SPX Options History — April 2023

In April 2023, SPX traded between $4054.99 and $4161.65. ATM implied volatility averaged 15.5%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.3% (HV 20d: 14.2%). Max pain ranged from $4000.00 to $4060.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2023-04-27: Highest Volume — 2,883,546 contracts
  • 2023-04-25: Largest IV spike — 17.0% change
  • 2023-04-26: Highest IV Rank — 16.9%
  • 2023-04-26: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4119.14$4054.99$4161.65$4121.92$4161.65
Max Pain$4025.26$4000.00$4060.00$4000.00$4060.00
ATM IV15.5%13.2%17.2%16.2%13.2%
Expected Move4.5%3.9%4.9%4.5%3.9%
HV 20d14.2%11.4%17.6%17.6%12.9%
HV 60d15.5%14.9%16.4%16.4%14.9%
IV Rank5.6%0.0%16.9%8.6%0.0%
IV Percentile3.4%0.0%9.9%3.6%0.0%
Term Structure-0.1%-0.6%0.5%0.5%-0.5%
VWIV17.2%15.1%19.1%16.7%15.3%
Skew 25d5.3%4.5%7.0%4.5%5.1%
Skew 10d10.1%8.5%13.1%9.1%9.9%
Call IV 25d13.1%11.0%14.6%14.0%11.0%
Put IV 25d18.4%16.1%20.6%18.5%16.1%
Bid-Ask Spread %5.343.937.957.086.30
Gamma HHI0.020.010.030.020.03
Net GEX14.89B-38.07B48.13B32.12B48.13B
Net DEX-299.19B-471.56B85.86B-399.45B-410.83B
Net VEX-7.18B-7.39B-6.96B-7.16B-7.22B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.361.201.591.291.21
Total Volume2,396,618.6321,881,4162,883,5462,293,7942,854,641
Total OI17,410,978.15816,278,13118,680,21216,278,13117,946,903

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-04-03$4121.92$4000.0016.2%4.5%17.6%8.6%16.7%4.5%0.5%32.12B-399.45B-7.16B1.297.081,001,9621,291,8325,574,94410,703,187
2023-04-04$4093.16$4000.0017.1%4.6%16.7%13.5%17.7%5.1%0.2%10.16B-250.16B-7.27B1.416.721,036,6121,460,1565,687,43710,838,980
2023-04-05$4086.57$4000.0017.2%4.5%16.7%14.7%16.6%5.2%-0.6%9.35B-238.73B-7.30B1.347.95894,0841,197,9025,766,89411,058,170
2023-04-06$4102.56$4000.0016.4%4.8%15.6%4.5%18.7%4.8%-0.3%20.37B-294.29B-7.28B1.544.17878,2861,354,2745,814,93611,157,156
2023-04-10$4100.25$4000.0017.0%4.9%14.6%8.1%18.4%5.2%0.3%14.75B-279.46B-7.19B1.484.14895,7471,321,5115,826,03511,179,651
2023-04-11$4122.19$4000.0016.6%4.7%14.5%5.8%18.7%5.1%0.0%20.49B-330.01B-7.15B1.424.20778,7801,102,6365,864,64811,286,504
2023-04-12$4091.57$4000.0017.0%4.8%15.0%8.2%17.7%5.5%-0.2%8.10B-254.85B-7.24B1.294.591,131,3331,457,1685,935,91211,448,279
2023-04-13$4146.82$4000.0015.6%4.5%15.4%0.0%17.3%4.7%-0.5%36.46B-463.39B-7.09B1.243.931,072,0451,329,5776,012,96511,594,555
2023-04-14$4130.20$4010.0015.0%4.4%14.7%0.0%17.4%4.5%0.1%26.16B-421.55B-7.05B1.283.981,150,9391,477,2506,102,02911,789,939
2023-04-17$4145.68$4025.0014.2%4.2%13.9%0.0%16.9%4.6%0.3%30.26B-433.82B-6.96B1.444.24908,4341,307,7966,074,71811,764,759
2023-04-18$4151.73$4025.0014.3%4.1%13.9%0.2%15.8%5.0%0.0%34.71B-471.56B-6.97B1.415.091,023,0891,445,6756,137,00811,920,155
2023-04-19$4157.09$4045.0014.0%4.0%13.3%0.0%16.4%5.0%-0.0%25.67B-444.53B-7.06B1.594.63897,7501,426,5346,222,26912,212,955
2023-04-20$4118.15$4050.0015.0%4.3%13.9%5.8%17.5%5.9%-0.5%-2.13B-264.74B-7.18B1.365.041,107,1461,510,7066,260,83712,419,375
2023-04-21$4129.84$4050.0014.2%4.2%11.8%1.3%16.7%5.7%0.1%2.03B-247.19B-7.18B1.365.11938,3291,274,9795,733,75811,319,735
2023-04-24$4134.69$4050.0014.3%4.2%11.4%1.9%16.5%5.8%0.0%10.74B-275.35B-7.21B1.295.68882,4161,136,6155,733,69811,269,937
2023-04-25$4080.67$4055.0016.7%4.9%12.6%15.9%19.1%7.0%0.1%-27.69B-4.78B-7.39B1.446.661,112,6061,602,2105,776,18811,338,890
2023-04-26$4054.99$4055.0016.9%4.9%12.4%16.9%18.1%6.8%-0.6%-38.07B85.86B-7.34B1.276.051,053,3411,337,8475,856,98111,574,712
2023-04-27$4133.98$4055.0014.3%4.2%12.9%1.9%15.1%5.8%-0.5%21.23B-285.75B-7.26B1.205.871,310,1421,573,4045,914,17511,689,311
2023-04-28$4161.65$4060.0013.2%3.9%12.9%0.0%15.3%5.1%-0.5%48.13B-410.83B-7.22B1.216.301,292,1441,562,4976,047,40811,899,495