SPX Options History — February 2021

In February 2021, SPX traded between $3778.17 and $3934.59. ATM implied volatility averaged 17.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.1% (HV 20d: 17.6%). Max pain ranged from $3675.00 to $3790.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.61.

Notable Days

  • 2021-02-26: Highest Volume — 1,122,214 contracts
  • 2021-02-25: Largest IV spike — 37.6% change
  • 2021-02-01: Highest IV Rank — 17.1%
  • 2021-02-25: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3886.59$3778.17$3934.59$3778.17$3846.77
Max Pain$3721.58$3675.00$3790.00$3725.00$3790.00
ATM IV17.7%15.3%22.9%22.3%20.1%
Expected Move5.2%4.6%6.7%6.3%6.0%
HV 20d17.6%15.0%19.0%18.9%15.0%
HV 60d13.5%12.6%14.9%14.9%13.6%
IV Rank8.5%2.2%17.1%17.1%7.7%
IV Percentile17.5%2.4%54.4%47.2%36.9%
Term Structure0.5%-0.4%0.9%0.8%0.4%
VWIV21.2%18.3%24.6%24.0%23.4%
Skew 25d8.2%6.7%11.9%11.9%10.2%
Skew 10d16.8%14.2%22.7%22.4%19.5%
Call IV 25d14.8%13.0%18.3%17.4%16.1%
Put IV 25d23.1%19.9%30.0%29.2%26.3%
Bid-Ask Spread %5.874.0011.136.306.93
Gamma HHI0.030.020.050.020.03
Net GEX8.90B-12.35B25.98B-1.49B-12.35B
Net DEX-185.99B-249.74B-58.01B-88.67B-84.56B
Net VEX-2.81B-2.99B-2.34B-2.77B-2.99B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.611.291.801.611.59
Total Volume764,306.632476,8871,122,214867,5841,122,214
Total OI5,577,032.6845,101,1606,100,0975,101,1606,100,097

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$3778.17$3725.0022.3%6.3%18.9%17.1%24.0%11.9%0.8%-1.49B-88.67B-2.77B1.616.30332,525535,0591,662,9713,438,189
2021-02-02$3834.43$3740.0019.6%5.3%19.0%13.0%21.1%9.4%0.2%8.05B-160.80B-2.74B1.776.74230,083406,7761,689,9813,481,560
2021-02-03$3838.53$3750.0018.2%4.7%18.9%11.0%19.6%8.3%0.5%9.12B-166.51B-2.74B1.809.64269,957485,0121,754,6803,651,706
2021-02-04$3862.79$3675.0016.9%5.2%18.9%9.0%21.5%7.2%0.6%14.93B-198.69B-2.75B1.734.04190,523329,7301,745,2543,651,800
2021-02-05$3885.11$3685.0016.0%5.1%18.2%7.7%20.7%7.0%0.9%25.98B-232.95B-2.75B1.614.16356,336573,2181,797,1553,783,412
2021-02-08$3906.71$3680.0016.3%5.0%18.2%8.0%21.8%6.7%0.9%21.64B-237.10B-2.75B1.604.14278,453445,1491,737,3243,578,239
2021-02-09$3917.02$3685.0016.4%5.0%18.1%8.3%22.2%7.1%0.5%16.82B-240.11B-2.77B1.784.00171,505305,3821,752,3353,650,203
2021-02-10$3905.11$3690.0017.4%5.2%18.1%9.8%20.4%7.8%0.6%10.75B-220.01B-2.84B1.494.83340,015506,3051,813,9403,863,785
2021-02-11$3911.32$3695.0016.9%5.0%18.1%9.0%22.7%7.3%0.7%12.28B-221.34B-2.87B1.655.10199,260329,6481,804,6273,865,417
2021-02-12$3927.65$3700.0015.3%4.6%18.1%6.5%21.1%6.9%0.8%19.03B-249.74B-2.83B1.545.00306,451471,2341,855,3964,013,677
2021-02-16$3934.59$3700.0016.4%4.7%17.6%8.2%20.1%7.4%0.2%14.82B-233.21B-2.85B1.765.01285,406501,6141,801,1373,729,856
2021-02-17$3930.40$3715.0016.4%4.7%17.4%7.4%20.1%7.5%0.4%10.18B-221.51B-2.89B1.695.05290,592490,3911,818,1713,817,497
2021-02-18$3920.38$3725.0016.9%4.8%16.8%8.1%21.6%7.8%0.4%6.68B-204.23B-2.88B1.434.81241,835344,9191,793,4363,819,537
2021-02-19$3911.50$3730.0016.6%4.8%16.8%6.5%18.3%8.0%0.6%5.01B-197.79B-2.90B1.615.65350,777565,7251,877,9673,967,663
2021-02-22$3884.21$3750.0017.9%5.1%17.0%5.5%20.1%8.5%0.4%-3.16B-142.83B-2.92B1.526.06326,823497,8321,828,5243,849,597
2021-02-23$3891.60$3750.0017.8%5.1%17.0%4.1%20.3%8.5%0.3%1.20B-155.29B-2.93B1.516.43285,918432,1251,835,3113,874,615
2021-02-24$3924.21$3760.0016.7%4.6%17.2%2.2%18.9%7.4%0.0%18.99B-220.39B-2.90B1.296.58419,287540,3141,900,5384,026,174
2021-02-25$3834.80$3765.0022.9%6.7%15.7%12.3%24.6%11.7%-0.4%-9.44B-58.01B-2.34B1.5711.13297,601465,8321,692,2283,639,622
2021-02-26$3846.77$3790.0020.1%6.0%15.0%7.7%23.4%10.2%0.4%-12.35B-84.56B-2.99B1.596.93432,939689,2751,950,2804,149,817