SPX Options History — October 2008

In October 2008, SPX traded between $835.75 and $1161.06. ATM implied volatility averaged 63.0%, placing in the 72.3% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 11.7% (HV 20d: 74.7%). Max pain ranged from $1050.00 to $1240.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.71.

Notable Days

2008-10-06: Highest Volume — 2,091,480 contracts
2008-10-06: Largest IV spike — 68.8% change
2008-10-09: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$967.17	$835.75	$1161.06	$1161.06	$967.04
Max Pain	$1138.91	$1050.00	$1240.00	$1240.00	$1050.00
ATM IV	63.0%	43.7%	86.3%	53.7%	52.4%
Expected Move	15.7%	11.8%	20.8%	11.8%	15.0%
HV 20d	74.7%	51.2%	94.7%	51.2%	94.7%
HV 60d	49.1%	33.7%	62.3%	33.7%	62.3%
IV Rank	72.3%	44.7%	100.0%	66.3%	54.2%
IV Percentile	97.2%	92.1%	100.0%	99.6%	92.1%
Term Structure	-6.2%	-10.8%	-1.8%	-6.1%	-1.8%
VWIV	55.6%	42.1%	74.9%	42.1%	57.2%
Skew 25d	16.0%	8.1%	24.1%	8.1%	16.7%
Skew 10d	30.4%	14.5%	45.1%	14.5%	33.2%
Call IV 25d	46.5%	36.8%	60.5%	36.8%	44.5%
Put IV 25d	62.5%	44.9%	84.6%	44.9%	61.2%
Bid-Ask Spread %	40.02	28.10	60.04	30.72	30.08
Gamma HHI	0.06	0.05	0.07	0.05	0.05
Net GEX	-5.87B	-9.65B	-3.64B	-8.25B	-3.64B
Net DEX	447.67B	283.73B	579.78B	283.73B	358.02B
Net VEX	-1.51B	-1.98B	-1.13B	-1.98B	-1.78B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.94	2.75	1.49	2.35
Total Volume	1,090,018.174	614,907	2,091,480	754,656	631,052
Total OI	15,342,335.261	13,039,762	17,586,829	13,039,762	17,095,122

Daily Data (23 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
2008-10-01	$1161.06	$1240.00	53.7%	11.8%	51.2%	66.3%	42.1%	8.1%	-6.1%	-8.25B	283.73B	-1.98B	1.49	30.72	302,742	451,914	5,094,253	7,945,509
2008-10-02	$1120.10	$1240.00	57.0%	13.8%	51.6%	71.5%	49.7%	10.3%	-9.8%	-8.81B	357.57B	-1.89B	2.62	28.10	226,979	593,865	5,215,605	8,025,699
2008-10-03	$1105.73	$1230.00	43.7%	13.1%	51.6%	50.3%	46.9%	9.8%	-6.6%	-9.65B	395.15B	-1.79B	1.72	33.85	327,338	564,392	5,281,085	8,185,902
2008-10-06	$1049.39	$1220.00	73.7%	12.6%	53.1%	98.2%	45.3%	12.3%	-4.8%	-9.41B	472.67B	-1.56B	2.75	36.56	557,526	1,533,954	5,420,151	8,319,194
2008-10-07	$1002.29	$1200.00	73.4%	13.6%	54.2%	97.7%	44.5%	12.4%	-5.4%	-8.99B	527.90B	-1.40B	1.35	40.46	499,812	672,343	5,672,527	8,728,859
2008-10-08	$977.05	$1200.00	68.0%	14.7%	54.1%	89.1%	52.1%	13.5%	-6.3%	-8.04B	537.51B	-1.35B	2.23	43.91	460,210	1,028,306	5,899,645	8,781,931
2008-10-09	$909.92	$1200.00	75.8%	16.4%	57.2%	100.0%	56.2%	14.5%	-7.2%	-6.55B	576.44B	-1.13B	2.00	44.17	408,377	815,937	6,049,078	8,942,478
2008-10-10	$886.42	$1195.00	86.3%	18.6%	56.7%	100.0%	64.3%	14.3%	-9.7%	-5.85B	568.90B	-1.17B	1.78	51.99	620,406	1,104,231	6,306,310	9,133,320
2008-10-13	$1013.20	$1175.00	64.9%	13.7%	76.6%	71.1%	49.1%	11.4%	-4.8%	-7.80B	477.76B	-1.57B	0.96	60.04	719,803	687,980	6,627,698	9,486,488
2008-10-14	$999.41	$1150.00	68.8%	13.8%	76.1%	76.4%	47.1%	13.1%	-3.7%	-6.81B	480.98B	-1.56B	0.94	46.30	711,886	670,608	6,962,215	9,629,736
2008-10-15	$901.49	$1150.00	79.5%	16.7%	82.2%	90.7%	56.5%	17.8%	-6.3%	-5.79B	579.78B	-1.23B	1.50	45.45	642,369	961,991	7,246,378	9,731,242
2008-10-16	$937.67	$1150.00	57.8%	16.6%	82.7%	61.4%	59.7%	18.6%	-7.0%	-5.81B	551.31B	-1.42B	1.34	45.85	786,836	1,056,866	7,567,131	10,019,698
2008-10-17	$933.52	$1120.00	58.9%	16.9%	80.8%	63.0%	58.1%	18.7%	-5.8%	-4.21B	408.80B	-1.48B	1.10	43.14	472,918	521,426	5,846,403	8,104,208
2008-10-20	$988.06	$1100.00	45.4%	13.0%	84.4%	44.7%	45.5%	14.4%	-2.3%	-4.43B	363.97B	-1.56B	1.29	45.81	286,569	370,832	6,099,872	8,248,535
2008-10-21	$958.77	$1100.00	46.6%	13.4%	84.6%	46.3%	47.5%	15.4%	-3.7%	-4.33B	398.03B	-1.45B	1.19	42.64	284,052	338,916	6,225,876	8,340,661
2008-10-22	$896.78	$1100.00	61.3%	17.6%	86.6%	66.2%	64.6%	19.0%	-7.8%	-3.88B	432.94B	-1.37B	2.16	38.11	364,126	787,860	6,339,650	8,479,245
2008-10-23	$908.11	$1075.00	59.7%	17.1%	86.6%	64.0%	62.1%	20.3%	-6.6%	-3.94B	425.36B	-1.43B	2.20	38.51	325,473	716,012	6,517,358	8,946,163
2008-10-24	$869.01	$1075.00	71.2%	20.4%	87.0%	79.5%	74.9%	23.2%	-10.8%	-3.75B	456.33B	-1.39B	2.12	42.81	197,163	417,744	6,694,052	9,250,894
2008-10-27	$835.75	$1075.00	72.7%	20.8%	83.8%	81.5%	71.6%	24.1%	-9.1%	-3.70B	477.96B	-1.26B	1.77	34.18	229,472	407,037	6,761,618	9,372,920
2008-10-28	$939.88	$1050.00	58.8%	16.8%	94.0%	62.8%	61.4%	20.3%	-5.9%	-3.86B	398.15B	-1.62B	1.77	34.04	328,145	579,537	6,884,828	9,564,734
2008-10-29	$930.09	$1050.00	63.0%	18.1%	94.0%	68.6%	64.1%	20.6%	-7.1%	-3.81B	403.65B	-1.65B	1.39	33.19	313,666	436,810	7,032,489	9,814,906
2008-10-30	$954.09	$1050.00	56.6%	16.2%	94.4%	59.8%	57.8%	18.4%	-4.6%	-3.74B	363.52B	-1.76B	1.35	30.57	278,983	375,954	7,083,746	9,898,299
2008-10-31	$967.04	$1050.00	52.4%	15.0%	94.7%	54.2%	57.2%	16.7%	-1.8%	-3.64B	358.02B	-1.78B	2.35	30.08	188,100	442,952	7,154,021	9,941,101