SPX Options History — September 2023

In September 2023, SPX traded between $4266.49 and $4514.86. ATM implied volatility averaged 12.9%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.6% (HV 20d: 11.3%). Max pain ranged from $4425.00 to $4450.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.39.

Notable Days

2023-09-29: Highest Volume — 3,368,986 contracts
2023-09-26: Largest IV spike — 13.7% change
2023-09-26: Highest IV Rank — 32.1%
2023-09-26: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4409.06	$4266.49	$4514.86	$4514.86	$4284.89
Max Pain	$4443.00	$4425.00	$4450.00	$4445.00	$4425.00
ATM IV	12.9%	10.5%	16.8%	10.6%	15.4%
Expected Move	3.8%	2.8%	4.9%	2.8%	4.5%
HV 20d	11.3%	10.4%	12.5%	10.7%	10.8%
HV 60d	10.4%	10.0%	10.8%	10.3%	10.6%
IV Rank	13.0%	0.9%	32.1%	1.4%	24.9%
IV Percentile	24.2%	0.8%	49.6%	1.2%	43.3%
Term Structure	-0.0%	-0.5%	0.3%	0.2%	-0.1%
VWIV	14.2%	10.6%	17.9%	10.6%	16.2%
Skew 25d	3.9%	3.0%	5.0%	3.1%	4.3%
Skew 10d	8.2%	6.7%	10.1%	7.1%	8.8%
Call IV 25d	11.1%	9.3%	14.0%	9.3%	12.8%
Put IV 25d	15.0%	12.4%	19.0%	12.5%	17.1%
Bid-Ask Spread %	6.13	3.69	8.17	8.17	7.85
Gamma HHI	0.02	0.01	0.03	0.02	0.02
Net GEX	-29.56B	-80.64B	37.52B	26.08B	-52.79B
Net DEX	-166.71B	-734.35B	428.66B	-708.11B	304.03B
Net VEX	-6.93B	-7.44B	-6.35B	-6.85B	-7.30B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	1.17	1.52	1.50	1.28
Total Volume	2,688,478.3	2,078,643	3,368,986	2,646,923	3,368,986
Total OI	18,584,773.25	16,592,387	20,552,412	19,350,228	18,639,811

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
2023-09-01	$4514.86	$4445.00	10.6%	2.8%	10.7%	1.4%	10.6%	3.1%	0.2%	26.08B	-708.11B	-6.85B	1.50	8.17	1,056,864	1,590,059	6,357,937	12,992,291
2023-09-05	$4502.61	$4425.00	11.5%	3.4%	10.6%	5.9%	12.9%	3.6%	-0.1%	14.05B	-659.84B	-6.77B	1.41	3.69	863,540	1,215,235	6,337,549	12,970,968
2023-09-06	$4462.93	$4430.00	12.2%	3.6%	11.0%	9.4%	15.0%	4.1%	0.3%	-23.41B	-382.68B	-6.91B	1.41	4.40	1,167,875	1,651,756	6,401,196	13,051,033
2023-09-07	$4452.83	$4440.00	12.3%	3.6%	11.0%	9.6%	13.9%	4.0%	-0.1%	-21.48B	-320.77B	-6.87B	1.41	4.73	1,034,435	1,455,873	6,489,294	13,262,970
2023-09-08	$4453.28	$4440.00	11.7%	3.5%	10.9%	6.9%	14.2%	3.7%	0.1%	-19.26B	-328.03B	-6.80B	1.48	5.32	1,014,531	1,504,197	6,582,054	13,421,735
2023-09-11	$4486.58	$4440.00	11.3%	3.4%	11.3%	5.0%	12.9%	3.5%	0.2%	17.51B	-554.43B	-6.59B	1.44	4.77	951,283	1,372,095	6,548,828	13,362,506
2023-09-12	$4462.67	$4450.00	12.1%	3.5%	11.4%	8.8%	13.1%	3.8%	-0.0%	-19.37B	-375.26B	-6.67B	1.17	5.26	1,115,833	1,304,620	6,607,341	13,483,368
2023-09-13	$4464.91	$4450.00	11.5%	3.3%	10.8%	5.7%	13.7%	3.4%	-0.1%	-9.72B	-410.74B	-6.62B	1.43	5.35	1,078,931	1,542,041	6,695,558	13,641,203
2023-09-14	$4506.26	$4450.00	10.5%	3.1%	11.0%	0.9%	11.1%	3.0%	-0.3%	37.52B	-734.35B	-6.35B	1.43	5.24	1,079,887	1,547,719	6,764,561	13,787,851
2023-09-15	$4449.00	$4450.00	11.3%	3.3%	11.7%	5.1%	12.6%	3.6%	0.1%	-35.16B	-262.06B	-6.69B	1.41	5.09	1,294,294	1,821,004	5,365,610	11,333,088
2023-09-18	$4449.39	$4450.00	11.8%	3.4%	11.7%	7.4%	14.1%	3.7%	0.1%	-22.96B	-281.42B	-6.80B	1.38	5.49	917,749	1,270,778	5,378,048	11,214,339
2023-09-19	$4446.52	$4450.00	11.9%	3.5%	11.4%	8.1%	13.6%	3.7%	0.2%	-23.76B	-264.52B	-6.69B	1.31	5.97	1,128,923	1,478,577	5,439,590	11,317,321
2023-09-20	$4408.77	$4450.00	12.8%	3.7%	11.8%	12.1%	13.9%	3.8%	-0.3%	-47.11B	-111.68B	-6.97B	1.39	7.18	868,562	1,210,081	5,512,131	11,492,457
2023-09-21	$4340.00	$4450.00	14.5%	4.2%	12.3%	20.6%	15.3%	4.4%	-0.4%	-80.64B	214.67B	-7.20B	1.36	7.48	1,274,724	1,732,718	5,560,736	11,674,280
2023-09-22	$4328.28	$4450.00	14.3%	4.2%	11.9%	19.7%	15.1%	4.5%	0.0%	-72.47B	243.12B	-7.16B	1.49	6.80	1,240,485	1,844,574	5,720,519	11,974,150
2023-09-25	$4329.56	$4450.00	14.8%	4.4%	11.7%	22.2%	16.1%	4.4%	0.1%	-59.17B	183.75B	-7.19B	1.52	7.15	1,014,867	1,547,547	5,724,238	11,969,372
2023-09-26	$4271.21	$4450.00	16.8%	4.9%	12.5%	32.1%	17.9%	5.0%	-0.1%	-76.44B	428.66B	-7.36B	1.33	7.43	1,294,563	1,719,306	5,809,388	12,101,421
2023-09-27	$4266.49	$4440.00	16.4%	4.8%	10.4%	29.9%	16.5%	4.7%	-0.5%	-71.78B	424.83B	-7.40B	1.33	7.77	1,442,720	1,917,422	5,962,870	12,263,835
2023-09-28	$4300.17	$4425.00	15.1%	4.4%	10.8%	23.6%	16.1%	4.3%	-0.4%	-50.78B	260.61B	-7.44B	1.31	7.37	1,226,536	1,608,376	6,097,946	12,386,072
2023-09-29	$4284.89	$4425.00	15.4%	4.5%	10.8%	24.9%	16.2%	4.3%	-0.1%	-52.79B	304.03B	-7.30B	1.28	7.85	1,475,813	1,893,173	6,171,650	12,468,161