SPX Options History — January 2022

In January 2022, SPX traded between $4336.75 and $4802.90. ATM implied volatility averaged 19.0%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.3% (HV 20d: 14.8%). Max pain ranged from $4500.00 to $4600.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.72.

Notable Days

2022-01-24: Highest Volume — 2,878,929 contracts
2022-01-18: Largest IV spike — 25.9% change
2022-01-26: Highest IV Rank — 97.6%
2022-01-26: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4574.77	$4336.75	$4802.90	$4790.36	$4496.09
Max Pain	$4564.50	$4500.00	$4600.00	$4500.00	$4520.00
ATM IV	19.0%	12.3%	26.5%	12.4%	20.6%
Expected Move	5.6%	3.2%	8.1%	3.3%	6.3%
HV 20d	14.8%	13.2%	17.2%	15.5%	17.2%
HV 60d	14.0%	12.9%	15.7%	12.9%	15.7%
IV Rank	52.8%	11.7%	97.6%	12.4%	63.8%
IV Percentile	76.6%	23.4%	99.6%	23.8%	94.8%
Term Structure	-0.0%	-1.1%	0.6%	0.6%	0.5%
VWIV	21.8%	13.4%	31.0%	13.9%	24.9%
Skew 25d	8.1%	5.5%	10.9%	5.5%	8.0%
Skew 10d	15.7%	10.9%	20.4%	11.9%	15.8%
Call IV 25d	15.5%	10.2%	21.7%	10.2%	17.2%
Put IV 25d	23.6%	15.7%	32.1%	15.7%	25.2%
Bid-Ask Spread %	7.23	3.77	10.43	8.52	8.11
Gamma HHI	0.02	0.01	0.03	0.02	0.01
Net GEX	-23.18B	-51.65B	21.45B	16.72B	-7.24B
Net DEX	-9.60B	-660.82B	587.76B	-629.56B	65.84B
Net VEX	-6.32B	-6.75B	-5.62B	-5.62B	-6.75B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	1.37	2.11	1.76	1.57
Total Volume	1,936,522.75	1,394,049	2,878,929	1,688,548	2,191,975
Total OI	13,322,751.5	12,197,904	14,152,801	12,197,904	13,758,179

Daily Data (20 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
2022-01-03	$4790.36	$4500.00	12.4%	3.3%	15.5%	12.4%	13.9%	5.5%	0.6%	16.72B	-629.56B	-5.62B	1.76	8.52	611,016	1,077,532	3,822,899	8,375,005
2022-01-04	$4802.90	$4500.00	12.3%	3.2%	14.5%	11.7%	13.4%	5.7%	0.2%	21.45B	-660.82B	-5.67B	2.11	8.66	489,551	1,032,889	3,893,596	8,511,754
2022-01-05	$4719.89	$4500.00	15.1%	4.2%	14.8%	28.7%	15.7%	7.4%	0.2%	-23.00B	-359.25B	-5.98B	2.09	10.43	651,573	1,364,156	4,002,517	8,777,983
2022-01-06	$4698.96	$4575.00	15.9%	4.6%	14.8%	33.7%	19.0%	7.6%	0.1%	-22.66B	-299.73B	-6.65B	1.82	3.77	546,430	995,646	4,114,602	9,007,823
2022-01-07	$4684.45	$4580.00	15.1%	4.5%	14.8%	28.5%	18.6%	7.1%	0.3%	-30.02B	-261.22B	-6.56B	1.96	3.92	616,720	1,211,453	4,197,986	9,214,039
2022-01-10	$4653.73	$4580.00	16.0%	4.7%	14.8%	33.8%	19.7%	7.4%	0.4%	-30.53B	-182.56B	-6.51B	1.77	6.33	816,243	1,445,278	4,150,581	9,083,227
2022-01-11	$4707.29	$4590.00	14.8%	4.3%	15.3%	26.8%	19.2%	7.0%	0.4%	-2.28B	-388.39B	-6.08B	1.57	4.11	580,695	912,281	4,157,559	9,155,165
2022-01-12	$4728.92	$4600.00	14.1%	4.1%	14.7%	22.7%	17.9%	6.5%	0.2%	11.48B	-478.68B	-6.06B	1.56	4.53	739,853	1,153,841	4,274,188	9,379,752
2022-01-13	$4667.49	$4600.00	16.6%	4.8%	14.9%	37.6%	20.4%	7.6%	0.1%	-17.99B	-246.11B	-6.22B	1.82	4.49	494,236	899,813	4,300,599	9,355,257
2022-01-14	$4662.96	$4600.00	15.7%	4.6%	14.8%	32.5%	19.2%	7.3%	0.3%	-21.69B	-231.86B	-6.17B	1.82	5.89	690,681	1,260,514	4,376,963	9,569,921
2022-01-18	$4573.56	$4600.00	19.8%	5.7%	16.1%	57.2%	21.8%	8.0%	0.3%	-41.51B	60.64B	-6.16B	1.71	8.24	741,417	1,270,420	4,300,101	9,363,554
2022-01-19	$4554.97	$4600.00	19.9%	5.7%	15.1%	58.0%	21.0%	7.8%	-0.6%	-40.84B	113.88B	-6.18B	1.56	6.28	805,413	1,255,336	4,399,468	9,483,829
2022-01-20	$4504.23	$4600.00	21.0%	6.1%	14.3%	64.6%	22.8%	8.0%	-0.6%	-47.67B	271.64B	-6.24B	1.76	8.03	683,871	1,203,883	4,540,736	9,612,065
2022-01-21	$4410.88	$4600.00	24.6%	7.2%	15.0%	86.5%	26.6%	9.5%	-1.1%	-45.88B	504.14B	-6.41B	1.67	8.47	946,309	1,583,409	4,075,326	8,379,984
2022-01-24	$4377.68	$4580.00	25.7%	7.8%	14.2%	92.9%	31.0%	10.3%	0.0%	-38.88B	531.76B	-6.45B	1.85	9.83	1,009,578	1,869,351	4,183,665	8,416,147
2022-01-25	$4377.76	$4550.00	25.8%	7.9%	13.3%	93.6%	27.3%	10.9%	-0.1%	-32.75B	491.11B	-6.61B	1.46	9.32	771,589	1,124,394	4,357,810	8,685,939
2022-01-26	$4336.75	$4550.00	26.5%	8.1%	13.2%	97.6%	30.4%	10.4%	-0.8%	-51.65B	587.76B	-6.66B	1.63	10.00	747,936	1,222,445	4,573,165	8,985,528
2022-01-27	$4346.69	$4540.00	25.6%	7.9%	13.3%	94.4%	28.2%	10.3%	-0.7%	-33.56B	536.86B	-6.63B	1.59	7.59	627,536	1,000,622	4,645,847	8,995,835
2022-01-28	$4399.77	$4525.00	23.0%	7.1%	14.6%	78.2%	25.4%	8.9%	0.3%	-25.20B	382.51B	-6.72B	1.37	8.03	880,047	1,204,523	4,796,160	9,180,276
2022-01-31	$4496.09	$4520.00	20.6%	6.3%	17.2%	63.8%	24.9%	8.0%	0.5%	-7.24B	65.84B	-6.75B	1.57	8.11	851,421	1,340,554	4,773,767	8,984,412