SPX Options History — August 2008

In August 2008, SPX traded between $1249.54 and $1305.00. ATM implied volatility averaged 19.0%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.2% (HV 20d: 22.2%). Max pain ranged from $1275.00 to $1350.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.79.

Notable Days

2008-08-13: Highest Volume — 968,015 contracts
2008-08-06: Largest IV drop — 21.7% change
2008-08-04: Highest IV Rank — 56.0%
2008-08-04: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1281.15	$1249.54	$1305.00	$1259.88	$1282.91
Max Pain	$1305.95	$1275.00	$1350.00	$1275.00	$1350.00
ATM IV	19.0%	16.4%	24.4%	20.8%	19.7%
Expected Move	5.5%	4.9%	6.3%	5.7%	5.6%
HV 20d	22.2%	19.8%	24.0%	22.7%	20.2%
HV 60d	20.3%	18.9%	21.0%	18.9%	20.7%
IV Rank	31.3%	19.3%	56.0%	39.3%	34.4%
IV Percentile	33.4%	14.3%	83.7%	44.4%	41.3%
Term Structure	0.6%	0.0%	1.6%	1.6%	0.3%
VWIV	20.7%	17.7%	26.0%	21.4%	21.9%
Skew 25d	4.3%	3.5%	5.3%	4.0%	4.2%
Skew 10d	7.9%	6.7%	9.4%	7.3%	7.6%
Call IV 25d	17.2%	15.5%	19.5%	18.1%	17.3%
Put IV 25d	21.5%	18.9%	24.8%	22.1%	21.5%
Bid-Ask Spread %	35.85	27.34	44.61	37.45	44.02
Gamma HHI	0.05	0.04	0.06	0.06	0.05
Net GEX	-6.24B	-9.92B	-1.15B	-8.34B	-6.69B
Net DEX	155.92B	60.72B	254.24B	220.62B	157.34B
Net VEX	-2.01B	-2.07B	-1.93B	-2.00B	-2.02B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	1.02	2.66	2.53	2.10
Total Volume	576,990.476	317,371	968,015	403,184	349,021
Total OI	13,152,204.095	11,655,076	14,350,145	12,800,033	13,532,147

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
2008-08-01	$1259.88	$1275.00	20.8%	5.7%	22.7%	39.3%	21.4%	4.0%	1.6%	-8.34B	220.62B	-2.00B	2.53	37.45	114,150	289,034	4,855,275	7,944,758
2008-08-04	$1249.54	$1300.00	24.4%	6.3%	22.6%	56.0%	22.6%	5.3%	0.2%	-9.92B	254.24B	-1.93B	2.10	38.85	173,529	365,218	4,872,317	8,091,048
2008-08-05	$1283.08	$1300.00	22.4%	5.6%	23.8%	46.6%	20.6%	4.8%	0.7%	-5.53B	151.07B	-2.07B	1.48	43.13	215,964	320,584	4,905,332	8,061,597
2008-08-06	$1287.39	$1300.00	17.5%	5.5%	22.5%	24.4%	19.9%	4.6%	0.9%	-4.51B	129.10B	-2.01B	1.68	39.40	242,262	408,138	5,023,835	8,315,223
2008-08-07	$1266.07	$1300.00	18.1%	5.7%	23.3%	26.9%	20.3%	4.8%	0.2%	-7.67B	197.34B	-1.98B	1.90	37.65	229,333	436,815	5,108,208	8,399,964
2008-08-08	$1293.24	$1300.00	16.4%	5.5%	24.0%	19.3%	20.3%	4.7%	0.5%	-3.60B	104.51B	-2.05B	1.80	37.52	265,502	477,443	5,153,430	8,483,494
2008-08-11	$1305.00	$1300.00	17.9%	5.5%	23.7%	26.1%	19.7%	4.4%	0.6%	-1.15B	60.72B	-2.04B	1.37	39.04	366,102	501,155	5,223,444	8,594,931
2008-08-12	$1291.34	$1300.00	18.4%	5.8%	23.4%	28.6%	20.1%	4.8%	0.0%	-3.08B	113.25B	-2.05B	1.30	35.86	316,346	411,827	5,326,139	8,730,207
2008-08-13	$1284.71	$1300.00	18.5%	5.8%	22.2%	28.8%	20.8%	4.6%	0.8%	-4.55B	134.35B	-2.03B	1.95	35.99	328,542	639,473	5,389,644	8,827,376
2008-08-14	$1293.02	$1300.00	19.0%	5.4%	22.1%	31.1%	19.4%	4.4%	0.5%	-4.40B	107.24B	-2.03B	1.65	39.56	337,056	557,778	5,403,075	8,947,070
2008-08-15	$1299.12	$1300.00	18.4%	5.3%	22.1%	28.6%	20.2%	4.3%	0.7%	-5.29B	108.13B	-2.06B	1.77	30.31	219,925	389,151	4,488,350	7,166,726
2008-08-18	$1281.86	$1300.00	19.4%	5.6%	22.7%	33.3%	21.1%	4.3%	1.1%	-6.67B	158.28B	-2.01B	2.48	27.34	191,838	475,146	4,608,749	7,408,551
2008-08-19	$1267.87	$1300.00	19.7%	5.7%	22.8%	34.5%	20.8%	4.3%	0.6%	-8.25B	202.01B	-1.99B	2.27	30.39	215,749	489,063	4,678,854	7,615,140
2008-08-20	$1273.62	$1300.00	18.8%	5.4%	22.7%	30.3%	19.7%	4.2%	0.6%	-8.20B	189.34B	-2.00B	2.25	29.56	147,299	330,992	4,748,110	7,812,385
2008-08-21	$1275.05	$1300.00	18.2%	5.2%	21.0%	27.4%	18.6%	3.9%	0.8%	-8.03B	183.86B	-2.00B	1.09	31.29	182,355	199,253	4,828,129	7,973,056
2008-08-22	$1292.20	$1300.00	17.2%	4.9%	21.5%	23.1%	17.7%	3.5%	0.6%	-6.16B	126.45B	-2.03B	1.48	29.96	164,069	242,634	4,875,285	7,998,943
2008-08-25	$1266.14	$1300.00	19.3%	5.5%	22.1%	32.5%	19.7%	4.0%	0.4%	-8.71B	211.75B	-1.96B	2.66	28.77	102,343	272,148	4,961,631	8,049,626
2008-08-26	$1271.51	$1300.00	18.9%	5.3%	20.8%	31.0%	19.0%	3.6%	0.9%	-8.12B	195.94B	-1.98B	1.67	29.63	133,162	222,196	5,012,912	8,147,266
2008-08-27	$1282.63	$1350.00	18.6%	5.5%	20.0%	29.6%	26.0%	4.0%	0.3%	-6.90B	161.72B	-1.99B	1.02	42.62	156,808	160,563	5,060,959	8,231,281
2008-08-28	$1297.95	$1350.00	17.8%	5.2%	19.8%	25.8%	24.3%	3.9%	0.8%	-5.16B	107.09B	-2.00B	1.09	44.61	228,681	248,153	5,078,537	8,263,282
2008-08-29	$1282.91	$1350.00	19.7%	5.6%	20.2%	34.4%	21.9%	4.2%	0.3%	-6.69B	157.34B	-2.02B	2.10	44.02	112,516	236,505	5,171,289	8,360,858