SPX Options History — April 2021

In April 2021, SPX traded between $4012.34 and $4213.08. ATM implied volatility averaged 13.7%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.6% (HV 20d: 10.1%). Max pain ranged from $3825.00 to $4025.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.55.

Notable Days

2021-04-13: Highest Volume — 1,152,651 contracts
2021-04-19: Largest IV spike — 12.3% change
2021-04-22: Highest IV Rank — 11.4%
2021-04-22: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4141.35	$4012.34	$4213.08	$4012.34	$4176.64
Max Pain	$3917.38	$3825.00	$4025.00	$3875.00	$4025.00
ATM IV	13.7%	12.6%	15.3%	13.5%	14.8%
Expected Move	4.0%	3.5%	4.4%	3.5%	4.2%
HV 20d	10.1%	8.9%	11.6%	11.6%	10.5%
HV 60d	14.5%	12.2%	15.5%	15.2%	12.3%
IV Rank	3.6%	0.0%	11.4%	0.0%	10.3%
IV Percentile	2.7%	0.0%	8.3%	0.0%	7.9%
Term Structure	0.3%	-0.3%	0.6%	-0.0%	-0.3%
VWIV	16.9%	14.1%	25.7%	14.2%	17.6%
Skew 25d	5.3%	4.4%	6.6%	5.1%	6.6%
Skew 10d	11.1%	8.4%	13.4%	11.0%	13.4%
Call IV 25d	11.9%	11.2%	12.9%	12.1%	12.4%
Put IV 25d	17.2%	15.7%	19.0%	17.1%	19.0%
Bid-Ask Spread %	5.11	3.33	9.07	9.07	5.40
Gamma HHI	0.03	0.02	0.05	0.04	0.02
Net GEX	19.16B	-1.41B	34.00B	25.57B	-1.41B
Net DEX	-344.34B	-764.99B	-253.34B	-266.59B	-266.70B
Net VEX	-3.19B	-4.35B	-2.93B	-3.10B	-3.26B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	1.32	1.99	1.32	1.61
Total Volume	779,236.333	381,208	1,152,651	907,103	998,488
Total OI	6,639,791.619	5,937,831	11,641,939	6,084,848	6,778,261

Daily Data (21 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
2021-04-01	$4012.34	$3875.00	13.5%	3.5%	11.6%	0.0%	14.2%	5.1%	-0.0%	25.57B	-266.59B	-3.10B	1.32	9.07	391,516	515,587	1,991,115	4,093,733
2021-04-05	$4077.36	$3825.00	13.9%	4.1%	10.8%	1.3%	15.5%	4.6%	0.3%	26.88B	-348.38B	-3.06B	1.39	3.42	240,171	333,058	2,012,412	4,050,803
2021-04-06	$4072.65	$3850.00	14.0%	4.1%	10.8%	1.7%	25.7%	5.0%	0.1%	20.00B	-316.75B	-3.14B	1.83	3.70	205,522	376,405	2,058,304	4,152,344
2021-04-07	$4080.12	$3850.00	13.3%	3.9%	10.3%	0.0%	16.3%	5.0%	0.2%	20.85B	-330.67B	-3.13B	1.47	3.33	320,570	471,953	2,118,042	4,378,679
2021-04-08	$4094.89	$3850.00	13.3%	3.9%	10.3%	0.0%	18.5%	4.7%	0.2%	23.50B	-347.53B	-3.20B	1.68	3.72	199,415	334,450	2,131,923	4,376,789
2021-04-09	$4120.78	$3860.00	12.9%	3.9%	10.0%	0.0%	18.4%	4.8%	0.4%	34.00B	-392.77B	-3.23B	1.35	4.29	402,864	543,800	2,199,231	4,535,483
2021-04-12	$4129.87	$3870.00	13.3%	3.9%	10.0%	1.5%	16.6%	4.7%	0.4%	24.74B	-371.63B	-3.28B	1.52	3.58	331,807	504,324	2,134,833	4,386,678
2021-04-13	$4142.50	$3920.00	13.3%	3.9%	10.0%	1.4%	17.0%	4.4%	0.2%	26.78B	-764.99B	-4.35B	1.99	5.14	385,854	766,797	3,721,000	7,920,939
2021-04-14	$4123.76	$3885.00	13.8%	4.0%	10.3%	3.3%	16.3%	5.3%	0.2%	12.36B	-337.65B	-3.39B	1.60	4.55	336,888	540,691	2,226,182	4,583,131
2021-04-15	$4171.26	$3890.00	12.9%	3.8%	10.8%	0.0%	15.5%	4.7%	0.3%	22.27B	-356.86B	-2.93B	1.52	4.85	222,488	338,209	1,944,097	3,993,734
2021-04-16	$4186.66	$3900.00	12.6%	3.8%	8.9%	0.0%	14.1%	4.6%	0.6%	32.28B	-380.38B	-2.96B	1.50	4.69	329,582	495,599	2,005,050	4,163,411
2021-04-19	$4159.65	$3900.00	14.2%	4.1%	9.5%	5.6%	17.4%	5.6%	0.5%	7.35B	-299.11B	-3.03B	1.69	4.63	344,076	581,733	1,966,596	4,091,647
2021-04-20	$4136.92	$3925.00	14.9%	4.3%	10.0%	8.4%	17.4%	6.3%	0.4%	3.20B	-253.34B	-3.11B	1.54	4.69	255,245	393,316	1,982,112	4,223,082
2021-04-21	$4172.33	$3940.00	13.8%	4.0%	9.3%	4.2%	16.6%	5.5%	0.3%	20.89B	-324.64B	-3.04B	1.32	5.09	347,509	458,769	2,041,630	4,346,277
2021-04-22	$4141.50	$3950.00	15.3%	4.4%	9.9%	11.4%	17.6%	6.1%	0.3%	5.50B	-256.25B	-3.16B	1.74	5.56	295,503	515,191	2,029,883	4,342,860
2021-04-23	$4184.58	$3975.00	13.5%	3.9%	10.3%	4.1%	15.6%	5.4%	0.4%	27.90B	-338.23B	-3.12B	1.37	5.78	414,475	569,836	2,075,765	4,556,957
2021-04-26	$4189.51	$3975.00	14.0%	4.0%	10.1%	6.7%	16.6%	5.5%	0.6%	16.71B	-318.05B	-3.12B	1.45	6.49	291,157	423,618	1,994,969	4,350,535
2021-04-27	$4191.02	$4000.00	14.0%	3.9%	10.0%	6.4%	16.1%	5.8%	0.3%	15.67B	-307.71B	-3.16B	1.62	6.34	145,565	235,643	2,004,827	4,377,143
2021-04-28	$4190.84	$4000.00	13.7%	3.8%	9.9%	4.9%	15.7%	5.8%	0.1%	15.62B	-311.91B	-3.15B	1.66	6.12	280,348	465,404	2,055,189	4,498,142
2021-04-29	$4213.08	$4000.00	13.6%	3.7%	9.9%	4.8%	16.2%	5.9%	0.2%	21.74B	-340.94B	-3.17B	1.37	6.81	321,118	439,419	2,041,440	4,500,396
2021-04-30	$4176.64	$4025.00	14.8%	4.2%	10.5%	10.3%	17.6%	6.6%	-0.3%	-1.41B	-266.70B	-3.26B	1.61	5.40	382,316	616,172	2,106,396	4,671,865