SPX Options History — April 2022

In April 2022, SPX traded between $4149.73 and $4575.72. ATM implied volatility averaged 20.4%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.5% (HV 20d: 18.9%). Max pain ranged from $4405.00 to $4450.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.67.

Notable Days

2022-04-25: Highest Volume — 2,561,861 contracts
2022-04-11: Largest IV spike — 19.0% change
2022-04-29: Highest IV Rank — 87.5%
2022-04-29: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4395.09	$4149.73	$4575.72	$4521.56	$4149.73
Max Pain	$4436.00	$4405.00	$4450.00	$4445.00	$4405.00
ATM IV	20.4%	14.8%	27.7%	16.2%	27.7%
Expected Move	6.0%	4.6%	8.4%	5.1%	8.4%
HV 20d	18.9%	16.6%	23.7%	21.6%	23.7%
HV 60d	21.5%	21.0%	23.0%	21.0%	23.0%
IV Rank	50.6%	22.5%	87.5%	29.6%	87.5%
IV Percentile	81.0%	56.7%	98.4%	68.3%	98.4%
Term Structure	0.1%	-1.1%	1.2%	1.1%	-1.1%
VWIV	23.8%	19.7%	30.6%	20.4%	30.3%
Skew 25d	8.1%	5.7%	10.2%	6.3%	9.9%
Skew 10d	15.7%	11.7%	21.3%	12.8%	21.0%
Call IV 25d	16.6%	12.0%	23.5%	13.5%	23.5%
Put IV 25d	24.7%	17.7%	33.3%	19.8%	33.3%
Bid-Ask Spread %	6.73	4.78	12.78	5.19	9.49
Gamma HHI	0.02	0.01	0.07	0.01	0.02
Net GEX	-22.44B	-48.62B	35.56B	-10.52B	-47.99B
Net DEX	114.71B	-408.66B	737.16B	-240.02B	737.16B
Net VEX	-9.46B	-59.39B	-3.96B	-6.94B	-7.12B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	1.41	1.90	1.63	1.80
Total Volume	1,866,107.3	1,400,796	2,561,861	2,001,286	2,263,814
Total OI	14,274,493.15	13,388,773	15,521,502	13,695,548	15,521,502

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
2022-04-01	$4521.56	$4445.00	16.2%	5.1%	21.6%	29.6%	20.4%	6.3%	1.1%	-10.52B	-240.02B	-6.94B	1.63	5.19	762,302	1,238,984	4,498,821	9,196,727
2022-04-04	$4575.72	$4445.00	14.8%	4.6%	19.5%	22.5%	21.1%	5.7%	1.2%	35.56B	-408.66B	-59.39B	1.73	4.78	627,259	1,087,872	4,509,988	9,108,670
2022-04-05	$4522.54	$4450.00	17.3%	5.1%	19.9%	34.9%	23.6%	7.4%	0.3%	-5.71B	-230.27B	-6.95B	1.90	5.09	496,412	944,924	4,546,954	9,206,286
2022-04-06	$4482.79	$4450.00	18.6%	5.4%	18.6%	41.4%	23.7%	8.0%	0.1%	-24.77B	-87.61B	-7.00B	1.57	5.97	793,854	1,244,505	4,651,627	9,519,243
2022-04-07	$4516.71	$4450.00	17.6%	5.1%	18.2%	36.4%	23.3%	7.7%	-0.0%	-3.16B	-217.97B	-7.02B	1.66	5.81	538,794	891,797	4,718,774	9,614,152
2022-04-08	$4501.21	$4450.00	17.1%	5.1%	17.8%	33.9%	23.1%	7.5%	0.5%	-7.41B	-176.01B	-7.03B	1.64	5.79	682,544	1,122,637	4,851,061	9,802,612
2022-04-11	$4415.85	$4450.00	20.3%	5.9%	19.0%	50.3%	24.1%	8.3%	0.4%	-30.64B	104.82B	-6.94B	1.76	6.64	690,915	1,213,783	4,760,541	9,647,452
2022-04-12	$4391.89	$4450.00	20.9%	6.0%	18.0%	53.1%	22.8%	8.6%	0.1%	-32.68B	174.08B	-6.99B	1.74	6.26	609,419	1,063,052	4,847,219	9,804,362
2022-04-13	$4452.72	$4450.00	18.0%	5.2%	17.6%	38.5%	20.5%	7.3%	0.1%	-13.81B	-37.79B	-6.95B	1.63	5.45	763,245	1,247,252	4,943,286	10,140,046
2022-04-14	$4402.74	$4450.00	18.9%	5.5%	17.1%	42.9%	21.5%	7.3%	-0.3%	-28.52B	110.71B	-6.98B	1.68	6.33	702,289	1,183,100	4,474,464	9,016,928
2022-04-18	$4374.75	$4430.00	19.9%	5.8%	16.6%	48.2%	22.5%	7.3%	0.5%	-30.27B	171.18B	-6.80B	1.71	6.34	652,467	1,113,842	4,437,352	8,951,421
2022-04-19	$4459.75	$4430.00	17.8%	5.1%	18.1%	37.6%	20.2%	6.9%	0.3%	-6.80B	-89.28B	-6.88B	1.49	5.90	563,139	837,657	4,472,550	9,075,352
2022-04-20	$4469.82	$4430.00	17.5%	5.0%	17.1%	36.3%	19.7%	7.1%	0.1%	-3.34B	-125.88B	-3.96B	1.64	6.47	653,850	1,074,393	4,634,972	9,352,764
2022-04-21	$4394.26	$4430.00	20.1%	5.8%	17.8%	49.0%	21.6%	7.7%	-0.1%	-27.43B	127.82B	-6.95B	1.86	6.73	576,479	1,070,866	4,613,535	9,364,466
2022-04-22	$4298.92	$4430.00	23.1%	6.8%	19.0%	64.5%	25.5%	9.2%	0.4%	-48.62B	431.24B	-6.99B	1.85	7.01	890,826	1,646,432	4,721,157	9,681,752
2022-04-25	$4292.59	$4425.00	23.7%	7.0%	18.8%	67.5%	26.6%	9.2%	0.3%	-40.10B	412.20B	-6.92B	1.58	7.50	992,544	1,569,317	4,713,323	9,511,708
2022-04-26	$4192.64	$4425.00	27.3%	8.1%	19.8%	85.7%	30.6%	10.1%	-0.1%	-47.52B	656.51B	-6.94B	1.41	8.02	839,584	1,182,389	4,841,534	9,690,208
2022-04-27	$4192.71	$4420.00	26.7%	7.9%	18.5%	82.6%	28.4%	10.2%	-1.0%	-45.72B	648.50B	-7.01B	1.71	7.12	695,142	1,185,185	5,027,573	9,893,600
2022-04-28	$4292.88	$4405.00	24.1%	7.1%	21.0%	69.5%	26.2%	9.5%	-0.8%	-29.39B	333.56B	-7.37B	1.49	12.78	646,640	962,641	5,106,428	10,019,453
2022-04-29	$4149.73	$4405.00	27.7%	8.4%	23.7%	87.5%	30.3%	9.9%	-1.1%	-47.99B	737.16B	-7.12B	1.80	9.49	808,789	1,455,025	5,263,727	10,257,775