SPX Options History — July 2022

In July 2022, SPX traded between $3789.60 and $4137.98. ATM implied volatility averaged 22.7%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.3% (HV 20d: 24.1%). Max pain ranged from $4000.00 to $4050.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.32.

Notable Days

2022-07-29: Highest Volume — 2,733,514 contracts
2022-07-15: Largest IV drop — 10.8% change
2022-07-05: Highest IV Rank — 73.2%
2022-07-05: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3910.13	$3789.60	$4137.98	$3826.50	$4137.98
Max Pain	$4011.25	$4000.00	$4050.00	$4040.00	$4000.00
ATM IV	22.7%	18.5%	25.7%	24.7%	18.5%
Expected Move	6.5%	5.2%	7.2%	7.1%	5.2%
HV 20d	24.1%	18.3%	30.8%	30.7%	19.7%
HV 60d	28.6%	28.0%	29.1%	28.8%	28.3%
IV Rank	58.8%	38.2%	73.2%	68.2%	38.2%
IV Percentile	69.7%	49.6%	83.3%	79.8%	49.6%
Term Structure	0.3%	-0.3%	1.0%	0.4%	0.3%
VWIV	24.1%	20.2%	27.9%	25.5%	20.2%
Skew 25d	6.0%	4.5%	6.7%	5.9%	4.5%
Skew 10d	10.4%	9.1%	11.8%	10.2%	9.1%
Call IV 25d	19.8%	16.8%	22.4%	21.4%	16.8%
Put IV 25d	25.8%	21.3%	28.7%	27.3%	21.3%
Bid-Ask Spread %	6.99	5.47	9.43	9.43	7.76
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	-7.54B	-28.21B	20.14B	-18.65B	20.14B
Net DEX	235.43B	-452.41B	633.84B	518.64B	-452.41B
Net VEX	-6.38B	-6.61B	-6.12B	-6.32B	-6.48B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	1.15	1.48	1.36	1.32
Total Volume	2,205,323.75	1,866,160	2,733,514	2,123,601	2,733,514
Total OI	15,286,070.6	14,345,864	16,106,464	15,101,740	15,887,753

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
2022-07-01	$3826.50	$4040.00	24.7%	7.1%	30.7%	68.2%	25.5%	5.9%	0.4%	-18.65B	518.64B	-6.32B	1.36	9.43	900,595	1,223,006	5,663,734	9,438,006
2022-07-05	$3824.15	$4050.00	25.7%	7.2%	30.5%	73.2%	27.9%	6.3%	0.1%	-19.97B	521.55B	-6.24B	1.31	5.92	943,455	1,240,571	5,636,536	9,374,418
2022-07-06	$3857.13	$4050.00	25.0%	7.0%	30.7%	69.6%	25.6%	6.4%	-0.3%	-12.24B	425.86B	-6.33B	1.25	6.09	834,848	1,046,415	5,733,433	9,478,982
2022-07-07	$3900.63	$4035.00	24.0%	6.8%	30.8%	64.7%	25.1%	6.5%	-0.1%	-6.87B	309.48B	-6.46B	1.22	5.47	882,708	1,078,495	5,772,335	9,587,515
2022-07-08	$3905.11	$4025.00	22.3%	6.5%	30.7%	56.8%	23.6%	6.1%	0.6%	-7.89B	303.04B	-6.45B	1.33	6.58	921,755	1,229,927	5,850,837	9,758,982
2022-07-11	$3850.88	$4015.00	24.3%	7.0%	30.3%	66.1%	25.6%	6.1%	0.5%	-22.74B	464.76B	-6.28B	1.38	6.36	792,996	1,097,868	5,821,208	9,717,998
2022-07-12	$3810.78	$4010.00	25.2%	7.2%	28.7%	70.7%	26.5%	6.7%	0.2%	-26.95B	582.77B	-6.19B	1.38	7.95	832,228	1,149,964	5,852,198	9,826,856
2022-07-13	$3805.84	$4000.00	24.8%	7.0%	23.6%	68.7%	25.5%	6.7%	-0.2%	-28.21B	590.46B	-6.17B	1.31	7.16	1,042,691	1,366,209	5,942,872	9,950,296
2022-07-14	$3789.60	$4000.00	24.6%	7.0%	23.7%	67.6%	25.3%	6.3%	-0.2%	-26.67B	633.84B	-6.12B	1.24	7.28	1,148,597	1,420,544	6,015,071	10,091,393
2022-07-15	$3855.09	$4000.00	21.9%	6.4%	23.8%	54.9%	23.2%	6.1%	0.6%	1.05B	327.64B	-6.24B	1.25	6.96	939,284	1,173,835	5,366,541	9,116,078
2022-07-18	$3823.10	$4000.00	23.7%	6.9%	19.5%	63.3%	24.1%	6.4%	0.5%	-19.65B	408.12B	-6.23B	1.47	7.54	863,566	1,272,305	5,348,564	8,997,300
2022-07-19	$3936.41	$4000.00	22.5%	6.5%	21.7%	57.7%	24.8%	6.4%	0.0%	-1.23B	108.91B	-6.52B	1.15	6.43	1,187,622	1,367,367	5,411,102	9,096,053
2022-07-20	$3964.28	$4000.00	22.0%	6.3%	20.3%	55.3%	23.9%	5.8%	0.4%	7.66B	19.15B	-6.61B	1.29	6.11	1,089,561	1,404,477	5,582,964	9,334,785
2022-07-21	$3988.54	$4000.00	20.9%	6.0%	20.3%	50.0%	23.0%	5.3%	0.6%	7.22B	-38.26B	-6.59B	1.35	6.25	936,588	1,262,504	5,642,296	9,523,236
2022-07-22	$3953.49	$4000.00	20.6%	6.0%	20.6%	48.4%	22.5%	5.3%	1.0%	-1.94B	75.02B	-6.56B	1.48	6.57	944,829	1,401,563	5,676,978	9,666,373
2022-07-25	$3954.25	$4000.00	21.2%	6.1%	18.3%	51.4%	22.9%	5.4%	0.9%	-6.63B	95.03B	-6.46B	1.48	6.94	753,688	1,112,472	5,653,087	9,515,703
2022-07-26	$3918.20	$4000.00	22.5%	6.5%	18.6%	57.7%	23.3%	6.0%	0.7%	-15.80B	204.60B	-6.46B	1.32	6.95	812,574	1,072,212	5,689,612	9,589,925
2022-07-27	$4032.97	$4000.00	20.7%	5.9%	19.6%	49.0%	22.3%	5.8%	-0.1%	13.14B	-140.21B	-6.51B	1.27	8.62	919,967	1,170,068	5,788,571	9,709,991
2022-07-28	$4067.59	$4000.00	19.8%	5.6%	19.6%	44.5%	21.0%	5.0%	-0.0%	15.36B	-249.49B	-6.49B	1.28	7.35	1,110,449	1,425,158	5,828,460	9,783,370
2022-07-29	$4137.98	$4000.00	18.5%	5.2%	19.7%	38.2%	20.2%	4.5%	0.3%	20.14B	-452.41B	-6.48B	1.32	7.76	1,179,556	1,553,958	5,852,447	10,035,306