SPX Options History — September 2022

In September 2022, SPX traded between $3607.15 and $4106.86. ATM implied volatility averaged 25.0%, placing in the 68.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.8% (HV 20d: 23.1%). Max pain ranged from $4000.00 to $4150.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2022-09-23: Highest Volume — 3,486,802 contracts
2022-09-13: Largest IV spike — 16.6% change
2022-09-27: Highest IV Rank — 92.1%
2022-09-27: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3852.41	$3607.15	$4106.86	$3945.97	$3607.15
Max Pain	$4058.33	$4000.00	$4150.00	$4000.00	$4000.00
ATM IV	25.0%	20.1%	29.8%	23.4%	27.7%
Expected Move	7.3%	6.0%	8.8%	6.8%	8.4%
HV 20d	23.1%	19.1%	26.1%	19.5%	26.1%
HV 60d	22.0%	20.9%	24.1%	24.1%	22.4%
IV Rank	68.6%	44.3%	92.1%	61.7%	82.1%
IV Percentile	78.4%	52.0%	97.6%	71.0%	93.3%
Term Structure	0.1%	-0.8%	0.7%	-0.2%	-0.0%
VWIV	26.2%	22.5%	31.2%	24.6%	29.2%
Skew 25d	5.9%	4.3%	7.3%	6.3%	6.5%
Skew 10d	11.2%	8.2%	14.7%	11.8%	13.4%
Call IV 25d	22.0%	18.2%	25.9%	20.5%	24.1%
Put IV 25d	27.8%	22.7%	33.3%	26.9%	30.6%
Bid-Ask Spread %	6.29	3.53	9.60	7.12	9.60
Gamma HHI	0.02	0.01	0.03	0.02	0.03
Net GEX	-31.14B	-51.78B	4.46B	-33.44B	-51.78B
Net DEX	509.71B	-270.38B	987.82B	437.82B	987.82B
Net VEX	-6.10B	-6.34B	-5.86B	-6.34B	-6.03B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	1.19	1.69	1.26	1.31
Total Volume	2,704,778.619	2,000,959	3,486,802	2,378,344	3,061,101
Total OI	16,634,604.762	14,583,469	18,735,900	16,933,669	17,143,350

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
2022-09-01	$3945.97	$4000.00	23.4%	6.8%	19.5%	61.7%	24.6%	6.3%	-0.2%	-33.44B	437.82B	-6.34B	1.26	7.12	1,053,487	1,324,857	6,249,464	10,684,205
2022-09-02	$3911.98	$4000.00	23.3%	6.9%	19.6%	61.2%	23.6%	6.3%	0.4%	-34.44B	545.83B	-6.25B	1.47	8.13	1,126,074	1,654,682	6,338,290	10,772,590
2022-09-06	$3912.61	$4150.00	24.1%	6.9%	19.6%	65.2%	25.1%	6.3%	0.1%	-33.83B	523.34B	-6.08B	1.42	4.35	1,109,057	1,579,723	6,280,655	10,763,699
2022-09-07	$3982.23	$4140.00	22.3%	6.4%	20.9%	55.2%	23.4%	5.8%	0.1%	-15.86B	254.74B	-6.19B	1.24	3.99	1,212,753	1,504,575	6,376,649	10,935,692
2022-09-08	$3990.28	$4110.00	21.7%	6.3%	19.1%	52.3%	23.0%	5.2%	0.1%	-13.66B	215.13B	-6.23B	1.19	4.19	1,054,665	1,259,925	6,528,522	11,100,184
2022-09-09	$4073.52	$4100.00	20.1%	6.0%	20.8%	44.3%	22.5%	4.5%	0.7%	3.42B	-141.03B	-6.25B	1.27	3.79	1,015,301	1,293,737	6,595,389	11,240,197
2022-09-12	$4106.86	$4100.00	21.4%	6.2%	20.0%	50.7%	24.0%	4.3%	0.5%	4.46B	-270.38B	-6.20B	1.54	3.53	941,805	1,449,895	6,575,102	11,222,654
2022-09-13	$3927.09	$4100.00	24.9%	7.2%	24.9%	68.3%	25.7%	6.0%	0.5%	-34.83B	504.49B	-6.18B	1.53	6.49	1,241,688	1,895,400	6,599,720	11,501,491
2022-09-14	$3946.01	$4100.00	24.0%	6.8%	25.0%	63.4%	24.3%	5.9%	-0.1%	-33.10B	401.14B	-6.13B	1.53	4.71	1,048,121	1,601,244	6,739,700	11,710,157
2022-09-15	$3901.35	$4100.00	24.3%	6.9%	25.0%	65.0%	24.6%	5.7%	-0.2%	-37.64B	563.97B	-6.04B	1.47	6.05	1,128,378	1,653,253	6,845,761	11,890,139
2022-09-16	$3868.34	$4100.00	24.5%	7.1%	24.9%	65.9%	25.0%	5.5%	0.4%	-34.68B	477.15B	-6.02B	1.42	5.59	1,173,320	1,665,439	5,143,457	9,499,479
2022-09-19	$3894.35	$4055.00	24.2%	7.0%	25.0%	64.4%	25.4%	5.1%	0.4%	-25.48B	369.64B	-6.05B	1.36	5.23	896,895	1,218,833	5,162,205	9,421,264
2022-09-20	$3868.30	$4050.00	25.4%	7.3%	24.1%	70.8%	26.8%	5.6%	0.2%	-28.01B	424.93B	-6.10B	1.25	6.03	1,037,152	1,298,371	5,274,286	9,490,138
2022-09-21	$3799.49	$4050.00	26.7%	7.7%	24.6%	77.0%	27.1%	5.6%	-0.5%	-37.16B	597.17B	-6.00B	1.22	7.33	902,949	1,098,010	5,378,167	9,620,735
2022-09-22	$3787.52	$4045.00	25.3%	7.3%	24.4%	69.9%	26.2%	4.8%	-0.4%	-39.63B	623.87B	-5.92B	1.48	6.62	1,117,277	1,649,587	5,464,279	9,751,528
2022-09-23	$3690.60	$4025.00	27.1%	8.0%	24.8%	78.9%	29.2%	6.1%	0.3%	-47.07B	856.57B	-5.86B	1.69	7.46	1,297,213	2,189,589	5,615,118	10,041,132
2022-09-26	$3669.67	$4000.00	28.6%	8.5%	23.1%	86.2%	30.4%	6.3%	0.2%	-40.74B	834.65B	-5.91B	1.40	7.28	1,191,558	1,673,498	5,665,356	10,205,858
2022-09-27	$3644.27	$4000.00	29.8%	8.8%	23.1%	92.1%	31.2%	7.3%	0.0%	-43.26B	901.00B	-5.98B	1.58	9.11	1,253,930	1,982,623	5,755,407	10,391,938
2022-09-28	$3731.98	$4000.00	27.3%	8.0%	25.0%	79.9%	28.2%	6.6%	-0.7%	-31.35B	678.86B	-6.27B	1.31	6.97	1,284,308	1,676,349	5,870,629	10,642,819
2022-09-29	$3640.94	$4000.00	28.3%	8.5%	26.1%	85.1%	30.2%	7.2%	-0.8%	-45.86B	917.27B	-6.06B	1.32	8.46	1,288,778	1,694,951	6,074,046	10,765,249
2022-09-30	$3607.15	$4000.00	27.7%	8.4%	26.1%	82.1%	29.2%	6.5%	-0.0%	-51.78B	987.82B	-6.03B	1.31	9.60	1,322,785	1,738,316	6,183,856	10,959,494