SPX Options History — June 2009 In June 2009, SPX traded between $892.16 and $944.66. ATM implied volatility averaged 24.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.1% (HV 20d: 21.8%). Max pain ranged from $900.00 to $925.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.60.
Notable Days 2009-06-17 : Highest Volume — 956,109 contracts2009-06-29 : Largest IV spike — 26.7% change2009-06-22 : Highest IV Rank — 16.3%2009-06-22 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $925.58 $892.16 $944.66 $939.98 $919.93 Max Pain $905.68 $900.00 $925.00 $900.00 $900.00 ATM IV 24.9% 19.6% 27.8% 25.6% 20.7% Expected Move 7.2% 6.0% 8.0% 7.3% 6.2% HV 20d 21.8% 19.0% 26.3% 26.3% 19.0% HV 60d 28.1% 24.3% 32.9% 32.9% 24.4% IV Rank 12.3% 4.5% 16.3% 13.7% 6.2% IV Percentile 25.4% 8.3% 33.3% 29.0% 9.9% Term Structure 1.0% -0.2% 2.2% 0.4% 1.9% VWIV 27.3% 22.6% 35.0% 26.9% 23.3% Skew 25d 5.7% 4.2% 7.4% 6.3% 4.9% Skew 10d 11.9% 9.0% 15.7% 13.9% 9.3% Call IV 25d 22.8% 19.5% 24.8% 23.5% 19.8% Put IV 25d 28.5% 24.5% 31.8% 29.8% 24.7% Bid-Ask Spread % 39.63 17.96 67.11 33.71 56.17 Gamma HHI 0.05 0.04 0.05 0.05 0.04 Net GEX 881.7M -1.40B 2.45B 2.19B 362.2M Net DEX -36.68B -110.29B 61.35B -83.66B 20.11B Net VEX -1.24B -1.26B -1.21B -1.23B -1.23B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.60 0.97 2.92 1.28 1.97 Total Volume 581,688.136 373,314 956,109 732,798 497,066 Total OI 12,705,378.136 9,423,864 15,599,799 13,139,827 10,551,808
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 2009-06-01 $939.98 $900.00 25.6% 7.3% 26.3% 13.7% 26.9% 6.3% 0.4% 2.19B -83.66B -1.23B 1.28 33.71 321,377 411,421 5,563,538 7,576,289 2009-06-02 $943.43 $900.00 25.6% 7.3% 24.3% 13.1% 30.3% 5.6% 0.3% 2.45B -96.01B -1.22B 1.55 60.54 218,347 338,081 5,650,474 7,646,778 2009-06-03 $931.88 $925.00 27.5% 7.9% 24.8% 15.8% 29.0% 5.4% -0.2% 1.81B -73.19B -1.25B 2.24 62.06 186,461 417,780 5,699,048 7,752,837 2009-06-04 $942.46 $925.00 26.2% 7.5% 24.6% 14.0% 28.6% 5.1% 0.5% 2.15B -91.86B -1.24B 1.91 53.68 162,734 310,820 5,724,386 7,836,773 2009-06-05 $940.87 $925.00 25.6% 7.3% 24.2% 13.1% 28.2% 5.1% 0.8% 1.84B -87.40B -1.26B 1.18 66.23 203,030 240,496 5,759,241 7,947,454 2009-06-08 $939.07 $925.00 25.8% 7.3% 23.5% 13.4% 35.0% 4.8% 0.7% 1.92B -89.90B -1.23B 1.82 67.11 175,661 319,531 5,808,003 8,023,095 2009-06-09 $939.68 $925.00 24.4% 6.9% 22.6% 11.5% 23.1% 4.2% 0.9% 2.14B -93.89B -1.22B 1.76 65.30 189,179 332,960 5,869,151 8,150,500 2009-06-10 $940.51 $900.00 22.1% 7.2% 22.6% 8.1% 26.3% 5.8% 1.3% 2.14B -93.80B -1.23B 1.68 30.15 236,694 397,950 5,945,883 8,254,851 2009-06-11 $942.67 $900.00 24.7% 7.1% 20.4% 11.9% 28.4% 5.9% 1.3% 2.21B -101.12B -1.21B 1.59 36.56 296,179 472,256 5,981,031 8,373,754 2009-06-12 $944.66 $900.00 24.2% 6.9% 20.4% 11.1% 26.6% 5.8% 1.3% 2.40B -110.29B -1.22B 1.54 33.16 192,283 295,857 6,080,084 8,543,803 2009-06-15 $923.30 $900.00 26.6% 7.6% 22.0% 14.6% 29.2% 7.2% 0.2% 793.5M -57.60B -1.24B 1.30 36.79 302,219 392,179 6,168,576 8,685,829 2009-06-16 $912.15 $900.00 27.8% 8.0% 20.4% 16.3% 31.1% 7.4% 0.6% -315.1M -27.54B -1.25B 1.67 35.23 319,909 533,346 6,221,866 8,815,934 2009-06-17 $909.50 $900.00 26.7% 7.6% 20.4% 14.7% 30.8% 7.3% 1.2% -578.8M -21.61B -1.25B 2.07 25.21 311,456 644,653 6,318,749 8,979,603 2009-06-18 $917.81 $900.00 25.1% 7.2% 20.5% 12.5% 26.4% 6.5% 1.6% 472.5M -51.24B -1.24B 1.16 31.55 349,523 404,398 6,407,081 9,192,718 2009-06-19 $920.50 $900.00 23.5% 6.7% 19.9% 10.2% 25.4% 6.4% 2.1% -144.8M 24.57B -1.25B 1.50 24.55 195,346 293,567 3,816,626 5,607,238 2009-06-22 $892.16 $900.00 27.8% 8.0% 23.0% 16.3% 28.4% 5.8% 0.1% -1.36B 61.35B -1.24B 1.60 27.17 195,176 312,092 3,889,631 5,775,618 2009-06-23 $893.91 $900.00 26.7% 7.7% 20.9% 14.8% 28.4% 6.0% 0.6% -1.40B 61.14B -1.24B 2.92 23.02 121,042 353,443 3,940,070 5,903,953 2009-06-24 $902.10 $900.00 25.3% 7.2% 20.2% 12.7% 25.6% 5.4% 1.3% -1.07B 50.83B -1.25B 1.24 28.21 231,505 287,580 3,987,303 6,055,083 2009-06-25 $921.97 $900.00 22.7% 6.5% 20.9% 8.9% 24.0% 5.0% 1.5% 359.1M 20.61B -1.25B 1.26 29.59 240,441 302,475 4,055,256 6,122,304 2009-06-26 $917.81 $900.00 19.6% 6.2% 20.5% 4.5% 23.4% 5.4% 2.2% 109.1M 23.87B -1.26B 0.97 27.92 189,261 184,053 4,160,953 6,165,131 2009-06-29 $926.40 $900.00 24.8% 6.0% 19.0% 12.0% 22.6% 5.1% 1.7% 920.0M 9.64B -1.22B 1.07 17.96 201,974 215,338 4,266,274 6,243,742 2009-06-30 $919.93 $900.00 20.7% 6.2% 19.0% 6.2% 23.3% 4.9% 1.9% 362.2M 20.11B -1.23B 1.97 56.17 167,187 329,879 4,287,917 6,263,891
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