SPX Options History — September 2021 In September 2021, SPX traded between $4324.03 and $4537.43. ATM implied volatility averaged 14.8%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.0% (HV 20d: 9.8%). Max pain ranged from $4270.00 to $4400.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.90.
Notable Days 2021-09-20 : Highest Volume — 2,382,139 contracts2021-09-20 : Largest IV spike — 36.9% change2021-09-20 : Highest IV Rank — 43.6%2021-09-20 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $4448.37 $4324.03 $4537.43 $4526.06 $4324.03 Max Pain $4361.19 $4270.00 $4400.00 $4270.00 $4375.00 ATM IV 14.8% 10.6% 20.6% 11.3% 19.4% Expected Move 4.3% 2.8% 6.1% 2.8% 5.8% HV 20d 9.8% 7.3% 13.7% 7.3% 13.7% HV 60d 10.6% 9.8% 12.1% 9.9% 12.1% IV Rank 18.8% 1.1% 43.6% 3.9% 38.4% IV Percentile 39.2% 1.2% 82.5% 5.6% 81.0% Term Structure 0.4% -0.0% 0.8% 0.6% -0.0% VWIV 17.6% 11.0% 24.3% 11.0% 20.9% Skew 25d 8.1% 6.0% 11.0% 6.1% 10.0% Skew 10d 15.5% 12.1% 21.0% 12.4% 17.3% Call IV 25d 11.6% 8.8% 15.5% 9.4% 14.7% Put IV 25d 19.7% 14.8% 26.5% 15.4% 24.7% Bid-Ask Spread % 6.53 3.71 13.31 9.51 9.46 Gamma HHI 0.02 0.01 0.04 0.04 0.02 Net GEX -1.49B -38.93B 44.06B 42.88B -38.93B Net DEX -533.84B -1031.45B 340.8M -961.96B 340.8M Net VEX -5.10B -5.60B -4.60B -4.77B -5.60B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.90 1.59 2.17 1.96 1.59 Total Volume 1,467,411.952 782,033 2,382,139 1,099,965 1,931,023 Total OI 13,636,595.476 11,755,273 15,206,188 13,855,677 13,688,534
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 2021-09-01 $4526.06 $4270.00 11.3% 2.8% 7.3% 3.9% 11.0% 6.1% 0.6% 42.88B -961.96B -4.77B 1.96 9.51 371,920 728,045 4,263,408 9,592,269 2021-09-02 $4529.12 $4325.00 11.7% 3.6% 7.3% 5.4% 14.7% 6.3% 0.4% 33.93B -958.63B -4.78B 1.68 3.71 291,900 490,133 4,281,416 9,596,866 2021-09-03 $4537.43 $4330.00 10.6% 3.4% 7.3% 1.1% 15.2% 6.0% 0.8% 44.06B -1031.45B -4.60B 2.12 3.92 417,081 883,561 4,359,339 9,884,342 2021-09-07 $4522.66 $4350.00 12.1% 3.7% 7.4% 7.3% 15.6% 7.0% 0.4% 27.47B -941.78B -4.64B 2.08 4.18 454,493 945,092 4,284,439 9,547,546 2021-09-08 $4512.09 $4350.00 12.6% 3.8% 7.5% 9.5% 15.1% 7.3% 0.5% 13.86B -825.35B -4.78B 2.01 4.72 480,709 966,158 4,318,245 9,736,991 2021-09-09 $4503.55 $4350.00 13.1% 3.9% 7.6% 11.5% 15.5% 7.4% 0.4% 8.92B -843.31B -4.91B 1.86 4.29 335,246 624,148 4,360,643 9,951,675 2021-09-10 $4464.15 $4350.00 15.0% 4.4% 8.2% 19.5% 17.0% 8.5% 0.3% -20.89B -639.99B -5.06B 2.12 6.21 615,771 1,303,360 4,450,243 10,318,663 2021-09-13 $4462.34 $4350.00 14.8% 4.3% 8.2% 18.7% 17.3% 8.3% 0.4% -6.47B -658.97B -4.98B 2.17 5.51 571,609 1,238,854 4,393,937 9,972,190 2021-09-14 $4441.06 $4375.00 15.1% 4.4% 8.3% 20.2% 17.2% 8.5% 0.2% -13.51B -564.50B -5.07B 1.76 5.40 455,811 803,378 4,471,262 10,195,583 2021-09-15 $4485.97 $4375.00 13.2% 3.8% 8.6% 11.8% 16.1% 7.3% 0.3% 9.38B -834.76B -4.78B 1.81 4.77 636,740 1,152,754 4,576,433 10,629,755 2021-09-16 $4478.94 $4380.00 13.3% 3.8% 8.3% 12.4% 18.2% 7.5% 0.3% 4.27B -778.97B -4.94B 1.82 5.97 442,051 806,263 4,597,710 10,512,438 2021-09-17 $4432.87 $4375.00 15.0% 4.3% 9.2% 19.9% 18.2% 8.5% 0.2% -18.34B -268.91B -5.11B 1.83 6.23 609,482 1,116,639 3,485,765 8,562,613 2021-09-20 $4339.46 $4380.00 20.6% 6.1% 11.5% 43.6% 24.3% 11.0% 0.3% -30.57B -27.06B -5.40B 1.85 7.01 835,179 1,546,960 3,436,027 8,319,246 2021-09-21 $4366.16 $4400.00 18.6% 5.5% 11.2% 35.1% 21.7% 9.8% 0.3% -26.69B -109.98B -5.33B 1.91 6.60 411,857 786,698 3,535,456 8,547,226 2021-09-22 $4401.41 $4375.00 16.4% 4.7% 11.6% 25.4% 20.1% 8.8% 0.2% -14.85B -235.02B -5.37B 1.76 7.05 539,137 947,619 3,775,982 9,106,847 2021-09-23 $4452.37 $4375.00 14.1% 4.0% 12.4% 15.9% 16.5% 7.7% 0.4% 3.69B -414.45B -5.35B 1.74 6.53 482,250 838,560 3,829,233 9,034,475 2021-09-24 $4462.16 $4375.00 13.0% 3.7% 12.2% 11.0% 15.8% 7.4% 0.6% 12.20B -472.68B -5.32B 1.95 7.00 464,709 907,920 3,948,381 9,364,435 2021-09-27 $4447.37 $4375.00 13.7% 3.8% 11.8% 14.1% 16.3% 7.5% 0.7% 3.52B -410.30B -5.31B 2.13 7.75 427,894 911,413 3,864,244 9,040,361 2021-09-28 $4360.37 $4375.00 18.5% 5.5% 13.4% 34.5% 21.7% 9.5% 0.2% -28.36B -117.69B -5.55B 2.13 13.31 514,546 1,095,074 3,898,707 9,126,809 2021-09-29 $4366.15 $4375.00 18.6% 5.5% 13.5% 35.2% 21.4% 10.0% 0.1% -36.91B -115.16B -5.53B 1.67 8.00 537,597 896,017 3,992,890 9,515,881 2021-09-30 $4324.03 $4375.00 19.4% 5.8% 13.7% 38.4% 20.9% 10.0% -0.0% -38.93B 340.8M -5.60B 1.59 9.46 745,941 1,185,082 4,096,518 9,592,016
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