74	5.12	200,881	348,858	2,078,458	3,580,518
2020-10-30	$3253.86	$3380.00	33.0%	10.2%	22.0%	35.1%	34.4%	12.3%	0.3%	-12.78B	87.23B	-2.45B	1.12	4.81	491,968	550,115	2,150,914	3,701,816