SPX Options History — October 2021

In October 2021, SPX traded between $4304.49 and $4599.89. ATM implied volatility averaged 14.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.3% (HV 20d: 14.4%). Max pain ranged from $4350.00 to $4400.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.75.

Notable Days

2021-10-01: Highest Volume — 2,070,432 contracts
2021-10-14: Largest IV drop — 15.0% change
2021-10-04: Highest IV Rank — 38.3%
2021-10-04: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4460.67	$4304.49	$4599.89	$4359.43	$4599.89
Max Pain	$4363.81	$4350.00	$4400.00	$4375.00	$4400.00
ATM IV	14.1%	11.4%	19.4%	17.1%	11.9%
Expected Move	4.1%	3.3%	5.5%	5.0%	3.5%
HV 20d	14.4%	10.7%	16.8%	14.2%	10.7%
HV 60d	11.7%	11.0%	12.5%	12.0%	11.3%
IV Rank	15.9%	4.4%	38.3%	28.6%	6.6%
IV Percentile	34.2%	7.9%	81.0%	61.5%	14.3%
Term Structure	0.2%	-0.1%	0.6%	0.6%	0.2%
VWIV	17.0%	14.0%	21.1%	19.7%	16.0%
Skew 25d	6.7%	5.3%	8.8%	8.8%	6.3%
Skew 10d	13.1%	10.8%	15.9%	15.9%	12.9%
Call IV 25d	11.5%	9.7%	15.2%	13.1%	9.9%
Put IV 25d	18.2%	15.1%	23.9%	21.9%	16.2%
Bid-Ask Spread %	5.91	4.58	9.83	9.83	6.14
Gamma HHI	0.03	0.02	0.04	0.02	0.04
Net GEX	11.25B	-33.66B	46.42B	-28.59B	46.42B
Net DEX	-521.41B	-948.55B	-7.93B	-138.18B	-948.55B
Net VEX	-5.65B	-5.82B	-5.53B	-5.57B	-5.66B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	1.36	2.08	1.46	1.89
Total Volume	1,535,261.714	885,025	2,070,432	2,070,432	1,876,954
Total OI	13,845,387	12,886,997	14,820,043	13,025,898	14,820,043

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
2021-10-01	$4359.43	$4375.00	17.1%	5.0%	14.2%	28.6%	19.7%	8.8%	0.6%	-28.59B	-138.18B	-5.57B	1.46	9.83	840,492	1,229,940	3,952,092	9,073,806
2021-10-04	$4304.49	$4350.00	19.4%	5.5%	14.6%	38.3%	20.8%	8.7%	0.4%	-33.66B	-7.93B	-5.68B	1.78	5.92	615,773	1,093,501	3,986,408	8,900,589
2021-10-05	$4357.57	$4350.00	17.3%	5.0%	15.5%	29.6%	21.1%	8.5%	0.2%	-20.66B	-169.22B	-5.72B	1.59	5.42	470,468	746,960	4,117,825	9,114,998
2021-10-06	$4353.65	$4350.00	18.0%	5.1%	15.5%	32.4%	19.4%	8.4%	-0.1%	-18.47B	-169.02B	-5.82B	1.36	5.15	767,428	1,047,523	4,287,482	9,473,640
2021-10-07	$4400.30	$4350.00	16.1%	4.6%	16.1%	24.3%	18.8%	7.8%	0.0%	-3.59B	-337.95B	-5.74B	1.78	4.58	449,855	799,426	4,300,333	9,345,454
2021-10-08	$4394.92	$4350.00	15.3%	4.5%	15.9%	20.9%	17.5%	7.3%	0.3%	3.47B	-339.33B	-5.73B	2.08	5.91	451,973	941,138	4,489,401	9,675,841
2021-10-11	$4369.40	$4350.00	16.2%	4.7%	16.0%	25.0%	18.8%	7.7%	0.3%	-15.47B	-239.68B	-5.67B	1.79	5.35	496,717	889,884	4,434,226	9,367,179
2021-10-12	$4344.58	$4350.00	16.7%	4.8%	16.0%	26.7%	19.1%	7.6%	-0.0%	-23.41B	-157.15B	-5.67B	1.64	5.90	335,058	549,967	4,474,807	9,465,274
2021-10-13	$4361.83	$4350.00	15.6%	4.5%	15.6%	22.1%	17.4%	7.2%	0.1%	-22.81B	-213.56B	-5.62B	1.97	6.37	467,039	921,416	4,566,258	9,809,682
2021-10-14	$4432.98	$4350.00	13.2%	3.9%	16.8%	12.2%	16.7%	6.2%	0.3%	12.71B	-485.30B	-5.58B	1.59	5.36	567,636	902,804	4,570,343	9,717,768
2021-10-15	$4469.85	$4350.00	12.0%	3.6%	16.7%	7.0%	15.3%	5.7%	0.6%	27.88B	-572.63B	-5.57B	1.62	4.75	612,041	989,868	4,172,607	8,919,685
2021-10-18	$4486.27	$4350.00	12.4%	3.6%	14.6%	8.6%	15.9%	5.7%	0.6%	29.15B	-621.90B	-5.53B	1.93	5.07	508,944	982,266	4,173,249	8,747,943
2021-10-19	$4514.12	$4350.00	12.0%	3.5%	14.6%	7.1%	15.4%	5.3%	0.2%	33.06B	-707.64B	-5.54B	1.60	4.62	425,745	682,187	4,227,780	8,891,991
2021-10-20	$4534.03	$4360.00	11.9%	3.4%	14.4%	6.5%	14.1%	5.3%	0.1%	44.03B	-780.65B	-5.67B	1.75	4.82	673,532	1,179,993	4,442,645	9,555,745
2021-10-21	$4544.04	$4375.00	11.4%	3.3%	13.9%	4.4%	14.9%	5.3%	0.1%	36.47B	-800.84B	-5.64B	2.03	5.59	439,933	892,443	4,460,639	9,584,678
2021-10-22	$4544.96	$4375.00	11.6%	3.3%	13.9%	5.4%	14.0%	5.7%	0.1%	34.99B	-808.85B	-5.69B	1.75	6.00	711,255	1,243,729	4,553,244	9,793,439
2021-10-25	$4566.43	$4375.00	11.6%	3.3%	13.9%	5.1%	15.4%	5.4%	0.2%	38.68B	-860.13B	-5.53B	1.73	5.96	587,372	1,018,594	4,489,542	9,548,130
2021-10-26	$4585.69	$4380.00	11.7%	3.4%	11.5%	5.6%	14.9%	5.7%	0.0%	37.63B	-900.27B	-5.57B	1.83	6.78	603,235	1,103,238	4,525,770	9,594,045
2021-10-27	$4564.35	$4400.00	12.6%	3.7%	11.7%	9.6%	15.9%	6.3%	0.0%	22.42B	-804.84B	-5.76B	1.79	8.74	637,013	1,140,598	4,668,993	9,908,687
2021-10-28	$4585.26	$4400.00	12.3%	3.5%	10.9%	8.1%	15.2%	5.9%	0.1%	35.91B	-885.92B	-5.70B	1.71	5.80	497,228	849,330	4,674,221	9,876,645
2021-10-29	$4599.89	$4400.00	11.9%	3.5%	10.7%	6.6%	16.0%	6.3%	0.2%	46.42B	-948.55B	-5.66B	1.89	6.14	648,787	1,228,167	4,758,639	10,061,404