SPX Options History — May 2022

In May 2022, SPX traded between $3881.86 and $4295.52. ATM implied volatility averaged 26.6%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 4.4% (HV 20d: 30.9%). Max pain ranged from $4210.00 to $4400.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.46.

Notable Days

2022-05-20: Highest Volume — 2,715,053 contracts
2022-05-05: Largest IV spike — 27.7% change
2022-05-09: Highest IV Rank — 100.0%
2022-05-02: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4036.26	$3881.86	$4295.52	$4136.48	$4144.89
Max Pain	$4285.48	$4210.00	$4400.00	$4400.00	$4210.00
ATM IV	26.6%	22.0%	30.3%	27.8%	23.8%
Expected Move	7.8%	6.8%	8.8%	8.8%	7.2%
HV 20d	30.9%	23.2%	34.6%	23.6%	32.5%
HV 60d	25.2%	22.6%	26.7%	22.6%	26.3%
IV Rank	81.5%	59.0%	100.0%	88.3%	67.4%
IV Percentile	92.2%	79.8%	100.0%	98.4%	82.1%
Term Structure	0.1%	-0.9%	0.9%	0.1%	0.1%
VWIV	28.3%	24.9%	32.5%	32.5%	26.1%
Skew 25d	6.9%	5.1%	9.3%	9.3%	6.0%
Skew 10d	13.8%	10.5%	19.5%	19.5%	11.3%
Call IV 25d	23.2%	18.6%	26.6%	23.3%	21.0%
Put IV 25d	30.1%	25.8%	34.1%	32.6%	27.0%
Bid-Ask Spread %	9.16	7.24	13.77	9.70	9.10
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	-34.94B	-51.69B	-2.96B	-41.76B	-11.95B
Net DEX	770.20B	198.23B	1155.21B	689.78B	246.84B
Net VEX	-6.73B	-7.37B	-6.22B	-7.09B	-6.84B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	1.22	1.86	1.64	1.26
Total Volume	2,228,604.571	1,842,977	2,715,053	2,528,652	2,280,939
Total OI	16,056,630.429	14,997,278	17,197,271	14,997,278	16,589,506

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
2022-05-02	$4136.48	$4400.00	27.8%	8.8%	23.6%	88.3%	32.5%	9.3%	0.1%	-41.76B	689.78B	-7.09B	1.64	9.70	956,671	1,571,981	5,124,133	9,873,145
2022-05-03	$4163.39	$4400.00	26.1%	8.1%	23.2%	79.8%	30.3%	8.7%	0.0%	-34.75B	601.25B	-7.24B	1.58	8.78	731,972	1,156,558	5,275,723	9,889,154
2022-05-04	$4295.52	$4400.00	22.0%	6.8%	26.3%	59.0%	26.9%	7.7%	-0.1%	-15.88B	198.23B	-7.37B	1.49	10.13	771,805	1,149,833	5,370,349	10,044,901
2022-05-05	$4132.35	$4325.00	28.1%	8.0%	29.2%	89.9%	28.6%	9.1%	-0.5%	-38.71B	685.30B	-7.23B	1.50	9.45	737,104	1,105,873	5,382,899	10,102,879
2022-05-06	$4120.29	$4315.00	26.4%	7.7%	28.9%	81.0%	27.8%	7.9%	0.4%	-41.96B	713.35B	-7.17B	1.51	9.89	868,654	1,310,354	5,574,964	10,385,818
2022-05-09	$3994.90	$4300.00	30.3%	8.7%	30.4%	100.0%	31.0%	8.0%	0.4%	-47.75B	998.13B	-6.85B	1.54	7.67	872,702	1,340,495	5,494,262	10,171,194
2022-05-10	$3994.87	$4320.00	29.7%	8.5%	30.0%	97.1%	30.1%	7.6%	0.1%	-45.36B	975.68B	-6.63B	1.30	8.35	979,524	1,276,577	5,536,989	10,103,624
2022-05-11	$3937.75	$4300.00	29.4%	8.4%	30.2%	95.5%	30.0%	6.8%	-0.0%	-48.41B	1096.76B	-6.44B	1.54	7.24	872,605	1,344,911	5,670,392	10,194,355
2022-05-12	$3905.28	$4300.00	30.0%	8.6%	29.3%	98.5%	30.6%	6.9%	-0.2%	-48.35B	1155.05B	-6.29B	1.86	9.52	753,507	1,400,441	5,721,740	10,238,176
2022-05-13	$4025.28	$4300.00	26.2%	7.7%	32.0%	79.6%	27.8%	6.6%	0.9%	-37.11B	846.35B	-6.62B	1.39	9.78	1,006,295	1,396,024	5,940,403	10,527,300
2022-05-16	$4006.31	$4275.00	25.9%	7.5%	32.0%	77.7%	27.1%	6.1%	0.9%	-39.05B	884.42B	-6.39B	1.63	8.22	805,781	1,311,610	5,958,789	10,374,501
2022-05-17	$4079.55	$4275.00	24.2%	7.0%	31.9%	69.4%	25.2%	6.1%	0.4%	-30.48B	667.74B	-6.63B	1.28	8.28	919,711	1,178,691	5,999,949	10,509,482
2022-05-18	$3920.73	$4265.00	28.3%	8.1%	34.1%	90.0%	28.5%	7.3%	-0.8%	-51.69B	1136.17B	-6.31B	1.59	9.12	1,035,966	1,648,419	6,145,269	10,716,250
2022-05-19	$3915.90	$4250.00	26.6%	7.7%	34.0%	81.6%	27.3%	6.4%	-0.7%	-50.11B	1155.21B	-6.26B	1.50	9.18	1,031,549	1,549,043	6,216,943	10,980,328
2022-05-20	$3881.86	$4245.00	26.6%	7.8%	33.4%	81.4%	28.0%	7.0%	-0.9%	-42.33B	1058.24B	-6.22B	1.60	13.77	1,042,261	1,672,792	5,760,039	10,034,824
2022-05-23	$3959.63	$4230.00	25.9%	7.8%	34.6%	78.0%	27.9%	5.9%	0.4%	-29.92B	820.16B	-6.50B	1.44	9.12	905,727	1,305,566	5,758,574	10,081,732
2022-05-24	$3952.11	$4225.00	26.9%	8.0%	33.8%	82.7%	29.0%	5.5%	0.2%	-32.39B	824.90B	-6.60B	1.25	8.42	854,115	1,071,009	5,847,564	10,191,130
2022-05-25	$3981.18	$4225.00	26.3%	7.8%	34.0%	79.7%	28.0%	5.6%	-0.2%	-28.42B	736.67B	-6.65B	1.22	8.94	868,029	1,058,764	5,956,112	10,313,100
2022-05-26	$4066.52	$4220.00	24.8%	7.3%	33.8%	72.3%	26.3%	5.1%	0.0%	-14.35B	473.39B	-6.91B	1.22	9.13	979,836	1,194,769	6,049,801	10,411,555
2022-05-27	$4146.69	$4215.00	22.8%	6.8%	32.5%	62.5%	24.9%	5.3%	0.7%	-2.96B	210.48B	-7.07B	1.34	8.47	1,059,634	1,422,599	6,104,526	10,566,865
2022-05-31	$4144.89	$4210.00	23.8%	7.2%	32.5%	67.4%	26.1%	6.0%	0.1%	-11.95B	246.84B	-6.84B	1.26	9.10	1,011,351	1,269,588	6,089,449	10,500,057