SPX Options History — June 2023

In June 2023, SPX traded between $4221.67 and $4454.63. ATM implied volatility averaged 11.1%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.3% (HV 20d: 10.8%). Max pain ranged from $4100.00 to $4250.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.27.

Notable Days

2023-06-15: Highest Volume — 3,618,445 contracts
2023-06-12: Largest IV spike — 12.2% change
2023-06-20: Highest IV Rank — 6.5%
2023-06-01: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4346.09	$4221.67	$4454.63	$4221.67	$4454.63
Max Pain	$4190.95	$4100.00	$4250.00	$4100.00	$4250.00
ATM IV	11.1%	10.3%	12.4%	12.4%	10.3%
Expected Move	3.2%	2.8%	3.7%	3.7%	2.8%
HV 20d	10.8%	10.2%	12.2%	11.9%	10.8%
HV 60d	12.7%	11.6%	14.0%	13.7%	11.8%
IV Rank	2.5%	0.0%	6.5%	0.0%	0.0%
IV Percentile	1.4%	0.0%	4.4%	0.0%	0.0%
Term Structure	-0.0%	-0.3%	0.4%	-0.2%	0.3%
VWIV	12.8%	10.9%	14.7%	14.3%	10.9%
Skew 25d	3.2%	2.4%	4.9%	4.9%	2.5%
Skew 10d	7.1%	5.3%	10.8%	10.8%	5.3%
Call IV 25d	9.9%	9.2%	10.7%	10.5%	9.4%
Put IV 25d	13.1%	11.9%	15.4%	15.4%	11.9%
Bid-Ask Spread %	5.58	3.66	7.40	6.73	7.10
Gamma HHI	0.03	0.02	0.04	0.02	0.04
Net GEX	51.55B	9.76B	82.50B	43.05B	79.88B
Net DEX	-876.94B	-1531.63B	-481.91B	-586.25B	-1063.12B
Net VEX	-6.54B	-6.87B	-6.31B	-6.87B	-6.44B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	1.14	1.48	1.31	1.28
Total Volume	2,453,804.905	1,531,711	3,618,445	2,359,979	3,119,281
Total OI	18,761,485.762	16,968,125	21,144,072	18,782,586	18,228,878

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
2023-06-01	$4221.67	$4100.00	12.4%	3.7%	11.9%	0.0%	14.3%	4.9%	-0.2%	43.05B	-586.25B	-6.87B	1.31	6.73	1,023,364	1,336,615	6,332,403	12,450,183
2023-06-02	$4284.40	$4100.00	11.3%	3.4%	12.2%	0.0%	12.9%	3.2%	0.3%	72.42B	-940.61B	-6.47B	1.14	7.16	1,268,667	1,448,181	6,446,361	12,639,864
2023-06-05	$4275.75	$4125.00	11.5%	3.5%	10.7%	0.9%	14.7%	3.4%	0.4%	60.22B	-871.76B	-6.63B	1.24	3.97	1,035,078	1,286,965	6,507,252	12,701,256
2023-06-06	$4284.09	$4125.00	11.1%	3.3%	10.6%	0.0%	14.7%	3.3%	0.1%	57.67B	-916.57B	-6.35B	1.30	3.98	955,572	1,243,580	6,596,257	12,789,143
2023-06-07	$4270.63	$4150.00	11.0%	3.3%	10.7%	0.0%	12.9%	3.5%	-0.2%	43.06B	-818.88B	-6.56B	1.16	4.51	755,027	875,760	6,641,861	12,953,745
2023-06-08	$4291.77	$4150.00	10.7%	3.2%	10.7%	0.0%	12.6%	3.4%	-0.2%	66.89B	-938.80B	-6.45B	1.23	3.80	687,397	844,314	6,709,041	13,122,418
2023-06-09	$4303.15	$4150.00	10.4%	3.2%	10.5%	0.0%	13.1%	3.2%	0.1%	76.83B	-1003.44B	-6.41B	1.25	4.48	1,027,261	1,280,903	6,791,469	13,313,538
2023-06-12	$4334.90	$4150.00	11.6%	3.4%	10.4%	6.1%	14.5%	3.4%	-0.0%	72.68B	-1132.78B	-6.31B	1.30	4.55	1,128,375	1,463,268	6,808,029	13,353,742
2023-06-13	$4366.57	$4165.00	11.3%	3.3%	10.5%	4.3%	12.5%	2.9%	0.0%	75.62B	-1244.61B	-6.38B	1.20	3.66	1,288,987	1,550,236	6,905,680	13,601,561
2023-06-14	$4364.76	$4175.00	11.2%	3.3%	10.4%	4.0%	12.4%	2.9%	-0.2%	69.98B	-1244.80B	-6.36B	1.16	4.89	1,097,794	1,277,602	7,000,489	13,836,948
2023-06-15	$4431.65	$4200.00	11.5%	3.3%	11.2%	5.5%	13.7%	2.5%	-0.2%	82.50B	-1531.63B	-6.44B	1.20	5.21	1,644,292	1,974,153	7,106,836	14,037,236
2023-06-16	$4414.26	$4200.00	11.0%	3.3%	11.2%	3.2%	12.9%	2.4%	0.1%	50.85B	-901.31B	-6.51B	1.40	4.91	1,201,517	1,685,810	5,471,732	11,497,552
2023-06-20	$4391.90	$4225.00	11.7%	3.4%	11.4%	6.5%	13.8%	2.7%	-0.1%	30.38B	-732.94B	-6.58B	1.48	4.63	1,053,784	1,563,296	5,469,458	11,498,667
2023-06-21	$4373.27	$4245.00	11.1%	3.2%	11.6%	3.5%	12.6%	3.1%	-0.1%	21.23B	-642.83B	-6.62B	1.42	6.34	1,126,026	1,602,147	5,552,858	11,655,468
2023-06-22	$4370.58	$4250.00	10.6%	3.1%	10.8%	1.0%	11.6%	2.9%	-0.1%	29.46B	-678.64B	-6.61B	1.21	6.11	996,742	1,203,829	5,627,974	11,821,437
2023-06-23	$4348.59	$4250.00	10.7%	3.1%	10.6%	1.4%	11.3%	3.4%	0.1%	12.16B	-571.52B	-6.80B	1.31	7.00	1,061,424	1,387,765	5,670,401	11,887,222
2023-06-26	$4341.16	$4250.00	11.3%	3.2%	10.6%	4.5%	11.5%	3.8%	0.2%	9.76B	-481.91B	-6.87B	1.31	6.61	994,533	1,305,680	5,608,150	11,860,657
2023-06-27	$4383.38	$4250.00	11.2%	3.0%	10.4%	3.8%	12.6%	3.1%	-0.1%	46.16B	-705.31B	-6.64B	1.30	7.11	1,039,544	1,353,819	5,639,403	11,986,175
2023-06-28	$4368.80	$4250.00	11.2%	3.1%	10.5%	4.2%	11.2%	3.3%	-0.3%	32.33B	-660.15B	-6.58B	1.17	7.40	1,043,986	1,218,637	5,727,855	12,155,740
2023-06-29	$4391.96	$4250.00	10.9%	3.0%	10.2%	2.6%	11.2%	3.3%	-0.3%	49.38B	-747.93B	-6.49B	1.18	7.03	951,780	1,126,912	5,774,398	12,211,864
2023-06-30	$4454.63	$4250.00	10.3%	2.8%	10.8%	0.0%	10.9%	2.5%	0.3%	79.88B	-1063.12B	-6.44B	1.28	7.10	1,365,698	1,753,583	5,849,242	12,379,636