SPX Options History — October 2022

In October 2022, SPX traded between $3587.31 and $3898.93. ATM implied volatility averaged 27.6%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.2% (HV 20d: 27.8%). Max pain ranged from $3900.00 to $4000.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2022-10-13: Highest Volume — 3,808,683 contracts
2022-10-25: Largest IV drop — 5.3% change
2022-10-12: Highest IV Rank — 96.5%
2022-10-11: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3728.88	$3587.31	$3898.93	$3683.42	$3880.53
Max Pain	$3957.62	$3900.00	$4000.00	$4000.00	$3900.00
ATM IV	27.6%	24.1%	30.6%	27.2%	24.1%
Expected Move	8.1%	7.5%	8.6%	8.1%	7.8%
HV 20d	27.8%	24.5%	29.4%	27.6%	26.2%
HV 60d	24.0%	22.8%	24.7%	22.8%	24.7%
IV Rank	81.5%	64.1%	96.5%	79.5%	64.2%
IV Percentile	86.7%	61.5%	99.6%	91.3%	61.9%
Term Structure	-0.3%	-1.3%	0.5%	0.0%	0.1%
VWIV	29.5%	27.3%	31.4%	29.3%	27.9%
Skew 25d	4.9%	3.5%	6.5%	6.5%	3.5%
Skew 10d	9.9%	6.7%	13.3%	13.3%	6.7%
Call IV 25d	25.2%	22.3%	27.8%	23.9%	22.3%
Put IV 25d	30.1%	25.7%	33.5%	30.4%	25.7%
Bid-Ask Spread %	5.13	3.88	7.51	7.42	5.74
Gamma HHI	0.02	0.02	0.04	0.02	0.02
Net GEX	-18.15B	-49.90B	17.74B	-29.23B	6.95B
Net DEX	469.95B	-160.71B	933.32B	713.72B	-59.76B
Net VEX	-6.59B	-6.88B	-6.28B	-6.28B	-6.58B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.99	1.43	1.18	1.32
Total Volume	2,973,270.571	2,338,525	3,808,683	2,781,866	2,780,323
Total OI	17,920,029.429	16,438,173	19,222,537	16,438,173	18,210,326

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
2022-10-03	$3683.42	$4000.00	27.2%	8.1%	27.6%	79.5%	29.3%	6.5%	0.0%	-29.23B	713.72B	-6.28B	1.18	7.42	1,276,157	1,505,709	5,928,730	10,509,443
2022-10-04	$3780.14	$4000.00	26.1%	7.7%	29.4%	73.8%	28.0%	6.1%	0.0%	-12.34B	425.30B	-6.61B	1.18	7.18	1,404,566	1,663,478	6,094,111	10,651,882
2022-10-05	$3795.68	$4000.00	25.9%	7.6%	28.6%	73.0%	27.7%	6.2%	0.0%	-15.00B	403.16B	-6.69B	0.99	7.51	1,424,535	1,405,797	6,122,280	10,900,911
2022-10-06	$3748.08	$4000.00	27.1%	7.7%	28.8%	79.1%	31.1%	6.4%	-0.8%	-25.17B	538.86B	-6.60B	1.19	4.04	1,196,879	1,425,817	6,316,017	10,973,025
2022-10-07	$3634.18	$4000.00	28.0%	8.1%	28.9%	83.3%	29.8%	5.9%	0.3%	-49.90B	872.53B	-6.32B	1.08	5.60	1,555,471	1,685,651	6,415,874	11,135,582
2022-10-10	$3622.81	$4000.00	29.0%	8.3%	28.5%	88.7%	30.2%	5.9%	0.5%	-37.99B	854.87B	-6.32B	1.18	4.79	1,387,230	1,633,248	6,527,629	11,076,088
2022-10-11	$3587.31	$4000.00	30.6%	8.6%	24.7%	96.2%	30.4%	6.0%	0.1%	-40.24B	933.32B	-6.34B	1.17	5.11	1,412,118	1,651,711	6,696,475	11,213,469
2022-10-12	$3589.27	$4000.00	30.6%	8.6%	24.5%	96.5%	30.1%	5.5%	-0.7%	-37.98B	915.20B	-6.38B	1.23	4.95	1,046,820	1,291,705	6,848,950	11,352,350
2022-10-13	$3671.94	$4000.00	29.8%	8.4%	26.2%	92.4%	30.6%	4.9%	-1.0%	-22.66B	648.73B	-6.68B	1.17	4.95	1,752,558	2,056,125	6,934,939	11,444,434
2022-10-14	$3591.50	$3950.00	29.4%	8.4%	27.0%	90.6%	31.4%	5.0%	0.1%	-37.49B	887.63B	-6.38B	1.37	5.41	1,302,711	1,784,604	7,013,800	11,634,968
2022-10-17	$3684.95	$3950.00	28.8%	8.3%	28.8%	87.4%	30.6%	4.9%	0.0%	-21.74B	590.38B	-6.62B	1.43	3.98	1,178,249	1,686,709	7,050,697	11,527,271
2022-10-18	$3717.38	$3950.00	28.3%	8.2%	29.0%	84.8%	31.0%	4.7%	0.3%	-15.93B	497.41B	-6.73B	1.28	3.88	1,476,113	1,889,973	7,160,544	11,660,378
2022-10-19	$3686.72	$3950.00	28.9%	8.3%	28.5%	87.9%	29.7%	5.0%	-1.3%	-25.47B	607.52B	-6.66B	1.33	4.06	1,163,125	1,544,522	7,306,038	11,761,983
2022-10-20	$3662.34	$3940.00	28.2%	8.2%	28.6%	84.2%	29.2%	4.7%	-1.0%	-29.88B	695.24B	-6.47B	1.26	5.20	1,358,768	1,715,478	7,374,562	11,847,975
2022-10-21	$3755.03	$3925.00	27.7%	8.2%	28.6%	82.1%	29.4%	4.2%	0.2%	-4.34B	259.25B	-6.81B	1.26	3.94	1,370,328	1,727,893	6,630,801	10,705,333
2022-10-24	$3801.05	$3910.00	28.1%	8.4%	28.7%	84.2%	31.0%	3.6%	-0.6%	3.70B	119.18B	-6.87B	1.32	3.90	1,186,583	1,561,258	6,665,185	10,734,036
2022-10-25	$3860.11	$3925.00	26.6%	8.0%	28.9%	76.7%	28.7%	3.5%	-0.5%	8.03B	-45.30B	-6.88B	1.20	4.45	1,267,258	1,523,735	6,767,933	10,870,675
2022-10-26	$3839.15	$3910.00	25.8%	7.9%	28.0%	72.3%	28.9%	3.8%	-0.5%	-5.72B	36.16B	-6.79B	1.22	4.76	1,423,936	1,738,766	6,802,357	11,039,901
2022-10-27	$3816.04	$3900.00	25.2%	7.8%	26.4%	69.7%	27.6%	3.5%	-0.7%	-6.43B	136.21B	-6.71B	1.35	5.33	1,183,563	1,601,412	6,884,088	11,222,932
2022-10-28	$3898.93	$3900.00	24.1%	7.5%	26.9%	64.1%	27.3%	3.5%	0.0%	17.74B	-160.71B	-6.75B	1.21	5.47	1,449,282	1,748,518	6,941,479	11,365,167
2022-10-31	$3880.53	$3900.00	24.1%	7.8%	26.2%	64.2%	27.9%	3.5%	0.1%	6.95B	-59.76B	-6.58B	1.32	5.74	1,200,547	1,579,776	6,877,961	11,332,365