SPX Options History — May 2008

In May 2008, SPX traded between $1373.49 and $1428.66. ATM implied volatility averaged 15.9%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.2% (HV 20d: 14.7%). Max pain ranged from $1300.00 to $1400.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.80.

Notable Days

2008-05-14: Highest Volume — 950,133 contracts
2008-05-07: Largest IV spike — 22.6% change
2008-05-27: Highest IV Rank — 39.2%
2008-05-27: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1403.11	$1373.49	$1428.66	$1409.34	$1399.50
Max Pain	$1371.90	$1300.00	$1400.00	$1350.00	$1400.00
ATM IV	15.9%	13.6%	18.4%	17.9%	15.9%
Expected Move	4.8%	4.2%	5.4%	4.6%	4.6%
HV 20d	14.7%	12.6%	16.9%	15.1%	14.1%
HV 60d	21.6%	21.3%	22.0%	21.5%	21.3%
IV Rank	29.4%	20.6%	39.2%	37.1%	29.5%
IV Percentile	27.9%	19.4%	40.1%	36.9%	24.6%
Term Structure	0.9%	-0.0%	2.3%	1.5%	1.1%
VWIV	17.9%	16.0%	23.1%	16.8%	23.1%
Skew 25d	4.5%	3.2%	5.2%	3.7%	4.2%
Skew 10d	8.7%	6.4%	9.9%	6.7%	8.5%
Call IV 25d	14.5%	13.0%	16.1%	14.2%	13.8%
Put IV 25d	19.0%	16.2%	21.3%	18.0%	18.0%
Bid-Ask Spread %	29.12	18.02	43.52	34.44	42.49
Gamma HHI	0.04	0.04	0.07	0.04	0.04
Net GEX	-2.87B	-8.08B	4.82B	-545.0M	-5.23B
Net DEX	5.14B	-93.34B	116.16B	-29.16B	29.51B
Net VEX	-2.07B	-2.18B	-1.99B	-1.99B	-2.12B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	1.04	3.09	1.51	1.87
Total Volume	544,285.524	300,330	950,133	510,166	335,987
Total OI	11,195,672.19	10,037,659	12,243,799	10,562,015	11,821,483

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
2008-05-01	$1409.34	$1350.00	17.9%	4.6%	15.1%	37.1%	16.8%	3.7%	1.5%	-545.0M	-29.16B	-1.99B	1.51	34.44	202,920	307,246	3,827,741	6,734,274
2008-05-02	$1414.62	$1350.00	15.4%	4.2%	15.1%	27.6%	16.2%	3.2%	2.3%	309.2M	-43.40B	-1.99B	2.05	43.52	185,676	380,660	3,886,271	6,813,879
2008-05-05	$1407.50	$1375.00	16.9%	5.0%	15.3%	33.3%	18.9%	5.0%	0.7%	-993.8M	-23.49B	-2.00B	1.82	29.21	158,363	287,896	3,960,411	6,931,601
2008-05-06	$1420.27	$1375.00	13.6%	4.8%	15.5%	20.6%	17.5%	4.6%	1.4%	1.18B	-58.22B	-1.99B	1.82	29.56	168,563	306,663	3,988,361	6,939,864
2008-05-07	$1393.55	$1375.00	16.7%	5.1%	16.8%	32.5%	18.8%	5.2%	0.2%	-3.65B	18.55B	-2.05B	1.86	25.87	243,605	453,070	4,042,996	7,070,857
2008-05-08	$1391.62	$1375.00	16.0%	5.1%	16.9%	29.8%	18.5%	4.8%	0.0%	-4.28B	27.50B	-2.05B	1.61	26.13	164,905	265,122	4,122,573	7,214,428
2008-05-09	$1387.34	$1375.00	15.4%	5.1%	15.1%	27.3%	19.1%	5.0%	0.9%	-5.30B	35.67B	-2.06B	2.03	26.41	162,897	330,199	4,163,025	7,284,895
2008-05-12	$1403.58	$1375.00	14.1%	4.8%	15.4%	22.5%	18.0%	4.7%	0.8%	-1.13B	-17.30B	-2.01B	1.63	26.67	181,313	295,134	4,196,682	7,382,520
2008-05-13	$1403.95	$1375.00	14.3%	4.8%	15.4%	23.1%	17.5%	4.9%	0.8%	-1.29B	-18.90B	-2.03B	1.28	24.61	257,662	330,850	4,273,412	7,464,500
2008-05-14	$1406.80	$1375.00	13.9%	4.7%	12.6%	21.8%	16.8%	4.8%	1.0%	-612.4M	-31.93B	-2.03B	1.17	24.01	437,073	513,060	4,357,516	7,562,733
2008-05-15	$1424.44	$1380.00	14.9%	4.3%	13.2%	25.4%	16.1%	4.6%	1.0%	4.82B	-93.34B	-2.03B	1.04	23.26	420,495	437,887	4,492,844	7,750,955
2008-05-16	$1424.68	$1385.00	14.8%	4.2%	12.7%	25.1%	16.0%	4.3%	1.0%	-1.93B	-35.33B	-2.06B	1.31	22.22	252,877	330,420	3,773,264	6,264,395
2008-05-19	$1428.66	$1385.00	15.3%	4.4%	12.7%	27.1%	16.9%	4.6%	1.2%	-1.22B	-46.88B	-2.06B	1.94	28.43	203,651	394,089	3,882,349	6,401,394
2008-05-20	$1416.43	$1390.00	15.9%	4.6%	13.0%	29.4%	17.7%	4.4%	0.8%	-2.65B	-13.65B	-2.12B	2.93	27.56	136,802	400,477	3,996,488	6,567,598
2008-05-21	$1392.68	$1390.00	16.7%	4.8%	14.5%	32.7%	18.1%	4.3%	0.8%	-5.35B	54.54B	-2.16B	3.09	26.16	182,889	565,611	4,061,066	6,729,768
2008-05-22	$1394.35	$1390.00	16.0%	4.6%	14.5%	29.9%	16.8%	4.1%	1.0%	-5.96B	54.22B	-2.17B	1.89	26.00	142,333	268,910	4,126,513	7,030,959
2008-05-23	$1373.49	$1390.00	17.5%	5.0%	15.1%	35.9%	17.7%	4.2%	1.0%	-8.08B	116.16B	-2.18B	2.00	18.02	165,538	330,793	4,183,779	7,114,312
2008-05-27	$1384.37	$1300.00	18.4%	5.4%	15.5%	39.2%	18.4%	5.2%	-0.0%	-7.13B	82.95B	-2.15B	1.98	29.17	100,946	199,384	4,238,978	7,233,794
2008-05-28	$1390.84	$1300.00	17.1%	4.9%	15.5%	34.2%	18.8%	5.0%	1.0%	-5.93B	60.84B	-2.13B	1.58	36.45	171,786	272,026	4,268,007	7,252,858
2008-05-29	$1397.27	$1400.00	16.7%	4.8%	15.5%	32.3%	17.5%	4.3%	1.0%	-5.29B	39.62B	-2.11B	1.42	41.39	200,214	284,004	4,331,059	7,368,714
2008-05-30	$1399.50	$1400.00	15.9%	4.6%	14.1%	29.5%	23.1%	4.2%	1.1%	-5.23B	29.51B	-2.12B	1.87	42.49	117,124	218,863	4,383,471	7,438,012