SPX Options History — November 2007

In November 2007, SPX traded between $1406.01 and $1519.30. ATM implied volatility averaged 22.9%, placing in the 80.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 21.5%). Max pain ranged from $1500.00 to $1535.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.87.

Notable Days

2007-11-13: Highest Volume — 1,200,989 contracts
2007-11-02: Largest IV spike — 67.3% change
2007-11-12: Highest IV Rank — 100.0%
2007-11-26: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1463.02	$1406.01	$1519.30	$1508.44	$1483.46
Max Pain	$1510.95	$1500.00	$1535.00	$1535.00	$1500.00
ATM IV	22.9%	12.3%	27.6%	12.3%	21.6%
Expected Move	6.7%	5.5%	8.0%	6.1%	6.2%
HV 20d	21.5%	16.2%	27.5%	16.9%	26.0%
HV 60d	17.8%	16.1%	19.4%	17.3%	19.4%
IV Rank	80.3%	32.4%	100.0%	32.4%	72.9%
IV Percentile	90.3%	48.6%	100.0%	48.6%	83.0%
Term Structure	0.0%	-0.9%	1.3%	-0.5%	0.1%
VWIV	24.0%	20.6%	28.4%	22.0%	21.9%
Skew 25d	8.1%	6.4%	10.6%	6.5%	6.6%
Skew 10d	14.4%	11.0%	19.6%	12.1%	11.5%
Call IV 25d	19.2%	15.5%	23.9%	18.1%	17.7%
Put IV 25d	27.3%	23.0%	31.9%	24.6%	24.3%
Bid-Ask Spread %	26.04	9.90	41.85	41.85	31.70
Gamma HHI	0.05	0.04	0.06	0.04	0.05
Net GEX	-9.58B	-16.97B	-4.39B	-7.14B	-4.39B
Net DEX	135.54B	-14.21B	258.23B	25.56B	34.93B
Net VEX	-2.12B	-2.21B	-1.99B	-2.21B	-2.11B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	1.38	2.48	2.48	2.40
Total Volume	750,914.905	283,726	1,200,989	558,509	882,075
Total OI	10,885,018.571	9,366,193	12,022,655	10,555,957	11,272,639

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
2007-11-01	$1508.44	$1535.00	12.3%	6.1%	16.9%	32.4%	22.0%	6.5%	-0.5%	-7.14B	25.56B	-2.21B	2.48	41.85	160,632	397,877	3,705,705	6,850,252
2007-11-02	$1512.81	$1535.00	20.6%	5.6%	16.2%	71.0%	20.9%	6.6%	1.3%	-7.11B	19.11B	-2.20B	1.46	36.50	230,773	337,852	3,761,937	6,910,446
2007-11-05	$1500.59	$1520.00	24.0%	6.3%	16.4%	86.7%	22.3%	8.4%	-0.1%	-8.38B	51.54B	-2.19B	1.68	32.84	209,714	351,529	3,869,092	6,974,975
2007-11-06	$1519.30	$1515.00	19.9%	5.5%	16.7%	67.8%	20.6%	7.5%	0.2%	-5.34B	-14.21B	-2.16B	1.46	18.70	192,444	281,636	3,932,963	7,058,854
2007-11-07	$1477.72	$1515.00	24.8%	6.7%	19.1%	90.6%	24.3%	9.1%	0.0%	-11.54B	125.80B	-2.18B	1.86	31.50	259,907	483,828	3,919,900	7,096,197
2007-11-08	$1474.77	$1515.00	22.6%	6.7%	19.1%	80.4%	23.8%	9.1%	0.3%	-13.77B	155.08B	-2.17B	2.01	15.75	372,670	747,672	3,976,928	7,248,979
2007-11-09	$1449.72	$1510.00	24.5%	7.4%	19.4%	89.4%	26.0%	9.9%	-0.2%	-14.99B	209.23B	-2.18B	1.84	27.44	342,970	631,435	4,065,318	7,362,095
2007-11-12	$1436.12	$1505.00	27.3%	7.6%	19.4%	100.0%	25.1%	10.6%	0.2%	-16.97B	258.23B	-2.09B	1.62	23.53	356,124	575,824	4,131,861	7,467,752
2007-11-13	$1478.64	$1505.00	20.8%	6.1%	22.6%	70.5%	22.7%	8.8%	0.5%	-12.27B	129.24B	-2.13B	1.92	29.08	410,727	790,262	4,184,809	7,513,036
2007-11-14	$1473.83	$1500.00	21.9%	6.5%	22.5%	75.4%	23.3%	9.2%	-0.1%	-11.94B	148.46B	-2.16B	1.38	24.50	377,172	521,902	4,299,107	7,660,633
2007-11-15	$1453.26	$1500.00	24.8%	7.1%	22.9%	88.4%	23.8%	10.5%	0.1%	-12.20B	215.66B	-2.11B	1.95	28.60	354,780	692,927	4,345,916	7,676,739
2007-11-16	$1457.07	$1500.00	22.9%	6.6%	21.4%	80.0%	25.1%	9.3%	0.4%	-7.08B	129.78B	-2.11B	1.98	30.81	246,192	486,382	3,440,559	5,925,634
2007-11-19	$1434.77	$1500.00	23.8%	6.8%	21.9%	83.9%	25.0%	9.0%	0.5%	-8.78B	183.31B	-2.04B	2.40	26.59	186,502	446,848	3,503,170	6,109,715
2007-11-20	$1443.63	$1500.00	22.8%	6.5%	21.8%	79.6%	23.8%	8.1%	-0.3%	-8.42B	161.70B	-2.05B	1.80	24.62	282,904	509,969	3,561,760	6,217,501
2007-11-21	$1414.94	$1500.00	25.2%	7.2%	22.7%	90.5%	25.7%	6.9%	-0.6%	-10.04B	227.06B	-2.02B	2.09	27.75	370,799	773,297	3,651,726	6,402,686
2007-11-23	$1438.35	$1500.00	24.3%	7.0%	23.7%	86.4%	24.9%	6.9%	-0.9%	-8.63B	170.57B	-2.10B	1.97	20.60	95,583	188,143	3,846,182	6,876,622
2007-11-26	$1406.01	$1500.00	27.6%	8.0%	24.1%	100.0%	26.9%	6.7%	-0.5%	-10.51B	245.87B	-1.99B	1.63	25.89	190,410	310,335	3,819,650	6,862,961
2007-11-27	$1424.12	$1525.00	25.1%	7.1%	24.7%	88.5%	28.4%	6.8%	-0.3%	-10.02B	208.30B	-2.00B	1.80	10.66	213,667	383,638	3,868,355	6,950,645
2007-11-28	$1467.97	$1525.00	22.4%	6.4%	27.5%	76.5%	25.6%	6.4%	0.1%	-6.10B	82.92B	-2.12B	1.43	9.90	313,931	450,183	3,983,549	7,065,184
2007-11-29	$1467.83	$1525.00	22.2%	6.3%	27.1%	75.8%	22.4%	6.6%	0.2%	-5.66B	78.10B	-2.12B	2.09	27.94	115,629	242,069	4,084,228	7,129,130
2007-11-30	$1483.46	$1500.00	21.6%	6.2%	26.0%	72.9%	21.9%	6.6%	0.1%	-4.39B	34.93B	-2.11B	2.40	31.70	259,327	622,748	4,084,545	7,188,094