SPX Options History — August 2021

In August 2021, SPX traded between $4388.23 and $4531.72. ATM implied volatility averaged 12.2%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.3% (HV 20d: 10.0%). Max pain ranged from $4225.00 to $4270.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.89.

Notable Days

2021-08-16: Highest Volume — 1,486,260 contracts
2021-08-20: Largest IV drop — 18.9% change
2021-08-19: Highest IV Rank — 23.1%
2021-08-19: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4454.38	$4388.23	$4531.72	$4388.23	$4523.74
Max Pain	$4237.27	$4225.00	$4270.00	$4225.00	$4270.00
ATM IV	12.2%	10.5%	15.8%	14.1%	11.3%
Expected Move	3.5%	2.8%	4.5%	3.8%	2.9%
HV 20d	10.0%	6.8%	14.0%	13.9%	7.4%
HV 60d	10.3%	9.5%	12.2%	12.2%	9.9%
IV Rank	7.9%	0.4%	23.1%	16.0%	4.0%
IV Percentile	11.5%	0.8%	39.3%	25.0%	5.6%
Term Structure	0.4%	-0.2%	1.0%	0.4%	0.2%
VWIV	14.3%	11.3%	18.5%	17.4%	11.8%
Skew 25d	6.9%	5.7%	9.4%	8.1%	6.3%
Skew 10d	13.6%	11.3%	17.6%	16.2%	13.0%
Call IV 25d	10.0%	8.9%	12.4%	11.3%	9.4%
Put IV 25d	16.9%	14.6%	21.8%	19.4%	15.8%
Bid-Ask Spread %	6.28	4.18	9.51	7.18	9.40
Gamma HHI	0.03	0.02	0.07	0.02	0.04
Net GEX	29.96B	-4.38B	56.65B	8.66B	43.17B
Net DEX	-783.10B	-1023.93B	-573.75B	-578.92B	-980.16B
Net VEX	-4.95B	-5.35B	-4.61B	-5.15B	-4.73B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	1.50	2.36	1.98	1.84
Total Volume	1,136,193.182	730,006	1,486,260	1,209,379	990,593
Total OI	13,524,897.455	12,499,030	14,311,247	12,499,030	13,936,226

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
2021-08-02	$4388.23	$4225.00	14.1%	3.8%	13.9%	16.0%	17.4%	8.1%	0.4%	8.66B	-578.92B	-5.15B	1.98	7.18	405,755	803,624	3,808,400	8,690,630
2021-08-03	$4418.92	$4225.00	12.8%	3.3%	14.0%	10.4%	14.2%	7.3%	0.3%	21.43B	-687.71B	-5.01B	1.50	8.78	327,148	490,698	3,877,993	8,839,887
2021-08-04	$4408.68	$4230.00	12.9%	3.3%	14.0%	10.8%	16.6%	7.3%	0.2%	11.24B	-645.87B	-5.12B	1.86	9.51	334,200	620,822	3,954,737	9,158,642
2021-08-05	$4423.47	$4225.00	12.6%	3.8%	13.4%	9.3%	15.8%	7.0%	0.2%	24.85B	-702.31B	-5.05B	2.25	4.26	224,755	505,251	3,950,198	9,122,801
2021-08-06	$4432.60	$4225.00	11.6%	3.6%	12.7%	5.4%	14.3%	6.3%	-0.2%	30.73B	-748.54B	-5.00B	1.86	4.18	435,645	809,575	4,008,552	9,393,072
2021-08-09	$4432.75	$4225.00	11.7%	3.6%	12.6%	5.4%	14.7%	6.4%	0.5%	29.41B	-738.19B	-4.90B	2.03	4.18	365,587	743,321	3,942,808	9,072,663
2021-08-10	$4434.87	$4225.00	11.9%	3.6%	12.6%	6.7%	13.9%	6.8%	0.1%	29.46B	-752.10B	-4.87B	1.78	4.56	274,002	488,256	4,000,554	9,185,303
2021-08-11	$4445.45	$4225.00	11.4%	3.4%	12.6%	4.4%	14.0%	6.5%	0.6%	38.52B	-792.56B	-4.84B	1.79	4.62	438,662	783,130	4,103,644	9,493,426
2021-08-12	$4459.08	$4225.00	11.1%	3.3%	12.5%	2.9%	13.5%	5.9%	0.6%	46.00B	-855.23B	-4.84B	1.84	4.37	318,271	585,857	4,109,102	9,449,213
2021-08-13	$4465.82	$4225.00	10.5%	3.2%	12.1%	0.4%	12.8%	5.7%	0.9%	55.54B	-902.80B	-4.83B	2.36	4.92	359,394	849,501	4,232,800	9,708,526
2021-08-16	$4473.56	$4230.00	11.2%	3.3%	9.1%	3.5%	13.9%	5.8%	0.8%	52.46B	-903.28B	-4.81B	1.62	5.08	566,267	919,993	4,190,190	9,438,481
2021-08-17	$4437.70	$4230.00	12.9%	3.8%	7.0%	10.9%	15.8%	7.2%	0.4%	15.12B	-729.59B	-5.06B	1.96	4.98	433,992	851,262	4,195,312	9,630,741
2021-08-18	$4414.54	$4235.00	14.5%	4.2%	7.2%	17.5%	16.7%	8.3%	0.5%	-4.13B	-613.74B	-5.24B	2.00	8.66	478,270	956,611	4,289,599	9,983,066
2021-08-19	$4405.82	$4240.00	15.8%	4.5%	7.2%	23.1%	18.5%	9.4%	0.4%	-4.38B	-573.75B	-5.35B	2.01	6.21	484,142	975,311	4,318,310	9,992,937
2021-08-20	$4443.31	$4245.00	12.8%	3.7%	6.8%	10.4%	15.3%	7.3%	0.7%	8.56B	-664.22B	-5.13B	1.88	6.25	480,580	903,626	4,047,161	9,310,254
2021-08-23	$4483.19	$4250.00	11.7%	3.2%	7.5%	5.7%	14.2%	6.3%	1.0%	36.21B	-825.43B	-4.87B	1.65	5.99	539,990	890,070	4,025,526	9,148,116
2021-08-24	$4487.87	$4250.00	11.7%	3.2%	7.1%	5.8%	12.2%	6.7%	0.4%	37.01B	-846.44B	-4.88B	1.85	5.83	261,323	484,591	4,075,345	9,271,621
2021-08-25	$4500.75	$4250.00	11.4%	3.0%	7.1%	4.3%	12.0%	6.5%	0.3%	56.65B	-914.47B	-4.80B	1.87	6.75	357,624	669,493	4,203,579	9,646,256
2021-08-26	$4472.03	$4250.00	13.2%	3.6%	7.5%	11.9%	14.2%	7.9%	0.2%	22.20B	-773.85B	-5.00B	1.95	7.25	305,664	594,783	4,218,258	9,576,164
2021-08-27	$4512.25	$4255.00	10.8%	2.8%	7.6%	1.9%	11.6%	6.2%	0.5%	51.22B	-974.99B	-4.72B	1.96	7.33	448,146	880,286	4,301,495	9,877,190
2021-08-30	$4531.72	$4260.00	11.1%	2.8%	7.6%	3.2%	11.3%	6.1%	0.2%	49.12B	-1023.93B	-4.61B	1.64	7.80	515,922	844,257	4,221,900	9,547,066
2021-08-31	$4523.74	$4270.00	11.3%	2.9%	7.4%	4.0%	11.8%	6.3%	0.2%	43.17B	-980.16B	-4.73B	1.84	9.40	349,299	641,294	4,254,372	9,681,854