SPX Options History — August 2007

In August 2007, SPX traded between $1409.16 and $1497.49. ATM implied volatility averaged 22.1%, placing in the 81.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.0% (HV 20d: 22.1%). Max pain ranged from $1475.00 to $1525.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.91.

Notable Days

2007-08-16: Highest Volume — 2,034,390 contracts
2007-08-03: Largest IV spike — 62.8% change
2007-08-09: Highest IV Rank — 100.0%
2007-08-16: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1454.47	$1409.16	$1497.49	$1463.68	$1471.89
Max Pain	$1500.87	$1475.00	$1525.00	$1525.00	$1500.00
ATM IV	22.1%	13.5%	26.8%	23.3%	21.2%
Expected Move	6.3%	5.1%	7.7%	6.1%	6.1%
HV 20d	22.1%	17.6%	24.4%	17.6%	22.0%
HV 60d	16.9%	14.1%	18.8%	14.1%	18.5%
IV Rank	81.9%	44.4%	100.0%	98.4%	74.0%
IV Percentile	94.5%	79.5%	100.0%	99.3%	89.8%
Term Structure	0.2%	-1.3%	1.2%	-0.8%	0.5%
VWIV	23.5%	19.1%	30.0%	21.9%	27.7%
Skew 25d	9.1%	6.9%	11.0%	7.9%	9.1%
Skew 10d	16.2%	12.0%	19.5%	13.2%	15.0%
Call IV 25d	17.6%	13.6%	21.6%	17.4%	17.4%
Put IV 25d	26.7%	21.9%	32.3%	25.3%	26.5%
Bid-Ask Spread %	27.62	5.02	35.05	34.63	5.02
Gamma HHI	0.05	0.05	0.07	0.06	0.05
Net GEX	-11.65B	-19.92B	-4.82B	-16.35B	-5.85B
Net DEX	157.76B	18.54B	358.19B	182.65B	38.34B
Net VEX	-2.26B	-2.34B	-2.16B	-2.20B	-2.29B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	1.24	2.55	2.03	2.09
Total Volume	814,170.652	329,190	2,034,390	939,566	507,038
Total OI	11,412,519.304	10,097,876	12,751,708	10,221,664	12,093,738

Daily Data (23 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
2007-08-01	$1463.68	$1525.00	23.3%	6.1%	17.6%	98.4%	21.9%	7.9%	-0.8%	-16.35B	182.65B	-2.20B	2.03	34.63	310,413	629,153	3,467,637	6,754,027
2007-08-02	$1472.20	$1525.00	13.5%	5.4%	17.8%	44.4%	19.7%	6.9%	0.1%	-15.64B	148.04B	-2.19B	1.88	32.92	249,998	469,235	3,601,622	6,927,985
2007-08-03	$1437.16	$1525.00	21.9%	6.6%	19.3%	90.8%	22.9%	7.5%	-0.5%	-17.94B	262.39B	-2.18B	1.92	28.59	229,156	438,979	3,699,822	7,006,812
2007-08-06	$1461.18	$1520.00	21.7%	5.8%	20.5%	89.6%	21.3%	8.6%	0.9%	-16.69B	183.84B	-2.18B	1.95	32.69	358,280	700,049	3,789,978	7,109,303
2007-08-07	$1476.10	$1515.00	21.3%	5.5%	20.4%	87.7%	20.3%	8.0%	0.3%	-14.53B	127.98B	-2.20B	1.52	34.15	338,829	514,098	3,910,439	7,300,616
2007-08-08	$1497.49	$1510.00	18.6%	5.4%	21.0%	72.8%	19.2%	7.5%	0.1%	-9.90B	34.39B	-2.23B	1.31	30.90	351,182	461,463	4,060,386	7,358,147
2007-08-09	$1453.09	$1510.00	25.9%	6.6%	22.4%	100.0%	23.3%	9.7%	0.7%	-15.42B	206.01B	-2.28B	2.33	30.41	268,408	625,555	4,166,129	7,425,094
2007-08-10	$1445.45	$1510.00	25.9%	7.2%	22.3%	100.0%	25.1%	11.0%	-0.2%	-16.27B	230.17B	-2.30B	1.99	30.50	422,384	840,660	4,244,126	7,553,839
2007-08-13	$1449.75	$1500.00	23.0%	6.6%	22.4%	85.7%	21.8%	9.5%	0.1%	-15.75B	216.14B	-2.22B	1.31	34.62	345,965	452,449	4,413,432	7,701,619
2007-08-14	$1428.98	$1500.00	23.1%	7.0%	22.7%	86.3%	23.5%	9.8%	0.4%	-18.48B	295.37B	-2.19B	1.97	35.05	370,877	728,760	4,503,953	7,785,485
2007-08-15	$1409.16	$1500.00	24.8%	7.6%	23.0%	94.6%	25.0%	10.5%	1.0%	-19.92B	358.19B	-2.16B	1.92	31.34	369,702	708,400	4,609,806	7,910,183
2007-08-16	$1420.10	$1500.00	26.8%	7.7%	23.2%	100.0%	28.4%	10.7%	-0.0%	-17.19B	325.31B	-2.25B	2.05	29.62	666,351	1,368,039	4,773,578	7,978,130
2007-08-17	$1446.03	$1490.00	25.3%	7.2%	24.4%	92.9%	26.1%	11.0%	-0.1%	-6.90B	134.38B	-2.34B	1.75	34.12	297,010	520,483	3,780,193	6,317,683
2007-08-20	$1445.75	$1485.00	23.2%	6.6%	24.4%	82.9%	24.6%	10.1%	0.3%	-6.95B	135.05B	-2.32B	2.42	30.87	190,822	462,125	3,936,830	6,498,733
2007-08-21	$1446.09	$1480.00	22.6%	6.5%	23.8%	80.4%	24.0%	9.4%	0.3%	-7.26B	135.49B	-2.33B	1.94	28.53	229,993	446,516	4,014,458	6,669,729
2007-08-22	$1464.07	$1475.00	20.3%	5.8%	24.3%	69.8%	21.8%	8.2%	-0.3%	-6.24B	75.34B	-2.31B	2.55	26.31	249,768	636,137	4,095,670	6,821,603
2007-08-23	$1462.50	$1475.00	19.9%	5.7%	23.0%	67.6%	21.0%	8.6%	1.2%	-6.50B	82.62B	-2.31B	1.59	28.87	255,904	407,377	4,205,368	7,165,580
2007-08-24	$1480.21	$1475.00	18.0%	5.1%	22.0%	58.8%	19.1%	8.4%	0.7%	-4.82B	18.54B	-2.31B	1.30	26.71	190,817	247,976	4,261,940	7,237,350
2007-08-27	$1466.79	$1500.00	19.5%	5.6%	21.5%	65.8%	22.2%	8.8%	0.8%	-6.17B	68.07B	-2.31B	2.26	8.85	100,881	228,309	4,331,670	7,323,862
2007-08-28	$1434.81	$1500.00	24.4%	7.1%	22.5%	88.9%	28.3%	9.9%	-1.3%	-9.11B	184.09B	-2.29B	2.47	19.94	179,790	443,454	4,330,892	7,398,434
2007-08-29	$1462.80	$1500.00	20.4%	5.8%	23.5%	70.0%	22.2%	8.8%	0.7%	-7.03B	86.78B	-2.32B	1.24	20.61	220,725	274,323	4,377,926	7,570,179
2007-08-30	$1457.64	$1500.00	23.1%	6.6%	23.5%	82.5%	30.0%	8.9%	-1.3%	-7.15B	99.35B	-2.33B	2.08	20.02	135,805	282,287	4,397,138	7,606,820
2007-08-31	$1471.89	$1500.00	21.2%	6.1%	22.0%	74.0%	27.7%	9.1%	0.5%	-5.85B	38.34B	-2.29B	2.09	5.02	164,325	342,713	4,414,130	7,679,608