SPX Options History — July 2021

In July 2021, SPX traded between $4241.51 and $4421.35. ATM implied volatility averaged 12.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.9% (HV 20d: 10.9%). Max pain ranged from $4100.00 to $4225.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.80.

Notable Days

2021-07-19: Highest Volume — 1,933,198 contracts
2021-07-19: Largest IV spike — 33.8% change
2021-07-19: Highest IV Rank — 34.9%
2021-07-19: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4362.39	$4241.51	$4421.35	$4316.79	$4393.43
Max Pain	$4186.43	$4100.00	$4225.00	$4100.00	$4225.00
ATM IV	12.8%	10.4%	18.6%	10.9%	13.2%
Expected Move	3.6%	2.6%	5.4%	2.7%	3.6%
HV 20d	10.9%	7.1%	14.1%	7.2%	14.1%
HV 60d	11.6%	10.9%	12.5%	10.9%	12.2%
IV Rank	10.2%	0.2%	34.9%	2.2%	12.0%
IV Percentile	12.9%	0.4%	64.3%	1.2%	15.5%
Term Structure	0.4%	0.0%	1.1%	0.4%	0.0%
VWIV	15.8%	11.1%	21.9%	13.6%	15.0%
Skew 25d	6.8%	5.0%	10.2%	5.5%	7.3%
Skew 10d	13.4%	10.1%	20.1%	11.1%	13.7%
Call IV 25d	10.4%	8.9%	13.8%	9.1%	10.6%
Put IV 25d	17.2%	13.9%	24.0%	14.6%	17.9%
Bid-Ask Spread %	5.62	4.00	11.50	10.26	7.37
Gamma HHI	0.03	0.02	0.06	0.05	0.03
Net GEX	21.07B	-30.78B	60.70B	21.27B	14.99B
Net DEX	-616.17B	-757.18B	-128.17B	-595.08B	-630.27B
Net VEX	2.24B	-5.56B	148.21B	148.21B	-5.18B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	1.31	2.34	2.03	1.60
Total Volume	1,207,013.952	733,177	1,933,198	1,007,630	1,213,989
Total OI	12,748,341.333	11,987,288	13,495,156	11,987,288	13,237,289

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
2021-07-01	$4316.79	$4100.00	10.9%	2.7%	7.2%	2.2%	13.6%	5.5%	0.4%	21.27B	-595.08B	148.21B	2.03	10.26	332,434	675,196	3,558,382	8,428,906
2021-07-02	$4351.78	$4100.00	10.4%	2.6%	7.1%	0.2%	11.1%	5.0%	0.5%	60.70B	-731.65B	-4.72B	1.42	11.50	602,625	854,899	3,661,248	8,740,159
2021-07-06	$4344.11	$4150.00	11.5%	3.5%	7.1%	4.6%	15.4%	5.7%	0.1%	26.71B	-644.47B	-4.83B	1.81	4.14	527,435	956,254	3,624,846	8,649,582
2021-07-07	$4360.21	$4160.00	11.8%	3.6%	7.1%	6.0%	15.8%	6.0%	0.3%	36.11B	-683.03B	-4.90B	1.64	4.00	463,779	759,528	3,685,500	8,868,079
2021-07-08	$4312.52	$4170.00	14.1%	4.2%	8.3%	16.0%	17.1%	7.9%	0.3%	706.2M	-487.34B	-5.21B	1.90	4.39	392,688	747,927	3,708,806	8,938,638
2021-07-09	$4367.59	$4175.00	11.2%	3.4%	9.3%	3.4%	14.6%	5.8%	0.5%	46.36B	-717.90B	-4.92B	1.51	4.53	555,548	840,728	3,808,599	9,216,119
2021-07-12	$4382.85	$4175.00	11.5%	3.5%	9.3%	4.6%	15.1%	5.7%	0.5%	36.62B	-747.35B	-4.78B	2.02	4.14	426,695	862,561	3,786,273	9,071,750
2021-07-13	$4373.53	$4190.00	12.2%	3.6%	9.4%	7.7%	16.2%	6.4%	0.2%	22.08B	-675.56B	-5.01B	2.32	4.68	312,896	725,912	3,806,111	9,245,019
2021-07-14	$4377.66	$4200.00	11.9%	3.5%	9.4%	6.4%	16.6%	6.2%	0.4%	24.92B	-702.56B	-4.91B	1.81	5.31	504,131	913,942	3,897,244	9,516,826
2021-07-15	$4357.39	$4200.00	12.8%	3.7%	9.4%	10.1%	16.4%	6.7%	0.3%	8.03B	-674.83B	-4.86B	1.86	4.75	384,582	717,262	3,964,331	9,530,825
2021-07-16	$4325.84	$4200.00	13.9%	4.1%	9.9%	14.9%	18.3%	7.5%	0.4%	-13.53B	-402.67B	-5.31B	2.08	5.30	477,187	991,079	3,642,356	8,661,352
2021-07-19	$4241.51	$4200.00	18.6%	5.4%	11.6%	34.9%	21.9%	10.2%	0.2%	-30.78B	-128.17B	-5.56B	2.34	5.11	578,738	1,354,460	3,642,813	8,651,118
2021-07-20	$4330.85	$4200.00	14.5%	4.2%	13.4%	17.5%	18.5%	8.2%	0.3%	248.9M	-454.65B	-5.25B	1.70	4.10	377,839	640,769	3,690,904	8,844,068
2021-07-21	$4352.79	$4200.00	13.2%	3.8%	13.3%	11.8%	16.6%	7.4%	0.7%	22.02B	-546.77B	-5.18B	1.84	4.13	419,316	772,732	3,788,344	9,078,223
2021-07-22	$4366.65	$4200.00	13.1%	3.7%	13.3%	11.8%	14.6%	7.2%	0.7%	18.00B	-579.77B	-5.19B	1.71	4.74	270,795	462,382	3,802,149	9,048,297
2021-07-23	$4413.13	$4200.00	11.6%	3.3%	13.6%	5.2%	13.5%	6.0%	1.1%	46.84B	-757.18B	-5.06B	1.31	5.47	680,007	887,866	3,874,375	9,221,851
2021-07-26	$4417.78	$4200.00	12.6%	3.5%	13.6%	9.2%	16.0%	6.3%	1.1%	30.73B	-732.46B	-4.92B	1.78	5.11	391,449	697,160	3,725,943	8,677,137
2021-07-27	$4393.57	$4220.00	13.9%	3.9%	13.9%	15.1%	17.3%	7.7%	0.4%	17.85B	-633.71B	-5.15B	1.79	5.87	286,168	511,260	3,792,932	8,767,671
2021-07-28	$4408.91	$4225.00	12.9%	3.5%	13.9%	10.7%	14.8%	7.1%	0.1%	24.80B	-687.58B	-5.10B	1.75	6.53	352,586	617,640	3,871,816	9,100,091
2021-07-29	$4421.35	$4225.00	12.6%	3.4%	13.9%	9.5%	14.3%	6.7%	0.1%	27.78B	-726.61B	-5.04B	1.64	6.67	305,749	501,100	3,854,755	9,034,441
2021-07-30	$4393.43	$4225.00	13.2%	3.6%	14.1%	12.0%	15.0%	7.3%	0.0%	14.99B	-630.27B	-5.18B	1.60	7.37	467,012	746,977	3,935,997	9,301,292