SPX Options History — July 2023

In July 2023, SPX traded between $4403.63 and $4580.58. ATM implied volatility averaged 11.3%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.3% (HV 20d: 10.0%). Max pain ranged from $4255.00 to $4425.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.35.

Notable Days

2023-07-27: Highest Volume — 3,421,472 contracts
2023-07-28: Largest IV drop — 9.8% change
2023-07-06: Highest IV Rank — 10.9%
2023-07-06: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4508.21	$4403.63	$4580.58	$4454.15	$4580.58
Max Pain	$4337.75	$4255.00	$4425.00	$4260.00	$4425.00
ATM IV	11.3%	10.6%	12.5%	10.8%	11.0%
Expected Move	3.2%	2.9%	3.6%	2.9%	3.1%
HV 20d	10.0%	8.5%	11.0%	9.9%	8.5%
HV 60d	11.4%	10.4%	11.9%	11.7%	10.4%
IV Rank	4.8%	1.3%	10.9%	2.7%	3.4%
IV Percentile	5.8%	0.8%	13.5%	2.0%	5.2%
Term Structure	0.0%	-0.1%	0.2%	0.1%	-0.1%
VWIV	12.6%	11.3%	15.0%	11.3%	11.3%
Skew 25d	3.1%	2.5%	4.1%	2.9%	2.8%
Skew 10d	7.0%	5.1%	9.0%	5.9%	5.5%
Call IV 25d	10.0%	9.3%	10.8%	9.6%	9.8%
Put IV 25d	13.1%	12.1%	14.9%	12.5%	12.6%
Bid-Ask Spread %	6.03	4.21	9.57	8.74	9.57
Gamma HHI	0.03	0.02	0.05	0.03	0.03
Net GEX	43.46B	6.96B	81.69B	49.04B	36.22B
Net DEX	-931.55B	-1248.76B	-585.55B	-887.64B	-1015.04B
Net VEX	-6.74B	-7.28B	-6.33B	-6.62B	-6.71B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	1.18	1.54	1.46	1.45
Total Volume	2,361,649.85	1,040,994	3,421,472	1,040,994	2,121,030
Total OI	18,355,915.95	17,439,286	19,878,629	17,491,029	18,642,970

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
2023-07-03	$4454.15	$4260.00	10.8%	2.9%	9.9%	2.7%	11.3%	2.9%	0.1%	49.04B	-887.64B	-6.62B	1.46	8.74	423,077	617,917	5,628,600	11,862,429
2023-07-05	$4452.73	$4255.00	11.5%	3.1%	9.8%	5.9%	12.0%	3.4%	0.1%	43.54B	-828.71B	-6.68B	1.50	7.06	822,720	1,234,837	5,605,689	11,833,597
2023-07-06	$4411.15	$4280.00	12.5%	3.6%	10.6%	10.9%	15.0%	4.1%	0.0%	9.51B	-631.64B	-6.89B	1.30	4.24	1,115,057	1,444,712	5,669,834	12,000,158
2023-07-07	$4418.59	$4290.00	11.5%	3.4%	10.5%	5.7%	13.6%	3.6%	0.1%	16.22B	-634.47B	-6.80B	1.26	4.31	1,108,428	1,392,653	5,749,369	12,231,644
2023-07-10	$4403.63	$4290.00	12.3%	3.6%	10.5%	9.8%	14.1%	4.0%	0.0%	11.61B	-585.55B	-6.89B	1.26	4.21	873,544	1,101,639	5,720,831	12,112,755
2023-07-11	$4428.59	$4295.00	12.2%	3.5%	10.6%	9.4%	12.9%	3.9%	-0.0%	41.30B	-744.14B	-6.65B	1.24	4.43	939,731	1,160,960	5,781,635	12,182,559
2023-07-12	$4470.81	$4300.00	11.1%	3.2%	10.8%	4.1%	12.3%	3.1%	-0.0%	81.69B	-946.93B	-6.49B	1.18	4.27	1,228,858	1,451,408	5,864,924	12,321,707
2023-07-13	$4512.13	$4300.00	11.0%	3.2%	11.0%	3.4%	12.7%	2.7%	-0.1%	74.00B	-1099.00B	-6.49B	1.26	4.46	1,076,781	1,359,946	5,925,410	12,494,916
2023-07-14	$4504.07	$4300.00	10.7%	3.1%	11.0%	2.0%	11.6%	2.5%	0.1%	60.54B	-1048.33B	-6.47B	1.39	4.76	1,055,712	1,469,628	6,026,057	12,757,804
2023-07-17	$4528.14	$4300.00	10.9%	3.2%	9.9%	3.0%	12.0%	2.8%	0.0%	66.19B	-1118.00B	-6.33B	1.48	5.03	910,890	1,347,640	6,029,541	12,760,509
2023-07-18	$4558.74	$4325.00	11.0%	3.2%	9.9%	3.4%	13.3%	2.5%	-0.1%	76.50B	-1213.39B	-6.58B	1.34	4.91	1,188,181	1,590,739	6,122,244	12,983,246
2023-07-19	$4569.45	$4350.00	11.2%	3.2%	9.6%	4.3%	13.3%	2.6%	0.2%	74.15B	-1248.76B	-6.63B	1.30	5.15	1,248,397	1,628,998	6,243,965	13,233,695
2023-07-20	$4531.73	$4375.00	11.4%	3.3%	10.0%	5.6%	12.1%	2.9%	-0.1%	29.02B	-1028.02B	-6.88B	1.36	5.44	1,149,726	1,566,865	6,361,655	13,516,974
2023-07-21	$4538.63	$4390.00	10.8%	3.2%	10.0%	2.6%	11.8%	2.8%	0.0%	32.82B	-904.03B	-6.88B	1.39	6.84	1,019,683	1,413,151	5,868,121	12,228,866
2023-07-24	$4549.84	$4400.00	11.1%	3.2%	9.7%	3.9%	12.7%	2.9%	0.1%	35.77B	-927.59B	-6.80B	1.40	5.94	819,627	1,149,072	5,800,875	12,050,399
2023-07-25	$4572.46	$4400.00	11.3%	3.3%	9.6%	4.8%	12.9%	3.2%	0.0%	48.46B	-1012.86B	-6.79B	1.33	6.61	907,388	1,207,554	5,863,520	12,151,414
2023-07-26	$4557.23	$4400.00	11.0%	3.1%	9.4%	3.3%	12.2%	3.0%	-0.1%	36.03B	-970.41B	-6.86B	1.54	8.20	798,641	1,232,757	5,924,558	12,311,383
2023-07-27	$4541.33	$4400.00	11.7%	3.3%	9.4%	7.0%	12.9%	4.0%	-0.1%	6.96B	-776.53B	-7.28B	1.33	8.34	1,466,637	1,954,835	5,996,612	12,496,678
2023-07-28	$4580.14	$4420.00	10.6%	3.0%	9.6%	1.3%	11.4%	3.0%	0.1%	39.71B	-1009.97B	-7.06B	1.29	8.15	1,147,551	1,486,027	6,051,078	12,710,098
2023-07-31	$4580.58	$4425.00	11.0%	3.1%	8.5%	3.4%	11.3%	2.8%	-0.1%	36.22B	-1015.04B	-6.71B	1.45	9.57	864,569	1,256,461	6,060,025	12,582,945