SPX Options History — January 2021

In January 2021, SPX traded between $3702.59 and $3860.86. ATM implied volatility averaged 19.2%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 7.7% (HV 20d: 11.5%). Max pain ranged from $3650.00 to $3720.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.75.

Notable Days

  • 2021-01-29: Highest Volume — 1,097,458 contracts
  • 2021-01-27: Largest IV spike — 50.3% change
  • 2021-01-27: Highest IV Rank — 24.0%
  • 2021-01-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3797.17$3702.59$3860.86$3702.59$3719.85
Max Pain$3679.47$3650.00$3720.00$3650.00$3720.00
ATM IV19.2%16.3%26.9%20.8%25.6%
Expected Move5.5%4.7%7.7%6.0%7.4%
HV 20d11.5%9.3%18.1%9.4%18.1%
HV 60d16.1%14.1%16.8%16.8%15.4%
IV Rank13.5%8.4%24.0%16.7%22.1%
IV Percentile30.9%8.3%73.0%41.7%69.4%
Term Structure0.3%-0.5%0.8%0.5%0.6%
VWIV22.8%18.9%30.0%23.1%27.3%
Skew 25d8.9%7.0%13.0%9.2%13.0%
Skew 10d17.7%14.8%25.2%18.0%24.7%
Call IV 25d15.7%13.7%21.1%16.8%19.5%
Put IV 25d24.6%21.0%33.9%25.9%32.5%
Bid-Ask Spread %4.392.768.334.537.10
Gamma HHI0.040.020.190.020.02
Net GEX6.86B-16.37B27.94B-3.10B-16.37B
Net DEX-176.19B-292.80B-9.03B-127.17B-9.03B
Net VEX-2.71B-2.94B-2.49B-2.82B-2.80B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.751.182.271.601.64
Total Volume769,733.474447,4561,097,4581,091,8201,097,458
Total OI5,479,7854,957,9836,019,5985,449,3695,606,505

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$3702.59$3650.0020.8%6.0%9.4%16.7%23.1%9.2%0.5%-3.10B-127.17B-2.82B1.604.53420,112671,7081,765,2353,684,134
2021-01-05$3728.00$3650.0019.7%5.7%9.3%14.9%22.0%9.1%0.3%1.92B-157.67B-2.82B1.822.76177,448323,7361,780,5483,722,287
2021-01-06$3749.65$3650.0020.2%5.8%9.4%15.8%30.0%9.8%0.0%8.14B-189.23B-2.85B1.566.39395,839617,0701,871,0673,892,398
2021-01-07$3809.42$3650.0017.2%5.0%10.7%11.3%20.9%7.5%0.3%17.57B-267.49B-2.78B1.363.19273,473372,4431,862,0473,901,146
2021-01-08$3822.41$3650.0016.7%5.0%10.0%10.6%20.6%7.3%0.6%25.00B-292.80B-2.83B1.583.52339,040534,2861,970,4904,049,108
2021-01-11$3799.94$3660.0019.4%5.6%10.4%14.5%22.1%8.9%0.5%6.65B-216.77B-2.89B1.973.82228,013449,4681,860,4773,761,791
2021-01-12$3803.86$3670.0018.4%5.3%10.2%13.1%21.2%8.4%0.1%7.05B-218.27B-2.88B2.213.05170,244376,3811,859,5613,810,853
2021-01-13$3815.46$3670.0017.3%5.0%10.1%11.5%20.1%7.7%0.0%9.66B-231.43B-2.94B1.633.19247,114402,8141,934,6474,040,540
2021-01-14$3806.14$3675.0017.8%5.1%9.7%12.2%21.2%8.1%-0.1%4.52B-159.78B-2.49B2.273.38140,320318,5011,605,7903,352,193
2021-01-15$3769.17$3675.0018.8%5.4%10.4%13.6%27.0%9.0%-0.5%-11.25B-99.59B-2.54B1.694.61366,742621,3681,669,5433,578,693
2021-01-19$3802.36$3675.0017.9%5.2%10.8%12.3%22.4%8.4%0.3%6.16B-158.47B-2.51B2.073.21249,566516,8661,651,8863,458,329
2021-01-20$3859.53$3675.0016.5%4.7%11.5%9.0%21.4%7.1%0.6%20.61B-238.29B-2.50B1.183.51445,071524,7821,689,2823,563,584
2021-01-21$3860.86$3680.0016.4%4.7%11.4%8.8%19.3%7.0%0.6%21.74B-239.29B-2.53B1.993.91183,318364,2411,743,4533,556,562
2021-01-22$3851.26$3700.0016.3%4.7%11.5%8.4%18.9%7.5%0.8%27.94B-225.97B-2.56B1.524.37286,401435,1981,805,4003,750,612
2021-01-25$3848.14$3710.0017.7%5.0%11.4%10.2%19.3%7.8%0.8%10.16B-190.56B-2.60B1.924.69326,330625,7021,693,0943,482,115
2021-01-26$3856.58$3710.0017.9%5.0%11.4%10.4%20.2%8.0%0.5%10.40B-196.81B-2.60B2.074.35145,881301,5751,694,8573,575,287
2021-01-27$3743.73$3720.0026.9%7.7%15.6%24.0%29.1%12.8%-0.2%-13.36B-20.17B-2.80B1.628.33398,017645,4131,732,8033,735,703
2021-01-28$3797.37$3720.0022.6%6.4%16.4%17.6%26.5%11.8%0.3%-3.14B-108.85B-2.76B1.575.52246,664386,3331,728,9653,674,930
2021-01-29$3719.85$3720.0025.6%7.4%18.1%22.1%27.3%13.0%0.6%-16.37B-9.03B-2.80B1.647.10415,994681,4641,800,5083,805,997