SPX Options History — September 2007

In September 2007, SPX traded between $1452.75 and $1531.38. ATM implied volatility averaged 19.1%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.9% (HV 20d: 18.1%). Max pain ranged from $1450.00 to $1500.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.97.

Notable Days

  • 2007-09-19: Highest Volume — 1,449,418 contracts
  • 2007-09-07: Largest IV spike — 43.6% change
  • 2007-09-10: Highest IV Rank — 86.2%
  • 2007-09-10: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1497.34$1452.75$1531.38$1487.30$1526.75
Max Pain$1473.16$1450.00$1500.00$1500.00$1490.00
ATM IV19.1%14.7%23.8%21.5%15.7%
Expected Move5.7%4.2%7.1%6.2%4.5%
HV 20d18.1%14.5%21.5%21.5%14.5%
HV 60d18.7%18.3%19.2%18.5%18.8%
IV Rank63.9%43.6%86.2%75.2%48.3%
IV Percentile83.3%70.3%96.5%90.5%74.2%
Term Structure0.2%-1.4%1.2%-1.4%0.9%
VWIV22.9%16.4%32.4%29.4%17.2%
Skew 25d7.8%5.4%10.6%8.0%5.4%
Skew 10d14.2%10.1%18.0%14.4%10.5%
Call IV 25d15.9%11.6%20.0%16.8%12.9%
Put IV 25d23.7%17.0%29.9%24.8%18.3%
Bid-Ask Spread %23.4215.5536.1719.6133.99
Gamma HHI0.050.040.050.050.05
Net GEX-2.77B-8.84B4.24B-4.42B1.13B
Net DEX-38.83B-268.35B135.85B-15.81B-96.38B
Net VEX-2.04B-2.23B-1.86B-2.20B-1.96B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.971.153.002.422.93
Total Volume631,397.316364,2321,449,418649,883374,879
Total OI11,554,746.3688,075,25313,836,76012,169,2329,344,124

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$1487.30$1500.0021.5%6.2%21.5%75.2%29.4%8.0%-1.4%-4.42B-15.81B-2.20B2.4219.61190,211459,6724,444,1937,725,039
2007-09-05$1473.75$1500.0022.3%6.4%21.5%79.2%32.4%8.3%-0.6%-6.11B42.32B-2.23B3.0015.55103,711310,7944,483,1497,810,954
2007-09-06$1478.55$1500.0015.7%6.2%20.8%48.1%29.9%8.0%-0.4%-6.01B31.60B-2.21B1.8720.53171,278320,2994,495,3997,878,478
2007-09-07$1457.44$1500.0022.5%7.0%18.5%80.1%27.4%8.1%-0.4%-8.21B117.60B-2.22B2.1017.32191,751402,7614,537,0177,941,742
2007-09-10$1452.75$1450.0023.8%7.1%18.4%86.2%26.3%10.6%-0.6%-8.84B135.85B-2.17B1.9321.23134,168258,8294,583,4978,043,613
2007-09-11$1470.44$1450.0019.8%6.6%18.9%67.5%25.3%9.4%-0.8%-6.41B59.83B-2.13B1.7520.68204,405356,7934,615,7288,081,406
2007-09-12$1475.07$1450.0021.1%6.5%18.0%73.5%23.9%9.6%-0.4%-6.12B42.54B-2.13B1.5319.48214,393327,2424,654,3298,149,540
2007-09-13$1483.95$1450.0021.9%6.3%17.1%77.3%24.4%9.3%0.3%-4.62B909.4M-2.11B1.8319.03191,891351,6324,662,3888,169,719
2007-09-14$1484.18$1450.0022.0%6.3%17.0%77.7%23.5%9.4%0.3%-4.44B-3.71B-2.11B1.7318.93175,409303,2854,729,7778,253,772
2007-09-17$1476.30$1450.0023.4%6.7%16.2%84.3%25.0%9.6%-0.5%-6.85B39.98B-2.06B1.1520.20283,305325,1734,738,0968,326,569
2007-09-18$1518.93$1450.0018.0%5.2%18.8%59.0%21.0%7.5%0.7%2.11B-194.63B-1.90B1.3636.17393,885537,0694,804,1538,403,789
2007-09-19$1528.73$1450.0017.3%5.0%18.9%55.8%20.2%7.3%0.6%4.24B-268.35B-1.86B1.8822.63502,528946,8904,896,6428,514,236
2007-09-20$1519.04$1475.0017.9%5.1%18.8%58.3%19.5%7.4%0.4%2.01B-214.24B-1.90B1.2923.24491,802633,8765,010,4198,826,341
2007-09-21$1523.49$1475.0016.1%4.6%18.8%50.1%17.8%6.6%1.2%-503.4M-77.10B-1.88B1.6525.98277,047456,1122,768,7595,306,494
2007-09-24$1519.78$1480.0016.7%4.8%18.4%52.6%20.3%6.4%0.8%-552.9M-72.98B-1.91B2.1827.68186,966406,7452,925,3415,491,615
2007-09-25$1517.21$1490.0016.2%4.7%18.1%50.7%19.1%6.1%1.0%-1.05B-66.73B-1.92B2.7022.40152,946412,4403,020,7485,712,262
2007-09-26$1524.33$1490.0015.2%4.4%15.7%46.0%16.4%5.6%0.9%6.6M-86.93B-1.92B1.5328.48230,422351,7083,073,6305,879,298
2007-09-27$1531.38$1490.0014.7%4.2%14.5%43.6%16.7%5.5%1.0%1.99B-111.48B-1.92B2.6031.91101,186263,0463,210,8636,027,062
2007-09-28$1526.75$1490.0015.7%4.5%14.5%48.3%17.2%5.4%0.9%1.13B-96.38B-1.96B2.9333.9995,286279,5933,245,5746,098,550