SPX Options History — July 2009

In July 2009, SPX traded between $877.51 and $985.82. ATM implied volatility averaged 22.5%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.6% (HV 20d: 21.9%). Max pain ranged from $900.00 to $925.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.57.

Notable Days

2009-07-16: Highest Volume — 1,014,777 contracts
2009-07-02: Largest IV spike — 36.5% change
2009-07-07: Highest IV Rank — 18.7%
2009-07-08: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$935.47	$877.51	$985.82	$923.33	$985.82
Max Pain	$902.27	$900.00	$925.00	$900.00	$925.00
ATM IV	22.5%	16.2%	29.3%	16.2%	22.1%
Expected Move	6.7%	5.9%	8.0%	6.3%	6.3%
HV 20d	21.9%	17.5%	24.8%	18.6%	17.5%
HV 60d	23.0%	21.3%	24.6%	24.2%	21.3%
IV Rank	9.0%	0.0%	18.7%	0.0%	8.5%
IV Percentile	16.1%	0.0%	37.3%	0.0%	16.3%
Term Structure	1.2%	0.1%	2.2%	2.0%	1.3%
VWIV	24.4%	21.6%	28.7%	23.8%	22.8%
Skew 25d	4.7%	2.8%	7.3%	4.7%	2.9%
Skew 10d	9.2%	5.7%	14.1%	9.6%	5.8%
Call IV 25d	21.3%	19.3%	25.0%	19.9%	21.1%
Put IV 25d	26.0%	22.3%	32.2%	24.5%	24.0%
Bid-Ask Spread %	24.87	15.77	34.80	19.74	24.03
Gamma HHI	0.04	0.04	0.05	0.04	0.05
Net GEX	479.8M	-3.20B	4.30B	374.0M	2.05B
Net DEX	-4.02B	-82.93B	96.06B	16.87B	-81.38B
Net VEX	-1.28B	-1.35B	-1.23B	-1.25B	-1.35B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	1.00	3.38	1.34	1.36
Total Volume	542,915.227	321,888	1,014,777	470,221	321,888
Total OI	11,151,656.955	9,880,261	12,074,845	10,788,277	11,737,822

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
2009-07-01	$923.33	$900.00	16.2%	6.3%	18.6%	0.0%	23.8%	4.7%	2.0%	374.0M	16.87B	-1.25B	1.34	19.74	200,544	269,677	4,354,160	6,434,117
2009-07-02	$896.75	$900.00	22.0%	6.7%	20.7%	8.4%	26.0%	4.1%	2.0%	-1.73B	61.50B	-1.25B	1.93	20.53	175,076	337,124	4,405,260	6,451,309
2009-07-06	$899.66	$900.00	26.4%	7.3%	20.8%	14.6%	25.9%	7.3%	0.5%	-1.66B	58.93B	-1.23B	1.01	32.94	188,656	189,837	4,424,212	6,562,363
2009-07-07	$882.80	$900.00	29.3%	7.8%	21.6%	18.7%	27.5%	7.1%	0.3%	-2.80B	86.42B	-1.23B	1.29	31.43	231,304	299,309	4,488,810	6,595,439
2009-07-08	$877.51	$900.00	27.2%	8.0%	21.6%	15.8%	28.7%	7.2%	0.1%	-3.18B	96.06B	-1.25B	1.40	30.28	283,155	396,147	4,588,774	6,707,985
2009-07-09	$882.68	$900.00	24.9%	7.6%	21.8%	12.5%	27.1%	6.9%	0.7%	-2.70B	85.24B	-1.25B	1.34	30.26	185,991	249,728	4,707,797	6,820,893
2009-07-10	$877.91	$900.00	23.4%	7.5%	21.7%	10.3%	27.3%	6.5%	1.0%	-3.20B	94.97B	-1.25B	1.18	28.52	235,893	278,552	4,730,191	6,857,825
2009-07-13	$899.18	$900.00	24.3%	7.0%	23.8%	11.7%	25.9%	6.4%	1.0%	-1.11B	52.97B	-1.26B	1.31	25.70	293,044	384,697	4,802,455	6,951,467
2009-07-14	$904.29	$900.00	21.9%	6.9%	22.6%	8.2%	26.1%	5.7%	1.2%	-703.3M	40.36B	-1.26B	1.84	31.46	171,704	315,985	4,883,338	7,031,584
2009-07-15	$930.67	$900.00	19.5%	6.8%	24.5%	4.8%	25.1%	5.5%	0.9%	2.76B	-16.03B	-1.28B	1.11	22.40	461,955	510,904	4,879,195	7,080,002
2009-07-16	$939.52	$900.00	22.9%	6.6%	24.7%	9.6%	24.5%	5.3%	1.2%	4.30B	-37.46B	-1.28B	1.02	34.80	501,597	513,180	4,945,306	7,129,539
2009-07-17	$940.48	$900.00	22.1%	6.3%	24.5%	8.5%	23.7%	4.7%	2.2%	714.7M	-8.90B	-1.29B	1.93	23.83	166,439	321,825	4,102,990	5,777,271
2009-07-20	$951.34	$900.00	22.1%	6.3%	24.8%	8.5%	22.6%	4.1%	1.2%	1.13B	-26.85B	-1.28B	1.00	20.22	236,885	237,827	4,195,863	5,920,075
2009-07-21	$956.40	$900.00	21.4%	6.1%	21.5%	7.4%	22.3%	3.8%	1.5%	1.43B	-36.05B	-1.28B	1.66	25.17	129,966	216,126	4,270,369	6,022,060
2009-07-22	$952.85	$900.00	21.0%	6.0%	21.7%	6.9%	23.1%	3.3%	1.7%	1.28B	-30.08B	-1.29B	3.38	16.33	142,118	479,953	4,314,132	6,095,232
2009-07-23	$972.25	$900.00	21.1%	6.0%	22.4%	7.0%	21.9%	3.3%	1.3%	2.23B	-63.07B	-1.29B	1.62	24.04	286,363	462,927	4,397,415	6,374,236
2009-07-24	$981.76	$900.00	20.5%	5.9%	21.5%	6.2%	21.6%	2.9%	1.4%	2.41B	-79.08B	-1.30B	1.50	15.77	168,756	253,121	4,497,051	6,490,474
2009-07-27	$982.60	$900.00	21.2%	6.1%	21.3%	7.2%	22.3%	3.1%	1.2%	2.50B	-79.76B	-1.29B	1.93	19.99	127,401	245,581	4,553,529	6,568,345
2009-07-28	$978.96	$900.00	21.5%	6.2%	21.4%	7.6%	23.0%	2.8%	1.5%	2.12B	-71.48B	-1.32B	1.78	23.66	163,477	290,918	4,584,989	6,647,876
2009-07-29	$977.86	$910.00	21.7%	6.2%	21.1%	7.9%	23.6%	3.5%	1.6%	1.97B	-68.60B	-1.34B	1.67	21.16	148,268	247,300	4,656,010	6,763,558
2009-07-30	$985.78	$915.00	21.7%	6.2%	21.2%	8.0%	22.6%	3.0%	1.4%	2.36B	-82.93B	-1.34B	1.88	24.85	216,314	406,623	4,693,508	6,841,627
2009-07-31	$985.82	$925.00	22.1%	6.3%	17.5%	8.5%	22.8%	2.9%	1.3%	2.05B	-81.38B	-1.35B	1.36	24.03	136,191	185,697	4,769,914	6,967,908