SPX Options History — December 2023

In December 2023, SPX traded between $4551.87 and $4790.08. ATM implied volatility averaged 10.5%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.8% (HV 20d: 8.8%). Max pain ranged from $4360.00 to $4550.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.30.

Notable Days

2023-12-14: Highest Volume — 4,382,212 contracts
2023-12-20: Largest IV spike — 7.7% change
2023-12-21: Highest IV Rank — 10.3%
2023-12-06: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4684.08	$4551.87	$4790.08	$4591.38	$4772.68
Max Pain	$4476.50	$4360.00	$4550.00	$4360.00	$4550.00
ATM IV	10.5%	9.8%	11.2%	10.5%	10.2%
Expected Move	3.1%	2.9%	3.3%	3.3%	2.9%
HV 20d	8.8%	7.1%	11.0%	10.8%	8.2%
HV 60d	12.7%	11.9%	13.3%	13.2%	11.9%
IV Rank	4.6%	0.0%	10.3%	3.6%	2.9%
IV Percentile	6.5%	0.0%	20.2%	2.8%	2.8%
Term Structure	-0.0%	-0.2%	0.3%	-0.1%	0.1%
VWIV	11.7%	10.5%	13.2%	11.8%	10.5%
Skew 25d	2.1%	1.6%	2.5%	2.1%	2.1%
Skew 10d	4.9%	4.0%	5.8%	4.4%	5.3%
Call IV 25d	9.7%	9.1%	10.5%	9.9%	9.3%
Put IV 25d	11.8%	11.0%	12.8%	12.0%	11.5%
Bid-Ask Spread %	6.05	4.98	8.44	8.44	8.13
Gamma HHI	0.03	0.02	0.04	0.04	0.02
Net GEX	53.69B	6.44B	99.23B	79.75B	21.12B
Net DEX	-1257.23B	-1939.86B	-935.20B	-1299.17B	-1141.23B
Net VEX	-7.28B	-8.02B	-6.60B	-6.75B	-7.83B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	1.14	1.53	1.14	1.27
Total Volume	2,852,230.1	1,904,673	4,382,212	2,902,346	2,885,825
Total OI	19,863,704.9	17,103,272	23,116,837	20,656,541	18,740,162

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
2023-12-01	$4591.38	$4360.00	10.5%	3.3%	10.8%	3.6%	11.8%	2.1%	-0.1%	79.75B	-1299.17B	-6.75B	1.14	8.44	1,355,162	1,547,184	7,289,373	13,367,168
2023-12-04	$4566.76	$4400.00	10.7%	3.3%	10.8%	5.0%	13.0%	2.2%	0.1%	19.83B	-1076.55B	-6.96B	1.24	5.03	1,182,849	1,468,822	7,373,386	13,405,170
2023-12-05	$4564.96	$4400.00	10.9%	3.3%	10.8%	6.6%	13.2%	2.3%	0.2%	34.16B	-1096.90B	-6.97B	1.25	5.27	1,074,929	1,341,229	7,431,001	13,552,558
2023-12-06	$4551.87	$4400.00	11.2%	3.3%	10.9%	8.5%	12.5%	2.4%	-0.2%	17.69B	-992.54B	-7.11B	1.19	5.53	1,237,854	1,477,326	7,507,152	13,710,161
2023-12-07	$4583.50	$4420.00	11.1%	3.3%	11.0%	7.8%	11.6%	2.3%	-0.2%	50.88B	-1191.17B	-7.03B	1.30	5.26	1,201,475	1,567,924	7,591,216	13,867,146
2023-12-08	$4606.96	$4440.00	10.4%	3.2%	10.1%	2.9%	11.8%	1.9%	0.1%	70.95B	-1363.75B	-6.97B	1.20	4.98	1,456,490	1,744,273	7,740,175	14,092,342
2023-12-11	$4618.79	$4450.00	10.5%	3.1%	8.9%	3.4%	12.0%	2.1%	0.3%	69.70B	-1426.79B	-6.90B	1.42	5.08	1,090,356	1,544,487	7,835,643	14,144,549
2023-12-12	$4640.12	$4450.00	10.0%	2.9%	8.9%	0.2%	11.3%	2.1%	0.1%	78.12B	-1576.48B	-6.60B	1.47	5.30	1,182,017	1,735,805	7,905,073	14,300,276
2023-12-13	$4700.21	$4450.00	10.0%	2.9%	7.4%	0.3%	11.0%	1.6%	-0.2%	99.23B	-1869.53B	-6.73B	1.14	6.47	1,596,893	1,815,466	7,984,447	14,558,431
2023-12-14	$4714.48	$4475.00	9.9%	2.9%	7.4%	0.0%	11.3%	1.8%	-0.1%	93.03B	-1939.86B	-6.77B	1.24	5.40	1,959,656	2,422,556	8,211,329	14,905,508
2023-12-15	$4711.11	$4500.00	9.8%	2.9%	7.4%	0.0%	11.2%	2.0%	-0.2%	42.16B	-1042.79B	-7.35B	1.52	5.50	1,194,551	1,816,774	5,837,665	11,397,209
2023-12-18	$4743.69	$4500.00	10.2%	3.0%	7.6%	2.8%	12.2%	2.0%	0.1%	65.30B	-1168.45B	-7.15B	1.40	5.44	1,123,123	1,571,228	5,895,097	11,208,175
2023-12-19	$4762.21	$4500.00	10.3%	3.0%	7.1%	3.9%	11.6%	1.8%	-0.1%	74.68B	-1216.19B	-7.38B	1.21	5.44	1,235,194	1,497,992	5,987,158	11,402,770
2023-12-20	$4716.60	$4520.00	11.1%	3.2%	8.0%	9.7%	11.9%	2.5%	0.1%	6.44B	-935.20B	-8.02B	1.53	7.39	1,450,440	2,224,537	6,182,530	11,733,371
2023-12-21	$4741.09	$4525.00	11.2%	3.2%	8.0%	10.3%	12.3%	2.4%	-0.1%	35.14B	-1057.74B	-8.01B	1.32	6.01	1,270,565	1,680,215	6,293,386	12,002,845
2023-12-22	$4753.74	$4540.00	10.9%	3.2%	7.9%	8.2%	11.8%	2.2%	0.3%	57.94B	-1111.89B	-7.76B	1.28	6.55	1,195,981	1,528,806	6,393,569	12,168,293
2023-12-26	$4778.71	$4550.00	10.8%	3.1%	8.0%	7.6%	11.8%	2.3%	-0.0%	59.24B	-1194.16B	-7.85B	1.40	6.44	792,010	1,112,663	6,242,002	12,024,650
2023-12-27	$4772.61	$4550.00	10.4%	2.9%	8.0%	4.5%	10.5%	2.1%	-0.0%	47.00B	-1198.48B	-7.64B	1.29	6.80	1,005,130	1,295,104	6,294,701	12,113,772
2023-12-28	$4790.08	$4550.00	10.3%	2.9%	7.9%	3.8%	11.1%	1.9%	-0.2%	51.43B	-1245.73B	-7.70B	1.22	6.57	972,986	1,188,725	6,329,608	12,255,031
2023-12-29	$4772.68	$4550.00	10.2%	2.9%	8.2%	2.9%	10.5%	2.1%	0.1%	21.12B	-1141.23B	-7.83B	1.27	8.13	1,270,969	1,614,856	6,377,423	12,362,739