SPX Options History — April 2007

In April 2007, SPX traded between $1423.72 and $1495.19. ATM implied volatility averaged 10.3%. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.5% (HV 20d: 8.9%). Max pain ranged from $1405.00 to $1460.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.66.

Notable Days

  • 2007-04-19: Highest Volume — 934,262 contracts
  • 2007-04-05: Largest IV spike — 62.1% change
  • 2007-04-02: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1463.75$1423.72$1495.19$1423.72$1483.44
Max Pain$1433.75$1405.00$1460.00$1405.00$1460.00
ATM IV10.3%5.8%13.3%13.3%11.7%
Expected Move3.0%2.8%3.4%3.4%3.4%
HV 20d8.9%6.4%12.6%12.6%7.4%
HV 60d12.8%12.7%12.9%12.8%12.8%
Term Structure0.8%-0.0%1.8%0.4%-0.0%
VWIV11.8%10.5%13.5%12.9%13.3%
Skew 25d3.7%3.0%4.8%4.2%3.7%
Skew 10d7.5%5.5%9.5%8.0%7.2%
Call IV 25d8.9%8.1%10.2%10.2%10.2%
Put IV 25d12.6%11.3%14.4%14.4%13.9%
Bid-Ask Spread %27.8720.4536.0028.9336.00
Gamma HHI0.060.040.080.040.04
Net GEX9.87B-2.61B24.65B-2.61B3.40B
Net DEX-149.56B-223.49B-40.61B-40.61B-139.23B
Net VEX-1.41B-1.54B-1.33B-1.54B-1.54B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.953.281.521.02
Total Volume577,272.1218,780934,262218,780596,635
Total OI9,121,759.957,333,95610,569,9558,813,5429,166,590

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$1423.72$1405.0013.3%3.4%12.6%0.0%12.9%4.2%0.4%-2.61B-40.61B-1.54B1.5228.9386,805131,9753,120,2105,693,332
2007-04-03$1437.12$1405.0011.1%3.1%11.7%0.0%11.1%3.5%1.1%5.85B-93.66B-1.49B2.2333.19174,824389,6753,163,4455,728,173
2007-04-04$1439.37$1410.005.8%2.8%11.7%0.0%10.7%3.4%1.8%6.70B-99.52B-1.49B1.7031.2397,500165,5623,219,7645,911,587
2007-04-05$1442.13$1410.009.4%2.8%11.5%0.0%10.7%3.2%1.6%7.34B-113.45B-1.45B1.2033.98179,510214,8373,216,5035,940,453
2007-04-09$1445.30$1425.0011.8%3.2%11.5%0.0%11.3%4.8%0.6%10.53B-124.29B-1.39B1.2426.07122,709151,5453,282,1345,971,024
2007-04-10$1446.35$1425.0010.6%3.1%11.5%0.0%12.7%4.3%0.8%10.90B-128.92B-1.36B1.6525.18166,186274,1553,290,9636,029,424
2007-04-11$1439.89$1425.0010.0%3.3%8.8%0.0%12.2%4.3%0.7%4.03B-92.92B-1.45B1.2225.63231,379282,8783,343,8866,126,030
2007-04-12$1447.80$1425.0010.7%3.1%8.7%0.0%13.1%4.1%0.8%9.37B-125.74B-1.40B2.0128.62140,074281,8403,362,3226,238,195
2007-04-13$1452.36$1425.0010.3%3.0%8.7%0.0%11.0%4.3%0.9%14.04B-148.94B-1.36B1.2327.60239,456295,2933,386,4746,287,087
2007-04-16$1467.23$1430.0010.3%2.9%8.9%0.0%10.5%3.8%0.8%23.25B-201.04B-1.33B0.9527.99443,163419,2193,423,1426,427,887
2007-04-17$1471.50$1440.0010.0%2.9%8.2%0.0%11.5%3.6%0.9%24.65B-219.56B-1.33B1.4728.99315,019462,9273,525,1596,571,202
2007-04-18$1472.60$1440.0010.0%2.9%8.1%0.0%11.7%3.6%0.8%17.16B-213.23B-1.33B1.2330.65357,568440,1353,490,2686,706,041
2007-04-19$1472.90$1445.0010.3%2.9%6.4%0.0%12.9%3.7%0.7%16.61B-223.49B-1.34B1.1931.24426,183508,0793,599,6856,970,270
2007-04-20$1486.51$1445.009.9%2.8%7.0%0.0%11.0%3.3%0.8%6.79B-162.65B-1.33B1.9722.84203,275399,6942,689,1374,644,819
2007-04-23$1481.45$1450.0010.8%3.1%7.2%0.0%12.2%3.5%0.5%5.89B-149.68B-1.38B2.2523.51226,147508,4112,816,2294,861,870
2007-04-24$1481.47$1450.0010.7%3.1%7.2%0.0%13.5%3.5%0.3%5.51B-150.78B-1.42B3.2820.45160,762527,1472,945,9205,122,746
2007-04-25$1494.47$1450.0010.9%3.1%7.4%0.0%11.0%3.0%0.1%7.56B-183.47B-1.41B1.3621.20227,087309,8813,018,1455,395,314
2007-04-26$1494.25$1450.0010.4%3.0%6.5%0.0%10.7%3.2%1.0%9.44B-187.57B-1.43B1.3625.59388,196526,4973,149,5905,498,324
2007-04-27$1495.19$1460.008.9%2.8%6.5%0.0%11.2%3.0%1.0%11.04B-192.49B-1.47B3.0528.49116,903356,3113,355,8805,745,975
2007-04-30$1483.44$1460.0011.7%3.4%7.4%0.0%13.3%3.7%-0.0%3.40B-139.23B-1.54B1.0236.00294,920301,7153,258,3525,908,238