SPX Options History — April 2008

In April 2008, SPX traded between $1329.71 and $1396.70. ATM implied volatility averaged 19.5%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 4.1% (HV 20d: 23.6%). Max pain ranged from $1335.00 to $1350.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.17.

Notable Days

2008-04-16: Highest Volume — 990,200 contracts
2008-04-04: Largest IV spike — 33.8% change
2008-04-14: Highest IV Rank — 55.5%
2008-04-14: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1371.04	$1329.71	$1396.70	$1368.28	$1384.38
Max Pain	$1348.18	$1335.00	$1350.00	$1335.00	$1350.00
ATM IV	19.5%	15.5%	22.6%	20.5%	21.3%
Expected Move	5.7%	5.0%	6.5%	5.9%	5.3%
HV 20d	23.6%	13.7%	31.5%	31.5%	13.8%
HV 60d	23.4%	21.9%	24.8%	24.8%	21.9%
IV Rank	44.3%	31.7%	55.5%	51.9%	50.5%
IV Percentile	49.1%	33.7%	69.4%	54.4%	58.3%
Term Structure	0.8%	0.1%	1.4%	1.0%	0.7%
VWIV	20.9%	18.3%	22.8%	21.5%	19.7%
Skew 25d	5.0%	4.0%	5.9%	5.0%	4.5%
Skew 10d	9.1%	7.2%	10.4%	9.5%	7.8%
Call IV 25d	17.3%	15.4%	20.0%	18.0%	16.3%
Put IV 25d	22.4%	19.6%	25.6%	22.9%	20.8%
Bid-Ask Spread %	33.85	22.00	46.03	38.45	41.96
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	-3.66B	-9.24B	-1.43B	-2.95B	-3.74B
Net DEX	48.14B	759.1M	145.44B	44.50B	39.71B
Net VEX	-2.02B	-2.08B	-1.95B	-2.03B	-2.02B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	1.22	3.72	1.50	2.36
Total Volume	555,970.227	342,087	990,200	591,596	470,298
Total OI	10,294,768.591	9,135,011	11,505,735	9,737,433	10,403,098

Daily Data (22 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
2008-04-01	$1368.28	$1335.00	20.5%	5.9%	31.5%	51.9%	21.5%	5.0%	1.0%	-2.95B	44.50B	-2.03B	1.50	38.45	236,165	355,431	3,526,967	6,210,466
2008-04-02	$1368.49	$1335.00	20.5%	6.0%	31.4%	52.2%	22.8%	5.1%	1.4%	-2.38B	40.08B	-2.06B	2.53	39.83	211,971	535,915	3,633,457	6,273,004
2008-04-03	$1372.21	$1340.00	15.5%	6.0%	31.4%	34.3%	22.0%	4.9%	1.4%	-2.47B	35.12B	-2.08B	2.64	39.84	104,802	277,048	3,670,474	6,438,961
2008-04-04	$1369.91	$1350.00	20.7%	6.3%	30.1%	52.8%	22.7%	5.9%	0.4%	-3.28B	43.98B	-2.03B	3.72	28.66	167,417	623,507	3,667,715	6,515,949
2008-04-07	$1369.97	$1350.00	19.7%	6.1%	29.8%	44.2%	21.9%	5.7%	0.4%	-3.26B	42.09B	-2.05B	2.49	30.87	159,387	397,142	3,730,902	6,709,271
2008-04-08	$1370.03	$1350.00	18.6%	6.0%	29.2%	40.1%	22.1%	5.8%	0.4%	-3.42B	42.59B	-2.02B	2.70	30.66	110,303	298,187	3,789,866	6,687,085
2008-04-09	$1359.08	$1350.00	19.2%	6.2%	26.7%	42.2%	22.5%	5.7%	0.3%	-4.99B	69.96B	-2.02B	2.31	33.05	179,746	415,978	3,811,739	6,716,722
2008-04-10	$1360.55	$1350.00	20.9%	6.0%	26.3%	48.8%	21.6%	5.5%	0.7%	-4.71B	62.75B	-2.02B	1.40	36.35	210,031	293,600	3,877,700	6,809,376
2008-04-11	$1334.21	$1350.00	22.3%	6.4%	27.3%	54.3%	22.3%	5.5%	0.4%	-8.73B	134.84B	-2.00B	1.85	33.92	232,861	430,039	3,908,603	6,868,041
2008-04-14	$1329.71	$1350.00	22.6%	6.5%	26.4%	55.5%	22.1%	5.6%	0.1%	-9.24B	145.44B	-1.95B	1.58	40.85	181,557	287,700	4,006,556	6,952,685
2008-04-15	$1334.47	$1350.00	21.7%	6.2%	26.1%	51.8%	21.8%	5.4%	0.5%	-8.31B	129.59B	-1.95B	1.33	39.14	269,044	358,034	4,056,825	6,992,809
2008-04-16	$1369.66	$1350.00	19.0%	5.5%	23.4%	41.6%	19.7%	5.3%	1.0%	-2.14B	25.35B	-1.97B	1.22	46.03	445,430	544,770	4,143,590	7,061,817
2008-04-17	$1370.29	$1350.00	18.7%	5.4%	21.0%	40.3%	20.1%	5.4%	1.0%	-2.31B	21.20B	-1.99B	1.26	39.14	402,613	505,515	4,258,544	7,247,191
2008-04-18	$1386.66	$1350.00	18.2%	5.2%	19.6%	38.4%	19.4%	5.4%	0.9%	-2.11B	23.23B	-2.00B	1.67	31.05	228,316	381,478	3,471,873	5,663,138
2008-04-21	$1387.19	$1350.00	18.4%	5.3%	19.1%	39.3%	20.6%	5.1%	1.2%	-2.06B	22.57B	-2.02B	3.35	22.00	122,464	410,417	3,594,021	5,826,360
2008-04-22	$1379.83	$1350.00	18.8%	5.4%	19.2%	40.7%	21.5%	4.6%	1.0%	-2.67B	39.07B	-2.01B	2.52	22.40	148,018	373,234	3,584,860	5,813,644
2008-04-23	$1379.93	$1350.00	18.2%	5.2%	18.5%	38.5%	19.6%	4.5%	1.1%	-3.13B	45.05B	-2.04B	2.79	22.11	102,391	285,928	3,672,990	6,162,566
2008-04-24	$1384.87	$1350.00	17.9%	5.1%	18.3%	37.3%	19.4%	4.1%	1.0%	-2.71B	28.88B	-2.04B	2.15	28.52	125,289	269,004	3,695,727	6,303,757
2008-04-25	$1395.87	$1350.00	16.5%	5.0%	18.2%	31.7%	18.3%	4.1%	1.1%	-1.43B	759.1M	-2.03B	1.54	29.39	149,859	230,737	3,748,367	6,372,379
2008-04-28	$1396.70	$1350.00	19.6%	5.0%	18.2%	43.8%	18.3%	4.0%	0.9%	-1.76B	2.34B	-2.01B	2.72	33.35	96,026	261,606	3,776,531	6,481,891
2008-04-29	$1390.61	$1350.00	19.7%	5.2%	13.7%	44.3%	19.0%	4.0%	0.6%	-2.69B	19.99B	-2.02B	2.09	37.25	110,699	231,388	3,795,505	6,551,887
2008-04-30	$1384.38	$1350.00	21.3%	5.3%	13.8%	50.5%	19.7%	4.5%	0.7%	-3.74B	39.71B	-2.02B	2.36	41.96	140,100	330,198	3,804,637	6,598,461