SPX Options History — November 2022

In November 2022, SPX traded between $3731.73 and $4057.68. ATM implied volatility averaged 21.8%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 4.3% (HV 20d: 26.1%). Max pain ranged from $3865.00 to $3900.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.36.

Notable Days

2022-11-10: Highest Volume — 3,510,027 contracts
2022-11-14: Largest IV spike — 11.1% change
2022-11-02: Highest IV Rank — 66.1%
2022-11-01: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3918.50	$3731.73	$4057.68	$3859.07	$4057.68
Max Pain	$3884.76	$3865.00	$3900.00	$3900.00	$3900.00
ATM IV	21.8%	18.6%	24.5%	24.3%	19.2%
Expected Move	6.6%	5.6%	7.8%	7.8%	6.3%
HV 20d	26.1%	23.3%	29.7%	24.9%	27.0%
HV 60d	26.0%	24.6%	27.3%	24.7%	26.8%
IV Rank	50.3%	33.0%	66.1%	64.9%	36.5%
IV Percentile	44.3%	23.8%	65.5%	63.5%	25.4%
Term Structure	0.0%	-0.9%	1.3%	0.2%	-0.0%
VWIV	23.7%	20.1%	27.6%	27.6%	22.9%
Skew 25d	3.8%	2.8%	4.8%	3.5%	3.7%
Skew 10d	7.4%	4.8%	9.3%	6.7%	7.1%
Call IV 25d	19.8%	16.7%	22.7%	22.4%	17.2%
Put IV 25d	23.6%	20.9%	26.2%	25.9%	20.9%
Bid-Ask Spread %	5.99	5.10	8.57	6.33	6.28
Gamma HHI	0.02	0.01	0.04	0.02	0.02
Net GEX	1.87B	-29.66B	28.61B	-4.85B	28.61B
Net DEX	-126.08B	-591.24B	462.06B	29.60B	-591.24B
Net VEX	-6.37B	-7.95B	-5.94B	-6.59B	-5.94B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	1.20	1.57	1.25	1.29
Total Volume	2,621,553.143	782,109	3,510,027	2,575,546	2,798,078
Total OI	18,340,067.81	17,676,749	19,631,241	17,676,749	18,517,100

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
2022-11-01	$3859.07	$3900.00	24.3%	7.8%	24.9%	64.9%	27.6%	3.5%	0.2%	-4.85B	29.60B	-6.59B	1.25	6.33	1,146,911	1,428,635	6,644,534	11,032,215
2022-11-02	$3776.51	$3900.00	24.5%	7.7%	26.1%	66.1%	27.1%	3.3%	-0.3%	-23.24B	327.25B	-6.49B	1.39	8.57	1,042,171	1,443,356	6,652,618	11,142,151
2022-11-03	$3731.73	$3875.00	23.9%	7.2%	26.1%	63.4%	25.5%	2.8%	-0.6%	-29.66B	462.06B	-6.27B	1.41	5.63	1,174,554	1,650,838	6,683,650	11,264,221
2022-11-04	$3767.18	$3870.00	23.1%	7.1%	23.6%	58.3%	25.1%	2.8%	0.1%	-19.08B	342.02B	-6.46B	1.36	5.78	1,399,864	1,907,149	6,783,256	11,392,452
2022-11-07	$3808.60	$3865.00	22.9%	7.0%	23.7%	57.4%	25.0%	2.8%	0.1%	-3.54B	184.77B	-6.37B	1.28	5.58	1,104,033	1,418,441	6,722,698	11,363,682
2022-11-08	$3840.85	$3865.00	23.5%	7.1%	23.3%	59.3%	24.9%	3.4%	0.1%	8.89B	77.00B	-6.44B	1.20	6.28	1,400,419	1,680,222	6,804,701	11,450,395
2022-11-09	$3752.52	$3865.00	24.3%	7.4%	25.2%	63.0%	26.2%	3.7%	1.3%	-26.47B	414.36B	-6.41B	1.31	5.85	1,138,544	1,489,152	6,815,708	11,611,697
2022-11-10	$3946.92	$3865.00	21.6%	6.7%	29.7%	49.2%	24.4%	3.1%	-0.1%	19.28B	-293.09B	-6.42B	1.42	6.18	1,452,217	2,057,810	6,885,334	11,682,188
2022-11-11	$3997.82	$3870.00	19.9%	6.3%	28.2%	40.0%	23.4%	3.4%	1.1%	18.52B	-446.46B	-7.95B	1.24	5.73	1,427,240	1,764,678	6,928,255	11,890,325
2022-11-14	$3977.65	$3870.00	22.1%	6.4%	27.4%	51.6%	23.2%	4.3%	0.1%	11.61B	-337.67B	-6.39B	1.28	5.51	1,150,727	1,469,562	7,065,358	11,875,520
2022-11-15	$3992.40	$3880.00	22.5%	6.5%	27.3%	53.7%	23.5%	4.7%	0.2%	14.71B	-363.26B	-6.48B	1.35	6.87	1,346,322	1,818,638	7,080,592	11,963,981
2022-11-16	$3961.70	$3885.00	22.8%	6.5%	27.3%	55.0%	23.5%	4.8%	-0.5%	4.88B	-245.63B	-6.44B	1.37	5.52	1,085,904	1,483,503	7,174,035	12,231,902
2022-11-17	$3935.40	$3885.00	22.5%	6.5%	27.3%	53.9%	23.6%	4.1%	-0.9%	-2.10B	-140.45B	-6.48B	1.39	5.10	1,196,646	1,660,912	7,235,925	12,395,316
2022-11-18	$3967.50	$3890.00	21.4%	6.3%	26.2%	47.9%	22.3%	4.1%	0.0%	4.73B	-254.75B	-6.33B	1.34	5.69	1,048,827	1,410,264	6,533,529	11,261,080
2022-11-21	$3948.59	$3895.00	20.8%	6.2%	26.1%	44.9%	22.1%	4.0%	0.1%	-468.0M	-190.64B	-6.16B	1.33	5.52	943,617	1,255,967	6,485,058	11,192,890
2022-11-22	$4002.46	$3900.00	19.8%	5.9%	26.0%	39.6%	21.4%	4.0%	0.0%	17.90B	-386.72B	-6.08B	1.35	5.54	991,455	1,337,646	6,523,202	11,288,857
2022-11-23	$4024.10	$3900.00	18.9%	5.6%	25.8%	34.5%	20.7%	4.2%	-0.4%	21.24B	-451.60B	-6.10B	1.47	6.35	1,056,209	1,556,332	6,585,761	11,495,617
2022-11-25	$4029.76	$3900.00	18.6%	5.6%	25.6%	33.0%	20.1%	4.5%	-0.7%	15.87B	-458.84B	-6.02B	1.49	5.34	313,572	468,537	6,587,635	11,598,172
2022-11-28	$3956.37	$3900.00	20.4%	6.5%	25.7%	42.4%	22.6%	4.6%	0.2%	-6.84B	-178.51B	-6.00B	1.51	5.61	915,725	1,378,467	6,540,774	11,473,376
2022-11-29	$3953.71	$3900.00	20.3%	6.6%	25.6%	42.4%	22.9%	4.3%	0.0%	-10.72B	-145.83B	-6.01B	1.57	6.53	871,299	1,368,173	6,623,300	11,662,364
2022-11-30	$4057.68	$3900.00	19.2%	6.3%	27.0%	36.5%	22.9%	3.7%	-0.0%	28.61B	-591.24B	-5.94B	1.29	6.28	1,220,477	1,577,601	6,685,250	11,831,850