SPX Options History — June 2007

In June 2007, SPX traded between $1485.17 and $1538.11. ATM implied volatility averaged 12.9%. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.8% (HV 20d: 12.1%). Max pain ranged from $1500.00 to $1525.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.13.

Notable Days

  • 2007-06-05: Highest Volume — 1,006,618 contracts
  • 2007-06-27: Largest IV drop — 21.1% change
  • 2007-06-26: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1514.43$1485.17$1538.11$1536.67$1503.35
Max Pain$1521.67$1500.00$1525.00$1500.00$1520.00
ATM IV12.9%10.8%17.1%11.8%13.4%
Expected Move3.8%3.1%4.9%3.4%4.0%
HV 20d12.1%8.3%14.7%8.4%14.6%
HV 60d9.8%9.1%10.7%9.1%10.6%
Term Structure0.2%-1.0%1.1%-0.2%0.6%
VWIV14.5%13.4%17.8%13.6%15.0%
Skew 25d4.4%3.7%5.8%3.7%4.6%
Skew 10d8.8%7.6%10.2%7.6%8.9%
Call IV 25d11.1%9.1%14.4%9.7%11.8%
Put IV 25d15.5%12.8%20.2%13.4%16.5%
Bid-Ask Spread %24.6216.4828.9319.9218.88
Gamma HHI0.050.040.070.070.05
Net GEX-4.95B-15.37B11.37B11.03B-10.62B
Net DEX-85.23B-263.84B71.89B-254.64B7.36B
Net VEX-1.70B-1.94B-1.37B-1.51B-1.87B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.131.403.352.112.23
Total Volume634,171.238367,2421,006,618453,226476,050
Total OI9,825,839.1436,989,49312,363,10210,580,2749,121,191

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$1536.67$1500.0011.8%3.4%8.4%0.0%13.6%3.7%-0.2%11.03B-254.64B-1.51B2.1119.92145,834307,3923,795,5726,784,702
2007-06-04$1538.11$1500.0010.8%3.1%8.3%0.0%13.8%3.8%0.6%11.37B-263.84B-1.37B1.9824.16169,827336,1793,851,0456,860,602
2007-06-05$1532.05$1525.0012.2%3.5%8.5%0.0%13.9%3.7%-0.6%7.95B-241.00B-1.50B1.5723.27391,520615,0983,945,3327,047,693
2007-06-06$1514.49$1525.0012.7%3.6%9.6%0.0%14.8%4.3%0.1%-2.18B-157.47B-1.63B1.9216.48285,942548,2784,033,2247,260,919
2007-06-07$1490.72$1525.0014.6%4.2%11.1%0.0%16.5%4.9%-0.3%-15.37B-9.69B-1.75B2.2419.02271,050607,0864,068,1267,397,846
2007-06-08$1506.58$1525.0011.8%4.0%11.0%0.0%14.4%4.4%-1.0%-9.41B-109.97B-1.67B1.6326.54304,344495,9564,133,6657,509,639
2007-06-11$1509.78$1525.0012.5%3.7%10.6%0.0%14.2%4.7%0.3%-7.33B-132.11B-1.61B1.4027.84257,835360,2134,237,4817,527,146
2007-06-12$1491.96$1520.0015.0%4.2%11.4%0.0%14.3%5.0%-0.5%-12.65B-39.47B-1.66B1.6523.52326,167537,3914,311,5387,597,862
2007-06-13$1515.16$1525.0012.3%3.7%12.7%0.0%14.2%4.7%0.1%-3.62B-167.01B-1.66B1.6725.05265,034443,5764,416,3107,756,836
2007-06-14$1524.85$1520.0012.0%3.4%12.7%0.0%13.5%4.4%0.5%1.17B-226.40B-1.65B1.6025.77316,118505,6904,510,1617,852,941
2007-06-15$1532.31$1525.0012.2%3.5%12.8%0.0%14.1%3.9%0.7%-1.06B-85.46B-1.62B2.3622.79250,304590,6532,462,3544,527,139
2007-06-18$1531.28$1525.0011.7%3.3%12.4%0.0%13.5%4.0%1.1%-1.56B-80.92B-1.65B2.8323.59139,925396,4212,582,0674,832,032
2007-06-19$1534.81$1525.0011.0%3.2%12.4%0.0%13.4%3.7%1.0%-1.94B-81.51B-1.59B3.3528.83103,807348,2772,580,7074,942,197
2007-06-20$1513.42$1525.0012.6%3.6%13.4%0.0%15.6%4.0%0.9%-7.50B-20.94B-1.78B2.9827.17161,379480,3402,693,6415,282,341
2007-06-21$1522.19$1525.0012.5%3.6%13.6%0.0%13.7%4.1%0.7%-6.04B-41.67B-1.79B2.4628.81129,303317,5502,794,1345,524,449
2007-06-22$1507.12$1525.0014.0%4.0%13.6%0.0%14.3%4.7%-0.1%-9.30B2.89B-1.88B1.7228.93161,653278,1812,863,2145,688,926
2007-06-25$1500.95$1525.0014.7%4.2%13.6%0.0%15.4%5.1%-0.3%-10.83B21.70B-1.83B2.4128.76148,251357,2772,907,4455,763,472
2007-06-26$1485.17$1525.0017.1%4.9%13.9%0.0%17.8%5.8%-0.7%-13.63B71.89B-1.94B3.0625.26122,123373,2502,930,5815,862,897
2007-06-27$1506.27$1525.0013.5%3.9%14.7%0.0%14.5%4.7%0.7%-11.34B10.69B-1.88B1.8727.17217,683407,3972,971,6896,028,730
2007-06-28$1505.71$1520.0013.5%3.9%14.7%0.0%14.2%4.6%0.5%-11.05B7.80B-1.85B1.7125.21135,329231,9133,049,0956,035,681
2007-06-29$1503.35$1520.0013.4%4.0%14.6%0.0%15.0%4.6%0.6%-10.62B7.36B-1.87B2.2318.88147,359328,6913,072,7246,048,467