SPX Options History — February 2008

In February 2008, SPX traded between $1329.42 and $1395.42. ATM implied volatility averaged 23.3%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.7% (HV 20d: 21.6%). Max pain ranged from $1375.00 to $1425.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.87.

Notable Days

2008-02-12: Highest Volume — 863,384 contracts
2008-02-14: Largest IV spike — 29.0% change
2008-02-06: Highest IV Rank — 76.5%
2008-02-06: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1355.11	$1329.42	$1395.42	$1395.42	$1333.61
Max Pain	$1404.00	$1375.00	$1425.00	$1400.00	$1375.00
ATM IV	23.3%	18.3%	27.4%	21.5%	25.1%
Expected Move	6.7%	5.9%	7.7%	6.2%	7.2%
HV 20d	21.6%	17.7%	25.2%	24.4%	19.3%
HV 60d	21.4%	19.6%	22.8%	22.8%	20.1%
IV Rank	61.9%	44.3%	76.5%	55.6%	68.3%
IV Percentile	81.3%	58.3%	97.2%	74.6%	92.1%
Term Structure	0.3%	-0.4%	0.7%	0.5%	-0.1%
VWIV	23.9%	20.6%	26.6%	23.6%	21.1%
Skew 25d	6.6%	5.2%	8.1%	6.1%	6.3%
Skew 10d	11.7%	9.4%	14.2%	11.0%	11.1%
Call IV 25d	20.2%	17.5%	22.7%	18.6%	21.2%
Put IV 25d	26.8%	23.1%	30.8%	24.7%	27.5%
Bid-Ask Spread %	30.77	22.50	40.97	36.61	38.06
Gamma HHI	0.05	0.05	0.06	0.05	0.06
Net GEX	-6.77B	-9.16B	-4.44B	-4.44B	-8.24B
Net DEX	199.28B	107.85B	281.23B	107.85B	243.99B
Net VEX	-1.99B	-2.08B	-1.91B	-2.08B	-2.00B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	1.05	3.02	1.59	2.50
Total Volume	579,974.2	312,298	863,384	604,616	539,711
Total OI	10,801,084.45	9,344,392	12,156,715	10,612,347	10,983,338

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
2008-02-01	$1395.42	$1400.00	21.5%	6.2%	24.4%	55.6%	23.6%	6.1%	0.5%	-4.44B	107.85B	-2.08B	1.59	36.61	233,120	371,496	4,064,789	6,547,558
2008-02-04	$1377.90	$1425.00	24.8%	6.8%	23.6%	67.4%	24.4%	7.3%	0.3%	-5.42B	151.28B	-2.03B	2.05	22.50	148,664	304,564	4,150,784	6,623,714
2008-02-05	$1341.73	$1425.00	27.3%	7.4%	25.2%	75.9%	25.9%	7.7%	-0.4%	-8.34B	245.13B	-1.95B	2.30	25.94	159,859	367,871	4,188,555	6,757,843
2008-02-06	$1329.90	$1425.00	27.4%	7.7%	24.7%	76.5%	26.6%	8.1%	0.2%	-9.15B	276.26B	-1.91B	2.19	27.19	178,056	390,719	4,214,261	6,804,834
2008-02-07	$1336.91	$1425.00	25.8%	7.4%	24.5%	70.7%	26.1%	7.5%	0.6%	-8.78B	256.30B	-1.94B	1.61	28.96	269,355	434,021	4,266,649	6,878,153
2008-02-08	$1329.42	$1425.00	24.9%	7.4%	24.2%	67.6%	26.4%	7.7%	0.3%	-9.16B	281.23B	-1.94B	1.76	28.75	219,556	386,777	4,369,082	7,003,413
2008-02-11	$1336.49	$1425.00	25.4%	7.3%	24.2%	69.3%	25.7%	7.7%	0.6%	-8.84B	268.91B	-1.98B	1.30	28.34	274,688	358,027	4,439,852	7,137,927
2008-02-12	$1348.86	$1420.00	23.2%	7.0%	24.2%	61.7%	24.6%	7.2%	0.1%	-7.20B	237.76B	-1.98B	1.37	27.25	364,223	499,161	4,487,343	7,167,202
2008-02-13	$1362.70	$1410.00	18.3%	6.6%	23.4%	44.3%	23.5%	7.0%	-0.2%	-5.53B	197.53B	-2.02B	1.27	27.23	322,859	409,164	4,608,931	7,333,707
2008-02-14	$1350.63	$1400.00	23.6%	6.8%	23.4%	63.2%	24.1%	6.7%	0.4%	-6.33B	234.13B	-2.00B	1.05	26.00	402,664	422,956	4,715,117	7,441,598
2008-02-15	$1349.99	$1400.00	23.5%	6.7%	21.1%	62.6%	24.6%	6.5%	0.5%	-6.13B	191.58B	-1.99B	2.03	23.88	151,925	307,742	3,670,775	5,673,617
2008-02-19	$1354.30	$1400.00	23.5%	6.7%	20.8%	62.7%	25.1%	6.1%	0.7%	-6.17B	184.46B	-1.97B	3.02	27.84	159,712	481,552	3,730,439	5,827,578
2008-02-20	$1358.11	$1400.00	22.5%	6.5%	20.3%	59.1%	23.5%	6.0%	0.7%	-6.33B	178.12B	-1.98B	1.47	28.49	167,184	246,392	3,812,364	6,125,955
2008-02-21	$1342.53	$1400.00	23.2%	6.7%	18.8%	61.7%	23.7%	6.2%	0.0%	-6.85B	203.71B	-1.97B	1.24	31.34	201,679	249,580	3,883,598	6,183,668
2008-02-22	$1355.02	$1400.00	21.9%	6.3%	18.9%	57.0%	23.0%	5.9%	0.5%	-6.30B	183.03B	-1.99B	1.68	33.85	219,481	369,560	3,981,428	6,255,521
2008-02-25	$1370.10	$1400.00	21.2%	6.0%	18.4%	54.5%	21.6%	5.2%	0.4%	-5.38B	141.63B	-2.00B	2.17	32.79	147,350	320,032	4,072,964	6,382,851
2008-02-26	$1381.79	$1375.00	20.4%	5.9%	17.8%	51.6%	23.0%	5.6%	0.2%	-4.89B	114.34B	-2.02B	1.54	39.98	277,189	425,631	4,075,064	6,487,874
2008-02-27	$1379.08	$1375.00	21.0%	6.1%	17.7%	53.8%	21.4%	5.7%	0.4%	-5.14B	121.08B	-2.05B	2.78	39.38	133,343	371,323	4,157,439	6,617,817
2008-02-28	$1367.68	$1375.00	21.4%	6.2%	17.7%	55.1%	20.6%	5.7%	0.7%	-6.72B	167.35B	-2.04B	2.46	40.97	90,306	221,992	4,156,641	6,741,446
2008-02-29	$1333.61	$1375.00	25.1%	7.2%	19.3%	68.3%	21.1%	6.3%	-0.1%	-8.24B	243.99B	-2.00B	2.50	38.06	154,153	385,558	4,186,754	6,796,584