SPX Options History — July 2007

In July 2007, SPX traded between $1450.53 and $1550.65. ATM implied volatility averaged 14.8%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.7% (HV 20d: 14.0%). Max pain ranged from $1520.00 to $1525.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.33.

Notable Days

2007-07-26: Highest Volume — 1,294,559 contracts
2007-07-10: Largest IV spike — 49.5% change
2007-07-26: Highest IV Rank — 100.0%
2007-07-27: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1519.99	$1450.53	$1550.65	$1518.88	$1455.27
Max Pain	$1524.29	$1520.00	$1525.00	$1520.00	$1525.00
ATM IV	14.8%	8.3%	23.6%	10.9%	23.6%
Expected Move	4.4%	3.4%	6.7%	3.6%	6.3%
HV 20d	14.0%	12.0%	17.6%	15.1%	17.5%
HV 60d	11.7%	10.7%	14.1%	10.8%	14.1%
IV Rank	70.2%	22.7%	100.0%	22.7%	100.0%
IV Percentile	82.8%	7.1%	100.0%	7.1%	100.0%
Term Structure	0.4%	-2.4%	1.6%	1.3%	-1.5%
VWIV	16.6%	13.3%	23.5%	13.8%	22.5%
Skew 25d	5.5%	4.1%	7.6%	4.5%	7.5%
Skew 10d	10.3%	7.7%	13.9%	8.1%	13.9%
Call IV 25d	12.7%	9.9%	19.6%	10.5%	18.4%
Put IV 25d	18.1%	14.0%	27.2%	15.0%	25.8%
Bid-Ask Spread %	25.94	19.98	36.46	31.23	36.46
Gamma HHI	0.05	0.05	0.06	0.05	0.06
Net GEX	-6.15B	-17.18B	4.66B	-7.68B	-17.18B
Net DEX	-22.76B	-143.35B	210.41B	-33.66B	206.94B
Net VEX	-1.88B	-2.12B	-1.75B	-1.83B	-2.12B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	0.97	4.59	2.06	2.19
Total Volume	641,353.952	261,909	1,294,559	323,322	907,433
Total OI	9,591,044.762	8,133,856	10,861,658	9,260,947	9,972,103

Daily Data (21 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
2007-07-02	$1518.88	$1520.00	10.9%	3.6%	15.1%	0.0%	13.8%	4.5%	1.3%	-7.68B	-33.66B	-1.83B	2.06	31.23	105,724	217,598	3,089,009	6,171,938
2007-07-03	$1524.06	$1520.00	10.8%	3.4%	15.1%	0.0%	13.7%	4.1%	1.5%	-6.17B	-52.76B	-1.80B	2.01	31.05	87,012	174,897	3,110,793	6,216,429
2007-07-05	$1523.22	$1520.00	8.3%	3.5%	14.5%	22.7%	13.3%	4.4%	1.6%	-5.18B	-47.72B	-1.81B	1.76	34.68	127,825	224,764	3,150,756	6,231,902
2007-07-06	$1530.87	$1525.00	9.7%	3.8%	13.3%	33.5%	14.0%	5.2%	0.4%	-3.29B	-78.70B	-1.76B	1.07	19.98	166,354	178,137	3,201,620	6,334,566
2007-07-09	$1531.44	$1525.00	11.3%	3.9%	12.8%	45.2%	15.1%	5.1%	0.8%	-2.55B	-78.79B	-1.75B	1.95	21.06	108,483	211,247	3,250,436	6,397,358
2007-07-10	$1509.47	$1525.00	16.9%	4.5%	13.9%	87.9%	16.7%	5.9%	0.1%	-11.60B	6.19B	-1.89B	2.60	20.00	146,972	382,226	3,284,939	6,434,981
2007-07-11	$1520.93	$1525.00	13.8%	4.2%	13.4%	64.3%	16.1%	5.5%	0.8%	-9.51B	-29.38B	-1.83B	1.98	24.29	128,327	253,881	3,301,104	6,557,624
2007-07-12	$1545.48	$1525.00	13.4%	3.8%	13.5%	61.1%	15.2%	5.4%	1.0%	1.38B	-119.57B	-1.78B	1.54	23.02	284,939	437,496	3,338,218	6,603,066
2007-07-13	$1549.90	$1525.00	13.2%	3.8%	13.4%	60.3%	14.0%	4.9%	0.8%	4.66B	-143.35B	-1.76B	2.12	23.68	209,874	444,749	3,406,648	6,692,519
2007-07-16	$1549.53	$1525.00	13.7%	3.9%	13.3%	63.5%	15.9%	5.1%	0.8%	2.29B	-131.09B	-1.77B	2.10	25.28	147,564	310,566	3,451,109	6,876,352
2007-07-17	$1549.26	$1525.00	13.7%	3.9%	13.3%	64.0%	16.0%	5.1%	0.9%	2.06B	-134.72B	-1.77B	2.50	25.73	183,227	457,397	3,477,272	6,958,183
2007-07-18	$1545.57	$1525.00	13.9%	4.0%	13.3%	65.5%	15.9%	5.0%	1.0%	-694.6M	-115.96B	-1.82B	2.49	23.85	257,057	640,650	3,512,716	7,088,065
2007-07-19	$1550.65	$1525.00	13.2%	3.8%	12.2%	59.7%	14.4%	4.6%	1.3%	1.47B	-135.88B	-1.82B	0.97	24.78	461,355	448,325	3,560,107	7,301,551
2007-07-20	$1536.31	$1525.00	15.0%	4.3%	12.6%	73.7%	17.1%	5.5%	0.4%	-4.80B	-51.57B	-1.89B	3.24	27.42	147,018	477,044	2,799,735	5,334,121
2007-07-23	$1541.07	$1525.00	14.5%	4.2%	12.0%	70.1%	16.7%	5.4%	0.4%	-4.64B	-61.93B	-1.89B	2.66	22.22	121,570	323,204	2,861,719	5,600,253
2007-07-24	$1514.30	$1525.00	16.3%	4.7%	13.6%	83.3%	18.0%	5.3%	0.3%	-9.90B	21.46B	-1.96B	4.59	20.86	120,225	551,661	2,918,290	5,744,247
2007-07-25	$1517.02	$1525.00	16.3%	4.7%	13.0%	83.8%	17.1%	5.4%	0.2%	-10.26B	16.01B	-1.99B	2.31	27.65	217,219	501,885	2,963,343	5,956,129
2007-07-26	$1482.66	$1525.00	18.9%	5.4%	14.6%	100.0%	19.9%	6.6%	-1.3%	-14.50B	122.04B	-2.02B	3.91	27.69	263,909	1,030,650	3,055,747	6,047,308
2007-07-27	$1450.53	$1525.00	21.8%	6.7%	16.4%	100.0%	23.5%	7.6%	-2.4%	-16.30B	210.41B	-2.07B	2.93	25.79	262,461	768,727	3,146,861	6,322,543
2007-07-30	$1473.45	$1525.00	21.1%	5.4%	17.6%	95.5%	19.9%	6.8%	-0.3%	-16.75B	154.03B	-2.06B	1.99	28.00	327,367	651,414	3,225,657	6,464,623
2007-07-31	$1455.27	$1525.00	23.6%	6.3%	17.5%	100.0%	22.5%	7.5%	-1.5%	-17.18B	206.94B	-2.12B	2.19	36.46	284,272	623,161	3,347,102	6,625,001