SPX Options History — December 2020

In December 2020, SPX traded between $3651.31 and $3747.09. ATM implied volatility averaged 17.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.5% (HV 20d: 11.2%). Max pain ranged from $3500.00 to $3620.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.64.

Notable Days

2020-12-11: Highest Volume — 1,021,986 contracts
2020-12-21: Largest IV spike — 9.7% change
2020-12-14: Highest IV Rank — 15.5%
2020-12-21: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3694.13	$3651.31	$3747.09	$3659.35	$3747.09
Max Pain	$3539.55	$3500.00	$3620.00	$3500.00	$3620.00
ATM IV	17.7%	16.0%	19.7%	17.1%	17.5%
Expected Move	5.1%	4.7%	5.7%	5.1%	4.9%
HV 20d	11.2%	8.2%	17.3%	17.3%	8.3%
HV 60d	18.4%	16.9%	20.9%	20.9%	16.9%
IV Rank	12.4%	10.1%	15.5%	11.7%	11.8%
IV Percentile	27.2%	15.9%	38.1%	26.6%	25.0%
Term Structure	0.5%	-0.6%	1.8%	1.4%	-0.3%
VWIV	20.8%	17.4%	23.8%	20.3%	20.5%
Skew 25d	7.2%	5.4%	8.8%	5.5%	7.7%
Skew 10d	14.6%	11.4%	17.2%	11.7%	15.8%
Call IV 25d	14.9%	13.6%	16.1%	15.1%	14.9%
Put IV 25d	22.1%	19.6%	24.9%	20.6%	22.6%
Bid-Ask Spread %	5.50	4.26	7.46	6.36	7.46
Gamma HHI	0.03	0.02	0.11	0.02	0.08
Net GEX	9.56B	-3.30B	25.19B	11.95B	16.00B
Net DEX	-237.12B	-289.43B	-172.45B	-234.31B	-289.16B
Net VEX	-2.61B	-2.71B	-2.47B	-2.47B	-2.65B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	1.21	2.16	1.89	1.41
Total Volume	675,601.727	434,133	1,021,986	558,006	918,348
Total OI	5,970,065.682	5,355,126	6,430,183	5,355,126	6,222,079

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
2020-12-01	$3659.35	$3500.00	17.1%	5.1%	17.3%	11.7%	20.3%	5.5%	1.4%	11.95B	-234.31B	-2.47B	1.89	6.36	192,855	365,151	1,780,610	3,574,516
2020-12-02	$3668.64	$3500.00	17.1%	5.0%	15.7%	11.6%	20.4%	5.4%	1.6%	12.31B	-240.57B	-2.50B	1.51	6.40	243,152	368,145	1,845,154	3,765,143
2020-12-03	$3664.22	$3500.00	17.4%	5.3%	14.7%	12.2%	20.6%	5.8%	1.5%	10.78B	-229.07B	-2.52B	1.81	6.08	159,066	287,660	1,842,314	3,746,178
2020-12-04	$3694.03	$3500.00	16.0%	5.1%	13.9%	10.1%	23.3%	5.6%	1.7%	25.01B	-268.95B	-2.50B	1.60	4.93	287,803	459,288	1,894,586	3,884,562
2020-12-07	$3682.90	$3500.00	17.1%	5.2%	14.1%	11.7%	20.8%	6.2%	1.8%	10.36B	-239.09B	-2.49B	1.84	4.70	237,084	436,717	1,828,943	3,774,717
2020-12-08	$3703.39	$3500.00	16.8%	4.9%	12.7%	11.2%	20.4%	6.5%	0.2%	13.66B	-255.49B	-2.53B	1.46	4.40	216,354	316,891	1,841,189	3,819,816
2020-12-09	$3671.44	$3500.00	18.2%	5.3%	12.5%	13.4%	20.0%	7.0%	0.2%	-3.30B	-210.98B	-2.58B	1.58	5.11	365,973	578,097	1,934,523	3,975,754
2020-12-10	$3674.15	$3500.00	18.1%	5.2%	12.4%	13.2%	22.4%	7.3%	0.2%	5.27B	-210.59B	-2.62B	1.63	4.39	188,723	306,872	1,933,612	3,964,455
2020-12-11	$3659.53	$3500.00	18.7%	5.5%	11.5%	14.0%	23.8%	8.0%	0.6%	-2.60B	-184.78B	-2.67B	1.54	4.85	402,106	619,880	1,989,582	4,117,794
2020-12-14	$3651.31	$3500.00	19.7%	5.7%	9.8%	15.5%	23.7%	8.7%	0.5%	282.4M	-172.45B	-2.68B	2.13	4.94	293,284	623,987	1,941,684	4,033,604
2020-12-15	$3689.84	$3510.00	18.3%	5.3%	10.1%	13.5%	21.7%	8.3%	0.3%	5.94B	-219.19B	-2.67B	2.16	4.26	165,649	357,831	1,942,605	4,122,347
2020-12-16	$3707.03	$3515.00	17.6%	5.0%	10.1%	12.4%	20.2%	7.5%	0.1%	16.14B	-253.18B	-2.64B	1.54	5.08	237,938	366,725	2,004,334	4,300,970
2020-12-17	$3719.45	$3525.00	17.1%	4.9%	9.6%	11.5%	21.3%	7.0%	0.1%	12.93B	-264.56B	-2.65B	1.87	5.38	196,869	368,934	1,998,058	4,168,143
2020-12-18	$3697.50	$3550.00	17.8%	5.2%	10.0%	12.5%	19.5%	7.4%	-0.6%	1.57B	-228.34B	-2.69B	1.68	5.76	323,327	544,386	2,080,337	4,349,846
2020-12-21	$3687.67	$3575.00	19.5%	5.7%	9.9%	15.1%	23.4%	8.8%	0.5%	1.49B	-202.45B	-2.71B	1.25	5.27	439,539	548,020	1,994,586	4,042,298
2020-12-22	$3686.20	$3580.00	19.0%	5.6%	9.9%	14.3%	21.4%	8.6%	0.5%	4.62B	-205.32B	-2.71B	1.84	4.86	164,771	302,445	1,969,381	4,057,168
2020-12-23	$3705.26	$3580.00	17.2%	4.9%	8.6%	11.4%	17.9%	7.8%	0.5%	12.51B	-243.47B	-2.65B	1.47	5.57	254,533	374,068	2,038,359	4,212,351
2020-12-24	$3699.13	$3600.00	16.8%	4.8%	8.6%	10.7%	17.4%	7.8%	-0.1%	9.71B	-231.71B	-2.66B	1.41	5.82	180,283	253,850	2,021,390	4,159,800
2020-12-28	$3736.97	$3600.00	16.4%	4.7%	9.2%	10.1%	19.2%	7.1%	0.9%	25.19B	-289.43B	-2.57B	1.21	6.66	322,410	391,073	1,981,763	3,954,838
2020-12-29	$3731.83	$3600.00	17.8%	5.0%	9.0%	12.1%	19.4%	7.7%	0.3%	10.76B	-269.65B	-2.63B	1.63	6.31	217,687	355,668	1,986,129	4,003,095
2020-12-30	$3733.83	$3615.00	17.7%	4.9%	8.2%	12.1%	20.3%	7.4%	0.4%	9.73B	-273.93B	-2.63B	1.61	6.49	240,971	388,825	2,056,425	4,186,407
2020-12-31	$3747.09	$3620.00	17.5%	4.9%	8.3%	11.8%	20.5%	7.7%	-0.3%	16.00B	-289.16B	-2.65B	1.41	7.46	380,636	537,712	2,026,323	4,195,756