SPX Options History — January 2007

In January 2007, SPX traded between $1407.48 and $1440.13. ATM implied volatility averaged 9.2%. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.1% (HV 20d: 8.1%). Max pain ranged from $1400.00 to $1425.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2007-01-22: Highest Volume — 783,200 contracts
  • 2007-01-05: Largest IV spike — 105.8% change
  • 2007-01-05: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1424.44$1407.48$1440.13$1416.60$1438.24
Max Pain$1411.50$1400.00$1425.00$1400.00$1420.00
ATM IV9.2%5.4%11.1%11.0%7.6%
Expected Move2.7%2.3%3.2%2.8%2.4%
HV 20d8.1%7.9%8.4%8.4%8.0%
Term Structure0.8%-0.0%1.4%1.1%0.8%
VWIV10.4%8.9%11.6%10.1%9.3%
Skew 25d3.0%2.4%3.9%2.4%2.5%
Skew 10d6.0%4.8%7.1%4.8%5.1%
Call IV 25d7.9%6.8%9.0%8.8%7.4%
Put IV 25d11.0%9.5%12.6%11.2%9.9%
Bid-Ask Spread %32.4125.3439.4836.3830.45
Gamma HHI0.050.040.060.040.05
Net GEX1.44B-5.26B10.64B71.5M3.11B
Net DEX-73.58B-120.19B-28.60B-57.01B-100.07B
Net VEX-1.04B-1.11B-979.2M-1.06B-1.06B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.851.113.051.862.20
Total Volume460,600.8308,682783,200359,500397,613
Total OI7,300,706.255,496,9438,334,1157,192,1317,668,237

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$1416.60$1400.0011.0%2.8%0.0%0.0%10.1%2.4%1.1%71.5M-57.01B-1.06B1.8636.38125,786233,7142,591,6864,600,445
2007-01-04$1418.84$1400.005.4%2.6%0.0%0.0%9.4%2.5%1.4%1.11B-60.96B-1.05B1.4038.68167,355233,8652,629,7624,645,718
2007-01-05$1407.48$1400.0011.1%3.2%0.0%0.0%11.0%3.9%0.5%-5.26B-28.60B-1.10B1.5428.02166,692256,8612,666,6914,712,625
2007-01-08$1413.84$1400.0010.8%3.0%0.0%0.0%11.3%3.6%1.0%-923.9M-52.07B-1.06B1.3430.75149,224200,0782,722,0314,784,754
2007-01-09$1412.82$1400.0010.1%3.0%0.0%0.0%11.2%3.7%0.5%-2.93B-45.36B-1.06B1.1135.03151,394167,8602,778,0114,841,390
2007-01-10$1416.57$1400.009.2%3.0%0.0%0.0%10.9%3.6%0.7%646.3M-57.08B-1.06B1.6932.07132,005223,1292,842,8524,883,371
2007-01-11$1423.82$1400.009.5%2.7%0.0%0.0%10.4%3.2%1.0%5.79B-85.78B-1.03B1.2733.86178,705226,1842,881,6874,943,060
2007-01-12$1432.68$1405.008.9%2.6%0.0%0.0%9.4%3.1%0.4%10.64B-120.19B-979.2M1.2239.48182,356222,8992,891,8014,963,198
2007-01-16$1431.03$1410.009.5%2.7%0.0%0.0%10.1%3.1%0.9%9.63B-113.06B-979.5M1.4332.09207,915296,4122,935,8035,053,664
2007-01-17$1431.29$1415.009.2%2.6%0.0%0.0%9.9%3.1%1.0%6.73B-108.68B-999.5M1.9234.56165,361317,0822,984,0195,179,170
2007-01-18$1425.39$1415.009.1%2.6%0.0%0.0%10.0%3.1%1.1%3.01B-89.05B-1.01B1.3436.25262,591352,2283,037,3565,296,759
2007-01-19$1430.28$1420.008.8%2.5%0.0%0.0%10.9%3.2%0.8%1.19B-78.27B-1.01B2.2930.00186,521427,8032,088,6503,408,293
2007-01-22$1425.05$1420.009.1%2.6%0.0%0.0%11.4%2.9%0.6%-674.9M-63.54B-1.02B1.5730.82304,912478,2882,212,5273,689,382
2007-01-23$1429.81$1420.008.4%2.4%0.0%0.0%10.8%2.8%0.6%222.5M-75.98B-1.03B1.8236.83197,312358,7762,393,4234,018,608
2007-01-24$1440.13$1420.008.0%2.3%0.0%0.0%8.9%2.6%0.6%5.27B-106.55B-1.01B1.9131.22163,485313,0652,518,0214,185,731
2007-01-25$1423.90$1420.009.3%2.7%8.4%0.0%11.4%2.9%0.7%-2.02B-56.34B-1.09B3.0131.98167,725504,9102,549,0684,310,980
2007-01-26$1421.52$1425.008.9%2.6%8.2%0.0%11.0%3.0%0.9%-3.45B-50.51B-1.11B2.4926.91122,717306,1672,616,2954,561,489
2007-01-29$1420.96$1420.0010.6%2.8%7.9%0.0%11.6%2.6%-0.0%-4.08B-48.37B-1.09B3.0527.4276,289232,3932,664,3864,734,038
2007-01-30$1428.53$1420.009.4%2.6%7.9%0.0%9.9%2.7%0.5%778.1M-74.14B-1.08B2.5825.3498,953255,3912,685,3054,843,839
2007-01-31$1438.24$1420.007.6%2.4%8.0%0.0%9.3%2.5%0.8%3.11B-100.07B-1.06B2.2030.45124,444273,1692,710,9434,957,294