SPX Options History — May 2007 In May 2007, SPX traded between $1486.42 and $1531.33. ATM implied volatility averaged 11.1%. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.1% (HV 20d: 8.0%). Max pain ranged from $1425.00 to $1475.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.90.
Notable Days 2007-05-17 : Highest Volume — 979,052 contracts2007-05-02 : Largest IV drop — 19.7% change2007-05-24 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $1511.13 $1486.42 $1531.33 $1486.42 $1530.62 Max Pain $1453.64 $1425.00 $1475.00 $1460.00 $1475.00 ATM IV 11.1% 9.0% 12.4% 11.2% 11.6% Expected Move 3.2% 2.9% 3.7% 3.2% 3.3% HV 20d 8.0% 6.9% 8.8% 7.4% 8.5% HV 60d 12.1% 9.2% 13.1% 12.8% 9.2% Term Structure 0.4% -0.8% 1.1% 0.2% -0.1% VWIV 12.5% 10.2% 16.0% 14.3% 14.4% Skew 25d 3.8% 2.9% 4.3% 3.8% 4.2% Skew 10d 8.1% 5.5% 9.0% 8.1% 8.8% Call IV 25d 9.5% 8.7% 10.7% 9.3% 9.6% Put IV 25d 13.3% 12.1% 15.0% 13.1% 13.7% Bid-Ask Spread % 23.37 14.13 36.09 31.42 19.51 Gamma HHI 0.05 0.04 0.09 0.04 0.06 Net GEX 9.40B -429.1M 17.52B 4.04B 9.71B Net DEX -206.36B -257.09B -146.28B -147.82B -237.93B Net VEX -1.51B -1.62B -1.45B -1.53B -1.49B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.90 0.79 4.65 2.64 1.94 Total Volume 604,201 346,446 979,052 478,984 563,568 Total OI 10,149,245.182 8,465,453 11,578,284 9,463,623 10,437,991
Daily Data (22 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 2007-05-01 $1486.42 $1460.00 11.2% 3.2% 7.4% 0.0% 14.3% 3.8% 0.2% 4.04B -147.82B -1.53B 2.64 31.42 131,720 347,264 3,452,480 6,011,143 2007-05-02 $1494.85 $1460.00 9.0% 2.9% 7.1% 0.0% 11.4% 2.9% 1.1% 8.11B -177.60B -1.50B 1.04 31.95 296,074 307,921 3,501,714 6,106,544 2007-05-03 $1502.39 $1465.00 10.5% 3.0% 7.2% 0.0% 11.3% 2.9% 0.9% 12.62B -211.14B -1.46B 0.99 36.09 305,013 300,931 3,594,535 6,278,568 2007-05-04 $1507.85 $1425.00 9.2% 3.2% 7.2% 0.0% 12.0% 3.9% 0.7% 13.47B -226.92B -1.50B 1.78 19.75 223,706 398,890 3,682,102 6,357,761 2007-05-07 $1508.61 $1430.00 10.3% 3.2% 7.2% 0.0% 12.3% 4.0% 0.5% 15.02B -230.50B -1.45B 1.23 22.19 163,648 200,636 3,694,300 6,510,104 2007-05-08 $1506.46 $1430.00 12.2% 3.3% 7.3% 0.0% 12.4% 3.8% 0.4% 12.63B -215.52B -1.49B 1.66 22.68 179,161 297,411 3,707,754 6,566,527 2007-05-09 $1510.44 $1435.00 10.3% 3.1% 6.9% 0.0% 11.0% 3.8% 0.7% 15.79B -235.07B -1.50B 0.79 22.69 484,346 380,778 3,755,797 6,673,429 2007-05-10 $1493.60 $1440.00 11.8% 3.4% 8.3% 0.0% 12.0% 3.9% 0.1% 5.36B -165.29B -1.57B 1.99 25.56 174,906 347,251 3,914,825 6,806,798 2007-05-11 $1506.84 $1445.00 11.3% 3.2% 8.7% 0.0% 12.3% 3.6% 0.6% 14.35B -220.41B -1.51B 2.14 26.56 188,286 403,793 3,890,817 6,910,091 2007-05-14 $1503.63 $1445.00 12.0% 3.4% 8.2% 0.0% 13.2% 4.0% 0.5% 11.54B -205.72B -1.53B 1.39 24.57 237,334 329,576 3,976,423 7,084,703 2007-05-15 $1503.55 $1450.00 11.9% 3.4% 8.2% 0.0% 12.4% 3.8% 0.6% 10.90B -206.79B -1.52B 0.92 23.52 315,103 291,226 4,007,632 7,190,220 2007-05-16 $1513.56 $1450.00 11.5% 3.3% 8.4% 0.0% 12.4% 3.8% 0.0% 17.52B -257.09B -1.48B 1.41 20.55 358,368 504,705 4,069,339 7,255,541 2007-05-17 $1510.71 $1450.00 11.4% 3.3% 8.5% 0.0% 12.4% 4.1% 1.1% 13.92B -237.97B -1.52B 1.31 24.61 424,606 554,446 4,107,436 7,470,848 2007-05-18 $1523.98 $1450.00 10.4% 3.0% 8.4% 0.0% 13.2% 3.5% 0.9% 6.81B -207.20B -1.48B 2.77 22.61 213,021 589,808 3,222,936 5,242,517 2007-05-21 $1524.48 $1455.00 10.6% 3.1% 8.3% 0.0% 13.7% 3.7% 0.8% 6.19B -206.03B -1.46B 2.26 21.93 238,984 539,775 3,333,034 5,584,509 2007-05-22 $1521.94 $1455.00 10.6% 3.0% 8.3% 0.0% 11.6% 3.9% 0.7% 7.67B -209.42B -1.46B 4.65 24.85 111,169 516,679 3,459,622 5,774,005 2007-05-23 $1522.28 $1460.00 11.2% 3.1% 7.8% 0.0% 12.6% 3.4% 0.9% 5.21B -194.46B -1.55B 2.12 25.60 216,514 459,887 3,488,144 6,040,532 2007-05-24 $1507.51 $1475.00 12.4% 3.7% 8.7% 0.0% 16.0% 4.3% -0.8% -429.1M -146.28B -1.62B 3.13 14.13 119,735 375,065 3,567,490 6,241,386 2007-05-25 $1513.62 $1475.00 11.2% 3.2% 8.8% 0.0% 10.2% 4.2% 0.2% 3.39B -174.05B -1.57B 2.31 15.00 104,697 241,749 3,598,681 6,343,866 2007-05-29 $1520.14 $1475.00 11.6% 3.3% 8.3% 0.0% 12.1% 4.2% -0.1% 2.87B -187.85B -1.53B 2.14 17.63 132,901 284,706 3,651,494 6,467,904 2007-05-30 $1531.33 $1475.00 11.6% 3.3% 8.6% 0.0% 11.2% 4.0% -0.2% 10.09B -238.94B -1.47B 1.24 20.82 194,785 242,280 3,686,759 6,565,093 2007-05-31 $1530.62 $1475.00 11.6% 3.3% 8.5% 0.0% 14.4% 4.2% -0.1% 9.71B -237.93B -1.49B 1.94 19.51 191,639 371,929 3,762,327 6,675,664
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