SPX Options History — November 2023

In November 2023, SPX traded between $4240.01 and $4557.79. ATM implied volatility averaged 11.6%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 3.2% (HV 20d: 14.8%). Max pain ranged from $4300.00 to $4360.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.27.

Notable Days

2023-11-14: Highest Volume — 3,965,626 contracts
2023-11-10: Largest IV drop — 10.1% change
2023-11-01: Highest IV Rank — 31.2%
2023-11-01: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4460.22	$4240.01	$4557.79	$4240.01	$4556.42
Max Pain	$4329.29	$4300.00	$4360.00	$4300.00	$4360.00
ATM IV	11.6%	10.0%	14.7%	14.7%	10.6%
Expected Move	3.4%	3.0%	4.4%	4.4%	3.3%
HV 20d	14.8%	11.9%	17.2%	14.4%	11.9%
HV 60d	13.3%	12.4%	14.0%	12.4%	13.1%
IV Rank	10.0%	0.0%	31.2%	31.2%	4.3%
IV Percentile	14.1%	0.0%	41.3%	41.3%	4.0%
Term Structure	-0.1%	-0.4%	0.2%	-0.3%	-0.3%
VWIV	12.7%	10.6%	17.0%	17.0%	11.5%
Skew 25d	2.9%	2.3%	3.9%	3.9%	2.6%
Skew 10d	6.6%	5.1%	8.1%	8.1%	5.3%
Call IV 25d	10.4%	9.0%	12.9%	12.9%	9.7%
Put IV 25d	13.3%	11.4%	16.8%	16.8%	12.3%
Bid-Ask Spread %	5.96	4.20	9.52	9.52	7.93
Gamma HHI	0.02	0.02	0.04	0.02	0.02
Net GEX	43.67B	-11.10B	84.79B	-11.10B	34.10B
Net DEX	-806.86B	-1205.50B	195.07B	195.07B	-1093.33B
Net VEX	-7.00B	-7.39B	-6.48B	-7.39B	-6.84B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	1.10	1.48	1.29	1.23
Total Volume	2,762,891.095	1,127,805	3,965,626	2,706,086	2,645,429
Total OI	20,207,664.952	19,255,268	21,375,711	19,255,268	20,853,804

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
2023-11-01	$4240.01	$4300.00	14.7%	4.4%	14.4%	31.2%	17.0%	3.9%	-0.3%	-11.10B	195.07B	-7.39B	1.29	9.52	1,180,917	1,525,169	6,886,315	12,368,953
2023-11-02	$4314.70	$4305.00	13.4%	4.0%	15.7%	21.8%	14.9%	3.7%	-0.1%	23.09B	-201.84B	-7.38B	1.14	4.44	1,576,517	1,798,464	6,969,079	12,497,996
2023-11-03	$4362.88	$4305.00	12.4%	3.8%	15.6%	15.1%	13.7%	3.4%	0.1%	57.95B	-466.72B	-7.32B	1.12	4.20	1,664,859	1,869,779	7,148,321	12,703,941
2023-11-06	$4360.90	$4310.00	12.5%	3.8%	15.6%	16.0%	13.9%	3.5%	0.1%	29.58B	-378.13B	-7.27B	1.38	4.42	1,138,261	1,570,111	7,138,231	12,752,689
2023-11-07	$4383.46	$4310.00	12.4%	3.7%	15.4%	15.2%	14.1%	3.4%	0.1%	46.47B	-520.18B	-7.28B	1.16	4.41	1,205,759	1,398,523	7,143,820	12,825,946
2023-11-08	$4387.10	$4310.00	12.2%	3.6%	15.4%	13.3%	13.0%	3.1%	-0.3%	46.19B	-518.79B	-7.22B	1.18	5.13	1,217,585	1,439,222	7,214,860	12,983,362
2023-11-09	$4344.93	$4315.00	12.9%	3.8%	15.7%	18.8%	13.9%	3.6%	-0.2%	-5.45B	-227.63B	-7.38B	1.32	5.42	1,246,908	1,641,351	7,283,472	13,091,693
2023-11-10	$4414.21	$4315.00	11.6%	3.5%	16.4%	9.5%	12.7%	3.1%	0.2%	64.82B	-664.64B	-7.20B	1.21	5.06	1,535,409	1,850,201	7,323,996	13,247,655
2023-11-13	$4415.34	$4320.00	12.4%	3.6%	15.9%	15.9%	13.8%	3.3%	0.1%	49.23B	-638.64B	-7.14B	1.29	5.08	1,102,736	1,419,226	7,294,993	13,213,588
2023-11-14	$4503.12	$4325.00	11.8%	3.4%	17.2%	11.0%	12.7%	2.3%	-0.2%	84.79B	-1178.02B	-6.82B	1.10	4.88	1,891,783	2,073,843	7,323,468	13,353,225
2023-11-15	$4506.04	$4330.00	11.6%	3.3%	16.4%	9.7%	12.5%	2.6%	-0.2%	74.10B	-1145.41B	-6.79B	1.31	5.43	1,296,498	1,693,068	7,447,974	13,673,413
2023-11-16	$4505.64	$4330.00	11.2%	3.2%	15.9%	6.4%	12.1%	2.6%	-0.3%	50.24B	-1096.08B	-7.04B	1.37	5.58	1,124,187	1,543,550	7,511,868	13,863,843
2023-11-17	$4509.89	$4335.00	11.0%	3.2%	15.2%	5.4%	11.7%	2.6%	0.1%	44.23B	-1013.89B	-6.92B	1.43	5.55	1,071,908	1,528,633	6,854,110	12,717,765
2023-11-20	$4554.12	$4345.00	10.9%	3.2%	15.3%	4.3%	11.7%	2.4%	-0.1%	69.19B	-1205.50B	-6.66B	1.26	5.43	1,213,007	1,523,762	6,865,309	12,647,633
2023-11-21	$4535.93	$4350.00	10.8%	3.2%	15.5%	3.9%	11.8%	2.6%	0.0%	38.96B	-1060.02B	-6.93B	1.30	5.95	920,416	1,200,439	6,950,306	12,825,875
2023-11-22	$4557.79	$4350.00	10.5%	3.0%	14.0%	1.3%	11.2%	2.6%	-0.3%	67.93B	-1187.05B	-6.77B	1.17	6.19	1,272,806	1,490,691	7,051,384	13,012,046
2023-11-24	$4555.07	$4350.00	10.1%	3.0%	13.2%	0.0%	10.6%	2.4%	-0.4%	40.81B	-1169.94B	-6.77B	1.48	7.44	453,952	673,853	7,151,662	13,173,907
2023-11-27	$4555.97	$4350.00	10.0%	3.0%	12.4%	0.0%	11.0%	2.4%	0.2%	44.50B	-1165.36B	-6.48B	1.40	7.58	960,139	1,341,976	7,080,641	13,027,317
2023-11-28	$4551.65	$4350.00	10.2%	3.1%	12.1%	1.5%	11.1%	2.4%	0.1%	36.12B	-1121.33B	-6.69B	1.26	7.34	1,213,690	1,535,341	7,149,996	13,146,287
2023-11-29	$4549.50	$4350.00	10.6%	3.2%	12.2%	4.6%	11.4%	2.6%	-0.3%	31.35B	-1086.72B	-6.76B	1.20	8.19	1,351,854	1,618,891	7,219,979	13,370,242
2023-11-30	$4556.42	$4360.00	10.6%	3.3%	11.9%	4.3%	11.5%	2.6%	-0.3%	34.10B	-1093.33B	-6.84B	1.23	7.93	1,185,861	1,459,568	7,311,076	13,542,728