SPX Options History — February 2023

In February 2023, SPX traded between $3968.94 and $4167.43. ATM implied volatility averaged 17.9%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.7% (HV 20d: 16.2%). Max pain ranged from $3970.00 to $4000.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2023-02-02: Highest Volume — 3,237,958 contracts
  • 2023-02-21: Largest IV spike — 19.3% change
  • 2023-02-21: Highest IV Rank — 36.9%
  • 2023-02-21: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4078.10$3968.94$4167.43$4128.22$3976.93
Max Pain$3997.63$3970.00$4000.00$4000.00$4000.00
ATM IV17.9%15.8%20.9%15.8%18.9%
Expected Move5.3%4.8%5.9%5.0%5.5%
HV 20d16.2%15.2%17.0%16.5%15.5%
HV 60d18.1%16.5%20.5%20.4%16.5%
IV Rank18.9%6.1%36.9%6.1%24.4%
IV Percentile15.4%0.8%40.5%0.8%22.6%
Term Structure-0.1%-0.7%0.9%-0.4%0.0%
VWIV19.2%17.5%21.0%19.0%19.4%
Skew 25d4.8%3.8%6.2%4.0%4.9%
Skew 10d9.1%7.2%11.7%8.1%8.7%
Call IV 25d15.6%13.9%17.6%13.9%16.2%
Put IV 25d20.4%18.0%23.7%18.0%21.1%
Bid-Ask Spread %5.394.358.748.747.48
Gamma HHI0.020.010.020.020.02
Net GEX1.59B-34.24B35.36B35.36B-21.66B
Net DEX-262.47B-632.72B233.85B-589.35B147.06B
Net VEX-6.74B-6.97B-6.39B-6.39B-6.65B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.361.191.581.191.34
Total Volume2,401,800.8421,994,1223,237,9582,086,6432,202,288
Total OI16,844,266.78915,765,39117,958,42015,765,39117,208,489

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$4128.22$4000.0015.8%5.0%16.5%6.1%19.0%4.0%-0.4%35.36B-589.35B-6.39B1.198.74952,0131,134,6305,646,44810,118,943
2023-02-02$4167.43$3970.0016.0%4.8%16.6%6.8%17.8%3.9%-0.4%34.96B-632.72B-6.60B1.265.401,433,2031,804,7555,718,67210,291,398
2023-02-03$4139.25$3990.0015.9%4.8%16.4%6.4%17.7%3.8%0.1%22.65B-508.69B-6.66B1.334.401,158,3551,543,3975,843,93910,585,288
2023-02-06$4102.46$3995.0017.0%5.1%15.2%13.0%18.9%4.3%0.5%6.25B-394.84B-6.73B1.304.35917,5181,193,5785,821,43910,592,631
2023-02-07$4157.78$4000.0016.0%4.9%15.6%7.1%18.5%3.8%0.5%31.88B-626.49B-6.41B1.194.651,096,4511,301,1075,888,98110,651,361
2023-02-08$4118.80$4000.0017.5%5.2%16.2%16.3%19.2%4.6%-0.4%8.64B-417.25B-6.73B1.244.371,009,6121,252,3725,924,38710,825,695
2023-02-09$4077.93$4000.0018.6%5.5%16.3%23.1%19.7%4.9%-0.5%-6.88B-265.39B-6.84B1.394.56981,4791,359,9166,001,57710,996,729
2023-02-10$4082.93$4000.0018.3%5.5%16.3%21.3%20.8%4.6%0.9%-235.5M-292.89B-6.97B1.374.42953,2771,306,2826,063,87311,156,845
2023-02-13$4129.84$4000.0018.7%5.4%16.6%23.2%19.7%5.1%0.1%19.07B-491.23B-6.82B1.424.44864,8131,229,2406,063,28911,121,335
2023-02-14$4139.22$4000.0016.9%4.9%16.6%12.6%17.8%4.6%0.1%24.01B-543.55B-6.65B1.424.451,154,3671,642,7086,118,56111,262,489
2023-02-15$4137.30$4000.0016.7%4.8%15.7%11.1%17.5%4.4%-0.6%20.69B-527.20B-6.63B1.454.48932,3551,349,1006,197,49711,476,672
2023-02-16$4100.33$4000.0017.5%5.1%15.8%16.0%18.4%5.2%-0.6%-2.54B-317.90B-6.83B1.475.451,091,5041,601,5456,249,97911,708,441
2023-02-17$4072.32$4000.0017.5%5.2%15.5%16.5%19.0%5.2%0.0%-11.65B-180.16B-6.92B1.585.08953,6401,504,5415,738,37710,769,149
2023-02-21$4004.81$4000.0020.9%5.9%16.4%36.9%21.0%6.1%-0.1%-28.76B89.20B-6.90B1.304.951,028,0521,336,2815,690,71510,746,517
2023-02-22$3981.59$4000.0020.8%5.9%16.5%36.1%20.7%6.2%-0.7%-33.16B187.26B-6.91B1.476.40807,4791,186,6435,820,04410,873,037
2023-02-23$4018.77$4000.0019.0%5.4%16.8%25.4%19.7%5.6%-0.6%-15.96B22.57B-6.80B1.376.001,041,1691,429,2115,871,82910,927,375
2023-02-24$3968.94$4000.0019.8%5.7%17.0%30.3%20.3%5.2%0.0%-34.24B233.85B-6.84B1.385.941,090,5101,509,7785,965,78911,096,507
2023-02-27$3978.99$4000.0019.3%5.7%16.6%27.2%20.0%5.2%-0.1%-18.16B120.87B-6.74B1.376.91962,8891,318,1585,980,33811,026,434
2023-02-28$3976.93$4000.0018.9%5.5%15.5%24.4%19.4%4.9%0.0%-21.66B147.06B-6.65B1.347.48940,5381,261,7506,060,42011,148,069