SPX Options History — May 2021 In May 2021, SPX traded between $4073.39 and $4233.79. ATM implied volatility averaged 15.2%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.9% (HV 20d: 13.3%). Max pain ranged from $3925.00 to $4075.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.81.
Notable Days 2021-05-12 : Highest Volume — 1,296,305 contracts2021-05-12 : Largest IV spike — 26.2% change2021-05-12 : Highest IV Rank — 42.4%2021-05-12 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $4170.19 $4073.39 $4233.79 $4193.97 $4211.55 Max Pain $3992.75 $3925.00 $4075.00 $4040.00 $3940.00 ATM IV 15.2% 11.9% 21.6% 14.0% 11.9% Expected Move 4.4% 3.4% 6.1% 3.9% 3.4% HV 20d 13.3% 9.1% 15.6% 9.1% 15.1% HV 60d 13.4% 12.3% 14.5% 12.3% 12.5% IV Rank 12.4% 0.0% 42.4% 6.4% 0.0% IV Percentile 15.5% 0.0% 65.1% 6.0% 0.0% Term Structure 0.3% -0.2% 0.8% 0.3% 0.2% VWIV 18.3% 13.5% 25.4% 16.2% 13.5% Skew 25d 7.1% 5.3% 10.2% 6.2% 5.3% Skew 10d 14.5% 11.0% 20.9% 13.2% 11.0% Call IV 25d 12.6% 10.2% 17.3% 11.6% 10.2% Put IV 25d 19.7% 15.5% 27.5% 17.8% 15.5% Bid-Ask Spread % 5.39 3.99 7.57 6.59 7.57 Gamma HHI 0.02 0.02 0.06 0.03 0.03 Net GEX 3.22B -25.25B 40.85B 9.88B 23.04B Net DEX -349.26B -742.44B -4.83B -262.73B -742.44B Net VEX -3.93B -5.05B -3.22B -3.22B -4.69B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 1.60 2.32 1.60 1.71 Total Volume 981,763.1 583,050 1,296,305 908,665 1,071,458 Total OI 9,131,978 6,347,918 14,230,454 6,347,918 13,527,366
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 2021-05-03 $4193.97 $4040.00 14.0% 3.9% 9.1% 6.4% 16.2% 6.2% 0.3% 9.88B -262.73B -3.22B 1.60 6.59 348,886 559,779 1,968,467 4,379,451 2021-05-04 $4150.57 $4050.00 15.9% 4.5% 10.0% 15.5% 17.5% 7.3% 0.3% -8.19B -176.97B -3.34B 1.61 6.16 315,302 506,274 1,989,302 4,469,034 2021-05-05 $4171.59 $4075.00 14.9% 4.1% 10.1% 10.8% 15.9% 6.7% 0.3% 3.89B -223.00B -3.32B 1.79 7.03 339,258 607,975 2,087,300 4,695,720 2021-05-06 $4187.67 $3980.00 14.4% 4.3% 10.1% 8.5% 20.2% 6.8% 0.4% 5.88B -241.15B -3.33B 1.68 4.32 240,609 404,091 2,029,417 4,693,425 2021-05-07 $4233.79 $3990.00 12.8% 3.9% 10.6% 0.7% 16.8% 5.6% 0.5% 40.85B -345.54B -3.26B 1.61 4.56 485,899 780,999 2,104,562 4,876,313 2021-05-10 $4206.00 $4000.00 14.0% 4.2% 10.9% 6.6% 18.3% 6.3% 0.7% 4.68B -255.72B -3.32B 1.84 4.39 376,744 691,986 2,040,050 4,722,555 2021-05-11 $4148.91 $4005.00 17.1% 4.9% 12.0% 21.2% 21.9% 8.0% 0.2% -12.86B -140.43B -3.48B 2.06 4.88 319,570 658,103 2,037,874 4,750,459 2021-05-12 $4073.39 $4020.00 21.6% 6.1% 13.6% 42.4% 25.4% 10.2% -0.2% -25.25B -4.83B -3.64B 1.82 3.99 459,842 836,463 2,126,478 4,968,394 2021-05-13 $4130.15 $4025.00 18.0% 5.2% 13.9% 25.4% 23.6% 8.3% 0.0% -10.83B -129.82B -3.53B 2.32 4.32 256,666 595,560 2,085,782 4,928,094 2021-05-14 $4175.40 $4025.00 14.6% 4.3% 14.5% 9.4% 19.4% 7.1% 0.5% 5.07B -220.76B -3.46B 1.86 4.55 384,446 715,578 2,163,819 5,099,658 2021-05-17 $4162.48 $4030.00 15.8% 4.6% 14.3% 15.1% 21.3% 7.6% 0.8% -9.16B -181.38B -3.49B 1.99 4.80 292,229 580,897 2,058,785 4,867,672 2021-05-18 $4148.45 $4040.00 15.9% 4.6% 14.2% 15.4% 17.7% 7.6% 0.4% -5.35B -163.73B -3.52B 2.12 5.04 186,597 396,453 2,074,220 4,814,105 2021-05-19 $4099.15 $4050.00 18.2% 5.2% 14.5% 26.5% 20.6% 8.6% 0.0% -20.21B -73.23B -3.63B 1.65 5.18 395,971 653,803 2,134,934 5,031,396 2021-05-20 $4164.57 $3925.00 15.8% 4.5% 15.4% 15.2% 18.2% 7.7% 0.1% 5.21B -624.81B -5.04B 1.86 5.00 402,129 746,064 4,380,525 9,849,929 2021-05-21 $4156.88 $3925.00 15.1% 4.4% 14.9% 11.8% 17.3% 7.7% 0.6% -4.70B -512.88B -5.05B 1.67 4.97 470,098 786,575 4,061,716 8,939,453 2021-05-24 $4203.72 $3930.00 13.7% 3.9% 15.5% 5.1% 15.9% 6.3% 0.4% 23.52B -693.07B -4.81B 1.73 5.48 441,825 763,685 4,070,722 8,906,606 2021-05-25 $4189.72 $3935.00 14.2% 4.1% 15.5% 7.5% 16.4% 6.7% 0.2% 9.96B -640.81B -4.86B 1.69 5.83 327,518 554,856 4,103,271 8,934,550 2021-05-26 $4195.04 $3935.00 13.4% 3.8% 15.6% 3.8% 15.3% 6.2% -0.0% 14.06B -661.01B -4.81B 1.79 6.45 332,119 595,279 4,237,161 9,156,224 2021-05-27 $4200.85 $3935.00 12.7% 3.6% 15.4% 0.2% 14.0% 5.7% -0.0% 14.92B -690.96B -4.73B 1.83 6.59 266,201 487,475 4,154,254 9,120,517 2021-05-28 $4211.55 $3940.00 11.9% 3.4% 15.1% 0.0% 13.5% 5.3% 0.2% 23.04B -742.44B -4.69B 1.71 7.57 394,676 676,782 4,225,293 9,302,073
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