SPX Options History — June 2021

In June 2021, SPX traded between $4182.87 and $4299.40. ATM implied volatility averaged 12.1%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.9% (HV 20d: 10.2%). Max pain ranged from $3945.00 to $4100.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.82.

Notable Days

2021-06-18: Highest Volume — 1,801,015 contracts
2021-06-18: Largest IV spike — 18.8% change
2021-06-18: Highest IV Rank — 15.2%
2021-06-18: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4239.25	$4182.87	$4299.40	$4202.90	$4299.40
Max Pain	$4038.18	$3945.00	$4100.00	$3945.00	$4100.00
ATM IV	12.1%	10.4%	14.4%	13.4%	11.0%
Expected Move	3.4%	2.7%	4.1%	3.8%	2.7%
HV 20d	10.2%	7.2%	15.1%	15.1%	7.3%
HV 60d	11.5%	10.8%	11.9%	11.9%	10.8%
IV Rank	4.0%	0.0%	15.2%	6.6%	2.6%
IV Percentile	2.5%	0.0%	15.5%	4.0%	1.2%
Term Structure	0.3%	-0.2%	0.8%	0.4%	0.4%
VWIV	14.6%	11.7%	19.0%	14.6%	12.3%
Skew 25d	6.0%	5.2%	7.6%	6.0%	5.8%
Skew 10d	12.2%	10.6%	14.4%	13.3%	11.6%
Call IV 25d	10.1%	8.8%	11.5%	11.3%	9.3%
Put IV 25d	16.1%	14.2%	19.0%	17.3%	15.1%
Bid-Ask Spread %	6.14	4.05	11.46	6.63	11.46
Gamma HHI	0.03	0.02	0.06	0.02	0.06
Net GEX	19.12B	-29.03B	39.35B	11.92B	37.34B
Net DEX	-673.58B	-904.69B	-211.05B	-687.80B	-624.37B
Net VEX	-4.58B	-4.80B	-4.39B	-4.68B	-4.69B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	1.50	2.35	1.73	1.70
Total Volume	1,154,701.136	784,216	1,801,015	1,087,992	1,241,009
Total OI	13,064,739.227	11,379,952	14,870,322	13,067,638	12,501,534

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
2021-06-01	$4202.90	$3945.00	13.4%	3.8%	15.1%	6.6%	14.6%	6.0%	0.4%	11.92B	-687.80B	-4.68B	1.73	6.63	398,273	689,719	4,149,612	8,918,026
2021-06-02	$4203.49	$3950.00	13.1%	3.6%	14.6%	5.5%	14.0%	6.2%	-0.2%	8.36B	-697.54B	-4.65B	1.87	8.50	333,035	623,837	4,192,817	9,032,574
2021-06-03	$4192.91	$4000.00	13.7%	4.0%	14.5%	7.9%	19.0%	6.6%	-0.2%	1.26B	-639.24B	-4.79B	1.62	4.05	299,426	484,790	4,218,174	9,094,402
2021-06-04	$4231.07	$4000.00	12.0%	3.7%	14.8%	0.2%	16.0%	5.5%	-0.2%	39.35B	-812.77B	-4.55B	1.80	4.28	421,492	760,753	4,279,538	9,249,436
2021-06-07	$4223.43	$4000.00	12.0%	3.6%	14.3%	0.3%	15.6%	5.5%	0.3%	25.28B	-786.80B	-4.46B	1.74	4.35	326,325	567,316	4,243,145	9,184,437
2021-06-08	$4229.68	$4000.00	12.2%	3.6%	14.1%	1.1%	15.2%	5.5%	0.3%	19.71B	-808.80B	-4.43B	2.35	4.64	265,270	623,994	4,258,878	9,250,698
2021-06-09	$4221.58	$4020.00	13.2%	3.9%	13.1%	5.9%	15.9%	6.5%	0.3%	9.50B	-749.44B	-4.63B	1.59	5.06	357,040	567,182	4,346,936	9,552,084
2021-06-10	$4236.74	$4025.00	11.4%	3.4%	11.0%	0.0%	15.2%	5.4%	0.5%	26.12B	-847.79B	-4.43B	1.70	4.19	409,398	697,750	4,361,923	9,546,259
2021-06-11	$4240.49	$4025.00	10.9%	3.3%	10.1%	0.0%	13.8%	5.2%	0.6%	28.00B	-885.71B	-4.40B	1.71	4.69	481,541	821,513	4,493,519	9,850,008
2021-06-14	$4244.27	$4050.00	11.8%	3.5%	9.4%	4.0%	14.3%	5.5%	0.6%	22.78B	-882.54B	-4.39B	2.04	4.46	400,226	817,316	4,449,281	9,749,445
2021-06-15	$4249.37	$4050.00	11.9%	3.5%	9.3%	4.6%	14.2%	5.7%	0.3%	24.61B	-904.69B	-4.49B	1.81	4.85	280,277	506,820	4,509,861	9,895,518
2021-06-16	$4229.76	$4050.00	12.6%	3.6%	9.4%	7.5%	15.5%	6.5%	0.3%	8.12B	-812.88B	-4.55B	1.88	7.69	505,615	951,187	4,609,173	10,102,026
2021-06-17	$4229.05	$4050.00	12.1%	3.5%	8.1%	5.3%	15.0%	6.4%	0.1%	6.05B	-833.93B	-4.55B	1.86	5.82	468,009	869,827	4,610,741	10,259,581
2021-06-18	$4182.87	$4060.00	14.4%	4.1%	7.4%	15.2%	17.3%	7.6%	-0.2%	-29.03B	-211.05B	-4.80B	1.88	6.10	625,707	1,175,308	3,320,318	8,087,157
2021-06-21	$4220.23	$4060.00	13.0%	3.7%	7.9%	9.4%	16.1%	7.1%	0.3%	6.26B	-365.84B	-4.71B	1.74	4.85	565,768	987,054	3,339,532	8,040,420
2021-06-22	$4250.62	$4050.00	11.8%	3.3%	7.3%	4.0%	13.9%	6.4%	0.3%	22.76B	-471.60B	-4.63B	1.80	5.94	370,277	667,341	3,392,310	8,166,562
2021-06-23	$4248.28	$4060.00	11.4%	3.1%	7.2%	2.1%	13.2%	6.1%	0.7%	19.77B	-478.10B	-4.64B	2.04	6.35	480,008	977,558	3,504,631	8,427,466
2021-06-24	$4267.55	$4070.00	11.0%	3.0%	7.3%	0.7%	13.2%	5.7%	0.8%	30.04B	-540.52B	-4.62B	1.78	6.07	302,974	538,796	3,499,178	8,385,870
2021-06-25	$4280.32	$4075.00	10.4%	2.8%	7.4%	0.0%	11.7%	5.4%	0.5%	39.08B	-589.64B	-4.58B	1.50	7.42	465,746	696,420	3,579,489	8,598,338
2021-06-28	$4288.10	$4100.00	10.9%	2.8%	7.3%	2.1%	12.9%	5.8%	0.4%	34.39B	-592.48B	-4.56B	1.87	8.53	372,728	695,971	3,568,722	8,488,380
2021-06-29	$4291.33	$4100.00	11.1%	2.8%	7.3%	3.2%	12.0%	5.7%	0.3%	28.87B	-595.28B	-4.61B	2.03	9.05	433,526	879,303	3,591,046	8,525,218
2021-06-30	$4299.40	$4100.00	11.0%	2.7%	7.3%	2.6%	12.3%	5.8%	0.4%	37.34B	-624.37B	-4.69B	1.70	11.46	459,955	781,054	3,702,660	8,798,874