SPX Options History — August 2023 In August 2023, SPX traded between $4367.14 and $4579.51. ATM implied volatility averaged 13.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.4% (HV 20d: 9.8%). Max pain ranged from $4425.00 to $4450.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.36.
Notable Days 2023-08-04 : Highest Volume — 3,211,807 contracts2023-08-02 : Largest IV spike — 19.2% change2023-08-17 : Highest IV Rank — 24.2%2023-08-17 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $4459.00 $4367.14 $4579.51 $4579.51 $4517.94 Max Pain $4441.09 $4425.00 $4450.00 $4425.00 $4445.00 ATM IV 13.2% 11.0% 15.2% 11.2% 11.0% Expected Move 3.8% 3.0% 4.4% 3.1% 3.0% HV 20d 9.8% 8.5% 12.2% 8.5% 10.9% HV 60d 10.3% 10.1% 10.4% 10.2% 10.3% IV Rank 14.4% 3.6% 24.2% 4.7% 3.6% IV Percentile 20.3% 6.3% 32.1% 9.9% 6.3% Term Structure -0.1% -0.4% 0.2% 0.2% -0.1% VWIV 13.8% 10.8% 15.7% 11.6% 10.8% Skew 25d 4.4% 3.2% 5.3% 3.2% 3.3% Skew 10d 9.2% 6.1% 11.6% 6.1% 7.2% Call IV 25d 11.3% 9.8% 13.0% 10.0% 9.8% Put IV 25d 15.7% 13.1% 18.3% 13.2% 13.1% Bid-Ask Spread % 6.80 4.50 8.76 8.76 7.51 Gamma HHI 0.02 0.01 0.03 0.02 0.02 Net GEX -18.33B -71.61B 37.65B 22.96B 36.98B Net DEX -338.24B -923.64B 180.46B -923.64B -787.40B Net VEX -7.56B -8.73B -6.84B -7.08B -6.84B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 1.21 1.58 1.31 1.42 Total Volume 2,662,562.043 2,056,859 3,211,807 2,056,859 2,391,090 Total OI 19,305,338.826 18,413,246 20,340,460 18,413,246 19,692,528
Daily Data (23 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 2023-08-01 $4579.51 $4425.00 11.2% 3.1% 8.5% 4.7% 11.6% 3.2% 0.2% 22.96B -923.64B -7.08B 1.31 8.76 890,251 1,166,608 5,976,821 12,436,425 2023-08-02 $4505.78 $4425.00 13.4% 3.8% 10.6% 15.2% 13.2% 4.5% -0.2% -16.17B -553.80B -8.73B 1.36 8.31 1,237,585 1,681,508 6,055,763 12,634,674 2023-08-03 $4504.60 $4430.00 13.2% 3.8% 9.9% 14.1% 14.1% 4.5% -0.1% -26.06B -504.33B -7.75B 1.41 4.64 1,075,644 1,521,028 6,167,623 12,857,522 2023-08-04 $4484.23 $4435.00 13.6% 4.0% 10.1% 16.2% 14.1% 4.9% -0.4% -40.53B -355.00B -7.81B 1.39 6.04 1,345,435 1,866,372 6,204,377 13,012,428 2023-08-07 $4508.74 $4435.00 12.7% 3.8% 10.1% 11.7% 14.0% 4.5% 0.1% -5.69B -557.82B -7.60B 1.48 4.50 943,602 1,393,906 6,198,388 13,042,331 2023-08-08 $4495.27 $4440.00 12.9% 3.8% 10.1% 12.9% 14.3% 4.5% 0.1% -19.41B -496.05B -7.76B 1.33 5.58 1,114,739 1,482,492 6,284,437 13,157,479 2023-08-09 $4488.76 $4440.00 13.1% 3.8% 9.6% 13.7% 13.8% 4.7% -0.3% -30.07B -392.21B -7.81B 1.26 5.66 1,203,333 1,514,285 6,347,840 13,305,977 2023-08-10 $4470.40 $4445.00 13.3% 3.9% 9.0% 14.8% 13.8% 4.6% -0.4% -34.52B -306.79B -7.97B 1.34 6.25 1,323,206 1,777,790 6,392,862 13,390,712 2023-08-11 $4467.90 $4450.00 12.3% 3.7% 9.0% 10.0% 13.6% 4.3% 0.2% -43.39B -327.36B -7.55B 1.37 6.29 1,054,671 1,449,971 6,465,831 13,519,083 2023-08-14 $4477.99 $4450.00 12.5% 3.6% 8.8% 10.9% 13.5% 4.0% 0.0% -12.76B -449.96B -7.41B 1.35 6.31 951,311 1,287,309 6,387,857 13,332,802 2023-08-15 $4434.84 $4450.00 14.1% 4.0% 9.0% 18.6% 15.0% 4.7% -0.2% -43.82B -168.02B -7.71B 1.39 6.29 1,134,830 1,573,558 6,422,963 13,433,290 2023-08-16 $4407.37 $4450.00 14.5% 4.1% 9.0% 20.5% 14.3% 4.9% -0.2% -56.71B -44.45B -7.72B 1.39 7.28 1,206,648 1,680,915 6,493,284 13,657,690 2023-08-17 $4376.25 $4450.00 15.2% 4.4% 8.9% 24.2% 15.6% 5.3% -0.4% -71.61B 180.46B -7.76B 1.49 6.90 1,266,601 1,888,235 6,548,093 13,792,367 2023-08-18 $4367.14 $4450.00 14.7% 4.3% 8.8% 21.6% 15.7% 4.8% 0.1% -44.62B 85.98B -7.72B 1.58 6.73 1,124,275 1,778,322 6,106,764 12,552,106 2023-08-21 $4400.24 $4445.00 14.4% 4.1% 9.3% 20.4% 15.7% 4.9% 0.1% -23.81B -86.32B -7.59B 1.27 6.55 1,074,214 1,365,661 6,058,716 12,589,418 2023-08-22 $4388.12 $4440.00 14.6% 4.1% 9.0% 21.1% 14.9% 4.8% -0.0% -31.89B 11.93B -7.57B 1.25 7.47 1,032,153 1,287,688 6,139,506 12,645,928 2023-08-23 $4438.16 $4440.00 13.6% 3.8% 10.2% 16.1% 14.0% 4.6% -0.2% 3.61B -290.95B -7.51B 1.44 7.19 1,033,327 1,491,491 6,168,288 12,738,645 2023-08-24 $4393.24 $4440.00 14.3% 4.0% 10.6% 19.5% 14.1% 5.1% -0.3% -39.19B 16.80B -7.48B 1.29 8.32 1,169,049 1,512,991 6,232,306 12,768,756 2023-08-25 $4414.44 $4440.00 13.0% 3.7% 10.2% 13.3% 13.6% 4.3% 0.2% -14.09B -144.91B -7.39B 1.35 7.37 1,221,815 1,652,700 6,279,520 12,893,076 2023-08-28 $4422.90 $4440.00 12.9% 3.6% 10.3% 13.0% 13.2% 4.3% 0.0% -4.14B -261.32B -7.18B 1.34 7.41 996,258 1,333,986 6,255,153 12,780,323 2023-08-29 $4497.76 $4440.00 12.1% 3.4% 12.2% 9.0% 12.8% 3.9% -0.0% 35.63B -670.70B -6.98B 1.21 7.72 1,383,527 1,675,235 6,286,799 12,835,689 2023-08-30 $4515.38 $4440.00 11.5% 3.1% 10.9% 5.9% 12.4% 3.4% -0.1% 37.65B -753.62B -6.96B 1.24 7.28 1,200,024 1,483,288 6,401,652 13,078,701 2023-08-31 $4517.94 $4445.00 11.0% 3.0% 10.9% 3.6% 10.8% 3.3% -0.1% 36.98B -787.40B -6.84B 1.42 7.51 988,997 1,402,093 6,438,553 13,253,975
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