SPX Options History — December 2008

In December 2008, SPX traded between $816.59 and $913.90. ATM implied volatility averaged 46.7%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 17.9% (HV 20d: 64.6%). Max pain ranged from $850.00 to $925.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.32.

Notable Days

2008-12-16: Highest Volume — 1,019,494 contracts
2008-12-31: Largest IV drop — 49.4% change
2008-12-01: Highest IV Rank — 68.7%
2008-12-01: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$877.63	$816.59	$913.90	$816.59	$896.07
Max Pain	$885.23	$850.00	$925.00	$850.00	$900.00
ATM IV	46.7%	19.0%	63.5%	63.5%	19.0%
Expected Move	13.6%	9.9%	18.2%	18.2%	9.9%
HV 20d	64.6%	32.9%	79.8%	78.1%	32.9%
HV 60d	75.1%	72.3%	76.9%	75.6%	72.3%
IV Rank	45.7%	7.8%	68.7%	68.7%	7.8%
IV Percentile	78.8%	20.6%	94.4%	94.4%	20.6%
Term Structure	-0.2%	-3.6%	2.2%	-3.2%	2.2%
VWIV	50.2%	36.3%	78.3%	72.5%	36.3%
Skew 25d	11.2%	7.6%	15.6%	15.6%	7.6%
Skew 10d	21.3%	15.1%	29.6%	29.6%	15.4%
Call IV 25d	42.1%	31.3%	56.5%	56.5%	31.3%
Put IV 25d	53.3%	38.9%	72.1%	72.1%	38.9%
Bid-Ask Spread %	36.34	27.22	54.63	45.14	34.70
Gamma HHI	0.05	0.04	0.06	0.06	0.05
Net GEX	-1.88B	-2.51B	-1.41B	-2.51B	-1.45B
Net DEX	286.15B	133.52B	432.27B	432.27B	133.52B
Net VEX	-1.26B	-1.44B	-1.11B	-1.22B	-1.11B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.95	1.72	1.25	1.68
Total Volume	527,818.227	77,653	1,019,494	492,592	387,715
Total OI	15,365,333.273	9,264,208	20,154,392	17,390,263	10,170,645

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
2008-12-01	$816.59	$850.00	63.5%	18.2%	78.1%	68.7%	72.5%	15.6%	-3.2%	-2.51B	432.27B	-1.22B	1.25	45.14	218,492	274,100	7,517,960	9,872,303
2008-12-02	$848.81	$850.00	59.7%	17.1%	79.8%	63.5%	62.1%	15.4%	-3.6%	-2.36B	403.08B	-1.32B	1.56	50.83	174,626	272,982	7,602,461	9,959,206
2008-12-03	$869.01	$850.00	57.0%	16.3%	79.2%	59.9%	57.4%	13.7%	-2.7%	-2.22B	379.81B	-1.37B	1.45	48.02	164,447	238,024	7,673,948	10,012,777
2008-12-04	$845.22	$850.00	59.9%	17.2%	78.3%	63.8%	78.3%	14.5%	-2.6%	-2.22B	402.04B	-1.31B	0.97	54.63	274,526	267,602	7,718,687	10,047,831
2008-12-05	$871.80	$850.00	55.6%	15.9%	76.8%	58.0%	56.9%	13.4%	-1.6%	-2.01B	373.11B	-1.39B	1.72	39.67	182,344	314,178	7,827,827	10,127,378
2008-12-08	$904.87	$850.00	53.7%	15.4%	76.9%	55.3%	60.0%	12.4%	-1.9%	-1.90B	324.01B	-1.44B	1.00	42.19	305,957	306,255	7,878,000	10,235,383
2008-12-09	$890.19	$850.00	55.6%	15.0%	76.9%	57.9%	52.2%	12.8%	0.3%	-1.81B	348.05B	-1.40B	1.32	43.97	229,121	301,594	7,985,102	10,286,210
2008-12-10	$895.66	$925.00	47.0%	14.3%	76.2%	46.2%	52.6%	13.0%	-0.1%	-1.84B	341.77B	-1.38B	1.17	32.53	306,852	357,848	8,039,797	10,379,412
2008-12-11	$873.59	$900.00	49.7%	14.3%	74.7%	49.9%	52.6%	12.2%	0.3%	-1.91B	378.47B	-1.32B	1.35	32.92	294,896	398,755	8,200,443	10,520,477
2008-12-12	$885.74	$900.00	48.6%	13.9%	70.8%	48.3%	50.3%	11.7%	0.4%	-1.80B	361.97B	-1.35B	1.30	32.72	359,584	466,569	8,330,101	10,624,831
2008-12-15	$872.90	$900.00	50.8%	14.6%	68.0%	51.4%	49.9%	12.1%	-0.7%	-2.04B	387.22B	-1.31B	1.18	27.22	288,468	341,595	8,447,920	10,831,624
2008-12-16	$913.90	$900.00	46.5%	13.3%	69.7%	45.5%	48.2%	11.2%	-0.1%	-1.47B	300.86B	-1.34B	1.15	28.90	474,710	544,784	8,531,777	10,888,596
2008-12-17	$903.90	$900.00	44.9%	12.9%	69.6%	43.3%	47.8%	10.4%	1.3%	-1.53B	322.03B	-1.32B	1.16	30.91	429,593	497,816	8,701,456	11,095,578
2008-12-18	$895.00	$900.00	42.0%	12.0%	65.3%	39.3%	44.4%	9.4%	1.1%	-1.41B	340.42B	-1.26B	1.01	36.38	393,172	398,334	8,860,019	11,294,373
2008-12-19	$884.01	$900.00	39.5%	11.3%	57.8%	35.9%	40.3%	9.5%	1.3%	-1.70B	141.88B	-1.16B	0.95	29.76	289,347	273,733	3,698,614	5,565,594
2008-12-22	$874.06	$900.00	39.6%	11.4%	55.6%	36.0%	42.4%	8.6%	0.4%	-1.91B	153.28B	-1.14B	1.56	29.96	152,599	238,750	3,830,380	5,705,813
2008-12-23	$861.85	$900.00	41.3%	11.8%	50.6%	38.4%	41.5%	8.6%	-0.0%	-2.04B	165.10B	-1.12B	1.32	29.12	164,717	216,683	3,892,359	5,806,441
2008-12-24	$867.58	$900.00	39.9%	11.4%	50.6%	36.4%	41.9%	9.1%	0.5%	-1.93B	159.33B	-1.14B	1.72	30.29	28,599	49,054	3,990,559	5,892,154
2008-12-26	$873.01	$900.00	35.2%	11.1%	48.8%	30.0%	40.1%	8.7%	0.7%	-1.94B	155.88B	-1.13B	1.56	36.02	42,836	66,822	4,001,606	5,907,467
2008-12-29	$873.42	$900.00	40.3%	11.0%	48.6%	36.9%	39.8%	9.1%	1.5%	-1.89B	155.24B	-1.11B	1.30	36.02	155,337	202,120	4,025,491	5,937,589
2008-12-30	$890.64	$900.00	37.5%	10.4%	35.3%	33.1%	37.5%	8.1%	1.3%	-1.54B	135.88B	-1.12B	1.34	27.66	113,975	152,490	4,078,149	6,042,994
2008-12-31	$896.07	$900.00	19.0%	9.9%	32.9%	7.8%	36.3%	7.6%	2.2%	-1.45B	133.52B	-1.11B	1.68	34.70	144,820	242,895	4,091,477	6,079,168