SPX Options History — September 2008

In September 2008, SPX traded between $1115.16 and $1276.61. ATM implied volatility averaged 31.4%, placing in the 71.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.7% (HV 20d: 30.6%). Max pain ranged from $1250.00 to $1350.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2008-09-17: Highest Volume — 1,872,134 contracts
2008-09-29: Largest IV spike — 79.5% change
2008-09-26: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1217.43	$1115.16	$1276.61	$1276.61	$1164.74
Max Pain	$1277.86	$1250.00	$1350.00	$1350.00	$1250.00
ATM IV	31.4%	20.1%	74.8%	20.7%	51.7%
Expected Move	8.2%	5.8%	13.9%	5.9%	11.6%
HV 20d	30.6%	17.6%	51.2%	20.0%	51.2%
HV 60d	24.9%	19.6%	34.0%	19.6%	34.0%
IV Rank	71.6%	36.4%	100.0%	39.0%	63.2%
IV Percentile	86.5%	44.0%	100.0%	48.4%	99.6%
Term Structure	-2.1%	-9.8%	0.6%	0.2%	-6.3%
VWIV	29.8%	20.5%	48.4%	22.1%	42.7%
Skew 25d	6.3%	3.9%	9.8%	4.4%	7.9%
Skew 10d	12.1%	7.5%	20.5%	8.0%	15.1%
Call IV 25d	25.7%	18.1%	44.5%	18.5%	36.0%
Put IV 25d	32.0%	22.2%	54.3%	22.9%	43.9%
Bid-Ask Spread %	35.45	16.65	47.58	44.50	32.35
Gamma HHI	0.06	0.05	0.07	0.05	0.06
Net GEX	-10.25B	-18.17B	-5.60B	-7.86B	-8.30B
Net DEX	295.63B	154.61B	536.93B	182.96B	286.36B
Net VEX	-1.94B	-3.41B	-1.64B	-1.97B	-1.92B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	1.04	3.14	1.94	2.18
Total Volume	932,018.238	483,660	1,872,134	483,660	1,301,154
Total OI	13,829,477.81	10,741,893	16,405,288	13,639,262	12,686,578

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
2008-09-02	$1276.61	$1350.00	20.7%	5.9%	20.0%	39.0%	22.1%	4.4%	0.2%	-7.86B	182.96B	-1.97B	1.94	44.50	164,733	318,927	5,196,023	8,443,239
2008-09-03	$1274.98	$1325.00	20.1%	5.8%	17.6%	36.4%	20.5%	4.0%	0.4%	-8.39B	190.71B	-1.95B	2.04	40.40	167,555	341,307	5,255,936	8,607,396
2008-09-04	$1236.83	$1325.00	23.0%	6.6%	20.5%	49.5%	22.8%	4.7%	-0.3%	-12.90B	325.94B	-1.85B	1.13	41.22	368,652	415,609	5,290,369	8,693,576
2008-09-05	$1239.80	$1325.00	21.2%	6.1%	19.8%	41.4%	22.4%	3.9%	0.6%	-12.49B	311.29B	-1.86B	1.04	44.92	373,561	389,602	5,347,466	8,734,208
2008-09-08	$1266.02	$1275.00	25.9%	6.1%	19.7%	62.6%	23.8%	4.2%	0.2%	-7.73B	215.16B	-1.89B	1.20	43.56	297,476	356,671	5,466,323	8,848,979
2008-09-09	$1227.06	$1275.00	29.4%	7.1%	22.1%	78.8%	23.7%	4.9%	-0.7%	-13.34B	354.18B	-1.80B	1.46	34.14	282,479	413,213	5,556,861	8,951,362
2008-09-10	$1232.90	$1295.00	23.2%	6.6%	22.0%	50.2%	23.6%	4.8%	0.1%	-13.35B	349.38B	-1.85B	1.58	28.73	297,582	469,497	5,775,236	9,291,750
2008-09-11	$1249.05	$1295.00	22.9%	6.6%	22.7%	49.1%	23.1%	5.1%	-0.0%	-9.50B	270.03B	-1.89B	1.39	29.15	352,269	491,121	5,748,576	9,152,224
2008-09-12	$1257.18	$1280.00	24.1%	6.9%	22.7%	54.7%	24.7%	5.2%	-0.4%	-7.70B	234.84B	-1.97B	1.28	25.64	389,145	496,406	5,940,346	9,254,047
2008-09-15	$1195.27	$1280.00	29.3%	8.4%	28.4%	78.4%	29.5%	6.5%	-1.9%	-15.93B	449.44B	-1.72B	2.27	39.99	279,026	632,157	6,027,023	9,368,823
2008-09-16	$1215.27	$1275.00	28.1%	8.1%	29.1%	72.7%	29.8%	6.3%	-2.0%	-14.03B	395.82B	-1.78B	3.14	16.65	373,999	1,172,751	6,111,125	9,506,933
2008-09-17	$1161.09	$1275.00	33.4%	9.6%	32.8%	97.2%	34.2%	8.1%	-3.9%	-18.17B	536.93B	-1.64B	2.10	39.85	603,053	1,269,081	6,242,586	9,664,237
2008-09-18	$1199.73	$1260.00	29.4%	8.4%	35.2%	78.7%	33.0%	8.8%	-1.9%	-14.07B	440.17B	-1.78B	2.13	40.51	575,337	1,224,318	6,526,647	9,878,641
2008-09-19	$1244.06	$1250.00	29.0%	8.3%	37.9%	76.7%	30.8%	8.0%	-2.6%	-5.60B	154.61B	-1.94B	1.28	38.17	550,048	705,348	4,045,657	6,696,236
2008-09-22	$1211.14	$1250.00	31.6%	9.0%	38.5%	88.5%	33.4%	7.8%	-2.6%	-7.83B	243.90B	-3.41B	2.08	31.26	219,643	457,366	5,612,089	8,908,389
2008-09-23	$1184.94	$1250.00	33.9%	9.7%	38.6%	99.2%	33.9%	7.6%	-3.0%	-8.00B	255.66B	-1.85B	1.50	32.54	292,702	438,058	4,377,141	7,009,403
2008-09-24	$1192.45	$1250.00	33.7%	9.7%	38.7%	98.3%	35.5%	7.5%	-3.6%	-8.02B	249.59B	-1.90B	1.57	33.94	257,232	404,429	4,501,122	7,186,290
2008-09-25	$1209.18	$1250.00	31.6%	9.0%	38.9%	88.5%	31.9%	5.9%	-2.8%	-6.94B	203.91B	-1.97B	1.17	28.65	352,431	413,588	4,609,069	7,292,309
2008-09-26	$1212.48	$1250.00	41.7%	9.9%	38.6%	100.0%	35.5%	7.5%	-4.6%	-6.39B	197.04B	-2.03B	1.36	30.64	302,056	410,215	4,785,084	7,396,149
2008-09-29	$1115.16	$1250.00	74.8%	13.9%	48.0%	100.0%	48.4%	9.8%	-9.8%	-8.74B	360.28B	-1.80B	2.44	47.58	277,076	675,510	4,907,004	7,526,582
2008-09-30	$1164.74	$1250.00	51.7%	11.6%	51.2%	63.2%	42.7%	7.9%	-6.3%	-8.30B	286.36B	-1.92B	2.18	32.35	409,276	891,878	4,972,589	7,713,989