SPX Options History — August 2024

In August 2024, SPX traded between $5169.30 and $5626.55. ATM implied volatility averaged 15.6%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 5.9% (HV 20d: 21.5%). Max pain ranged from $5345.00 to $5400.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.40.

Notable Days

2024-08-05: Highest Volume — 3,974,885 contracts
2024-08-05: Largest IV spike — 45.5% change
2024-08-02: Highest IV Rank — 100.0%
2024-08-05: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5475.07	$5169.30	$5626.55	$5431.60	$5625.38
Max Pain	$5365.91	$5345.00	$5400.00	$5350.00	$5400.00
ATM IV	15.6%	11.6%	28.4%	16.4%	11.6%
Expected Move	4.5%	3.5%	7.9%	5.1%	3.5%
HV 20d	21.5%	15.9%	23.7%	15.9%	18.6%
HV 60d	14.3%	10.7%	15.1%	10.7%	14.9%
IV Rank	35.4%	10.1%	100.0%	77.9%	10.1%
IV Percentile	79.7%	50.0%	100.0%	94.4%	50.0%
Term Structure	-0.2%	-0.7%	0.2%	-0.7%	0.1%
VWIV	17.1%	12.6%	33.6%	18.4%	12.6%
Skew 25d	5.4%	3.2%	14.4%	3.9%	4.0%
Skew 10d	11.8%	6.5%	30.1%	8.8%	8.9%
Call IV 25d	13.1%	9.7%	22.4%	14.5%	9.7%
Put IV 25d	18.5%	13.7%	36.8%	18.4%	13.7%
Bid-Ask Spread %	6.50	4.07	18.55	8.81	6.11
Gamma HHI	0.02	0.01	0.03	0.01	0.02
Net GEX	-5.94B	-89.90B	63.24B	-54.39B	24.70B
Net DEX	-1059.90B	-1794.16B	654.38B	-735.88B	-1764.33B
Net VEX	-10.31B	-12.83B	-9.25B	-10.55B	-9.25B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	1.15	2.65	1.30	1.27
Total Volume	2,757,008.136	2,014,330	3,974,885	3,532,364	2,465,637
Total OI	20,912,092.5	19,983,811	21,814,043	20,597,353	21,381,570

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
2024-08-01	$5431.60	$5350.00	16.4%	5.1%	15.9%	77.9%	18.4%	3.9%	-0.7%	-54.39B	-735.88B	-10.55B	1.30	8.81	1,538,347	1,994,017	6,733,522	13,863,831
2024-08-02	$5333.05	$5345.00	19.6%	6.1%	16.7%	100.0%	23.1%	6.5%	-0.7%	-89.18B	-163.21B	-11.67B	1.94	18.55	1,322,291	2,569,622	6,811,007	14,072,789
2024-08-05	$5169.30	$5395.00	28.4%	7.9%	19.6%	100.0%	33.6%	14.4%	0.0%	-89.90B	654.38B	-12.83B	2.65	9.42	1,088,061	2,886,824	6,878,531	14,036,083
2024-08-06	$5276.05	$5365.00	20.3%	5.8%	21.3%	56.7%	22.9%	8.5%	0.2%	-65.23B	7.90B	-11.61B	1.48	6.71	1,225,363	1,811,574	6,959,102	13,747,135
2024-08-07	$5221.27	$5355.00	21.9%	6.1%	21.1%	65.0%	21.8%	8.3%	-0.6%	-73.45B	234.09B	-11.83B	1.52	6.88	1,306,061	1,987,171	7,100,692	13,781,925
2024-08-08	$5317.83	$5350.00	19.1%	5.4%	22.4%	50.4%	21.7%	7.0%	-0.6%	-46.63B	-279.22B	-11.45B	1.37	6.16	1,136,408	1,555,859	7,207,471	13,896,521
2024-08-09	$5342.95	$5350.00	17.0%	4.9%	22.4%	38.8%	18.4%	5.8%	0.1%	-39.44B	-439.18B	-11.07B	1.34	5.49	1,115,669	1,498,546	7,294,995	13,997,961
2024-08-12	$5333.90	$5350.00	17.6%	5.0%	22.3%	42.2%	18.9%	6.5%	-0.4%	-42.52B	-418.31B	-10.79B	1.53	5.47	974,485	1,489,932	7,275,452	13,863,331
2024-08-13	$5428.60	$5350.00	15.6%	4.4%	23.3%	31.3%	17.4%	5.3%	-0.1%	6.06B	-965.26B	-10.25B	1.20	5.53	1,203,822	1,449,295	7,367,755	14,016,683
2024-08-14	$5449.59	$5350.00	13.8%	4.0%	23.1%	22.0%	15.0%	4.2%	-0.3%	6.84B	-1110.04B	-10.00B	1.16	5.45	1,164,303	1,352,827	7,461,915	14,164,167
2024-08-15	$5540.76	$5350.00	12.6%	3.7%	23.7%	15.3%	14.0%	3.4%	-0.3%	63.24B	-1681.66B	-9.49B	1.17	4.80	1,418,564	1,659,292	7,534,077	14,279,966
2024-08-16	$5552.31	$5350.00	12.3%	3.7%	23.6%	13.7%	13.4%	3.4%	0.1%	41.19B	-1544.04B	-9.53B	1.39	4.51	1,040,709	1,449,382	6,925,527	13,192,935
2024-08-19	$5593.19	$5350.00	12.3%	3.6%	23.4%	14.0%	13.2%	3.2%	0.1%	46.25B	-1750.99B	-9.28B	1.15	4.63	1,070,614	1,233,438	6,927,889	13,055,922
2024-08-20	$5597.00	$5355.00	12.8%	3.7%	23.4%	16.6%	13.7%	4.0%	0.2%	35.99B	-1690.17B	-9.62B	1.26	4.61	1,038,033	1,303,937	7,005,015	13,173,444
2024-08-21	$5611.94	$5370.00	13.5%	3.9%	21.8%	20.1%	14.5%	4.3%	-0.5%	33.41B	-1724.50B	-9.77B	1.31	4.62	1,029,944	1,346,229	7,039,925	13,454,603
2024-08-22	$5567.65	$5375.00	14.1%	4.1%	22.1%	23.5%	14.7%	4.6%	-0.5%	5.58B	-1462.47B	-10.12B	1.16	4.07	1,333,494	1,548,304	7,093,158	13,596,623
2024-08-23	$5621.85	$5380.00	12.7%	3.7%	22.2%	15.9%	13.2%	4.1%	0.1%	46.53B	-1794.16B	-9.60B	1.28	5.57	1,160,975	1,485,629	7,163,313	13,693,843
2024-08-26	$5613.95	$5380.00	12.8%	3.8%	22.2%	16.4%	12.9%	4.1%	0.1%	18.13B	-1743.28B	-9.43B	1.17	4.70	996,463	1,162,803	7,159,656	13,634,089
2024-08-27	$5626.55	$5385.00	12.4%	3.7%	22.0%	14.5%	13.6%	4.0%	0.1%	30.22B	-1784.71B	-9.38B	1.39	5.58	843,613	1,170,717	7,182,198	13,689,908
2024-08-28	$5597.92	$5395.00	13.4%	4.0%	21.2%	19.6%	14.8%	4.9%	-0.3%	2.91B	-1565.38B	-9.80B	1.26	5.83	1,133,716	1,427,025	7,214,804	13,902,281
2024-08-29	$5598.88	$5400.00	12.5%	3.7%	20.0%	15.2%	13.5%	4.7%	-0.4%	9.10B	-1597.44B	-9.58B	1.39	9.52	1,113,676	1,551,508	7,240,312	13,994,109
2024-08-30	$5625.38	$5400.00	11.6%	3.5%	18.6%	10.1%	12.6%	4.0%	0.1%	24.70B	-1764.33B	-9.25B	1.27	6.11	1,086,019	1,379,618	7,245,405	14,136,165