SPX Options History — January 2024

In January 2024, SPX traded between $4693.88 and $4926.01. ATM implied volatility averaged 11.1%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.8% (HV 20d: 9.3%). Max pain ranged from $4550.00 to $4700.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.28.

Notable Days

2024-01-19: Highest Volume — 3,940,713 contracts
2024-01-16: Largest IV spike — 12.7% change
2024-01-17: Highest IV Rank — 18.7%
2024-01-17: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4802.08	$4693.88	$4926.01	$4728.02	$4851.78
Max Pain	$4624.52	$4550.00	$4700.00	$4550.00	$4700.00
ATM IV	11.1%	10.3%	12.4%	11.3%	11.7%
Expected Move	3.2%	3.0%	3.5%	3.1%	3.5%
HV 20d	9.3%	8.7%	10.3%	9.0%	10.3%
HV 60d	11.2%	9.8%	12.1%	12.1%	10.0%
IV Rank	9.2%	3.5%	18.7%	11.2%	13.6%
IV Percentile	18.9%	3.6%	39.7%	25.8%	36.9%
Term Structure	-0.1%	-0.5%	0.3%	0.3%	-0.3%
VWIV	12.2%	11.3%	13.8%	11.4%	13.4%
Skew 25d	2.5%	1.8%	3.5%	2.8%	2.7%
Skew 10d	5.9%	4.1%	8.0%	6.2%	6.4%
Call IV 25d	10.1%	9.1%	10.9%	10.2%	10.7%
Put IV 25d	12.6%	11.5%	14.4%	12.9%	13.4%
Bid-Ask Spread %	6.47	5.17	9.43	9.43	9.11
Gamma HHI	0.02	0.02	0.04	0.02	0.02
Net GEX	32.93B	-18.76B	89.55B	-6.32B	-5.40B
Net DEX	-988.06B	-1441.49B	-560.30B	-723.68B	-970.14B
Net VEX	-8.11B	-8.68B	-7.89B	-8.08B	-8.68B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	1.13	1.38	1.32	1.19
Total Volume	2,905,515.429	2,107,408	3,940,713	2,745,960	2,548,346
Total OI	18,524,865.333	17,404,937	19,862,120	17,404,937	19,236,300

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
2024-01-02	$4728.02	$4550.00	11.3%	3.1%	9.0%	11.2%	11.4%	2.8%	0.3%	-6.32B	-723.68B	-8.08B	1.32	9.43	1,185,049	1,560,911	5,904,078	11,500,859
2024-01-03	$4709.55	$4550.00	12.0%	3.2%	8.8%	16.0%	11.4%	3.2%	-0.3%	-17.61B	-604.84B	-8.04B	1.37	8.93	1,134,227	1,556,539	5,970,205	11,640,282
2024-01-04	$4700.27	$4590.00	11.9%	3.5%	8.9%	15.2%	13.1%	3.1%	-0.3%	-14.42B	-567.49B	-8.15B	1.20	5.49	1,168,422	1,404,954	6,063,932	11,811,952
2024-01-05	$4693.88	$4595.00	11.4%	3.4%	8.8%	11.8%	12.7%	2.7%	0.1%	-14.62B	-560.30B	-8.09B	1.37	6.29	1,345,919	1,846,384	6,138,491	11,959,919
2024-01-08	$4757.20	$4600.00	11.1%	3.3%	9.6%	9.4%	12.7%	2.5%	0.1%	43.43B	-902.15B	-7.89B	1.19	5.18	1,396,632	1,666,193	6,155,429	11,953,326
2024-01-09	$4750.37	$4600.00	10.9%	3.2%	9.6%	7.8%	13.4%	2.5%	0.1%	28.08B	-848.28B	-8.06B	1.30	5.45	1,110,959	1,442,837	6,279,814	12,165,375
2024-01-10	$4777.25	$4600.00	10.8%	3.1%	9.7%	6.9%	11.4%	2.3%	-0.3%	54.65B	-1008.47B	-7.91B	1.13	5.53	1,380,999	1,560,333	6,353,736	12,371,799
2024-01-11	$4775.21	$4600.00	10.3%	3.0%	9.6%	3.9%	11.8%	2.3%	-0.2%	41.32B	-982.64B	-7.91B	1.23	5.54	1,462,739	1,796,214	6,487,254	12,576,494
2024-01-12	$4781.30	$4600.00	10.3%	3.0%	8.7%	3.5%	11.5%	2.4%	0.2%	41.29B	-982.27B	-8.10B	1.29	5.52	1,304,235	1,679,119	6,524,661	12,730,686
2024-01-16	$4758.34	$4600.00	11.6%	3.3%	8.8%	12.9%	12.1%	3.1%	0.1%	9.70B	-838.04B	-8.05B	1.36	5.38	1,334,683	1,814,320	6,527,311	12,682,016
2024-01-17	$4733.82	$4600.00	12.4%	3.5%	9.1%	18.7%	13.8%	3.5%	-0.3%	-18.76B	-674.20B	-8.32B	1.38	5.17	1,360,529	1,876,832	6,609,894	12,836,418
2024-01-18	$4778.76	$4620.00	11.7%	3.4%	9.3%	13.6%	13.1%	3.2%	-0.5%	41.67B	-977.00B	-8.19B	1.28	5.34	1,474,875	1,885,237	6,699,539	13,162,581
2024-01-19	$4836.78	$4625.00	10.9%	3.2%	10.2%	7.7%	12.3%	2.3%	-0.3%	62.33B	-1114.94B	-7.93B	1.25	6.05	1,752,754	2,187,959	5,888,711	11,525,605
2024-01-22	$4852.51	$4650.00	10.6%	3.1%	9.4%	6.1%	11.8%	2.4%	0.1%	89.55B	-1161.93B	-7.91B	1.32	5.55	1,350,252	1,786,828	5,998,856	11,680,329
2024-01-23	$4861.84	$4650.00	10.3%	3.0%	9.3%	3.5%	11.4%	2.2%	-0.1%	60.15B	-1174.11B	-8.06B	1.17	7.01	970,001	1,137,407	6,081,268	11,898,643
2024-01-24	$4877.59	$4650.00	10.4%	3.1%	9.3%	4.3%	11.3%	2.0%	-0.1%	66.47B	-1255.97B	-8.03B	1.26	7.10	1,492,343	1,883,800	6,159,870	12,049,079
2024-01-25	$4885.12	$4675.00	10.7%	3.2%	9.2%	6.2%	11.8%	2.1%	-0.1%	55.03B	-1273.31B	-8.19B	1.28	6.18	1,128,999	1,450,735	6,267,531	12,326,988
2024-01-26	$4887.27	$4675.00	10.5%	3.2%	9.2%	5.2%	11.5%	1.9%	0.0%	50.80B	-1270.16B	-8.27B	1.29	6.74	1,180,627	1,520,813	6,363,017	12,499,511
2024-01-29	$4920.73	$4685.00	10.8%	3.3%	9.4%	7.5%	12.5%	2.1%	-0.1%	64.20B	-1417.85B	-8.29B	1.31	7.91	1,097,647	1,433,360	6,376,844	12,502,414
2024-01-30	$4926.01	$4700.00	10.8%	3.3%	9.2%	7.3%	11.9%	1.8%	0.1%	60.00B	-1441.49B	-8.22B	1.37	7.00	988,647	1,356,165	6,424,198	12,636,957
2024-01-31	$4851.78	$4700.00	11.7%	3.5%	10.3%	13.6%	13.4%	2.7%	-0.3%	-5.40B	-970.14B	-8.68B	1.19	9.11	1,164,940	1,383,406	6,446,019	12,790,281