SPX Options History — November 2020

In November 2020, SPX traded between $3296.87 and $3635.01. ATM implied volatility averaged 20.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 3.0% (HV 20d: 23.4%). Max pain ranged from $3365.00 to $3490.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2020-11-09: Highest Volume — 885,751 contracts
2020-11-13: Largest IV drop — 14.5% change
2020-11-02: Highest IV Rank — 33.8%
2020-11-02: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3551.30	$3296.87	$3635.01	$3296.87	$3617.39
Max Pain	$3418.25	$3365.00	$3490.00	$3375.00	$3490.00
ATM IV	20.4%	16.8%	32.1%	32.1%	17.2%
Expected Move	6.1%	4.9%	10.2%	10.2%	5.2%
HV 20d	23.4%	17.4%	25.6%	21.9%	17.4%
HV 60d	22.0%	20.5%	22.6%	20.5%	20.7%
IV Rank	16.5%	11.2%	33.8%	33.8%	11.8%
IV Percentile	41.3%	25.4%	84.1%	84.1%	27.0%
Term Structure	0.3%	-0.2%	1.4%	0.2%	1.4%
VWIV	23.7%	19.7%	33.2%	32.9%	22.4%
Skew 25d	7.6%	5.8%	12.3%	12.3%	6.0%
Skew 10d	14.9%	11.0%	22.1%	22.1%	12.5%
Call IV 25d	17.6%	14.8%	26.0%	26.0%	15.0%
Put IV 25d	25.2%	20.7%	38.3%	38.3%	21.0%
Bid-Ask Spread %	4.99	3.93	8.57	4.94	6.32
Gamma HHI	0.03	0.01	0.06	0.01	0.03
Net GEX	9.72B	-1.63B	18.27B	-1.63B	4.14B
Net DEX	-189.31B	-250.68B	7.71B	7.71B	-200.02B
Net VEX	-2.43B	-2.50B	-2.32B	-2.43B	-2.46B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	1.16	2.23	1.40	1.55
Total Volume	634,666.45	435,167	885,751	699,168	815,735
Total OI	5,285,047.05	4,732,553	5,699,293	5,043,934	5,517,583

Daily Data (20 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
2020-11-02	$3296.87	$3375.00	32.1%	10.2%	21.9%	33.8%	32.9%	12.3%	0.2%	-1.63B	7.71B	-2.43B	1.40	4.94	291,923	407,245	1,837,768	3,206,166
2020-11-03	$3380.01	$3375.00	28.7%	9.1%	23.4%	28.8%	33.2%	11.2%	0.1%	3.87B	-72.77B	-2.42B	1.46	5.00	181,042	263,875	1,765,897	2,966,656
2020-11-04	$3447.40	$3365.00	24.7%	7.6%	23.7%	22.9%	26.9%	9.8%	-0.2%	15.25B	-152.75B	-2.41B	1.37	8.57	351,163	479,763	1,907,879	3,241,214
2020-11-05	$3504.15	$3380.00	23.3%	6.7%	24.3%	20.8%	25.4%	9.0%	0.2%	12.28B	-185.54B	-2.42B	1.80	5.11	204,572	368,961	1,806,589	3,262,025
2020-11-06	$3518.28	$3385.00	20.4%	6.1%	24.1%	16.6%	25.1%	7.7%	0.7%	12.65B	-205.22B	-2.37B	1.56	4.80	273,411	427,103	1,857,159	3,464,542
2020-11-09	$3585.68	$3385.00	19.7%	5.8%	24.2%	15.5%	23.1%	6.2%	0.8%	13.82B	-250.68B	-2.32B	1.30	5.34	385,862	499,889	1,753,193	3,253,169
2020-11-10	$3548.47	$3390.00	20.5%	6.0%	24.5%	16.7%	23.9%	7.5%	0.3%	8.27B	-189.61B	-2.39B	2.23	4.56	167,737	374,561	1,793,738	3,307,093
2020-11-11	$3568.36	$3390.00	19.3%	5.7%	24.4%	14.9%	22.4%	7.2%	0.4%	11.82B	-215.28B	-2.40B	1.62	3.93	215,863	348,897	1,854,053	3,459,484
2020-11-12	$3525.36	$3390.00	21.5%	6.2%	24.8%	18.2%	25.8%	8.8%	0.3%	5.55B	-154.47B	-2.47B	1.64	4.51	181,400	296,644	1,828,413	3,404,637
2020-11-13	$3590.42	$3400.00	18.4%	5.5%	25.6%	13.6%	22.1%	7.1%	0.8%	18.27B	-241.66B	-2.43B	1.16	4.56	320,314	372,533	1,881,646	3,561,389
2020-11-16	$3618.33	$3400.00	18.2%	5.3%	24.6%	13.3%	20.5%	6.4%	0.9%	18.18B	-250.05B	-2.40B	1.40	4.47	304,632	427,983	1,782,720	3,349,404
2020-11-17	$3608.87	$3420.00	18.5%	5.4%	24.6%	13.8%	24.4%	6.9%	0.3%	10.20B	-227.83B	-2.43B	1.71	4.66	160,307	274,860	1,804,138	3,397,888
2020-11-18	$3582.73	$3425.00	18.9%	5.4%	24.7%	14.4%	22.6%	7.0%	-0.2%	4.65B	-195.49B	-2.46B	1.52	4.44	260,786	395,790	1,868,366	3,531,865
2020-11-19	$3582.87	$3450.00	18.5%	5.3%	24.7%	13.8%	20.7%	6.8%	-0.2%	5.32B	-187.14B	-2.45B	1.31	4.46	192,720	251,852	1,829,976	3,459,888
2020-11-20	$3568.84	$3450.00	18.4%	5.3%	24.8%	13.7%	21.1%	7.1%	0.1%	2.17B	-172.37B	-2.46B	1.89	4.27	254,079	480,308	1,890,288	3,592,944
2020-11-23	$3580.16	$3460.00	18.0%	5.2%	23.2%	13.0%	21.4%	7.1%	-0.2%	6.43B	-176.50B	-2.47B	1.42	4.52	312,099	442,188	1,851,275	3,588,273
2020-11-24	$3635.01	$3470.00	17.3%	5.0%	23.6%	12.0%	19.7%	6.1%	-0.2%	15.24B	-243.97B	-2.45B	1.83	5.17	241,998	443,121	1,861,094	3,603,949
2020-11-25	$3632.35	$3475.00	17.0%	4.9%	19.7%	11.5%	20.4%	5.8%	-0.1%	15.15B	-239.01B	-2.50B	1.52	5.10	224,073	340,076	1,916,399	3,782,894
2020-11-27	$3634.39	$3490.00	16.8%	5.0%	19.6%	11.2%	20.3%	5.9%	0.4%	12.79B	-233.52B	-2.48B	2.05	5.13	149,941	308,023	1,886,848	3,772,439
2020-11-30	$3617.39	$3490.00	17.2%	5.2%	17.4%	11.8%	22.4%	6.0%	1.4%	4.14B	-200.02B	-2.46B	1.55	6.32	319,622	496,113	1,828,340	3,689,243