SPX Options History — February 2009

In February 2009, SPX traded between $734.92 and $869.13. ATM implied volatility averaged 40.8%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.9% (HV 20d: 36.9%). Max pain ranged from $780.00 to $900.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.23.

Notable Days

  • 2009-02-18: Highest Volume — 1,120,808 contracts
  • 2009-02-06: Largest IV spike — 24.4% change
  • 2009-02-10: Highest IV Rank — 46.9%
  • 2009-02-23: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$803.91$734.92$869.13$823.54$734.92
Max Pain$865.79$780.00$900.00$850.00$780.00
ATM IV40.8%31.1%47.7%44.8%42.7%
Expected Move11.4%10.4%13.6%11.1%12.3%
HV 20d36.9%33.2%41.1%35.8%33.2%
HV 60d46.6%35.7%53.5%53.5%35.7%
IV Rank37.4%24.1%46.9%42.9%40.0%
IV Percentile72.6%62.3%79.4%77.4%74.6%
Term Structure-0.3%-2.0%2.3%-0.4%-1.9%
VWIV42.7%37.1%60.7%39.2%39.6%
Skew 25d10.5%9.2%11.6%10.4%10.2%
Skew 10d20.9%18.5%23.6%20.1%19.4%
Call IV 25d34.9%31.2%41.9%34.5%36.9%
Put IV 25d45.4%41.0%53.5%44.9%47.2%
Bid-Ask Spread %33.5114.7348.7725.3529.77
Gamma HHI0.070.040.080.060.08
Net GEX-2.26B-3.76B-640.5M-2.09B-2.76B
Net DEX209.39B126.39B266.33B192.93B266.33B
Net VEX-997.5M-1.18B-827.2M-1.05B-827.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.801.810.881.41
Total Volume601,749.474314,3761,120,808411,087646,642
Total OI11,810,21811,008,19812,967,81411,128,13711,997,279

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$823.54$850.0044.8%11.1%35.8%42.9%39.2%10.4%-0.4%-2.09B192.93B-1.05B0.8825.35218,956192,1314,631,3286,496,809
2009-02-03$834.89$850.0040.5%10.4%36.4%37.0%38.5%9.9%0.4%-1.90B181.37B-1.08B1.0623.88215,827228,4144,681,7796,569,469
2009-02-04$832.19$850.0038.2%10.4%36.3%33.8%37.3%9.7%1.5%-1.98B183.37B-1.07B0.9930.71157,843156,5334,739,7946,660,210
2009-02-05$843.28$850.0031.1%10.4%35.9%24.1%37.2%9.2%1.2%-1.61B168.16B-1.11B1.1625.32195,765227,6544,810,7976,686,753
2009-02-06$869.13$900.0038.7%10.8%37.8%34.5%38.5%10.3%-0.2%-737.8M126.39B-1.18B0.8840.87329,883289,5684,865,3476,723,242
2009-02-09$866.90$900.0042.9%10.8%36.9%40.3%40.0%10.3%-0.6%-640.5M127.91B-1.16B1.3541.51172,106233,0194,981,4056,812,991
2009-02-10$828.15$900.0047.7%11.6%39.8%46.9%40.8%11.0%-1.2%-1.95B186.70B-1.09B0.8044.21470,649378,3505,024,1336,880,472
2009-02-11$833.74$900.0036.7%10.9%39.9%31.7%38.8%10.6%-0.6%-1.69B183.77B-1.08B0.9645.08196,968189,0265,172,3466,943,176
2009-02-12$837.80$900.0036.2%10.4%38.2%31.1%38.3%10.8%0.2%-1.47B178.73B-1.08B0.9048.29308,735276,8605,209,5176,997,398
2009-02-13$820.82$900.0037.3%10.7%38.9%32.5%37.1%10.3%2.3%-2.32B203.53B-1.04B1.4032.46195,134273,7125,183,6017,054,935
2009-02-17$787.15$900.0042.9%12.3%41.1%40.3%42.7%11.6%0.0%-3.42B248.12B-932.1M1.5546.57322,459499,5515,214,7587,142,602
2009-02-18$780.37$900.0041.9%12.0%37.3%38.9%43.6%10.8%0.3%-3.67B257.27B-905.9M1.5645.75438,206682,6025,316,0657,271,458
2009-02-19$780.24$885.0041.0%11.8%34.5%37.7%42.0%11.4%0.6%-3.76B261.29B-910.5M1.5048.77425,685636,9985,505,8507,461,964
2009-02-20$770.18$875.0042.9%12.3%34.4%40.3%43.4%11.1%-0.9%-2.57B233.50B-915.8M1.1923.64308,011366,5164,585,4096,422,789
2009-02-23$745.94$875.0046.7%13.6%35.8%45.5%50.2%11.6%-1.6%-2.57B249.70B-859.9M1.8116.52275,325499,5554,692,6446,512,217
2009-02-24$769.76$875.0040.9%11.9%37.8%37.6%42.8%10.4%-1.0%-2.49B234.10B-905.3M1.6914.73167,633282,5894,824,4946,735,381
2009-02-25$762.42$780.0041.7%12.1%37.5%38.6%60.7%10.2%-2.0%-2.56B242.99B-884.9M1.2627.01251,256316,1164,892,3016,801,961
2009-02-26$752.83$780.0040.6%11.7%34.1%37.2%59.7%9.7%-1.1%-2.69B252.23B-874.1M1.0426.19199,021207,9424,992,7136,898,755
2009-02-27$734.92$780.0042.7%12.3%33.2%40.0%39.6%10.2%-1.9%-2.76B266.33B-827.2M1.4129.77267,863378,7795,075,4426,921,837