SPX Options History — April 2009 In April 2009, SPX traded between $813.22 and $872.81. ATM implied volatility averaged 33.2%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 3.4% (HV 20d: 36.6%). Max pain ranged from $750.00 to $800.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.61.
Notable Days 2009-04-09 : Highest Volume — 1,014,763 contracts2009-04-03 : Largest IV spike — 43.3% change2009-04-06 : Highest IV Rank — 34.8%2009-04-07 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $848.99 $813.22 $872.81 $813.22 $872.81 Max Pain $792.86 $750.00 $800.00 $750.00 $800.00 ATM IV 33.2% 23.3% 39.0% 36.7% 23.3% Expected Move 9.8% 8.6% 10.7% 10.4% 8.9% HV 20d 36.6% 29.5% 44.0% 44.0% 29.6% HV 60d 39.4% 38.0% 40.7% 39.9% 38.0% IV Rank 26.9% 13.4% 34.8% 31.7% 13.4% IV Percentile 48.3% 32.9% 61.9% 54.4% 32.9% Term Structure 1.1% 0.2% 2.5% 1.6% 1.6% VWIV 36.3% 31.3% 40.5% 38.7% 33.5% Skew 25d 6.1% 4.9% 7.7% 6.1% 5.8% Skew 10d 12.2% 10.4% 13.9% 11.8% 11.0% Call IV 25d 31.6% 28.2% 35.4% 34.5% 28.9% Put IV 25d 37.7% 33.1% 41.4% 40.6% 34.7% Bid-Ask Spread % 28.32 10.00 41.74 32.61 10.00 Gamma HHI 0.05 0.04 0.05 0.04 0.05 Net GEX 924.0M 11.3M 2.66B 55.6M 1.39B Net DEX 16.76B -33.49B 57.99B 57.99B -1.78B Net VEX -1.25B -1.31B -1.17B -1.17B -1.29B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.61 0.91 2.21 1.65 1.89 Total Volume 607,241.476 318,037 1,014,763 628,569 619,846 Total OI 11,753,473.333 10,695,236 13,062,461 10,695,236 12,372,275
Daily Data (21 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 2009-04-01 $813.22 $750.00 36.7% 10.4% 44.0% 31.7% 38.7% 6.1% 1.6% 55.6M 57.99B -1.17B 1.65 32.61 237,624 390,945 4,523,535 6,171,701 2009-04-02 $840.17 $750.00 23.6% 10.7% 42.7% 13.8% 39.1% 5.0% 1.6% 689.1M 22.26B -1.21B 1.22 30.68 343,947 420,938 4,616,910 6,256,766 2009-04-03 $843.70 $775.00 33.9% 10.6% 42.6% 27.9% 38.4% 7.1% 0.7% 922.8M 14.18B -1.23B 1.56 35.40 188,112 293,683 4,729,627 6,368,448 2009-04-06 $834.49 $775.00 39.0% 10.7% 42.0% 34.8% 38.4% 7.7% 0.7% 815.5M 25.49B -1.21B 1.45 37.52 252,920 367,833 4,809,034 6,509,640 2009-04-07 $817.27 $800.00 35.4% 10.7% 39.5% 29.9% 40.5% 7.0% 1.1% 323.9M 47.90B -1.22B 1.58 35.75 226,718 358,842 4,936,821 6,677,624 2009-04-08 $826.96 $800.00 30.3% 10.2% 39.6% 22.9% 38.8% 6.7% 1.4% 754.7M 34.24B -1.22B 1.51 32.65 190,956 289,292 5,021,235 6,823,051 2009-04-09 $855.92 $800.00 34.3% 9.8% 38.7% 28.5% 36.0% 5.5% 1.4% 1.79B -12.00B -1.24B 1.82 35.74 360,090 654,673 5,063,614 6,894,144 2009-04-13 $857.15 $800.00 35.0% 10.0% 38.8% 29.4% 37.9% 5.0% 0.9% 1.85B -14.23B -1.23B 1.89 40.92 232,095 438,187 5,140,486 7,114,795 2009-04-14 $843.67 $800.00 34.7% 10.0% 39.5% 29.0% 36.1% 5.7% 1.2% 1.34B 4.89B -1.22B 1.49 41.74 301,182 447,932 5,172,670 7,255,091 2009-04-15 $852.72 $800.00 33.3% 9.6% 38.6% 27.1% 35.6% 5.0% 1.6% 1.67B -11.39B -1.23B 1.64 38.32 353,780 580,442 5,249,184 7,419,636 2009-04-16 $865.28 $800.00 32.1% 9.2% 38.3% 25.5% 34.5% 5.5% 1.4% 2.66B -33.49B -1.23B 0.92 33.69 503,810 464,555 5,354,289 7,708,172 2009-04-17 $870.21 $800.00 30.1% 8.6% 37.7% 22.7% 31.3% 4.9% 2.5% 740.5M 8.89B -1.23B 1.62 32.67 237,255 384,882 4,422,736 6,401,109 2009-04-20 $836.50 $800.00 35.3% 10.1% 39.8% 29.8% 37.8% 6.4% 0.6% 11.3M 51.07B -1.25B 1.92 18.65 197,440 378,755 4,570,953 6,591,184 2009-04-21 $850.99 $800.00 33.1% 9.5% 31.9% 26.8% 35.9% 6.2% 1.1% 478.5M 30.30B -1.26B 1.70 16.81 204,662 347,627 4,692,204 6,682,028 2009-04-22 $839.56 $800.00 34.2% 9.8% 31.5% 28.3% 34.7% 6.8% 0.7% 233.6M 45.92B -1.26B 1.76 18.78 170,501 300,067 4,741,705 6,793,148 2009-04-23 $851.92 $800.00 33.4% 9.6% 31.9% 27.2% 36.4% 6.6% 0.8% 515.3M 29.51B -1.29B 1.86 21.09 127,365 237,510 4,813,834 6,918,293 2009-04-24 $869.74 $800.00 31.3% 9.4% 31.4% 24.3% 33.9% 6.3% 1.0% 941.9M 4.40B -1.31B 1.56 19.36 173,594 270,068 4,841,091 6,926,106 2009-04-27 $859.87 $800.00 38.6% 9.8% 31.0% 34.4% 36.3% 6.7% 0.2% 692.8M 18.35B -1.30B 2.21 21.61 128,364 283,803 4,922,445 7,026,107 2009-04-28 $854.60 $800.00 36.6% 9.6% 29.5% 31.6% 35.5% 6.7% 0.6% 443.9M 28.00B -1.29B 1.57 20.61 123,772 194,265 4,958,503 7,141,503 2009-04-29 $872.12 $800.00 32.1% 9.2% 30.0% 25.4% 33.3% 5.5% 0.5% 1.09B 1.50B -1.28B 0.91 20.12 247,548 226,191 4,993,065 7,198,178 2009-04-30 $872.81 $800.00 23.3% 8.9% 29.6% 13.4% 33.5% 5.8% 1.6% 1.39B -1.78B -1.29B 1.89 10.00 214,240 405,606 5,094,495 7,277,780
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