SPX Options History — August 2022

In August 2022, SPX traded between $3977.45 and $4310.42. ATM implied volatility averaged 19.5%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.4% (HV 20d: 19.1%). Max pain ranged from $3945.00 to $4010.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.35.

Notable Days

2022-08-30: Highest Volume — 2,664,693 contracts
2022-08-22: Largest IV spike — 18.6% change
2022-08-30: Highest IV Rank — 62.8%
2022-08-30: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4160.78	$3977.45	$4310.42	$4120.18	$3977.45
Max Pain	$3986.52	$3945.00	$4010.00	$4000.00	$4000.00
ATM IV	19.5%	16.3%	23.6%	20.0%	23.1%
Expected Move	5.7%	4.9%	6.9%	5.7%	6.7%
HV 20d	19.1%	16.8%	20.3%	19.7%	19.4%
HV 60d	24.7%	23.3%	27.5%	27.5%	24.1%
IV Rank	43.1%	27.9%	62.8%	45.8%	60.2%
IV Percentile	52.7%	35.3%	71.8%	56.7%	69.8%
Term Structure	0.4%	-0.6%	1.4%	0.3%	-0.2%
VWIV	20.9%	17.8%	24.3%	21.5%	23.9%
Skew 25d	5.3%	3.8%	6.5%	5.6%	6.2%
Skew 10d	10.6%	7.5%	13.1%	10.7%	12.2%
Call IV 25d	17.1%	14.8%	20.6%	17.7%	20.1%
Put IV 25d	22.4%	18.7%	26.9%	23.3%	26.3%
Bid-Ask Spread %	5.39	3.91	7.92	6.79	7.35
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	2.60B	-32.40B	32.97B	8.85B	-29.30B
Net DEX	-333.72B	-854.61B	362.18B	-323.06B	362.18B
Net VEX	-6.55B	-6.68B	-6.34B	-6.60B	-6.34B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	1.16	1.59	1.39	1.34
Total Volume	2,158,655.13	1,477,163	2,664,693	2,257,867	2,527,788
Total OI	16,659,280	15,445,581	18,008,847	15,445,581	17,060,080

Daily Data (23 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
2022-08-01	$4120.18	$4000.00	20.0%	5.7%	19.7%	45.8%	21.5%	5.6%	0.3%	8.85B	-323.06B	-6.60B	1.39	6.79	943,864	1,314,003	5,725,922	9,719,659
2022-08-02	$4104.29	$4000.00	20.9%	6.0%	19.9%	49.8%	22.9%	6.5%	0.3%	2.84B	-248.84B	-6.67B	1.35	7.31	963,827	1,302,857	5,784,960	9,897,320
2022-08-03	$4164.92	$4010.00	19.3%	5.4%	20.2%	42.4%	20.7%	5.4%	-0.1%	15.46B	-454.47B	-6.60B	1.17	7.92	1,058,353	1,234,695	5,868,391	10,100,043
2022-08-04	$4148.66	$3945.00	19.3%	5.7%	20.2%	42.3%	21.4%	5.4%	-0.2%	10.24B	-383.62B	-6.65B	1.25	4.07	873,527	1,091,303	5,968,032	10,213,731
2022-08-05	$4140.80	$3950.00	18.2%	5.5%	20.2%	37.0%	20.9%	5.3%	-0.6%	7.08B	-365.68B	-6.59B	1.35	4.62	987,871	1,331,555	6,001,734	10,360,441
2022-08-08	$4142.89	$3950.00	18.5%	5.6%	19.3%	38.2%	21.0%	5.3%	0.4%	6.94B	-350.16B	-6.54B	1.59	4.25	931,185	1,479,659	5,949,788	10,280,058
2022-08-09	$4119.63	$3950.00	19.1%	5.7%	18.9%	41.5%	21.2%	5.7%	0.3%	-2.85B	-263.96B	-6.62B	1.41	4.25	612,003	865,160	6,075,159	10,462,973
2022-08-10	$4208.73	$3950.00	17.1%	5.1%	19.7%	31.9%	19.6%	4.5%	0.7%	25.25B	-570.86B	-6.49B	1.45	3.91	915,191	1,327,837	6,108,289	10,556,891
2022-08-11	$4202.07	$3960.00	17.7%	5.2%	19.6%	34.6%	19.3%	4.7%	0.7%	19.58B	-534.57B	-6.60B	1.31	4.04	1,019,208	1,335,579	6,187,878	10,652,461
2022-08-12	$4272.61	$3975.00	16.3%	5.0%	19.5%	27.9%	18.8%	3.9%	1.1%	32.55B	-781.37B	-6.51B	1.48	4.30	831,462	1,233,115	6,311,829	10,905,046
2022-08-15	$4298.97	$4000.00	17.3%	5.1%	18.9%	32.5%	19.2%	3.8%	1.1%	32.97B	-822.60B	-6.45B	1.18	4.15	912,881	1,077,551	6,315,980	10,949,874
2022-08-16	$4310.42	$4000.00	17.1%	5.0%	16.8%	31.3%	18.8%	4.3%	0.4%	30.97B	-854.61B	-6.51B	1.22	4.48	987,452	1,204,086	6,417,007	11,107,891
2022-08-17	$4274.04	$4000.00	18.1%	5.2%	17.4%	36.1%	18.9%	4.6%	0.8%	13.48B	-716.81B	-6.52B	1.32	5.29	1,078,990	1,423,912	6,498,171	11,339,441
2022-08-18	$4288.26	$4000.00	17.3%	4.9%	17.3%	32.3%	17.8%	4.4%	0.9%	21.66B	-770.65B	-6.40B	1.26	4.69	895,947	1,132,457	6,532,327	11,476,520
2022-08-19	$4227.10	$4000.00	17.9%	5.2%	18.0%	35.2%	19.4%	4.9%	1.4%	-3.85B	-435.36B	-6.67B	1.40	4.99	863,497	1,209,229	6,013,181	10,373,047
2022-08-22	$4133.02	$4000.00	21.3%	6.1%	20.2%	51.4%	22.7%	5.6%	1.1%	-21.67B	-113.95B	-6.65B	1.53	5.37	851,869	1,299,712	5,959,738	10,221,012
2022-08-23	$4131.02	$4000.00	21.3%	6.0%	19.7%	51.4%	21.3%	5.7%	0.4%	-17.41B	-121.01B	-6.68B	1.27	5.79	774,376	986,580	5,995,246	10,399,939
2022-08-24	$4148.23	$4000.00	20.4%	5.7%	17.2%	47.3%	20.3%	5.6%	0.1%	-8.37B	-203.17B	-6.51B	1.25	5.51	745,850	929,358	6,079,755	10,481,109
2022-08-25	$4191.52	$4000.00	19.7%	5.4%	17.3%	43.6%	19.9%	5.2%	0.1%	5.89B	-355.81B	-6.52B	1.16	5.57	830,898	963,272	6,094,688	10,512,240
2022-08-26	$4063.69	$4000.00	22.5%	6.4%	19.8%	57.3%	22.4%	6.1%	0.3%	-30.08B	116.58B	-6.62B	1.33	6.21	1,066,233	1,420,280	6,158,940	10,604,895
2022-08-29	$4043.15	$4000.00	22.9%	6.6%	19.8%	59.5%	23.8%	6.0%	0.2%	-27.96B	166.81B	-6.45B	1.49	6.00	864,345	1,285,558	6,140,689	10,516,406
2022-08-30	$3986.18	$4000.00	23.6%	6.9%	20.3%	62.8%	24.3%	6.3%	0.3%	-32.40B	349.39B	-6.36B	1.46	7.00	1,084,818	1,579,875	6,207,707	10,576,952
2022-08-31	$3977.45	$4000.00	23.1%	6.7%	19.4%	60.2%	23.9%	6.2%	-0.2%	-29.30B	362.18B	-6.34B	1.34	7.35	1,078,744	1,449,044	6,274,783	10,785,297