SPX Options History — May 2009

In May 2009, SPX traded between $879.06 and $926.55. ATM implied volatility averaged 28.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.1% (HV 20d: 26.3%). Max pain ranged from $800.00 to $900.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2009-05-14: Highest Volume — 1,185,642 contracts
  • 2009-05-12: Largest IV drop — 14.6% change
  • 2009-05-04: Highest IV Rank — 28.5%
  • 2009-05-04: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$902.73$879.06$926.55$879.06$918.65
Max Pain$852.75$800.00$900.00$800.00$900.00
ATM IV28.3%24.9%34.4%30.7%24.9%
Expected Move8.1%7.1%8.9%8.7%7.1%
HV 20d26.3%23.3%29.3%27.5%25.3%
HV 60d36.1%33.5%38.4%38.0%33.5%
IV Rank19.0%12.7%28.5%23.5%12.7%
IV Percentile36.2%28.6%48.0%40.9%28.6%
Term Structure0.7%-0.8%1.7%1.7%0.7%
VWIV29.7%23.6%33.7%32.3%23.6%
Skew 25d6.3%4.9%7.6%5.6%7.0%
Skew 10d13.0%9.8%16.0%11.0%15.6%
Call IV 25d25.7%22.4%28.0%28.0%22.4%
Put IV 25d32.0%28.6%35.0%33.6%29.4%
Bid-Ask Spread %24.4416.7358.1921.5058.19
Gamma HHI0.050.040.060.050.05
Net GEX1.10B-418.5M2.79B1.53B1.39B
Net DEX-29.81B-94.67B24.23B-11.68B-46.93B
Net VEX-1.27B-1.30B-1.22B-1.30B-1.23B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.942.072.071.61
Total Volume603,989.25361,3211,185,642470,735361,321
Total OI12,910,747.311,533,49114,321,56112,523,23913,059,144

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$879.06$800.0030.7%8.7%27.5%23.5%32.3%5.6%1.7%1.53B-11.68B-1.30B2.0721.50153,406317,3295,150,7127,372,527
2009-05-04$906.03$835.0034.4%8.9%29.3%28.5%33.7%7.4%0.6%2.46B-56.91B-1.28B1.6520.11217,728360,2985,212,5457,521,675
2009-05-05$906.38$840.0032.4%8.7%28.8%25.9%32.2%7.0%0.7%2.40B-59.20B-1.28B1.2121.60230,583280,1345,291,4337,655,501
2009-05-06$920.01$840.0028.3%8.4%27.5%20.2%30.8%6.6%0.1%2.79B-82.68B-1.25B1.4221.65243,962345,8205,309,7507,711,941
2009-05-07$910.34$845.0029.3%8.7%28.0%21.2%31.8%6.7%0.9%2.41B-66.49B-1.27B1.6422.95275,254451,7055,383,1887,818,166
2009-05-08$926.55$845.0027.4%8.4%26.2%18.6%30.4%6.3%0.5%2.78B-94.67B-1.27B1.9718.81231,903457,6295,462,5157,979,319
2009-05-11$911.52$850.0030.6%8.6%27.2%23.1%30.6%6.3%1.0%2.10B-67.25B-1.27B1.4917.76277,168414,3375,526,2908,189,772
2009-05-12$909.17$850.0026.2%8.3%26.3%16.9%30.7%6.0%1.0%1.83B-62.45B-1.26B1.6123.17270,971434,9395,580,7888,348,327
2009-05-13$887.35$850.0028.5%8.7%28.0%20.1%30.9%6.2%0.9%275.8M-15.65B-1.27B1.5119.87360,228543,6315,596,0638,480,420
2009-05-14$891.66$850.0028.4%8.2%27.6%20.0%29.7%5.5%0.0%560.6M-23.99B-1.26B1.4825.45478,950706,6925,675,4818,646,080
2009-05-15$884.03$850.0029.1%8.4%27.8%20.1%29.6%6.3%1.1%-418.5M23.20B-1.27B0.9420.07275,214259,3154,780,5286,752,963
2009-05-18$908.60$850.0026.6%7.6%24.9%16.5%28.5%5.3%1.2%351.5M-18.09B-1.26B1.6520.98167,729276,5094,928,3536,864,038
2009-05-19$907.54$850.0025.4%7.3%24.5%14.2%26.0%5.1%1.3%487.0M-20.88B-1.22B0.9720.07284,802275,4224,976,1586,925,014
2009-05-20$901.67$850.0025.9%7.4%24.0%14.2%27.6%4.9%0.6%285.7M-5.86B-1.26B1.3716.73335,946460,2565,116,8107,058,969
2009-05-21$891.08$850.0027.3%7.8%24.2%16.2%29.5%5.8%0.2%-220.1M16.60B-1.28B1.3320.82280,424373,3915,246,8387,254,186
2009-05-22$885.83$850.0028.3%8.1%23.3%17.6%29.3%7.0%1.4%-343.8M24.23B-1.30B1.3819.44165,749228,4795,357,5077,338,731
2009-05-26$909.29$850.0027.1%7.5%24.5%15.8%28.8%6.3%1.5%675.9M-21.19B-1.26B1.1920.76197,146234,9335,396,3757,400,343
2009-05-27$893.06$900.0028.0%8.0%25.4%17.1%30.0%7.6%-0.3%58.5M8.40B-1.25B1.7936.92164,570293,8775,435,0007,419,844
2009-05-28$906.83$900.0028.0%8.1%25.0%17.1%28.2%7.3%-0.8%607.1M-14.76B-1.27B2.0442.03129,038262,9975,492,1227,499,530
2009-05-29$918.65$900.0024.9%7.1%25.3%12.7%23.6%7.0%0.7%1.39B-46.93B-1.23B1.6158.19138,515222,8065,529,6417,529,503