SPX Options History — December 2022

In December 2022, SPX traded between $3787.82 and $4078.06. ATM implied volatility averaged 20.1%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.7% (HV 20d: 20.8%). 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 10 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2022-12-15: Highest Volume — 3,094,757 contracts
2022-12-05: Largest IV spike — 9.5% change
2022-12-12: Highest IV Rank — 50.3%
2022-12-12: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3910.95	$3787.82	$4078.06	$4078.06	$3818.98
Max Pain	$3990.48	$3900.00	$4000.00	$3900.00	$4000.00
ATM IV	20.1%	17.2%	21.9%	18.4%	20.2%
Expected Move	6.0%	5.5%	6.5%	6.2%	6.0%
HV 20d	20.8%	17.5%	26.9%	25.4%	17.7%
HV 60d	25.0%	23.4%	26.7%	26.6%	23.5%
IV Rank	41.3%	26.0%	50.3%	32.4%	41.5%
IV Percentile	31.7%	14.7%	43.7%	21.8%	29.4%
Term Structure	-0.1%	-0.6%	1.5%	0.0%	0.1%
VWIV	21.1%	19.3%	23.4%	21.9%	21.3%
Skew 25d	3.9%	3.4%	4.4%	3.6%	3.8%
Skew 10d	7.2%	6.4%	8.8%	6.6%	6.6%
Call IV 25d	18.0%	15.7%	19.6%	16.5%	17.8%
Put IV 25d	21.9%	19.1%	23.8%	20.1%	21.5%
Bid-Ask Spread %	5.15	2.86	7.36	6.18	6.63
Gamma HHI	0.02	0.01	0.05	0.02	0.05
Net GEX	-12.16B	-34.09B	26.90B	26.90B	-9.32B
Net DEX	47.83B	-653.08B	470.71B	-653.08B	336.74B
Net VEX	-5.89B	-6.06B	-5.59B	-5.90B	-5.92B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	1.18	1.62	1.26	1.54
Total Volume	2,338,811.857	1,631,445	3,094,757	2,430,428	2,207,989
Total OI	17,176,762.524	14,407,122	19,858,073	18,353,819	15,696,618

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
2022-12-01	$4078.06	$3900.00	18.4%	6.2%	25.4%	32.4%	21.9%	3.6%	0.0%	26.90B	-653.08B	-5.90B	1.26	6.18	1,076,390	1,354,038	6,653,260	11,700,559
2022-12-02	$4071.15	$3900.00	17.2%	5.9%	24.8%	26.0%	21.0%	3.5%	-0.6%	18.84B	-575.77B	-5.98B	1.18	7.03	1,076,338	1,271,319	6,728,172	11,837,335
2022-12-05	$3989.09	$4000.00	18.9%	5.8%	26.2%	34.6%	21.3%	4.1%	0.6%	-7.36B	-240.07B	-5.93B	1.42	3.50	1,035,904	1,467,955	6,732,053	11,709,169
2022-12-06	$3923.78	$4000.00	20.5%	6.2%	26.9%	43.0%	21.8%	4.2%	0.5%	-24.30B	-4.31B	-5.98B	1.41	3.71	1,195,762	1,682,388	6,783,066	11,838,986
2022-12-07	$3930.88	$4000.00	21.3%	6.3%	26.8%	47.3%	22.8%	4.4%	-0.5%	-23.91B	20.52B	-6.03B	1.33	3.44	954,786	1,269,142	6,912,280	12,074,369
2022-12-08	$3964.95	$4000.00	20.2%	6.1%	25.3%	41.8%	22.6%	4.3%	-0.5%	-8.38B	-100.10B	-6.06B	1.21	3.32	884,840	1,071,866	6,971,008	12,222,602
2022-12-09	$3956.24	$4000.00	20.1%	6.1%	17.9%	41.0%	22.3%	4.0%	-0.0%	-13.38B	-37.76B	-6.05B	1.34	3.56	936,269	1,252,190	7,043,541	12,304,126
2022-12-12	$3982.12	$4000.00	21.9%	6.5%	17.5%	50.3%	23.4%	4.2%	1.5%	915.1M	-218.73B	-6.03B	1.36	2.86	954,977	1,294,049	7,009,311	12,260,313
2022-12-13	$4021.95	$4000.00	21.1%	5.9%	17.7%	46.1%	20.8%	3.8%	0.0%	12.33B	-441.27B	-5.87B	1.24	4.56	1,314,726	1,624,977	7,105,040	12,351,160
2022-12-14	$3981.26	$4000.00	20.1%	5.6%	18.1%	40.8%	19.6%	3.8%	-0.4%	-1.15B	-267.76B	-5.79B	1.31	6.25	931,222	1,218,418	7,164,912	12,490,102
2022-12-15	$3905.26	$4000.00	20.8%	5.8%	19.1%	44.6%	21.1%	4.3%	-0.5%	-31.80B	231.70B	-5.77B	1.62	4.70	1,181,749	1,913,008	7,223,179	12,634,894
2022-12-16	$3864.84	$4000.00	20.4%	5.9%	19.3%	42.7%	20.6%	4.0%	-0.6%	-26.54B	286.54B	-5.80B	1.45	5.04	1,043,797	1,514,646	4,961,433	9,445,689
2022-12-19	$3810.34	$4000.00	20.9%	6.1%	19.6%	45.1%	21.0%	3.8%	0.3%	-34.09B	419.88B	-5.59B	1.37	4.98	1,091,039	1,493,540	4,996,054	9,438,380
2022-12-20	$3827.04	$4000.00	20.2%	5.8%	19.7%	41.3%	20.0%	3.6%	0.1%	-23.56B	335.09B	-5.80B	1.36	5.31	904,288	1,225,953	5,140,050	9,550,196
2022-12-21	$3873.39	$4000.00	19.2%	5.5%	19.5%	36.2%	19.4%	3.4%	-0.5%	-10.38B	195.77B	-5.82B	1.24	5.64	1,023,352	1,265,349	5,255,605	9,704,459
2022-12-22	$3819.07	$4000.00	20.6%	6.0%	19.8%	43.7%	20.9%	3.9%	-0.6%	-34.04B	419.33B	-5.91B	1.30	6.13	1,140,851	1,488,587	5,340,321	9,822,739
2022-12-23	$3837.14	$4000.00	19.6%	5.7%	20.0%	38.3%	19.3%	3.8%	0.0%	-17.43B	304.31B	-5.93B	1.25	5.85	871,980	1,092,187	5,492,065	9,962,252
2022-12-27	$3835.88	$4000.00	20.4%	6.0%	19.1%	42.8%	20.8%	3.8%	0.2%	-13.79B	298.52B	-5.85B	1.20	5.88	740,186	891,259	5,469,745	9,819,659
2022-12-28	$3787.82	$4000.00	21.2%	6.2%	19.4%	47.0%	21.5%	3.8%	-0.5%	-30.52B	470.71B	-5.73B	1.32	7.36	948,061	1,253,068	5,543,921	9,806,894
2022-12-29	$3850.64	$4000.00	20.1%	5.9%	17.9%	41.1%	20.7%	3.7%	-0.5%	-4.33B	224.21B	-5.90B	1.20	6.29	889,382	1,067,222	5,614,477	9,902,019
2022-12-30	$3818.98	$4000.00	20.2%	6.0%	17.7%	41.5%	21.3%	3.8%	0.1%	-9.32B	336.74B	-5.92B	1.54	6.63	870,887	1,337,102	5,664,340	10,032,278