SPX Options History — September 2024

In September 2024, SPX traded between $5414.00 and $5743.64. ATM implied volatility averaged 14.1%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.6% (HV 20d: 13.5%). Max pain ranged from $5300.00 to $5420.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.34.

Notable Days

2024-09-19: Highest Volume — 3,431,418 contracts
2024-09-19: Largest IV drop — 12.7% change
2024-09-06: Highest IV Rank — 44.4%
2024-09-06: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5618.22	$5414.00	$5743.64	$5515.12	$5743.20
Max Pain	$5369.50	$5300.00	$5420.00	$5400.00	$5420.00
ATM IV	14.1%	11.8%	18.0%	15.9%	12.7%
Expected Move	4.1%	3.4%	5.1%	4.9%	3.8%
HV 20d	13.5%	12.5%	16.1%	16.1%	12.7%
HV 60d	16.0%	15.5%	16.3%	15.5%	16.2%
IV Rank	23.5%	11.1%	44.4%	33.4%	16.3%
IV Percentile	73.8%	50.4%	96.4%	89.3%	67.1%
Term Structure	-0.1%	-0.6%	0.5%	0.5%	0.1%
VWIV	16.2%	12.9%	19.9%	17.9%	16.1%
Skew 25d	5.1%	3.8%	7.2%	7.2%	4.6%
Skew 10d	10.8%	7.2%	16.4%	16.4%	9.1%
Call IV 25d	11.8%	10.2%	14.3%	13.0%	10.7%
Put IV 25d	16.9%	14.2%	21.2%	20.2%	15.3%
Bid-Ask Spread %	5.97	4.51	10.49	5.89	10.49
Gamma HHI	0.02	0.01	0.07	0.01	0.07
Net GEX	19.28B	-76.20B	90.82B	-45.48B	53.58B
Net DEX	-1477.34B	-2571.93B	-400.71B	-965.14B	-1644.98B
Net VEX	-9.59B	-10.77B	-8.62B	-10.35B	-9.15B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	1.11	1.55	1.28	1.32
Total Volume	2,707,840.8	2,153,376	3,431,418	3,012,116	2,630,780
Total OI	21,070,834.15	18,907,693	23,352,792	20,884,481	19,739,944

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
2024-09-03	$5515.12	$5400.00	15.9%	4.9%	16.1%	33.4%	17.9%	7.2%	0.5%	-45.48B	-965.14B	-10.35B	1.28	5.89	1,322,531	1,689,585	7,107,296	13,777,185
2024-09-04	$5519.33	$5400.00	16.3%	4.9%	14.7%	35.3%	19.3%	6.9%	-0.4%	-44.91B	-992.22B	-10.42B	1.39	6.00	1,101,017	1,524,955	7,167,363	13,913,634
2024-09-05	$5495.83	$5305.00	16.2%	4.6%	14.2%	34.5%	19.9%	6.3%	-0.6%	-51.38B	-880.57B	-10.37B	1.32	6.04	1,202,504	1,588,838	7,200,764	14,011,079
2024-09-06	$5414.00	$5300.00	18.0%	5.1%	14.2%	44.4%	19.3%	6.9%	0.0%	-76.20B	-400.71B	-10.77B	1.41	7.89	1,409,288	1,987,927	7,282,821	14,162,079
2024-09-09	$5463.00	$5315.00	16.6%	4.8%	14.4%	37.1%	17.8%	6.1%	0.2%	-32.76B	-774.37B	-10.18B	1.44	4.51	1,100,507	1,590,017	7,335,851	14,146,058
2024-09-10	$5490.96	$5325.00	16.2%	4.6%	14.5%	34.8%	17.7%	6.0%	0.1%	-16.99B	-947.18B	-10.19B	1.33	4.72	1,057,063	1,400,839	7,408,461	14,265,801
2024-09-11	$5533.83	$5325.00	15.5%	4.4%	13.4%	30.8%	16.7%	5.5%	-0.4%	1.89B	-1258.04B	-9.89B	1.11	6.11	1,614,813	1,797,109	7,466,219	14,380,567
2024-09-12	$5596.55	$5325.00	13.9%	4.0%	13.9%	22.5%	15.5%	4.7%	-0.4%	43.47B	-1712.79B	-9.58B	1.20	5.95	1,298,344	1,563,023	7,601,791	14,609,620
2024-09-13	$5626.08	$5350.00	13.4%	3.9%	12.7%	20.0%	16.7%	4.7%	0.2%	43.73B	-1882.14B	-9.53B	1.40	5.25	1,153,116	1,612,852	7,670,866	14,845,610
2024-09-16	$5632.36	$5375.00	13.8%	4.0%	12.7%	22.1%	17.5%	4.9%	0.1%	37.66B	-1939.55B	-9.30B	1.31	4.52	974,237	1,278,898	7,724,721	14,829,664
2024-09-17	$5625.95	$5375.00	14.2%	4.1%	12.5%	24.3%	16.2%	4.9%	0.1%	25.59B	-1871.39B	-9.53B	1.30	4.66	1,197,859	1,557,725	7,771,219	14,945,611
2024-09-18	$5629.12	$5380.00	14.2%	4.1%	12.5%	24.1%	16.3%	4.8%	-0.3%	28.33B	-1893.95B	-9.47B	1.55	9.32	922,670	1,429,988	7,872,771	15,101,074
2024-09-19	$5718.80	$5400.00	12.4%	3.6%	13.7%	14.5%	14.5%	3.8%	-0.4%	90.82B	-2571.93B	-8.62B	1.38	5.06	1,440,555	1,990,863	7,963,394	15,389,398
2024-09-20	$5713.41	$5395.00	12.1%	3.5%	13.3%	12.9%	14.5%	3.8%	0.1%	55.45B	-1634.86B	-8.95B	1.37	5.21	1,236,419	1,696,421	6,275,323	12,866,710
2024-09-23	$5716.15	$5400.00	11.9%	3.5%	12.9%	12.1%	15.6%	4.1%	0.1%	53.25B	-1601.55B	-8.97B	1.44	5.00	883,186	1,270,190	6,234,778	12,672,915
2024-09-24	$5729.16	$5400.00	11.8%	3.4%	12.9%	11.1%	13.4%	4.0%	0.1%	62.18B	-1644.34B	-8.99B	1.39	5.07	929,921	1,289,815	6,310,433	12,750,679
2024-09-25	$5718.74	$5400.00	12.1%	3.5%	12.9%	13.0%	12.9%	4.2%	-0.3%	39.76B	-1579.94B	-9.13B	1.37	5.47	948,175	1,303,438	6,345,072	12,911,452
2024-09-26	$5743.64	$5400.00	12.0%	3.4%	12.8%	12.3%	12.9%	3.8%	-0.2%	68.69B	-1703.55B	-9.11B	1.16	5.82	1,212,791	1,408,168	6,411,421	13,116,484
2024-09-27	$5739.24	$5400.00	12.6%	3.7%	12.8%	15.3%	13.4%	4.5%	0.1%	48.92B	-1647.65B	-9.37B	1.42	6.46	1,049,859	1,490,530	6,528,693	13,301,862
2024-09-30	$5743.20	$5420.00	12.7%	3.8%	12.7%	16.3%	16.1%	4.6%	0.1%	53.58B	-1644.98B	-9.15B	1.32	10.49	1,134,972	1,495,808	6,542,218	13,197,726