SPX Options History — February 2022

In February 2022, SPX traded between $4230.61 and $4589.57. ATM implied volatility averaged 21.7%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.0% (HV 20d: 20.7%). Max pain ranged from $4450.00 to $4510.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.50.

Notable Days

  • 2022-02-11: Highest Volume — 2,302,845 contracts
  • 2022-02-03: Largest IV spike — 25.4% change
  • 2022-02-23: Highest IV Rank — 100.0%
  • 2022-02-23: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4434.82$4230.61$4589.57$4543.66$4351.39
Max Pain$4492.63$4450.00$4510.00$4510.00$4450.00
ATM IV21.7%16.6%27.0%18.2%25.3%
Expected Move6.4%5.0%8.0%5.4%7.8%
HV 20d20.7%17.8%23.7%17.8%23.4%
HV 60d17.6%15.9%19.0%15.9%19.0%
IV Rank69.9%38.4%100.0%48.6%90.1%
IV Percentile92.6%75.0%100.0%86.1%97.2%
Term Structure0.3%-0.6%1.3%0.3%0.0%
VWIV24.2%19.3%29.7%21.7%29.7%
Skew 25d8.7%6.8%10.4%7.4%9.7%
Skew 10d16.8%13.4%19.9%14.3%19.1%
Call IV 25d17.9%14.1%22.6%15.3%21.0%
Put IV 25d26.7%20.9%31.6%22.7%30.7%
Bid-Ask Spread %7.915.4011.448.0911.44
Gamma HHI0.030.010.280.010.28
Net GEX-20.51B-48.22B36.54B-7.68B36.54B
Net DEX225.43B-235.98B734.31B-66.83B326.41B
Net VEX-6.89B-10.51B-6.27B-6.73B-10.51B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.501.191.911.491.38
Total Volume1,846,819.6321,390,7142,302,8451,411,4011,869,836
Total OI14,342,527.57913,569,77315,206,13613,569,77314,718,501

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$4543.66$4510.0018.2%5.4%17.8%48.6%21.7%7.4%0.3%-7.68B-66.83B-6.73B1.498.09566,142845,2594,673,8798,895,894
2022-02-02$4589.57$4510.0016.9%5.0%18.3%40.4%19.6%7.0%0.3%10.06B-220.75B-6.78B1.419.15767,7001,079,6764,791,7089,114,312
2022-02-03$4482.26$4500.0021.2%6.1%19.1%67.1%23.3%8.9%-0.1%-20.52B159.70B-6.93B1.605.40534,460856,2544,788,2309,075,125
2022-02-04$4517.96$4500.0018.6%5.6%19.5%51.3%22.4%7.8%0.6%-12.25B25.18B-6.89B1.375.94808,0471,107,3214,926,7559,317,474
2022-02-07$4485.84$4500.0019.5%5.8%19.5%56.6%22.4%7.6%0.6%-23.45B133.84B-6.71B1.467.06708,7681,034,6944,791,6329,109,753
2022-02-08$4515.00$4500.0018.3%5.5%19.7%48.9%20.9%7.3%0.1%-14.98B18.28B-6.69B1.555.64559,409867,8344,868,6189,203,193
2022-02-09$4580.66$4500.0016.6%5.0%20.0%38.4%19.3%6.8%0.9%12.12B-235.98B-6.66B1.475.62754,1321,111,4784,964,2299,408,452
2022-02-10$4492.36$4500.0020.7%6.1%20.8%64.2%22.3%8.6%0.8%-22.81B106.78B-6.81B1.496.66688,7641,028,5884,990,1379,484,158
2022-02-11$4417.34$4500.0023.2%7.0%21.1%79.9%25.4%10.3%1.3%-48.22B382.86B-6.89B1.749.21839,6291,463,2165,109,1769,804,011
2022-02-14$4397.39$4500.0024.4%7.1%21.1%86.9%26.0%10.4%1.1%-41.18B414.95B-6.74B1.617.82759,8771,220,7004,994,4949,636,823
2022-02-15$4455.76$4500.0021.8%6.3%20.9%70.9%23.8%9.5%-0.3%-26.93B202.93B-6.72B1.916.62517,923989,5535,070,8469,622,539
2022-02-16$4482.44$4500.0020.3%5.8%21.1%61.4%22.9%8.8%-0.2%-18.10B89.88B-6.67B1.627.01679,5441,099,0675,208,8589,928,451
2022-02-17$4394.18$4500.0023.4%6.7%21.8%80.8%24.5%10.0%-0.4%-40.74B411.37B-6.64B1.608.77676,6871,080,7885,247,3539,958,783
2022-02-18$4361.65$4500.0023.8%7.0%20.7%83.7%25.5%9.6%0.3%-38.15B435.99B-6.60B1.539.20834,7041,278,4774,840,5629,032,900
2022-02-22$4310.21$4490.0025.4%7.6%21.0%93.4%27.1%9.4%0.1%-39.68B537.06B-6.41B1.389.72878,2071,214,7254,863,6818,980,540
2022-02-23$4230.61$4480.0027.0%8.0%21.9%100.0%27.0%9.0%-0.5%-44.07B734.31B-6.27B1.199.69975,4121,160,8434,947,1439,058,003
2022-02-24$4275.53$4470.0025.6%7.6%22.1%91.8%29.1%9.1%-0.6%-38.11B598.40B-6.46B1.449.30798,4321,150,2035,117,9669,154,272
2022-02-25$4377.72$4450.0022.6%6.9%23.7%73.7%25.7%8.7%0.7%-11.60B228.76B-6.76B1.278.031,006,2801,276,9445,391,6839,417,890
2022-02-28$4351.39$4450.0025.3%7.8%23.4%90.1%29.7%9.7%0.0%36.54B326.41B-10.51B1.3811.44785,6461,084,1905,343,5299,374,972