SPX Options History — February 2007

In February 2007, SPX traded between $1395.48 and $1458.64. ATM implied volatility averaged 9.5%. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.0% (HV 20d: 8.4%). Max pain ranged from $1420.00 to $1450.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.08.

Notable Days

  • 2007-02-27: Highest Volume — 991,628 contracts
  • 2007-02-27: Largest IV spike — 63.9% change
  • 2007-02-27: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1444.73$1395.48$1458.64$1446.45$1406.82
Max Pain$1431.32$1420.00$1450.00$1420.00$1450.00
ATM IV9.5%7.2%16.4%7.2%14.7%
Expected Move2.8%2.4%4.7%2.4%4.2%
HV 20d8.4%6.4%15.6%8.0%15.6%
Term Structure0.4%-1.6%1.1%0.6%-1.6%
VWIV10.1%8.9%15.0%8.9%11.6%
Skew 25d3.1%2.3%5.1%2.3%4.7%
Skew 10d6.1%4.1%9.3%4.7%9.3%
Call IV 25d8.3%7.1%14.3%7.3%12.0%
Put IV 25d11.3%9.6%19.5%9.6%16.8%
Bid-Ask Spread %38.1324.4351.7529.7551.75
Gamma HHI0.050.040.070.050.04
Net GEX3.79B-18.63B12.73B9.04B-17.03B
Net DEX-106.88B-173.06B110.30B-128.82B63.83B
Net VEX-1.13B-1.43B-1.05B-1.05B-1.34B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.081.084.911.491.94
Total Volume524,830210,724991,628454,186836,017
Total OI8,126,862.8956,437,9379,079,7147,783,6068,656,447

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-02-01$1446.45$1420.007.2%2.4%8.0%0.0%8.9%2.3%0.6%9.04B-128.82B-1.05B1.4929.75182,331271,8552,747,8835,035,723
2007-02-02$1447.49$1425.008.1%2.6%8.0%0.0%9.3%3.1%1.1%8.41B-132.58B-1.06B1.4240.08153,233218,0092,820,7615,131,521
2007-02-05$1449.05$1425.008.0%2.6%7.2%0.0%10.2%3.1%0.9%8.41B-134.24B-1.08B2.3640.6962,740147,9842,875,8415,206,328
2007-02-06$1448.70$1425.007.9%2.6%7.2%0.0%9.8%3.3%0.7%8.50B-135.48B-1.07B2.2739.9982,298186,6902,897,3265,279,804
2007-02-07$1451.05$1425.007.9%2.5%7.1%0.0%9.7%2.9%1.0%10.96B-148.44B-1.07B1.7335.77103,288178,2792,938,0955,344,343
2007-02-08$1449.85$1425.009.0%2.6%7.2%0.0%10.1%3.1%0.9%9.13B-138.39B-1.06B2.1037.91118,340248,0952,954,4925,403,254
2007-02-09$1437.99$1425.009.5%2.7%7.7%0.0%10.0%3.1%0.8%517.0M-95.36B-1.14B1.7342.07167,372289,6512,991,3455,461,516
2007-02-12$1433.38$1425.0010.0%2.9%7.5%0.0%10.9%3.5%0.1%-619.8M-80.47B-1.16B1.9638.29156,802307,6063,038,8665,533,679
2007-02-13$1445.31$1425.008.8%2.5%8.1%0.0%9.4%3.0%0.8%5.57B-129.66B-1.09B1.1838.21234,368276,7113,042,6585,598,424
2007-02-14$1454.72$1425.008.7%2.5%8.3%0.0%9.3%3.0%0.4%11.81B-162.65B-1.08B1.2932.99313,976404,8063,098,2695,647,511
2007-02-15$1456.11$1425.008.8%2.5%8.1%0.0%9.7%2.6%0.3%12.73B-173.06B-1.10B1.0844.61366,129395,5273,217,2705,862,444
2007-02-16$1454.62$1425.008.4%2.4%8.1%0.0%9.9%2.5%0.6%3.65B-122.93B-1.10B2.2528.70217,995489,9912,398,4904,039,447
2007-02-20$1458.64$1425.008.6%2.5%8.0%0.0%9.6%2.7%0.7%5.32B-134.08B-1.08B1.6724.43309,765516,2282,534,4674,424,687
2007-02-21$1457.34$1425.009.1%2.5%7.9%0.0%9.6%2.4%0.9%6.63B-138.49B-1.10B3.0437.34121,402369,5552,760,1074,761,766
2007-02-22$1456.38$1450.009.1%2.7%7.6%0.0%9.9%2.5%-0.5%4.62B-131.10B-1.15B2.9338.97126,708371,1012,842,5394,992,879
2007-02-23$1450.27$1450.009.5%2.7%6.5%0.0%9.6%2.4%0.3%1.29B-110.60B-1.19B4.9138.4276,500375,5452,878,9595,224,559
2007-02-26$1450.19$1450.0010.0%2.9%6.4%0.0%9.1%2.9%0.2%1.71B-108.51B-1.16B2.0135.99100,869202,3762,903,4715,438,232
2007-02-27$1395.48$1450.0016.4%4.7%15.4%0.0%15.0%5.1%-0.8%-18.63B110.30B-1.43B2.1948.50311,108680,5202,921,3465,505,646
2007-02-28$1406.82$1450.0014.7%4.2%15.6%0.0%11.6%4.7%-1.6%-17.03B63.83B-1.34B1.9451.75284,225551,7923,000,5665,655,881