SPX Options History — July 2008 In July 2008, SPX traded between $1210.71 and $1284.91. ATM implied volatility averaged 22.6%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.8% (HV 20d: 19.8%). Max pain ranged from $1275.00 to $1360.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.68.
Notable Days 2008-07-15 : Highest Volume — 1,378,969 contracts2008-07-07 : Largest IV spike — 21.0% change2008-07-07 : Highest IV Rank — 67.4%2008-07-15 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $1256.27 $1210.71 $1284.91 $1284.91 $1267.38 Max Pain $1299.55 $1275.00 $1360.00 $1360.00 $1275.00 ATM IV 22.6% 18.3% 26.5% 23.5% 18.3% Expected Move 6.4% 5.3% 7.6% 6.0% 6.0% HV 20d 19.8% 15.7% 23.1% 19.7% 22.6% HV 60d 17.7% 16.7% 19.3% 16.7% 19.3% IV Rank 49.2% 28.1% 67.4% 59.1% 28.1% IV Percentile 64.9% 24.6% 93.7% 78.2% 24.6% Term Structure 0.3% -0.9% 1.5% 1.3% 0.3% VWIV 23.1% 20.1% 26.8% 21.5% 23.0% Skew 25d 5.3% 3.7% 7.1% 4.4% 3.9% Skew 10d 10.0% 7.1% 12.8% 8.1% 8.6% Call IV 25d 19.7% 16.4% 23.3% 18.8% 19.2% Put IV 25d 25.0% 21.0% 30.0% 23.2% 23.1% Bid-Ask Spread % 41.42 32.71 48.84 32.71 43.56 Gamma HHI 0.06 0.05 0.07 0.06 0.06 Net GEX -10.56B -15.66B -5.48B -12.07B -7.44B Net DEX 272.81B 146.73B 419.32B 259.45B 200.02B Net VEX -1.89B -2.02B -1.72B -1.89B -2.01B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.68 0.97 2.43 1.68 2.43 Total Volume 725,688.636 359,402 1,378,969 740,290 567,097 Total OI 12,037,551.227 10,822,696 13,970,001 10,822,696 12,568,346
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 2008-07-01 $1284.91 $1360.00 23.5% 6.0% 19.7% 59.1% 21.5% 4.4% 1.3% -12.07B 259.45B -1.89B 1.68 32.71 276,154 464,136 3,951,238 6,871,458 2008-07-02 $1261.52 $1350.00 20.8% 6.8% 20.4% 48.4% 23.8% 4.7% 0.5% -13.10B 304.94B -1.87B 2.21 36.55 207,849 459,853 4,097,658 7,015,931 2008-07-03 $1263.82 $1350.00 21.6% 6.2% 18.6% 51.6% 22.2% 4.1% 1.4% -13.70B 306.22B -1.87B 2.12 33.85 174,209 368,684 4,181,595 7,187,280 2008-07-07 $1250.87 $1325.00 26.1% 6.9% 15.7% 67.4% 24.2% 6.4% -0.3% -14.52B 333.09B -1.80B 1.63 41.09 270,306 439,479 4,253,048 7,280,960 2008-07-08 $1272.83 $1325.00 24.1% 6.1% 17.3% 56.4% 21.9% 6.0% 0.1% -13.39B 289.27B -1.84B 1.47 42.56 314,403 463,184 4,355,109 7,404,098 2008-07-09 $1247.29 $1325.00 22.7% 6.8% 18.3% 47.9% 23.2% 6.0% -0.2% -14.59B 342.03B -1.81B 1.36 40.74 269,785 365,918 4,484,596 7,558,996 2008-07-10 $1253.39 $1325.00 24.0% 6.9% 18.2% 54.0% 25.1% 6.1% -0.7% -13.77B 325.68B -1.86B 1.69 41.94 256,232 432,353 4,586,959 7,638,752 2008-07-11 $1239.12 $1300.00 25.6% 7.3% 18.3% 61.4% 25.6% 6.6% -0.7% -14.17B 352.02B -1.85B 1.66 48.81 413,384 685,716 4,704,992 7,757,989 2008-07-14 $1228.09 $1300.00 26.2% 7.5% 17.3% 64.3% 26.8% 7.1% -0.9% -14.52B 380.29B -1.79B 1.51 42.99 320,907 483,078 4,916,822 7,978,084 2008-07-15 $1210.71 $1300.00 26.5% 7.6% 17.5% 65.6% 26.5% 6.7% -0.7% -15.66B 419.32B -1.72B 1.77 43.25 497,713 881,256 5,019,851 8,013,918 2008-07-16 $1240.12 $1300.00 23.2% 6.7% 20.4% 50.6% 24.3% 6.1% 0.0% -12.02B 347.47B -1.85B 1.37 45.25 492,997 677,342 5,242,856 8,287,316 2008-07-17 $1252.80 $1280.00 22.6% 6.5% 20.9% 47.8% 23.6% 6.2% 0.1% -8.73B 306.94B -1.93B 0.97 43.50 665,840 647,768 5,467,169 8,502,832 2008-07-18 $1259.80 $1275.00 21.9% 6.3% 21.0% 44.7% 24.2% 5.9% 0.2% -7.18B 209.60B -1.95B 1.57 40.54 293,026 461,273 4,163,649 6,703,297 2008-07-21 $1260.88 $1275.00 21.0% 6.0% 20.4% 40.4% 23.1% 5.6% 0.5% -7.10B 207.09B -1.93B 1.95 41.09 159,868 311,070 4,294,829 6,890,045 2008-07-22 $1273.82 $1275.00 18.6% 5.3% 20.8% 29.4% 21.0% 5.3% 1.5% -6.37B 175.91B -1.94B 1.80 48.84 173,489 312,992 4,348,198 7,007,706 2008-07-23 $1282.37 $1275.00 19.1% 5.5% 21.0% 31.7% 20.4% 4.1% 0.9% -5.65B 151.48B -1.99B 1.61 48.56 235,111 378,739 4,412,207 7,104,392 2008-07-24 $1252.54 $1275.00 21.2% 6.1% 22.3% 41.5% 23.1% 5.2% 0.4% -7.78B 227.35B -1.96B 1.82 34.65 218,792 398,960 4,535,461 7,252,566 2008-07-25 $1254.02 $1275.00 21.0% 5.8% 20.0% 40.5% 21.1% 5.0% 0.9% -8.00B 229.56B -1.95B 1.24 42.28 160,269 199,133 4,573,579 7,407,534 2008-07-28 $1235.24 $1275.00 24.4% 6.4% 20.6% 55.7% 23.0% 4.5% 0.5% -9.49B 277.39B -1.87B 1.79 37.38 188,359 337,378 4,616,891 7,488,108 2008-07-29 $1261.74 $1275.00 22.8% 5.8% 22.1% 48.7% 21.4% 3.9% 0.5% -7.52B 210.07B -1.95B 1.95 36.95 153,130 298,393 4,679,627 7,611,859 2008-07-30 $1284.72 $1275.00 22.4% 5.5% 23.1% 46.7% 20.1% 3.7% 0.5% -5.48B 146.73B -2.02B 1.46 44.23 239,450 350,075 4,710,262 7,698,064 2008-07-31 $1267.38 $1275.00 18.3% 6.0% 22.6% 28.1% 23.0% 3.9% 0.3% -7.44B 200.02B -2.01B 2.43 43.56 165,295 401,802 4,778,967 7,789,379
« Jun 2008 | All History | Aug 2008 » Home SPX History July 2008