SPX Options History — December 2007

In December 2007, SPX traded between $1445.87 and $1517.04. ATM implied volatility averaged 20.2%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 3.1% (HV 20d: 23.3%). Max pain ranged from $1450.00 to $1500.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.76.

Notable Days

2007-12-19: Highest Volume — 976,075 contracts
2007-12-10: Largest IV spike — 24.5% change
2007-12-10: Highest IV Rank — 83.2%
2007-12-17: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1479.36	$1445.87	$1517.04	$1473.47	$1466.07
Max Pain	$1472.00	$1450.00	$1500.00	$1500.00	$1455.00
ATM IV	20.2%	16.3%	23.8%	21.8%	19.1%
Expected Move	5.7%	4.7%	6.8%	6.3%	5.7%
HV 20d	23.3%	18.5%	26.3%	26.0%	18.5%
HV 60d	20.0%	19.3%	20.5%	19.3%	20.5%
IV Rank	66.7%	49.1%	83.2%	74.1%	62.0%
IV Percentile	77.6%	62.3%	93.6%	84.0%	72.4%
Term Structure	0.9%	-0.2%	1.9%	0.3%	1.5%
VWIV	21.2%	17.6%	26.3%	26.3%	21.7%
Skew 25d	5.7%	4.8%	7.0%	6.2%	5.0%
Skew 10d	10.0%	8.7%	11.9%	10.5%	9.0%
Call IV 25d	16.9%	13.8%	20.1%	18.7%	17.4%
Put IV 25d	22.7%	18.6%	26.4%	24.8%	22.4%
Bid-Ask Spread %	41.16	32.75	49.28	33.31	49.28
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	-4.65B	-11.38B	586.3M	-5.95B	-4.69B
Net DEX	44.05B	-101.20B	194.68B	69.50B	42.17B
Net VEX	-1.94B	-2.07B	-1.29B	-2.07B	-1.92B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	1.35	2.71	1.53	2.47
Total Volume	526,642.05	247,794	976,075	297,322	303,290
Total OI	10,892,090.15	6,006,524	13,623,858	11,549,345	7,952,473

Daily Data (20 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
2007-12-03	$1473.47	$1500.00	21.8%	6.3%	26.0%	74.1%	26.3%	6.2%	0.3%	-5.95B	69.50B	-2.07B	1.53	33.31	117,610	179,712	4,177,168	7,372,177
2007-12-04	$1461.53	$1500.00	22.8%	6.5%	26.0%	78.5%	22.2%	5.9%	-0.2%	-6.89B	109.78B	-2.04B	1.46	32.75	143,741	210,392	4,226,021	7,367,792
2007-12-05	$1484.83	$1500.00	21.1%	6.1%	26.3%	71.0%	22.0%	5.9%	-0.1%	-4.23B	27.18B	-2.06B	1.47	37.65	225,059	331,838	4,261,493	7,467,426
2007-12-06	$1505.87	$1500.00	19.4%	5.6%	24.8%	63.0%	19.5%	5.3%	0.1%	-757.5M	-54.50B	-2.03B	1.74	44.99	183,925	320,229	4,326,981	7,496,536
2007-12-07	$1504.87	$1500.00	19.2%	5.5%	24.8%	62.0%	22.4%	5.2%	0.3%	-1.15B	-49.61B	-2.02B	1.98	45.42	203,082	401,281	4,377,809	7,579,106
2007-12-10	$1517.04	$1500.00	23.8%	5.3%	24.0%	83.2%	21.7%	5.4%	1.0%	586.3M	-101.20B	-2.06B	1.36	46.64	209,873	284,484	4,490,067	7,739,489
2007-12-11	$1475.34	$1475.00	23.8%	6.4%	26.0%	82.8%	22.9%	7.0%	0.3%	-5.99B	72.39B	-2.03B	1.61	42.23	263,070	423,990	4,512,546	7,782,399
2007-12-12	$1489.77	$1475.00	20.7%	6.0%	24.1%	68.9%	21.5%	6.7%	0.6%	-4.47B	17.69B	-2.03B	1.35	35.11	229,228	310,418	4,611,805	7,938,866
2007-12-13	$1488.41	$1475.00	21.1%	6.0%	24.0%	70.8%	23.1%	6.7%	0.7%	-4.09B	24.99B	-1.99B	1.79	35.82	180,710	322,798	4,642,567	7,933,240
2007-12-14	$1466.96	$1475.00	22.0%	6.3%	24.1%	74.7%	22.8%	6.7%	0.8%	-7.39B	107.51B	-1.98B	1.83	34.27	165,851	303,198	4,698,719	8,015,929
2007-12-17	$1445.87	$1475.00	23.7%	6.8%	24.6%	82.4%	23.4%	6.4%	0.2%	-11.38B	194.68B	-1.90B	1.66	38.46	304,634	505,950	4,731,319	8,076,742
2007-12-18	$1455.93	$1460.00	21.7%	6.2%	24.1%	73.4%	21.9%	5.8%	0.9%	-9.16B	154.66B	-1.92B	1.62	39.72	308,825	500,049	4,843,484	8,174,653
2007-12-19	$1454.03	$1450.00	20.4%	5.8%	24.0%	67.6%	20.9%	5.5%	1.7%	-9.36B	166.23B	-1.91B	1.76	40.32	353,838	622,237	4,940,060	8,305,031
2007-12-20	$1463.45	$1450.00	19.2%	5.5%	22.8%	62.1%	19.6%	5.5%	1.7%	-7.68B	125.73B	-1.91B	1.35	45.42	381,119	514,103	5,077,176	8,546,682
2007-12-21	$1487.48	$1450.00	16.7%	4.8%	22.8%	51.1%	18.4%	4.9%	1.8%	-1.82B	-7.93B	-1.88B	2.71	44.22	150,441	407,681	2,674,417	4,534,140
2007-12-24	$1495.69	$1450.00	16.4%	4.7%	21.0%	49.4%	18.2%	5.0%	1.9%	-1.07B	-25.80B	-1.87B	1.54	45.58	97,379	150,415	2,723,351	4,712,872
2007-12-26	$1498.73	$1450.00	16.3%	4.7%	20.6%	49.1%	17.6%	4.8%	1.7%	-694.5M	-24.61B	-1.29B	1.88	47.44	104,416	196,787	2,192,841	3,813,683
2007-12-27	$1476.27	$1450.00	18.1%	5.2%	18.7%	57.4%	18.8%	5.4%	1.4%	-2.95B	10.33B	-1.89B	2.28	46.56	111,981	255,139	2,800,589	4,873,117
2007-12-28	$1475.69	$1450.00	16.8%	5.2%	18.7%	51.4%	18.4%	5.5%	1.6%	-3.84B	21.77B	-1.92B	1.75	38.05	92,390	161,678	2,846,094	5,004,943
2007-12-31	$1466.07	$1455.00	19.1%	5.7%	18.5%	62.0%	21.7%	5.0%	1.5%	-4.69B	42.17B	-1.92B	2.47	49.28	87,432	215,858	2,900,839	5,051,634