SPX Options History — October 2023 In October 2023, SPX traded between $4116.45 and $4375.21. ATM implied volatility averaged 16.4%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.6% (HV 20d: 12.8%). Max pain ranged from $4300.00 to $4420.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.34.
Notable Days 2023-10-06 : Highest Volume — 3,912,313 contracts2023-10-13 : Largest IV spike — 13.1% change2023-10-27 : Highest IV Rank — 51.8%2023-10-27 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $4269.27 $4116.45 $4375.21 $4277.60 $4190.03 Max Pain $4346.82 $4300.00 $4420.00 $4420.00 $4300.00 ATM IV 16.4% 14.0% 18.3% 15.9% 15.9% Expected Move 4.8% 4.1% 5.6% 4.7% 4.9% HV 20d 12.8% 10.7% 14.6% 10.7% 14.1% HV 60d 11.3% 10.6% 12.1% 10.6% 12.1% IV Rank 33.2% 18.3% 51.8% 27.6% 39.8% IV Percentile 52.0% 33.3% 69.0% 45.6% 48.8% Term Structure -0.2% -1.2% 0.2% 0.1% 0.1% VWIV 18.1% 14.3% 20.6% 17.5% 18.5% Skew 25d 4.9% 3.8% 6.3% 4.3% 4.3% Skew 10d 10.2% 7.2% 13.1% 8.6% 8.7% Call IV 25d 14.0% 12.1% 15.9% 13.5% 13.9% Put IV 25d 18.8% 16.0% 21.3% 17.8% 18.3% Bid-Ask Spread % 6.14 3.99 8.70 7.26 8.63 Gamma HHI 0.02 0.02 0.03 0.02 0.02 Net GEX -34.58B -77.50B 18.10B -50.72B -33.27B Net DEX 263.08B -266.19B 924.54B 288.17B 499.31B Net VEX -7.64B -8.13B -7.36B -7.37B -7.36B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 1.17 1.63 1.32 1.32 Total Volume 3,112,162.591 2,619,132 3,912,313 2,701,589 2,668,732 Total OI 19,288,765.955 17,959,651 20,686,105 17,959,651 19,565,523
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 2023-10-02 $4277.60 $4420.00 15.9% 4.7% 10.7% 27.6% 17.5% 4.3% 0.1% -50.72B 288.17B -7.37B 1.32 7.26 1,164,963 1,536,626 6,105,550 11,854,101 2023-10-03 $4224.96 $4410.00 17.9% 5.3% 11.3% 37.3% 19.1% 4.7% 0.0% -67.73B 513.71B -7.72B 1.47 7.55 1,399,949 2,058,582 6,211,128 12,006,001 2023-10-04 $4262.91 $4400.00 16.5% 4.7% 11.8% 30.4% 16.8% 4.2% -0.3% -37.72B 317.41B -7.61B 1.40 8.70 1,285,885 1,795,805 6,421,895 12,274,869 2023-10-05 $4263.36 $4350.00 16.2% 4.6% 11.9% 28.9% 18.3% 4.0% -0.3% -41.55B 312.90B -7.71B 1.32 4.80 1,168,326 1,547,671 6,532,304 12,450,080 2023-10-06 $4317.71 $4350.00 15.1% 4.4% 13.0% 23.4% 16.9% 3.8% 0.1% -6.38B 9.70B -7.71B 1.20 4.96 1,778,271 2,134,042 6,583,319 12,565,673 2023-10-09 $4330.36 $4340.00 15.5% 4.5% 12.7% 25.6% 17.8% 4.2% 0.1% -4.96B -51.22B -7.71B 1.29 5.05 1,195,770 1,543,473 6,582,156 12,573,651 2023-10-10 $4361.84 $4340.00 14.6% 4.2% 13.0% 21.3% 16.1% 4.0% -0.1% 16.44B -211.91B -7.54B 1.31 4.63 1,369,360 1,787,098 6,638,261 12,731,092 2023-10-11 $4374.26 $4350.00 14.0% 4.1% 13.0% 18.3% 16.1% 3.9% -0.3% 18.10B -266.19B -7.55B 1.32 4.46 1,126,858 1,492,274 6,749,461 12,929,674 2023-10-12 $4350.51 $4350.00 14.2% 4.1% 12.5% 19.0% 14.3% 4.3% -0.3% -10.94B -107.01B -7.61B 1.17 4.71 1,497,085 1,750,050 6,797,331 13,029,633 2023-10-13 $4320.29 $4350.00 16.0% 4.7% 12.0% 28.1% 18.2% 5.6% 0.2% -32.56B 92.18B -7.96B 1.63 4.80 1,282,925 2,090,129 6,887,742 13,188,238 2023-10-16 $4375.21 $4350.00 14.5% 4.2% 13.0% 21.4% 15.6% 4.8% 0.1% 15.21B -240.08B -7.58B 1.34 4.52 1,261,085 1,691,179 6,877,366 13,190,111 2023-10-17 $4362.06 $4350.00 15.3% 4.4% 13.0% 26.2% 17.7% 5.2% 0.0% -3.22B -155.56B -7.69B 1.27 3.99 1,313,932 1,669,650 6,966,293 13,259,295 2023-10-18 $4307.35 $4350.00 17.2% 4.9% 13.4% 37.1% 20.0% 5.9% -1.2% -46.98B 186.79B -7.92B 1.48 6.19 1,299,163 1,922,250 7,025,887 13,435,380 2023-10-19 $4270.81 $4350.00 18.0% 5.2% 12.6% 41.5% 19.7% 6.3% -0.5% -64.18B 393.44B -8.13B 1.33 6.29 1,468,091 1,946,748 7,053,986 13,632,119 2023-10-20 $4228.08 $4350.00 18.0% 5.3% 13.0% 41.5% 19.1% 6.1% 0.2% -61.13B 500.85B -7.83B 1.20 6.35 1,657,800 1,987,538 6,395,278 12,287,805 2023-10-23 $4223.89 $4340.00 17.7% 5.2% 13.0% 41.4% 19.9% 5.7% -0.3% -53.76B 467.93B -7.63B 1.37 6.60 1,251,633 1,713,778 6,338,490 12,157,088 2023-10-24 $4251.58 $4330.00 16.6% 4.9% 12.4% 35.3% 17.0% 5.1% -0.3% -36.17B 300.35B -7.77B 1.26 6.96 1,193,525 1,503,013 6,421,568 12,219,285 2023-10-25 $4190.26 $4325.00 17.8% 5.3% 13.4% 41.9% 19.8% 5.4% -0.4% -62.56B 607.07B -7.52B 1.34 5.97 1,246,917 1,676,689 6,496,813 12,299,790 2023-10-26 $4151.16 $4325.00 18.1% 5.5% 13.3% 48.0% 20.4% 5.2% -0.4% -76.38B 822.66B -7.39B 1.31 7.50 1,542,562 2,023,468 6,574,260 12,426,578 2023-10-27 $4116.45 $4300.00 18.3% 5.6% 13.5% 51.8% 20.6% 5.1% 0.1% -77.50B 924.54B -7.43B 1.46 7.50 1,384,244 2,021,839 6,739,282 12,567,895 2023-10-30 $4173.19 $4300.00 17.0% 5.2% 14.6% 44.9% 18.9% 4.7% 0.0% -42.74B 582.76B -7.40B 1.30 7.63 1,314,614 1,703,985 6,788,281 12,522,319 2023-10-31 $4190.03 $4300.00 15.9% 4.9% 14.1% 39.8% 18.5% 4.3% 0.1% -33.27B 499.31B -7.36B 1.32 8.63 1,150,082 1,518,650 6,939,676 12,625,847
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