SPX Options History — January 2009

In January 2009, SPX traded between $810.57 and $932.85. ATM implied volatility averaged 38.2%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 6.1% (HV 20d: 32.0%). Max pain ranged from $850.00 to $900.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2009-01-15: Highest Volume — 1,096,405 contracts
  • 2009-01-20: Largest IV spike — 24.5% change
  • 2009-01-20: Highest IV Rank — 47.9%
  • 2009-01-20: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$866.37$810.57$932.85$927.81$843.45
Max Pain$883.50$850.00$900.00$900.00$860.00
ATM IV38.2%33.2%48.4%33.5%37.2%
Expected Move11.0%9.3%13.9%9.3%10.7%
HV 20d32.0%25.5%38.0%34.1%37.9%
HV 60d61.1%53.2%72.2%72.2%53.9%
IV Rank33.8%26.9%47.9%27.7%32.4%
IV Percentile73.2%65.5%79.8%72.6%69.8%
Term Structure1.5%0.3%2.7%1.2%1.1%
VWIV39.8%34.2%50.8%37.1%38.7%
Skew 25d11.4%6.7%14.4%6.7%9.9%
Skew 10d23.3%14.3%29.7%14.3%20.0%
Call IV 25d33.2%29.0%41.8%29.9%33.0%
Put IV 25d44.6%36.7%56.2%36.7%42.9%
Bid-Ask Spread %28.7820.6237.0131.7823.58
Gamma HHI0.060.040.070.040.06
Net GEX-1.67B-3.05B-556.7M-827.8M-1.59B
Net DEX153.66B86.03B211.21B92.85B165.09B
Net VEX-1.12B-1.17B-1.06B-1.15B-1.11B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.361.021.781.621.44
Total Volume587,387312,4681,096,405458,735578,807
Total OI10,605,138.459,256,63112,049,05410,173,87310,877,985

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$927.81$900.0033.5%9.3%34.1%27.7%37.1%6.7%1.2%-827.8M92.85B-1.15B1.6231.78175,174283,5614,091,3156,082,558
2009-01-05$929.73$900.0036.7%9.8%32.0%31.8%37.3%9.8%0.8%-701.5M90.13B-1.14B1.3930.52202,991281,3354,157,1036,177,002
2009-01-06$932.85$900.0037.1%9.7%30.5%32.3%35.0%9.8%0.7%-556.7M86.03B-1.17B1.0829.74261,664283,5134,258,4266,333,952
2009-01-07$907.42$900.0037.9%10.9%29.6%33.4%38.2%11.3%0.3%-1.35B118.89B-1.16B1.4828.25199,801295,7044,330,8736,410,489
2009-01-08$909.73$900.0034.5%10.6%29.0%28.7%39.2%11.2%1.1%-1.15B114.52B-1.17B1.7829.22191,086340,7514,421,2146,492,727
2009-01-09$888.02$900.0033.8%10.7%30.3%27.7%38.0%11.1%1.0%-1.91B146.18B-1.15B1.5134.61275,802417,1124,485,2526,609,223
2009-01-12$872.16$900.0040.5%11.8%29.6%37.0%42.1%12.8%0.8%-2.36B169.15B-1.12B1.3632.49307,215417,9034,599,0706,773,691
2009-01-13$872.28$900.0038.2%11.3%29.2%33.8%38.7%11.8%1.5%-2.19B168.05B-1.13B1.1737.01320,335375,7354,697,1666,831,204
2009-01-14$843.64$900.0040.4%12.2%31.0%36.8%42.6%12.9%1.4%-3.05B209.41B-1.09B1.1335.35471,682532,8664,777,4306,920,746
2009-01-15$843.77$900.0042.2%12.1%25.5%39.3%43.9%14.1%1.7%-2.54B211.21B-1.11B1.2836.54481,521614,8844,978,9757,070,079
2009-01-16$853.00$880.0038.9%11.1%25.9%34.7%43.3%12.2%2.7%-1.73B156.33B-1.13B1.6030.07214,429343,0983,827,3945,429,237
2009-01-20$810.57$875.0048.4%13.9%31.0%47.9%50.8%14.4%0.3%-1.92B186.40B-1.06B1.2526.00276,539345,9943,914,7375,578,402
2009-01-21$840.24$875.0039.8%11.4%34.0%35.9%41.8%12.6%2.6%-1.81B166.59B-1.10B1.2223.66299,442365,7594,023,4705,703,665
2009-01-22$827.50$875.0040.3%11.6%34.2%36.7%40.3%13.1%2.5%-1.83B177.44B-1.09B1.4727.84189,255277,4404,150,3135,859,624
2009-01-23$826.89$870.0040.1%11.5%33.9%36.4%41.1%13.0%2.2%-1.89B180.54B-1.10B1.2624.62183,145230,3954,219,5985,987,067
2009-01-26$834.49$870.0038.5%11.0%34.0%34.2%39.9%11.8%2.1%-1.76B174.59B-1.10B1.2720.62137,737174,7314,300,3846,037,723
2009-01-27$843.60$850.0035.6%10.2%34.2%30.2%36.3%10.5%2.1%-1.57B165.38B-1.10B1.2428.41157,171194,5024,344,0466,080,340
2009-01-28$875.03$855.0033.2%9.5%36.8%26.9%34.2%9.3%2.0%-1.01B128.86B-1.16B1.0221.74320,500326,9634,389,2556,147,361
2009-01-29$845.14$860.0036.3%10.4%38.0%31.2%37.4%9.6%1.5%-1.63B165.61B-1.11B1.5923.58155,092246,1064,476,8396,256,834
2009-01-30$843.45$860.0037.2%10.7%37.9%32.4%38.7%9.9%1.1%-1.59B165.09B-1.11B1.4423.58236,942341,8654,545,0786,332,907