SPX Options History — November 2008

In November 2008, SPX traded between $751.27 and $1003.67. ATM implied volatility averaged 58.5%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 22.0% (HV 20d: 80.5%). Max pain ranged from $850.00 to $1150.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2008-11-19: Highest Volume — 1,604,966 contracts
  • 2008-11-13: Largest IV drop — 19.1% change
  • 2008-11-20: Highest IV Rank — 81.7%
  • 2008-11-20: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$883.02$751.27$1003.67$969.61$895.35
Max Pain$1078.95$850.00$1150.00$1050.00$850.00
ATM IV58.5%49.7%73.0%50.1%50.9%
Expected Move16.0%12.0%20.9%13.5%14.6%
HV 20d80.5%70.9%93.7%93.1%71.9%
HV 60d67.6%62.1%73.6%62.1%73.5%
IV Rank61.9%49.9%81.7%50.4%51.6%
IV Percentile92.3%84.5%97.6%91.3%85.3%
Term Structure-0.8%-6.0%3.8%-0.7%-1.4%
VWIV57.2%45.5%70.2%48.6%50.7%
Skew 25d15.9%13.0%18.2%15.3%14.4%
Skew 10d30.0%25.6%34.8%30.1%27.1%
Call IV 25d47.9%36.0%63.9%40.1%44.6%
Put IV 25d63.8%49.0%82.1%55.3%59.0%
Bid-Ask Spread %42.8313.5152.1637.1413.51
Gamma HHI0.060.050.070.050.06
Net GEX-3.61B-4.41B-2.26B-3.74B-2.26B
Net DEX437.92B310.68B579.34B362.67B348.86B
Net VEX-1.42B-1.72B-1.03B-1.68B-1.46B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.701.971.431.17
Total Volume760,953.316214,9841,604,966492,899214,984
Total OI17,950,47416,321,34820,294,37617,245,72017,387,164

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$969.61$1050.0050.1%13.5%93.1%50.4%48.6%15.3%-0.7%-3.74B362.67B-1.68B1.4337.14202,692290,2077,215,57110,030,149
2008-11-04$1003.67$1050.0050.8%12.0%92.7%51.4%45.5%13.0%-1.4%-3.22B310.68B-1.72B1.4641.89353,647515,2227,291,49410,048,977
2008-11-05$959.82$1050.0055.3%13.5%93.7%57.5%49.0%13.9%-1.6%-3.70B381.84B-1.64B1.0946.47295,490322,1917,387,12210,183,422
2008-11-06$904.88$1050.0058.4%16.9%92.5%61.7%59.7%14.7%-5.0%-3.95B441.92B-1.52B1.9737.09291,593573,0357,437,75810,177,101
2008-11-07$937.43$1150.0054.5%13.7%92.8%56.5%48.9%16.9%2.4%-3.86B411.03B-1.58B1.6645.87150,555249,6987,514,72910,310,547
2008-11-10$921.97$1150.0059.9%14.6%79.0%63.8%50.5%17.7%0.9%-3.99B431.55B-1.50B1.2147.24188,997227,7817,562,19810,301,491
2008-11-11$894.19$1150.0062.4%15.3%79.5%67.2%55.9%16.9%-1.4%-4.30B466.92B-1.40B1.6546.79173,420286,9887,600,40910,375,513
2008-11-12$852.30$1150.0063.3%16.7%72.6%68.5%58.1%18.1%-6.0%-4.41B503.56B-1.28B1.3443.69379,707510,5297,650,05910,425,742
2008-11-13$911.29$1150.0051.2%14.7%75.4%51.9%53.8%16.1%-0.2%-4.04B448.19B-1.46B1.3148.24391,471514,0897,794,27310,607,618
2008-11-14$861.61$1150.0059.3%17.0%77.8%62.9%57.0%17.3%-1.6%-4.19B490.53B-1.37B1.4648.26282,541412,8617,920,63410,670,307
2008-11-17$851.56$1140.0063.0%18.1%74.5%68.0%61.5%17.3%-2.9%-4.26B500.61B-1.33B1.3742.93287,202392,8728,023,08810,774,622
2008-11-18$867.02$1135.0060.7%17.4%74.5%64.9%61.0%15.8%-0.0%-4.30B488.62B-1.39B1.0841.34518,687559,2738,132,50810,875,849
2008-11-19$813.17$1120.0066.8%19.2%74.2%73.3%66.6%17.3%-0.0%-4.31B534.00B-1.25B1.8541.92562,9541,042,0128,390,81911,043,130
2008-11-20$751.27$1100.0073.0%20.9%78.4%81.7%70.2%18.2%-1.2%-4.03B579.34B-1.03B1.7552.16508,628889,9628,713,78211,580,594
2008-11-21$792.12$1100.0066.1%19.0%80.2%72.4%66.1%15.7%-0.1%-2.70B448.28B-1.15B1.2948.40514,565664,3976,970,5519,350,797
2008-11-24$848.30$1055.0058.9%16.6%83.1%62.4%59.4%15.3%2.0%-2.59B405.87B-1.34B0.9441.14353,738331,0577,248,7009,627,653
2008-11-25$854.53$1050.0056.6%15.6%70.9%59.3%54.8%14.0%3.8%-2.44B402.78B-1.35B0.7037.68265,653185,9357,424,9239,767,252
2008-11-26$887.29$850.0049.7%14.2%72.5%49.9%68.9%14.1%-0.3%-2.29B363.13B-1.44B1.1652.09256,259297,2217,450,2019,792,259
2008-11-28$895.35$850.0050.9%14.6%71.9%51.6%50.7%14.4%-1.4%-2.26B348.86B-1.46B1.1713.5198,862116,1227,516,2799,870,885