S&P 500 Index
SPX options: expected move, IV and max pain
The S&P 500 Index (SPX) stood near 7,580.05 at the last snapshot. Option prices for the 20 Nov monthly expiry, which is 21 days away, imply a move of about 233.05 points either way (3.07%), a range of 7,347.00 to 7,813.10.
- Index level
- 7,580.05
- Expected move
- ±233.05 points
- 3.07% · to 20 Nov
- ATM IV
- 16.1%
- 20 Nov expiry
- Data as of
Source: ThetaData
What stands out in the SPX data
- 30-day IV is 12.3%, the 15th percentile of the last 252 sessions, with an IV rank of 47.
- For the 20 Nov monthly expiry, the straddle implies ±3.07% and the one standard deviation range spans about ±3.85%, about 1.3 times the straddle.
- The 20 Nov chain lists 508 strikes and 1,995,864 contracts of open interest.
- Open interest is largest at the 18 Dec expiry, at 6,116,844 contracts.
Expected move by expiry
What the options market is pricing for SPX at each of the expiries below.
| Expiry | Time left | ATM IV | Expected move | Level range |
|---|---|---|---|---|
| 20 Nov 2026NearestMonthlyClosest to 30 daysAM-settled | Time left21 days | ATM IV16.1% | Expected move±233.05 points (3.07%) | Level range7,347.00 to 7,813.10 |
| 18 Dec 2026Next monthlyClosest to 60 daysAM-settled | Time left49 days | ATM IV15.4% | Expected move±273.26 points (3.60%) | Level range7,306.80 to 7,853.31 |
Expected move is the price of the at-the-money straddle for the expiry, using midpoint prices (the average of bid and ask, or the last trade when a side has no quote). It is the same figure the Options Matrix shows. The range is the last level plus and minus that move. AM-settled: settles on the opening prices of expiry day, and trading ends the day before.
The market prices 3.07% for the 20 Nov monthly expiry and 3.60% for the 18 Dec expiry.
For the 20 Nov monthly expiry, the Visualizer's one standard deviation range, which covers about 68% of modelled outcomes, runs from 7,304.31 to 7,888.33. It is wider than the straddle range because an at-the-money straddle prices roughly 0.8 of one standard deviation.
Implied volatility and term structure
How much volatility option prices carry, and how it changes from one expiry to the next.
Monthly ATM IV
16.1%
20 Nov 2026, 21 days
Longest ATM IV
15.4%
18 Dec 2026, 49 days
30-day IV
12.3%
Stored reading, 30 Oct 2026
IV rank
47
0 is the low, 100 the high, over 252 sessions
IV percentile
15%
Share of the last 252 sessions at or below this reading
Among expiries a week or more away, at-the-money IV runs from 16.1% at 20 Nov to 15.4% at 18 Dec. The curve is close to flat: every expiry carries about the same annualised volatility.
Put wall, call wall and max pain
Where open interest and gamma exposure concentrate for the next two monthly expiries.
| Expiry | Gamma put wall | Open-interest put wall | Gamma call wall | Open-interest call wall | Max pain |
|---|---|---|---|---|---|
| 20 Nov 2026NearestMonthlyClosest to 30 daysAM-settled | Gamma put wall7,5001.1% below spot | Open-interest put wall7,0007.7% below spot | Gamma call wall7,9004.2% above spot | Open-interest call wall8,0005.5% above spot | Max pain7,6000.3% above spot |
| 18 Dec 2026Next monthlyClosest to 60 daysAM-settled | Gamma put wall7,7001.6% above spot | Open-interest put wall7,0007.7% below spot | Gamma call wall7,6500.9% above spot | Open-interest call wall7,0007.7% below spot | Max pain7,4002.4% below spot |
| The open-interest put and call walls coincide at 7,000 (7.7% below spot), where open interest is largest on both sides. The call wall sits below the last price, so those calls are in the money.The gamma put wall at 7,700 sits above the last price, so those puts are in the money. | |||||
For the 20 Nov expiry, gamma and open interest disagree on both walls: open interest places both further from the last price than gamma does.
Contract terms
SPX contract terms
- Exercise style
- European style: exercise happens only at expiry.
- Settlement
- Cash settled: no shares change hands. Standard monthly SPX and RUT expiries settle on the opening prices of expiry day and stop trading the day before. Weekly and daily expiries settle on the closing level. Every expiry shown here is an AM-settled monthly. The PM-settled SPXW weeklies and dailies are not shown.
- Contract size
- One index point is worth $100 per contract.
- Last trading day
- By expiry shown:
- 20 Nov 2026: trades until the close on 19 Nov 2026, then settles on the opening prices of 20 Nov.
- 18 Dec 2026: trades until the close on 17 Dec 2026, then settles on the opening prices of 18 Dec.
- Earnings
- Not applicable. SPX is an index and does not report earnings.
How to read these numbers
- Expected move
- The at-the-money straddle price at midpoint prices: the size of move the market charges for in either direction, not a forecast.Breakevens and max loss
- ATM implied volatility
- Annualised volatility implied by at-the-money prices for one expiry; across expiries it forms the term structure.Implied volatility explained
- IV rank and percentile
- Rank places 30-day IV between its lowest and highest stored reading; percentile is the share of stored sessions at or below the current reading.
- Gamma and open-interest walls
- Gamma walls are the strikes with the most positive (call) and most negative (put) net gamma exposure; open-interest walls are the strikes with the most open calls and puts. A wall can sit on either side of the last price.Put wall vs max pain
- Max pain
- The strike where option holders would collect the least at expiry, given open interest. It does not predict the settlement price.Open interest vs volume
Model SPX trades with these numbers
The Visualizer reprices SPX live when you open it, then draws the expected move and probability range beside your payoff chart. The figures here are a snapshot from the time shown above, so they can differ slightly from the live screens.
More options data
- SPY optionsSPDR S&P 500 ETF Trust
- RUT optionsRussell 2000 Index
- QQQ optionsInvesco QQQ Trust
- IWM optionsiShares Russell 2000 ETF
Educational and informational only, not financial advice. Option figures are calculated from ThetaData quotes and open interest at the time shown. 30-day IV, IV rank and IV percentile come from stored daily readings, and earnings dates come from an earnings calendar. The figures describe what option prices imply, not what will happen. You make every trading decision. Options trading involves risk and is not suitable for all investors.