SPX Options History — May 2023

In May 2023, SPX traded between $4064.93 and $4208.65. ATM implied volatility averaged 14.4%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.0% (HV 20d: 13.4%). Max pain ranged from $4045.00 to $4100.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2023-05-18: Highest Volume — 3,201,826 contracts
2023-05-05: Largest IV drop — 19.5% change
2023-05-04: Highest IV Rank — 23.8%
2023-05-04: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4148.85	$4064.93	$4208.65	$4170.57	$4185.20
Max Pain	$4075.00	$4045.00	$4100.00	$4070.00	$4100.00
ATM IV	14.4%	12.9%	17.3%	12.9%	13.9%
Expected Move	4.3%	3.9%	5.2%	3.9%	4.2%
HV 20d	13.4%	11.8%	14.6%	12.1%	11.8%
HV 60d	14.6%	14.0%	15.1%	14.8%	14.1%
IV Rank	7.9%	0.0%	23.8%	0.0%	5.2%
IV Percentile	4.1%	0.0%	17.1%	0.0%	3.2%
Term Structure	-0.0%	-0.5%	0.5%	0.5%	-0.2%
VWIV	16.5%	15.1%	18.8%	16.0%	15.3%
Skew 25d	6.2%	4.9%	7.6%	5.0%	5.6%
Skew 10d	12.0%	10.1%	14.8%	10.1%	11.5%
Call IV 25d	11.6%	10.8%	13.9%	10.8%	11.1%
Put IV 25d	17.8%	15.8%	21.3%	15.8%	16.7%
Bid-Ask Spread %	5.33	3.45	8.99	7.35	6.17
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	15.46B	-30.84B	61.40B	35.66B	29.77B
Net DEX	-296.89B	-573.29B	118.75B	-428.89B	-494.66B
Net VEX	-7.30B	-7.72B	-6.81B	-7.24B	-7.05B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	1.19	1.45	1.25	1.29
Total Volume	2,277,641.727	1,254,278	3,201,826	2,297,546	2,071,621
Total OI	18,552,074.545	17,615,106	19,584,596	17,615,106	19,058,028

Daily Data (22 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
2023-05-01	$4170.57	$4070.00	12.9%	3.9%	12.1%	0.0%	16.0%	5.0%	0.5%	35.66B	-428.89B	-7.24B	1.25	7.35	1,021,437	1,276,109	5,977,787	11,637,319
2023-05-02	$4121.87	$4075.00	14.8%	4.4%	12.8%	10.2%	16.2%	6.3%	0.3%	-7.03B	-139.79B	-7.46B	1.38	8.29	1,254,017	1,735,497	6,045,747	11,740,754
2023-05-03	$4099.33	$4075.00	15.9%	4.7%	12.7%	16.2%	17.3%	6.8%	-0.2%	-14.43B	-46.55B	-7.50B	1.30	8.99	816,746	1,061,882	6,101,061	11,921,771
2023-05-04	$4064.93	$4045.00	17.3%	5.2%	13.0%	23.8%	18.8%	7.4%	-0.4%	-30.84B	118.75B	-7.72B	1.34	5.49	1,201,177	1,605,128	6,144,992	12,012,807
2023-05-05	$4141.70	$4050.00	13.9%	4.4%	14.6%	5.5%	17.1%	6.3%	0.1%	21.85B	-259.05B	-7.55B	1.20	4.42	1,211,517	1,451,861	6,239,101	12,189,286
2023-05-08	$4136.36	$4050.00	14.0%	4.4%	14.6%	5.7%	16.4%	6.3%	0.4%	17.98B	-272.98B	-7.34B	1.40	3.45	838,644	1,173,457	6,184,371	12,056,044
2023-05-09	$4125.46	$4050.00	14.7%	4.5%	14.6%	9.9%	17.8%	6.7%	0.1%	2.31B	-187.95B	-7.41B	1.32	4.26	807,876	1,069,510	6,241,188	12,208,419
2023-05-10	$4142.45	$4050.00	14.0%	4.3%	14.4%	5.8%	16.6%	6.2%	-0.3%	18.78B	-294.64B	-7.36B	1.24	4.34	1,283,751	1,590,558	6,264,551	12,338,610
2023-05-11	$4128.06	$4050.00	13.8%	4.2%	13.6%	4.6%	16.1%	6.1%	-0.3%	4.50B	-208.01B	-7.29B	1.31	4.43	934,306	1,220,376	6,304,642	12,436,141
2023-05-12	$4113.15	$4065.00	13.7%	4.3%	13.6%	4.5%	15.9%	6.0%	0.5%	-5.95B	-158.48B	-7.38B	1.28	4.13	1,103,726	1,414,898	6,341,958	12,630,161
2023-05-15	$4134.70	$4070.00	14.1%	4.1%	13.6%	6.7%	15.8%	6.6%	0.2%	12.42B	-244.79B	-7.21B	1.31	4.32	959,959	1,259,856	6,318,197	12,582,735
2023-05-16	$4123.64	$4075.00	14.6%	4.2%	13.7%	9.0%	16.2%	6.7%	0.1%	-2.16B	-174.24B	-7.20B	1.45	3.95	818,554	1,182,894	6,376,880	12,664,645
2023-05-17	$4154.82	$4075.00	14.0%	4.0%	13.9%	5.7%	15.7%	5.8%	-0.2%	37.53B	-389.47B	-7.09B	1.19	4.95	1,302,531	1,548,141	6,452,234	12,859,973
2023-05-18	$4196.69	$4075.00	13.5%	3.9%	13.9%	3.3%	15.1%	4.9%	-0.3%	61.40B	-573.29B	-6.81B	1.24	5.40	1,426,774	1,775,052	6,548,595	13,036,001
2023-05-19	$4188.21	$4080.00	13.4%	3.9%	13.9%	2.9%	15.6%	5.4%	-0.5%	42.36B	-503.34B	-7.22B	1.34	5.17	1,140,247	1,525,125	6,157,807	11,988,490
2023-05-22	$4195.20	$4095.00	13.4%	4.1%	13.9%	2.6%	16.7%	6.1%	0.3%	34.56B	-477.58B	-7.19B	1.43	5.14	915,593	1,307,502	6,119,986	11,916,225
2023-05-23	$4152.88	$4100.00	14.8%	4.4%	13.6%	10.4%	15.6%	6.7%	-0.0%	-1.08B	-272.23B	-7.38B	1.34	5.39	768,547	1,031,238	6,172,913	12,044,223
2023-05-24	$4127.10	$4100.00	16.2%	4.9%	13.6%	18.0%	17.9%	7.6%	-0.3%	-14.14B	-82.31B	-7.52B	1.23	5.69	668,012	820,075	6,252,227	12,163,264
2023-05-25	$4157.31	$4100.00	15.2%	4.6%	12.0%	12.3%	17.3%	7.0%	-0.3%	13.82B	-307.17B	-7.32B	1.24	5.30	559,535	694,743	6,337,285	12,351,608
2023-05-26	$4206.50	$4100.00	14.0%	4.3%	12.5%	6.1%	16.7%	6.2%	-0.1%	42.93B	-570.68B	-7.34B	1.36	5.21	870,576	1,185,227	6,401,023	12,462,779
2023-05-30	$4208.65	$4100.00	13.8%	4.2%	12.4%	4.8%	16.2%	5.7%	0.1%	39.85B	-564.14B	-7.08B	1.33	5.36	944,795	1,259,048	6,406,290	12,457,522
2023-05-31	$4185.20	$4100.00	13.9%	4.2%	11.8%	5.2%	15.3%	5.6%	-0.2%	29.77B	-494.66B	-7.05B	1.29	6.17	905,617	1,166,004	6,458,448	12,599,580