SPX Options History — January 2008

In January 2008, SPX traded between $1307.60 and $1450.29. ATM implied volatility averaged 24.6%, placing in the 80.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.2% (HV 20d: 19.5%). Max pain ranged from $1400.00 to $1475.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.80.

Notable Days

2008-01-16: Highest Volume — 1,504,321 contracts
2008-01-04: Largest IV spike — 55.5% change
2008-01-22: Highest IV Rank — 100.0%
2008-01-22: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1377.63	$1307.60	$1450.29	$1450.29	$1368.23
Max Pain	$1434.05	$1400.00	$1475.00	$1460.00	$1400.00
ATM IV	24.6%	13.3%	34.1%	22.2%	24.1%
Expected Move	7.0%	5.9%	8.4%	6.0%	7.1%
HV 20d	19.5%	16.6%	23.1%	18.7%	23.1%
HV 60d	21.6%	20.4%	22.9%	20.4%	22.5%
IV Rank	80.9%	35.7%	100.0%	75.7%	64.8%
IV Percentile	89.1%	46.4%	100.0%	85.3%	90.5%
Term Structure	-0.6%	-2.7%	1.3%	1.3%	-1.0%
VWIV	25.0%	20.4%	30.1%	21.5%	26.9%
Skew 25d	6.3%	3.7%	8.3%	4.4%	6.9%
Skew 10d	11.0%	6.7%	14.3%	8.1%	12.4%
Call IV 25d	21.3%	18.4%	25.2%	18.8%	21.8%
Put IV 25d	27.6%	22.1%	33.4%	23.1%	28.7%
Bid-Ask Spread %	37.10	29.38	51.73	51.73	35.02
Gamma HHI	0.06	0.05	0.07	0.05	0.05
Net GEX	-10.11B	-18.57B	-5.99B	-6.57B	-5.99B
Net DEX	212.71B	75.84B	372.77B	77.56B	176.87B
Net VEX	-1.89B	-2.03B	-1.70B	-1.91B	-2.03B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	1.06	2.50	1.95	1.84
Total Volume	781,509.238	510,368	1,504,321	582,252	538,999
Total OI	9,494,823.476	8,084,789	11,029,832	8,084,789	10,487,566

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
2008-01-02	$1450.29	$1460.00	22.2%	6.0%	18.7%	75.7%	21.5%	4.4%	1.3%	-6.57B	77.56B	-1.91B	1.95	51.73	197,443	384,809	2,942,739	5,142,050
2008-01-03	$1447.16	$1455.00	13.3%	5.9%	18.5%	35.7%	20.4%	3.7%	0.8%	-6.89B	75.84B	-1.89B	1.88	48.82	182,875	343,845	3,040,396	5,304,371
2008-01-04	$1415.47	$1475.00	20.7%	6.6%	19.0%	68.9%	22.6%	6.4%	0.1%	-10.48B	160.15B	-1.88B	1.99	33.13	226,622	450,418	3,089,459	5,432,602
2008-01-07	$1414.70	$1475.00	20.4%	6.5%	18.0%	66.9%	22.2%	6.2%	0.3%	-11.51B	168.26B	-1.85B	1.69	36.23	219,343	369,935	3,214,380	5,581,922
2008-01-08	$1390.20	$1460.00	24.3%	7.1%	18.7%	84.8%	23.7%	6.6%	-0.3%	-13.21B	220.21B	-1.83B	1.78	34.27	277,128	493,640	3,305,715	5,674,432
2008-01-09	$1404.45	$1450.00	21.0%	6.6%	18.9%	69.8%	23.3%	6.2%	0.4%	-12.88B	193.43B	-1.90B	1.72	34.96	370,293	636,211	3,407,330	5,810,337
2008-01-10	$1415.59	$1450.00	22.3%	6.4%	17.0%	75.8%	22.6%	6.1%	0.1%	-10.42B	165.65B	-1.95B	1.33	35.15	282,806	376,013	3,549,206	5,924,134
2008-01-11	$1402.14	$1450.00	22.9%	6.6%	16.6%	78.5%	23.0%	5.7%	0.3%	-12.35B	201.22B	-1.95B	1.78	34.63	188,864	335,654	3,637,313	6,058,315
2008-01-14	$1415.25	$1450.00	21.8%	6.2%	17.1%	73.2%	21.7%	5.2%	0.3%	-11.33B	172.31B	-1.95B	1.31	37.54	294,129	384,498	3,699,956	6,197,489
2008-01-15	$1383.38	$1425.00	22.4%	6.4%	18.1%	76.4%	22.2%	5.0%	0.5%	-14.09B	257.74B	-1.87B	2.13	36.78	250,107	532,826	3,831,448	6,281,229
2008-01-16	$1371.36	$1425.00	23.3%	6.7%	17.8%	80.3%	22.7%	5.0%	-0.1%	-15.58B	288.83B	-1.86B	1.70	33.12	556,999	947,322	3,926,825	6,435,774
2008-01-17	$1334.12	$1425.00	26.9%	7.7%	19.4%	96.9%	26.6%	6.0%	-0.8%	-18.57B	372.77B	-1.81B	2.48	30.59	429,276	1,062,536	4,209,838	6,819,994
2008-01-18	$1322.40	$1425.00	25.8%	7.4%	19.5%	91.8%	25.9%	5.9%	-0.7%	-8.73B	276.61B	-1.75B	1.61	32.09	352,523	569,245	3,127,257	5,385,800
2008-01-22	$1307.60	$1425.00	29.1%	8.4%	19.1%	100.0%	30.1%	8.2%	-2.7%	-8.76B	302.55B	-1.70B	2.50	41.30	294,425	737,317	3,271,949	5,590,977
2008-01-23	$1341.14	$1425.00	27.5%	7.9%	20.7%	92.8%	29.2%	7.6%	-2.1%	-8.28B	250.95B	-1.87B	1.74	41.74	316,168	551,647	3,433,549	5,796,590
2008-01-24	$1352.07	$1425.00	26.0%	7.4%	20.9%	86.4%	28.3%	8.3%	-1.2%	-7.48B	223.36B	-1.91B	1.69	37.37	304,578	515,317	3,568,108	5,901,574
2008-01-25	$1331.71	$1410.00	30.4%	8.0%	21.0%	100.0%	29.9%	7.7%	-1.7%	-7.91B	253.84B	-1.90B	1.78	37.10	282,996	503,229	3,715,190	6,081,213
2008-01-28	$1353.02	$1405.00	30.3%	7.5%	22.1%	99.6%	28.1%	7.2%	-1.5%	-7.19B	211.83B	-1.94B	2.09	38.66	171,854	359,655	3,810,070	6,218,013
2008-01-29	$1360.54	$1400.00	34.1%	7.6%	22.3%	100.0%	27.1%	7.3%	-2.1%	-6.71B	194.74B	-1.99B	1.77	29.38	184,207	326,161	3,886,329	6,297,250
2008-01-30	$1349.43	$1400.00	28.7%	7.7%	22.3%	80.9%	27.0%	7.2%	-1.8%	-7.34B	222.27B	-1.95B	1.06	39.51	295,330	314,451	3,924,808	6,377,796
2008-01-31	$1368.23	$1400.00	24.1%	7.1%	23.1%	64.8%	26.9%	6.9%	-1.0%	-5.99B	176.87B	-2.03B	1.84	35.02	189,823	349,176	4,030,699	6,456,867