SPX Options History — June 2022

In June 2022, SPX traded between $3658.82 and $4165.55. ATM implied volatility averaged 25.5%, placing in the 73.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.2% (HV 20d: 29.7%). Max pain ranged from $4050.00 to $4260.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.40.

Notable Days

2022-06-16: Highest Volume — 3,042,456 contracts
2022-06-13: Largest IV spike — 23.7% change
2022-06-13: Highest IV Rank — 100.0%
2022-06-13: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3900.98	$3658.82	$4165.55	$4119.84	$3784.21
Max Pain	$4159.52	$4050.00	$4260.00	$4205.00	$4050.00
ATM IV	25.5%	21.7%	31.3%	23.4%	26.4%
Expected Move	7.4%	6.3%	9.1%	7.0%	7.6%
HV 20d	29.7%	25.5%	32.5%	32.5%	30.7%
HV 60d	27.2%	25.5%	28.9%	25.9%	28.7%
IV Rank	73.3%	56.6%	100.0%	65.6%	76.2%
IV Percentile	85.9%	75.8%	100.0%	81.3%	87.7%
Term Structure	0.2%	-0.7%	1.1%	-0.4%	-0.4%
VWIV	27.1%	24.4%	32.4%	25.4%	27.2%
Skew 25d	5.9%	5.1%	7.5%	6.0%	6.3%
Skew 10d	11.5%	9.5%	16.1%	11.0%	11.3%
Call IV 25d	22.6%	19.0%	27.3%	20.6%	23.3%
Put IV 25d	28.5%	24.5%	34.3%	26.7%	29.6%
Bid-Ask Spread %	7.35	4.45	11.89	9.20	8.15
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	-29.09B	-60.35B	-7.48B	-15.63B	-30.67B
Net DEX	721.62B	179.56B	1610.96B	335.81B	696.95B
Net VEX	-6.21B	-6.86B	-5.57B	-6.79B	-6.21B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	1.19	1.78	1.50	1.19
Total Volume	2,365,562.333	1,893,268	3,042,456	2,339,868	2,587,257
Total OI	16,355,313.619	14,336,267	18,581,968	16,472,443	15,759,625

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
2022-06-01	$4119.84	$4205.00	23.4%	7.0%	32.5%	65.6%	25.4%	6.0%	-0.4%	-15.63B	335.81B	-6.79B	1.50	9.20	937,508	1,402,360	6,071,105	10,401,338
2022-06-02	$4165.55	$4260.00	22.4%	6.4%	30.6%	60.6%	24.7%	5.9%	-0.4%	-7.48B	179.56B	-6.86B	1.39	4.45	888,024	1,230,140	6,078,432	10,611,930
2022-06-03	$4103.45	$4250.00	22.8%	6.6%	27.8%	62.5%	24.9%	5.9%	-0.7%	-19.81B	406.39B	-6.73B	1.46	5.05	835,750	1,223,099	6,198,386	10,815,664
2022-06-06	$4120.22	$4250.00	22.6%	6.6%	27.8%	61.3%	25.1%	5.7%	0.4%	-16.77B	352.20B	-6.63B	1.53	5.43	747,680	1,145,588	6,147,103	10,658,324
2022-06-07	$4159.60	$4250.00	21.7%	6.3%	25.5%	56.6%	24.4%	5.5%	0.3%	-8.39B	208.08B	-6.63B	1.49	4.98	825,642	1,232,539	6,176,033	10,783,177
2022-06-08	$4118.83	$4250.00	22.1%	6.4%	25.8%	58.8%	25.0%	5.9%	0.3%	-18.30B	361.57B	-6.54B	1.40	5.24	823,979	1,152,400	6,303,570	10,970,731
2022-06-09	$4035.24	$4230.00	24.2%	6.9%	26.4%	69.2%	25.5%	6.0%	-0.0%	-39.13B	676.72B	-6.41B	1.49	7.32	862,713	1,288,462	6,335,818	11,059,398
2022-06-10	$3918.20	$4230.00	25.3%	7.5%	28.4%	75.1%	27.0%	5.7%	0.9%	-60.35B	1080.56B	-6.08B	1.65	8.92	1,108,647	1,830,511	6,432,673	11,173,662
2022-06-13	$3745.05	$4200.00	31.3%	9.1%	30.3%	100.0%	32.4%	6.8%	0.8%	-54.57B	1471.62B	-5.73B	1.78	8.94	1,087,644	1,940,728	6,459,218	11,148,217
2022-06-14	$3737.73	$4200.00	29.1%	8.4%	30.4%	89.1%	29.5%	6.1%	0.3%	-50.56B	1459.64B	-5.69B	1.29	7.37	1,196,031	1,537,971	6,693,643	11,306,752
2022-06-15	$3797.54	$4160.00	27.2%	7.8%	30.1%	80.0%	28.2%	5.8%	-0.4%	-43.94B	1301.31B	-5.86B	1.34	11.89	969,015	1,302,719	6,904,585	11,434,800
2022-06-16	$3658.82	$4150.00	29.9%	8.6%	29.8%	93.4%	32.1%	7.5%	-0.6%	-53.21B	1610.96B	-5.57B	1.57	9.86	1,185,949	1,856,507	7,049,029	11,532,939
2022-06-17	$3678.96	$4115.00	27.4%	8.0%	29.9%	81.2%	28.9%	5.9%	0.4%	-40.79B	956.17B	-5.75B	1.35	7.08	1,106,333	1,488,824	5,306,706	9,204,841
2022-06-21	$3770.42	$4100.00	26.9%	7.8%	31.4%	78.8%	28.8%	5.5%	-0.0%	-26.97B	715.93B	-5.96B	1.32	8.42	976,109	1,285,539	5,272,465	9,063,802
2022-06-22	$3764.22	$4100.00	26.4%	7.7%	30.4%	76.5%	27.7%	5.5%	0.3%	-27.76B	719.93B	-5.93B	1.21	7.42	1,035,588	1,249,549	5,440,359	9,107,375
2022-06-23	$3794.95	$4100.00	26.2%	7.6%	30.6%	75.3%	27.1%	5.7%	0.4%	-22.36B	645.54B	-6.06B	1.20	7.41	937,173	1,120,692	5,507,302	9,220,031
2022-06-24	$3900.46	$4075.00	24.1%	7.1%	32.2%	65.4%	26.7%	5.1%	1.1%	-7.80B	376.86B	-6.34B	1.35	7.02	1,090,668	1,467,710	5,586,145	9,358,513
2022-06-27	$3904.44	$4065.00	24.3%	7.1%	31.1%	66.4%	26.0%	5.1%	1.1%	-12.62B	376.56B	-6.33B	1.33	6.26	881,315	1,171,016	5,656,036	9,473,847
2022-06-28	$3825.83	$4060.00	25.7%	7.4%	30.7%	73.0%	26.7%	5.8%	0.3%	-26.11B	602.16B	-6.16B	1.38	7.56	1,048,008	1,450,927	5,688,907	9,569,382
2022-06-29	$3817.05	$4050.00	26.1%	7.5%	30.7%	74.7%	26.5%	5.9%	-0.4%	-27.62B	619.43B	-6.13B	1.24	6.43	969,202	1,199,293	5,787,685	9,712,038
2022-06-30	$3784.21	$4050.00	26.4%	7.6%	30.7%	76.2%	27.2%	6.3%	-0.4%	-30.67B	696.95B	-6.21B	1.19	8.15	1,180,987	1,406,270	5,918,284	9,841,341