SPX Options History — December 2021

In December 2021, SPX traded between $4510.21 and $4800.36. ATM implied volatility averaged 16.3%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.4% (HV 20d: 16.7%). Max pain ranged from $4360.00 to $4500.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.90.

Notable Days

2021-12-01: Highest Volume — 2,268,093 contracts
2021-12-03: Largest IV spike — 17.2% change
2021-12-03: Highest IV Rank — 83.1%
2021-12-03: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4676.48	$4510.21	$4800.36	$4552.38	$4783.10
Max Pain	$4432.95	$4360.00	$4500.00	$4360.00	$4500.00
ATM IV	16.3%	12.3%	24.1%	22.1%	12.3%
Expected Move	4.8%	3.4%	7.9%	6.9%	3.4%
HV 20d	16.7%	11.9%	20.0%	11.9%	17.1%
HV 60d	13.5%	12.6%	14.1%	12.6%	13.1%
IV Rank	36.2%	11.5%	83.1%	71.0%	11.5%
IV Percentile	62.3%	22.6%	99.2%	97.6%	22.6%
Term Structure	0.2%	-0.6%	0.8%	-0.2%	0.6%
VWIV	20.3%	13.6%	29.5%	24.6%	13.6%
Skew 25d	7.8%	5.5%	12.7%	11.3%	5.7%
Skew 10d	15.8%	10.6%	25.9%	23.8%	10.9%
Call IV 25d	13.2%	10.3%	18.3%	17.2%	10.3%
Put IV 25d	21.0%	16.0%	31.0%	28.5%	16.0%
Bid-Ask Spread %	5.84	3.37	13.43	9.54	7.69
Gamma HHI	0.02	0.01	0.04	0.01	0.03
Net GEX	12.44B	-30.71B	45.70B	-26.04B	25.76B
Net DEX	-669.70B	-1087.07B	-53.22B	-327.42B	-720.81B
Net VEX	-5.85B	-6.69B	-5.36B	-6.54B	-5.52B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	1.52	2.41	2.12	1.60
Total Volume	1,724,314.136	1,273,889	2,268,093	2,268,093	1,670,016
Total OI	14,439,191.955	12,038,347	16,850,221	15,375,722	13,057,847

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
2021-12-01	$4552.38	$4360.00	22.1%	6.9%	11.9%	71.0%	24.6%	11.3%	-0.2%	-26.04B	-327.42B	-6.54B	2.12	9.54	728,121	1,539,972	4,961,378	10,414,344
2021-12-02	$4587.57	$4365.00	20.5%	6.4%	12.1%	61.6%	25.2%	10.9%	-0.1%	-15.12B	-485.99B	-6.45B	2.07	8.73	512,062	1,057,506	5,001,880	10,511,084
2021-12-03	$4510.21	$4370.00	24.1%	7.9%	13.3%	83.1%	29.5%	12.7%	0.4%	-30.71B	-168.89B	-6.69B	2.14	13.43	702,245	1,501,230	5,136,283	10,759,604
2021-12-06	$4591.29	$4400.00	20.3%	5.9%	14.8%	60.0%	26.0%	10.8%	0.5%	-6.71B	-518.66B	-6.31B	2.37	3.90	629,088	1,493,898	5,014,431	10,635,867
2021-12-07	$4675.55	$4400.00	16.9%	5.0%	16.3%	39.7%	21.2%	8.3%	0.3%	15.72B	-896.98B	-6.01B	1.84	3.37	606,605	1,114,781	5,050,163	10,757,496
2021-12-08	$4698.80	$4400.00	15.2%	4.5%	16.4%	29.1%	19.6%	7.0%	0.4%	38.02B	-1055.73B	-5.76B	2.12	3.48	511,493	1,084,867	5,164,768	11,063,118
2021-12-09	$4678.29	$4400.00	15.9%	4.7%	16.1%	33.6%	20.3%	7.7%	0.3%	12.79B	-921.50B	-5.91B	2.27	3.81	431,990	978,580	5,128,284	10,962,111
2021-12-10	$4705.98	$4400.00	13.8%	4.2%	16.2%	20.9%	22.7%	7.0%	0.8%	28.53B	-1087.07B	-5.71B	2.41	7.66	554,796	1,336,506	5,196,829	11,258,405
2021-12-13	$4686.81	$4400.00	15.3%	4.5%	16.1%	29.7%	19.6%	6.9%	0.7%	12.58B	-998.88B	-5.67B	2.19	3.72	559,727	1,227,351	5,141,340	11,010,908
2021-12-14	$4633.54	$4425.00	17.5%	5.0%	16.6%	43.1%	22.0%	8.1%	0.1%	-7.63B	-752.03B	-5.79B	1.64	4.09	644,904	1,055,204	5,189,133	11,078,889
2021-12-15	$4691.87	$4440.00	15.6%	4.5%	17.1%	31.4%	20.1%	7.2%	0.0%	27.38B	-1084.16B	-5.69B	1.77	5.58	664,674	1,177,183	5,415,702	11,434,519
2021-12-16	$4671.81	$4440.00	16.7%	4.8%	17.2%	38.2%	20.2%	7.8%	-0.1%	11.18B	-988.60B	-5.82B	1.72	6.15	704,797	1,208,960	5,440,318	11,395,765
2021-12-17	$4630.79	$4450.00	17.4%	5.0%	17.4%	42.4%	21.7%	8.1%	-0.6%	-14.58B	-245.27B	-5.90B	1.80	5.62	714,201	1,284,147	3,735,029	8,476,749
2021-12-20	$4559.20	$4450.00	19.5%	5.7%	18.2%	55.6%	22.3%	8.6%	0.4%	-25.63B	-53.22B	-5.96B	1.81	5.46	627,414	1,137,878	3,679,619	8,358,728
2021-12-21	$4634.32	$4455.00	17.4%	5.0%	19.2%	42.4%	23.4%	8.0%	0.2%	3.02B	-294.68B	-5.92B	1.97	4.46	541,945	1,066,183	3,747,274	8,425,664
2021-12-22	$4687.52	$4460.00	14.9%	4.3%	19.6%	27.2%	17.7%	7.1%	0.6%	28.15B	-484.04B	-5.74B	1.55	4.65	641,772	997,105	3,846,484	8,669,428
2021-12-23	$4738.09	$4460.00	13.1%	3.8%	20.0%	16.2%	16.1%	6.3%	-0.1%	35.06B	-625.05B	-5.63B	1.71	5.08	606,033	1,035,770	3,811,978	8,662,120
2021-12-27	$4784.66	$4475.00	13.0%	3.6%	18.9%	16.1%	16.3%	5.6%	0.8%	44.34B	-738.08B	-5.48B	1.52	5.08	648,814	985,543	3,772,706	8,522,915
2021-12-28	$4794.38	$4475.00	13.0%	3.6%	18.7%	15.9%	14.8%	5.9%	0.2%	41.73B	-765.94B	-5.44B	1.66	4.88	478,907	794,982	3,834,605	8,530,881
2021-12-29	$4800.36	$4500.00	12.5%	3.4%	17.3%	12.8%	15.8%	5.5%	-0.1%	45.70B	-794.86B	-5.36B	1.72	5.85	507,399	874,512	3,915,524	8,776,393
2021-12-30	$4786.11	$4500.00	12.8%	3.5%	17.1%	14.4%	14.0%	5.8%	-0.2%	30.14B	-725.51B	-5.49B	1.78	6.20	466,885	828,865	3,937,011	8,778,649
2021-12-31	$4783.10	$4500.00	12.3%	3.4%	17.1%	11.5%	13.6%	5.7%	0.6%	25.76B	-720.81B	-5.52B	1.60	7.69	641,309	1,028,707	4,061,361	8,996,486