SPX Options History — January 2023

In January 2023, SPX traded between $3807.37 and $4087.87. ATM implied volatility averaged 18.6%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.7% (HV 20d: 16.9%). Max pain ranged from $3950.00 to $4000.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.29.

Notable Days

2023-01-18: Highest Volume — 2,856,333 contracts
2023-01-12: Largest IV drop — 12.9% change
2023-01-03: Highest IV Rank — 49.1%
2023-01-03: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3958.71	$3807.37	$4087.87	$3820.86	$4052.66
Max Pain	$3983.50	$3950.00	$4000.00	$4000.00	$4000.00
ATM IV	18.6%	16.1%	21.6%	21.6%	17.4%
Expected Move	5.6%	4.9%	6.4%	6.4%	5.7%
HV 20d	16.9%	15.0%	18.7%	17.8%	15.6%
HV 60d	21.5%	20.3%	23.3%	23.3%	20.3%
IV Rank	24.9%	7.7%	49.1%	49.1%	15.8%
IV Percentile	16.6%	1.6%	41.7%	41.7%	9.1%
Term Structure	-0.2%	-0.8%	0.9%	0.4%	-0.0%
VWIV	20.1%	18.8%	21.8%	21.8%	20.7%
Skew 25d	4.0%	3.2%	4.9%	4.0%	4.5%
Skew 10d	7.3%	6.0%	8.8%	6.9%	8.7%
Call IV 25d	16.6%	14.4%	19.5%	19.4%	15.2%
Put IV 25d	20.6%	17.6%	23.3%	23.3%	19.7%
Bid-Ask Spread %	5.20	3.73	8.34	7.15	5.96
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	4.74B	-25.72B	33.27B	-19.46B	16.46B
Net DEX	-53.06B	-439.61B	362.01B	330.21B	-328.81B
Net VEX	-6.20B	-6.50B	-5.93B	-5.93B	-6.50B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	1.13	1.43	1.43	1.32
Total Volume	2,400,344.25	1,885,023	2,856,333	2,345,046	2,030,462
Total OI	15,686,099.65	14,696,086	17,092,583	14,884,922	15,927,340

Daily Data (20 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
2023-01-03	$3820.86	$4000.00	21.6%	6.4%	17.8%	49.1%	21.8%	4.0%	0.4%	-19.46B	330.21B	-5.93B	1.43	7.15	966,106	1,378,940	5,377,900	9,507,022
2023-01-04	$3842.84	$4000.00	21.4%	6.2%	16.8%	48.0%	21.1%	3.9%	-0.7%	-16.77B	302.93B	-5.93B	1.43	8.34	950,024	1,357,988	5,432,478	9,673,379
2023-01-05	$3807.37	$3950.00	21.6%	6.2%	16.1%	49.0%	21.6%	3.8%	-0.7%	-25.72B	362.01B	-5.96B	1.24	4.36	954,710	1,179,667	5,531,583	9,849,680
2023-01-06	$3900.88	$3950.00	19.8%	5.9%	18.5%	32.8%	20.9%	3.6%	0.0%	8.87B	56.00B	-6.14B	1.17	3.73	1,242,811	1,456,398	5,613,072	9,980,163
2023-01-09	$3895.93	$3950.00	20.4%	6.1%	18.2%	36.4%	21.6%	3.7%	0.0%	1.13B	88.10B	-6.11B	1.25	4.13	1,163,223	1,448,264	5,610,745	9,927,422
2023-01-10	$3908.76	$3950.00	19.6%	5.8%	18.3%	32.0%	20.6%	3.6%	-0.0%	-1.25B	60.05B	-6.10B	1.31	4.01	934,747	1,225,026	5,690,481	10,027,177
2023-01-11	$3958.18	$3950.00	20.0%	5.9%	18.7%	34.0%	20.7%	3.6%	-0.6%	17.81B	-89.75B	-6.25B	1.31	4.60	1,021,761	1,341,010	5,767,804	10,191,774
2023-01-12	$3980.58	$3955.00	17.4%	5.2%	18.5%	19.0%	19.2%	3.2%	-0.5%	15.05B	-140.07B	-6.19B	1.29	4.82	1,171,071	1,505,407	5,852,786	10,389,687
2023-01-13	$3996.11	$3980.00	16.1%	4.9%	18.2%	11.5%	19.1%	3.3%	0.9%	22.70B	-211.16B	-6.14B	1.41	5.41	927,046	1,307,841	5,915,316	10,533,639
2023-01-17	$3993.35	$3985.00	17.8%	5.1%	16.7%	18.0%	18.8%	4.0%	-0.1%	12.72B	-147.70B	-6.06B	1.39	4.34	949,625	1,320,847	5,891,245	10,553,432
2023-01-18	$3941.40	$4000.00	18.7%	5.4%	16.9%	23.6%	19.0%	4.3%	-0.5%	-17.96B	104.13B	-6.15B	1.33	4.69	1,227,406	1,628,927	5,996,792	10,750,669
2023-01-19	$3911.73	$4000.00	18.8%	5.4%	16.3%	24.2%	19.7%	4.9%	-0.6%	-21.39B	205.86B	-6.13B	1.23	4.57	1,164,377	1,426,884	6,095,173	10,997,410
2023-01-20	$3966.16	$4000.00	18.0%	5.2%	16.9%	19.4%	19.1%	4.0%	-0.8%	3.52B	-63.78B	-6.25B	1.16	4.86	1,080,017	1,257,804	5,260,595	9,435,808
2023-01-23	$4009.65	$4000.00	17.6%	5.4%	16.8%	17.1%	20.2%	4.1%	0.1%	21.06B	-231.92B	-6.31B	1.23	4.94	1,257,124	1,540,848	5,262,405	9,433,681
2023-01-24	$4017.40	$4000.00	17.3%	5.3%	15.7%	14.8%	19.8%	4.1%	0.1%	8.53B	-190.43B	-6.36B	1.36	5.87	799,906	1,085,117	5,384,251	9,698,834
2023-01-25	$4012.91	$4000.00	17.2%	5.3%	15.7%	14.5%	19.5%	4.2%	-0.4%	7.55B	-192.07B	-6.32B	1.24	5.30	1,113,553	1,382,226	5,416,884	9,818,739
2023-01-26	$4051.57	$4000.00	16.8%	5.2%	15.9%	12.2%	18.8%	4.0%	-0.4%	26.62B	-334.75B	-6.32B	1.13	5.22	1,122,092	1,269,994	5,475,787	9,961,720
2023-01-27	$4087.87	$4000.00	16.1%	5.0%	15.0%	7.7%	19.1%	3.9%	-0.1%	33.27B	-439.61B	-6.35B	1.35	6.28	1,094,660	1,476,426	5,584,837	10,138,753
2023-01-30	$4017.95	$4000.00	18.0%	5.9%	15.9%	19.4%	21.1%	4.6%	0.1%	1.98B	-200.40B	-6.48B	1.25	5.39	998,447	1,248,103	5,615,286	10,150,244
2023-01-31	$4052.66	$4000.00	17.4%	5.7%	15.6%	15.8%	20.7%	4.5%	-0.0%	16.46B	-328.81B	-6.50B	1.32	5.96	876,191	1,154,271	5,677,973	10,249,367