SPX Options History — October 2007 In October 2007, SPX traded between $1500.72 and $1566.27. ATM implied volatility averaged 16.4%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.3% (HV 20d: 13.1%). Max pain ranged from $1500.00 to $1540.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.10.
Notable Days 2007-10-17 : Highest Volume — 1,094,861 contracts2007-10-11 : Largest IV spike — 31.0% change2007-10-30 : Highest IV Rank — 81.5%2007-10-19 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $1540.13 $1500.72 $1566.27 $1545.93 $1548.27 Max Pain $1524.13 $1500.00 $1540.00 $1500.00 $1530.00 ATM IV 16.4% 12.2% 22.8% 14.6% 16.3% Expected Move 4.8% 4.1% 5.9% 4.3% 4.5% HV 20d 13.1% 9.8% 14.7% 14.7% 14.1% HV 60d 18.2% 16.6% 19.0% 19.0% 16.7% IV Rank 51.6% 31.7% 81.5% 42.9% 50.9% IV Percentile 73.3% 49.7% 93.3% 68.4% 72.7% Term Structure 1.0% -0.2% 1.9% 1.2% 0.6% VWIV 18.3% 16.1% 21.3% 16.1% 17.0% Skew 25d 5.7% 4.7% 6.5% 4.7% 5.4% Skew 10d 10.9% 9.2% 12.5% 10.0% 9.2% Call IV 25d 13.9% 11.6% 17.5% 12.4% 13.0% Put IV 25d 19.6% 16.8% 24.0% 17.1% 18.5% Bid-Ask Spread % 30.65 22.25 40.66 34.39 40.66 Gamma HHI 0.05 0.04 0.06 0.05 0.04 Net GEX 1.07B -6.55B 9.51B 3.99B -1.01B Net DEX -105.74B -211.44B 35.50B -144.48B -100.37B Net VEX -2.03B -2.18B -1.86B -1.91B -2.11B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.10 1.29 3.96 1.61 1.85 Total Volume 563,270.217 287,371 1,094,861 580,832 478,498 Total OI 10,165,917.739 8,786,689 11,605,107 9,501,614 10,472,612
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 2007-10-01 $1545.93 $1500.00 14.6% 4.3% 14.7% 42.9% 16.1% 4.7% 1.2% 3.99B -144.48B -1.91B 1.61 34.39 222,376 358,456 3,299,082 6,202,532 2007-10-02 $1543.83 $1500.00 14.2% 4.2% 14.5% 41.1% 19.0% 5.1% 1.5% 3.44B -138.33B -1.97B 3.94 29.61 120,855 475,771 3,377,234 6,307,372 2007-10-03 $1539.59 $1500.00 13.2% 4.3% 14.0% 36.6% 17.4% 4.9% 1.7% 2.30B -126.30B -2.00B 2.18 30.18 96,772 211,010 3,438,162 6,442,703 2007-10-04 $1541.73 $1500.00 12.2% 4.2% 14.0% 31.7% 16.1% 4.7% 1.9% 2.78B -131.35B -2.00B 1.43 32.83 185,910 265,583 3,471,590 6,521,913 2007-10-05 $1560.31 $1525.00 12.7% 4.4% 13.0% 34.4% 16.8% 5.9% 0.8% 7.07B -185.89B -1.94B 1.29 22.25 179,214 230,857 3,515,030 6,609,012 2007-10-08 $1552.58 $1525.00 14.1% 4.4% 13.1% 40.5% 17.1% 5.7% 1.1% 6.13B -168.51B -1.93B 2.53 22.67 81,490 205,881 3,570,451 6,659,578 2007-10-09 $1566.27 $1525.00 12.2% 4.1% 12.9% 31.7% 16.7% 5.3% 1.3% 9.51B -211.44B -1.86B 1.56 22.42 198,689 310,478 3,584,799 6,710,566 2007-10-10 $1563.59 $1525.00 12.9% 4.2% 13.0% 35.0% 16.1% 5.5% 1.4% 9.03B -201.25B -1.91B 2.15 23.74 174,658 376,019 3,663,899 6,808,041 2007-10-11 $1554.41 $1525.00 16.9% 4.8% 13.3% 53.6% 17.8% 5.8% 0.7% 5.45B -173.36B -1.99B 1.68 29.13 228,653 384,352 3,702,936 6,915,221 2007-10-12 $1564.86 $1525.00 15.6% 4.5% 13.4% 47.8% 17.2% 5.5% 1.3% 7.97B -200.87B -1.98B 1.55 26.06 167,855 260,732 3,765,179 7,063,937 2007-10-15 $1550.95 $1525.00 17.2% 4.9% 13.7% 55.3% 18.1% 6.1% 0.8% 4.58B -157.76B -2.00B 1.96 33.16 176,390 345,549 3,805,136 7,100,391 2007-10-16 $1538.80 $1525.00 17.8% 5.1% 10.2% 58.1% 19.9% 5.9% 0.9% -453.3M -110.17B -2.04B 1.63 30.69 265,842 433,119 3,818,172 7,190,244 2007-10-17 $1543.80 $1535.00 16.3% 4.7% 10.0% 51.2% 17.6% 5.4% 1.5% 1.57B -129.70B -2.01B 1.91 36.39 376,068 718,793 3,835,966 7,296,297 2007-10-18 $1538.65 $1535.00 16.2% 4.7% 9.8% 50.7% 16.7% 5.5% 1.4% -1.94B -103.04B -2.05B 1.34 34.37 398,563 533,218 3,961,462 7,643,645 2007-10-19 $1500.72 $1540.00 20.5% 5.9% 13.3% 70.6% 21.2% 6.5% 0.3% -5.93B 35.50B -2.12B 2.69 30.50 233,967 629,830 3,166,516 5,620,173 2007-10-22 $1506.57 $1535.00 19.3% 5.5% 13.4% 65.1% 21.3% 6.3% 0.6% -6.55B 22.87B -2.11B 2.98 33.14 155,284 461,981 3,256,289 5,924,079 2007-10-23 $1517.72 $1535.00 17.8% 5.1% 13.6% 57.9% 19.7% 6.2% 1.0% -5.52B -6.82B -2.11B 2.05 30.64 168,149 345,039 3,300,979 6,089,170 2007-10-24 $1515.88 $1535.00 18.3% 5.3% 13.5% 60.5% 18.9% 6.2% 0.7% -5.78B 45.5M -2.15B 1.29 34.64 223,374 287,872 3,388,739 6,199,844 2007-10-25 $1519.82 $1530.00 18.8% 5.4% 13.5% 62.8% 20.9% 6.5% 0.5% -4.68B -10.37B -2.18B 2.37 31.17 129,816 308,019 3,502,800 6,298,357 2007-10-26 $1536.44 $1525.00 18.9% 4.9% 14.0% 62.9% 18.5% 5.7% 0.8% -2.22B -64.61B -2.14B 1.90 35.53 170,556 324,861 3,540,811 6,402,289 2007-10-29 $1541.16 $1525.00 19.0% 5.1% 13.3% 63.7% 19.7% 5.6% 0.5% -1.38B -81.80B -2.12B 3.96 30.82 103,696 410,442 3,608,810 6,511,908 2007-10-30 $1531.02 $1530.00 22.8% 5.5% 13.5% 81.5% 21.1% 6.2% -0.2% -3.71B -44.07B -2.15B 2.55 29.98 152,113 388,565 3,622,619 6,629,563 2007-10-31 $1548.27 $1530.00 16.3% 4.5% 14.1% 50.9% 17.0% 5.4% 0.6% -1.01B -100.37B -2.11B 1.85 40.66 167,625 310,873 3,666,638 6,805,974
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