SPX Options History — June 2008

In June 2008, SPX traded between $1279.31 and $1404.05. ATM implied volatility averaged 20.3%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.7% (HV 20d: 17.6%). Max pain ranged from $1370.00 to $1400.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.68.

Notable Days

2008-06-18: Highest Volume — 1,090,047 contracts
2008-06-06: Largest IV spike — 32.1% change
2008-06-09: Highest IV Rank — 60.7%
2008-06-11: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1340.42	$1279.31	$1404.05	$1384.69	$1280.00
Max Pain	$1394.05	$1370.00	$1400.00	$1400.00	$1370.00
ATM IV	20.3%	16.9%	23.9%	18.5%	21.7%
Expected Move	5.8%	4.8%	6.4%	5.3%	6.1%
HV 20d	17.6%	13.9%	19.7%	14.4%	19.6%
HV 60d	18.4%	15.6%	20.9%	20.9%	16.6%
IV Rank	46.6%	33.2%	60.7%	39.7%	51.9%
IV Percentile	50.8%	27.0%	82.1%	40.5%	59.1%
Term Structure	0.5%	-0.8%	1.2%	-0.1%	1.1%
VWIV	20.9%	18.0%	23.7%	18.0%	22.0%
Skew 25d	5.3%	4.4%	6.7%	4.9%	4.5%
Skew 10d	10.0%	8.3%	12.4%	9.4%	8.4%
Call IV 25d	17.6%	14.3%	19.8%	15.7%	19.3%
Put IV 25d	22.9%	18.8%	25.6%	20.6%	23.8%
Bid-Ask Spread %	32.13	25.30	40.22	35.35	31.49
Gamma HHI	0.06	0.04	0.07	0.05	0.06
Net GEX	-11.18B	-14.83B	-3.16B	-7.23B	-12.78B
Net DEX	191.11B	4.58B	277.78B	81.29B	277.78B
Net VEX	-1.98B	-2.16B	-1.75B	-2.10B	-1.87B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	1.20	2.22	1.60	1.60
Total Volume	649,756.667	408,438	1,090,047	553,849	584,601
Total OI	11,787,290.286	8,964,709	13,913,775	11,881,390	10,770,424

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
2008-06-02	$1384.69	$1400.00	18.5%	5.3%	14.4%	39.7%	18.0%	4.9%	-0.1%	-7.23B	81.29B	-2.10B	1.60	35.35	212,735	341,114	4,413,816	7,467,574
2008-06-03	$1377.65	$1400.00	18.6%	5.3%	14.4%	40.0%	19.4%	5.0%	0.1%	-8.08B	104.11B	-2.11B	1.92	39.03	139,826	268,612	4,476,144	7,563,659
2008-06-04	$1377.17	$1400.00	19.1%	5.5%	13.9%	41.7%	20.7%	4.9%	0.2%	-8.34B	107.49B	-2.12B	1.82	37.11	145,442	264,796	4,502,611	7,646,292
2008-06-05	$1404.05	$1400.00	16.9%	4.8%	14.2%	33.2%	20.0%	4.5%	0.4%	-3.16B	4.58B	-2.11B	1.36	40.22	218,865	298,267	4,546,689	7,714,812
2008-06-06	$1359.15	$1400.00	22.3%	6.4%	18.4%	54.2%	23.7%	5.7%	-0.8%	-10.82B	174.24B	-2.16B	2.05	25.30	273,496	561,052	4,597,636	7,815,950
2008-06-09	$1362.78	$1400.00	23.9%	5.8%	18.4%	60.7%	20.5%	5.9%	0.5%	-11.11B	161.89B	-2.11B	1.43	28.08	222,893	319,642	4,658,460	7,918,802
2008-06-10	$1355.58	$1400.00	23.2%	6.1%	17.9%	57.8%	21.7%	6.6%	0.0%	-11.85B	187.43B	-2.08B	1.35	30.16	270,285	365,558	4,694,488	7,961,073
2008-06-11	$1336.43	$1400.00	21.7%	6.4%	18.4%	51.8%	21.6%	6.7%	-0.1%	-14.62B	256.96B	-2.03B	1.62	30.86	278,498	451,144	4,784,027	8,077,842
2008-06-12	$1339.87	$1400.00	21.4%	6.1%	18.4%	51.0%	21.7%	6.2%	0.3%	-14.81B	244.21B	-2.02B	1.40	31.77	207,086	289,203	4,819,244	8,209,226
2008-06-13	$1356.24	$1400.00	19.7%	5.6%	18.4%	44.1%	19.9%	5.6%	0.6%	-12.56B	186.77B	-2.02B	1.60	34.43	224,503	359,891	4,864,107	8,257,191
2008-06-16	$1357.67	$1400.00	19.2%	5.5%	18.4%	42.2%	20.6%	5.3%	0.9%	-12.56B	184.55B	-1.97B	1.70	31.11	174,749	296,427	4,961,602	8,369,271
2008-06-17	$1351.09	$1400.00	19.5%	5.6%	18.3%	43.2%	20.3%	5.4%	0.8%	-13.34B	213.21B	-1.94B	1.65	33.85	208,205	344,163	5,017,473	8,403,636
2008-06-18	$1336.43	$1400.00	20.8%	6.0%	18.4%	48.3%	21.0%	5.6%	0.3%	-14.83B	269.39B	-1.91B	1.82	29.86	386,246	703,801	5,046,989	8,479,296
2008-06-19	$1339.76	$1400.00	19.7%	5.7%	17.7%	44.3%	19.6%	5.4%	0.8%	-14.37B	267.72B	-1.90B	1.20	33.25	419,630	502,667	5,210,212	8,703,563
2008-06-20	$1316.76	$1400.00	21.1%	6.1%	18.5%	49.8%	22.3%	5.6%	0.3%	-9.71B	191.50B	-1.87B	2.22	31.68	273,953	607,872	3,224,604	5,740,105
2008-06-23	$1316.69	$1395.00	20.6%	5.9%	18.0%	47.8%	21.4%	5.4%	0.5%	-10.13B	194.10B	-1.88B	1.57	29.29	195,551	307,731	3,355,472	5,996,752
2008-06-24	$1313.37	$1385.00	20.3%	5.8%	17.6%	46.7%	20.9%	5.1%	1.1%	-10.11B	194.11B	-1.75B	1.60	31.92	276,098	440,773	3,319,298	5,893,699
2008-06-25	$1321.01	$1375.00	19.4%	5.6%	17.6%	42.9%	20.0%	4.4%	0.8%	-9.54B	181.98B	-1.93B	1.75	34.20	193,412	337,872	3,582,782	6,273,779
2008-06-26	$1283.15	$1375.00	21.9%	6.3%	19.7%	52.5%	22.2%	4.6%	0.9%	-12.20B	260.34B	-1.85B	2.16	28.62	265,378	574,217	3,672,525	6,430,803
2008-06-27	$1279.31	$1375.00	17.3%	6.1%	19.6%	35.0%	21.8%	4.5%	1.2%	-12.58B	269.57B	-1.81B	1.94	27.06	285,611	553,025	3,671,670	6,419,498
2008-06-30	$1280.00	$1370.00	21.7%	6.1%	19.6%	51.9%	22.0%	4.5%	1.1%	-12.78B	277.78B	-1.87B	1.60	31.49	224,465	360,136	3,919,270	6,851,154