SPX Options History — November 2021

In November 2021, SPX traded between $4580.17 and $4709.82. ATM implied volatility averaged 13.6%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.0% (HV 20d: 7.7%). Max pain ranged from $4295.00 to $4420.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.93.

Notable Days

2021-11-05: Highest Volume — 2,517,489 contracts
2021-11-26: Largest IV spike — 37.7% change
2021-11-30: Highest IV Rank — 60.3%
2021-11-30: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4669.70	$4580.17	$4709.82	$4609.56	$4580.17
Max Pain	$4343.33	$4295.00	$4420.00	$4400.00	$4355.00
ATM IV	13.6%	11.2%	20.3%	12.2%	20.3%
Expected Move	4.1%	3.1%	6.3%	3.5%	6.3%
HV 20d	7.7%	6.4%	11.9%	9.0%	11.9%
HV 60d	11.5%	11.1%	12.5%	11.3%	12.5%
IV Rank	19.5%	4.2%	60.3%	8.1%	60.3%
IV Percentile	36.5%	5.2%	96.4%	19.8%	96.4%
Term Structure	0.5%	0.1%	0.9%	0.5%	0.3%
VWIV	16.7%	13.4%	24.3%	15.7%	24.3%
Skew 25d	6.7%	4.9%	10.5%	6.0%	10.5%
Skew 10d	13.8%	10.5%	21.9%	13.0%	21.6%
Call IV 25d	11.2%	9.5%	15.7%	10.0%	15.7%
Put IV 25d	17.9%	14.4%	26.3%	16.0%	26.3%
Bid-Ask Spread %	5.37	3.90	8.64	6.29	7.45
Gamma HHI	0.03	0.01	0.06	0.03	0.01
Net GEX	27.16B	-22.12B	60.74B	36.29B	-22.10B
Net DEX	-990.05B	-1237.88B	-451.32B	-921.18B	-451.32B
Net VEX	-5.86B	-6.52B	-5.46B	-5.63B	-6.38B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	1.58	2.16	1.93	1.89
Total Volume	1,803,107.476	1,369,390	2,517,489	1,707,077	1,900,383
Total OI	15,424,402.81	14,277,302	16,328,792	14,277,302	15,481,784

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
2021-11-01	$4609.56	$4400.00	12.2%	3.5%	9.0%	8.1%	15.7%	6.0%	0.5%	36.29B	-921.18B	-5.63B	1.93	6.29	583,487	1,123,590	4,624,007	9,653,295
2021-11-02	$4631.97	$4410.00	12.0%	3.4%	8.5%	7.4%	15.3%	5.9%	0.3%	38.79B	-990.88B	-5.59B	2.04	6.51	449,858	919,532	4,657,921	9,729,196
2021-11-03	$4660.74	$4420.00	11.2%	3.1%	8.4%	4.2%	13.4%	4.9%	0.6%	57.28B	-1127.30B	-5.46B	1.58	8.61	632,432	1,000,907	4,774,706	10,052,991
2021-11-04	$4671.33	$4295.00	11.5%	3.6%	7.9%	7.0%	14.5%	5.3%	0.6%	51.87B	-1144.87B	-5.51B	2.13	4.17	596,351	1,270,695	4,815,358	10,018,421
2021-11-05	$4698.66	$4300.00	11.5%	3.7%	7.8%	6.8%	14.3%	5.2%	0.7%	60.74B	-1237.88B	-5.64B	1.68	4.06	940,885	1,576,604	4,960,947	10,419,108
2021-11-08	$4699.42	$4310.00	12.1%	3.8%	7.2%	10.7%	15.2%	5.8%	0.8%	37.68B	-1156.37B	-5.71B	2.16	4.08	519,268	1,121,527	4,970,233	10,423,747
2021-11-09	$4684.02	$4315.00	13.1%	4.0%	6.8%	16.2%	16.7%	6.4%	0.2%	28.45B	-1085.47B	-5.85B	2.06	4.44	501,375	1,034,739	4,992,534	10,498,921
2021-11-10	$4641.14	$4315.00	14.4%	4.3%	8.2%	24.3%	16.7%	7.4%	0.5%	-2.63B	-886.49B	-6.09B	1.89	4.82	712,122	1,345,831	5,118,455	10,762,807
2021-11-11	$4652.01	$4320.00	13.5%	4.0%	6.6%	19.0%	17.8%	6.5%	0.7%	13.18B	-956.19B	-6.00B	1.95	4.52	473,595	922,941	5,115,265	10,821,029
2021-11-12	$4681.89	$4325.00	12.3%	3.8%	6.4%	11.4%	16.2%	5.8%	0.9%	34.27B	-1097.11B	-5.92B	1.91	4.44	730,165	1,396,868	5,203,905	11,016,187
2021-11-15	$4678.64	$4325.00	12.8%	3.8%	6.5%	14.5%	16.5%	5.8%	0.9%	31.56B	-1055.38B	-5.82B	2.05	4.61	632,241	1,294,458	5,109,334	10,646,297
2021-11-16	$4707.25	$4330.00	12.5%	3.6%	6.5%	12.6%	14.5%	5.7%	0.5%	47.33B	-1186.19B	-5.70B	1.83	4.18	548,359	1,000,889	5,140,974	10,731,978
2021-11-17	$4695.74	$4340.00	13.0%	3.7%	6.6%	15.7%	14.6%	6.0%	0.2%	31.69B	-1138.36B	-5.80B	1.79	4.38	618,883	1,109,976	5,281,452	11,010,518
2021-11-18	$4706.31	$4345.00	13.2%	3.8%	6.6%	16.9%	15.6%	6.1%	0.2%	46.59B	-1190.06B	-5.81B	1.91	3.90	569,539	1,089,231	5,295,021	11,033,771
2021-11-19	$4697.17	$4350.00	13.3%	3.9%	6.7%	17.6%	15.6%	6.8%	0.5%	16.54B	-983.01B	-5.91B	2.14	5.09	595,232	1,273,309	4,923,901	10,219,015
2021-11-22	$4709.82	$4350.00	13.6%	3.9%	6.6%	19.2%	16.0%	6.8%	0.3%	31.51B	-1004.87B	-5.89B	1.68	4.64	822,495	1,380,958	4,839,437	10,133,985
2021-11-23	$4686.68	$4350.00	14.5%	4.2%	6.9%	24.8%	17.3%	7.1%	0.1%	12.06B	-905.72B	-5.90B	1.87	5.62	567,576	1,063,927	4,869,969	10,179,038
2021-11-24	$4698.06	$4350.00	14.0%	4.0%	6.6%	21.8%	17.2%	7.0%	0.2%	40.55B	-965.10B	-5.89B	1.92	5.43	639,293	1,228,575	5,013,173	10,480,429
2021-11-26	$4612.69	$4350.00	19.2%	5.8%	9.5%	53.7%	23.7%	10.5%	0.3%	-22.12B	-529.20B	-6.52B	2.13	8.64	550,907	1,173,818	4,973,792	10,527,946
2021-11-29	$4660.49	$4355.00	16.4%	4.9%	10.1%	36.5%	20.1%	8.4%	0.6%	937.7M	-778.22B	-6.05B	2.06	6.95	638,863	1,313,573	4,929,616	10,461,996
2021-11-30	$4580.17	$4355.00	20.3%	6.3%	11.9%	60.3%	24.3%	10.5%	0.3%	-22.10B	-451.32B	-6.38B	1.89	7.45	656,486	1,243,897	4,962,531	10,519,253