SPX Options History — August 2009

In August 2009, SPX traded between $979.17 and $1030.98. ATM implied volatility averaged 22.0%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.4% (HV 20d: 16.5%). Max pain ranged from $920.00 to $1000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.69.

Notable Days

2009-08-19: Highest Volume — 1,046,457 contracts
2009-08-17: Largest IV spike — 15.0% change
2009-08-17: Highest IV Rank — 12.1%
2009-08-17: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1010.04	$979.17	$1030.98	$1003.31	$1020.08
Max Pain	$943.57	$920.00	$1000.00	$925.00	$1000.00
ATM IV	22.0%	19.8%	24.6%	24.1%	22.1%
Expected Move	6.3%	5.9%	7.1%	6.4%	6.3%
HV 20d	16.5%	13.4%	18.1%	18.0%	17.2%
HV 60d	20.1%	19.0%	21.4%	21.4%	19.1%
IV Rank	8.3%	5.2%	12.1%	11.3%	8.5%
IV Percentile	12.8%	6.7%	22.2%	20.2%	14.7%
Term Structure	1.0%	0.4%	1.6%	0.4%	1.6%
VWIV	23.6%	21.8%	30.7%	23.5%	24.2%
Skew 25d	4.3%	2.5%	5.5%	2.8%	4.3%
Skew 10d	9.0%	5.0%	12.1%	5.4%	9.9%
Call IV 25d	20.3%	19.0%	22.4%	21.4%	20.7%
Put IV 25d	24.6%	22.5%	27.8%	24.2%	25.0%
Bid-Ask Spread %	31.57	18.75	44.89	18.75	43.47
Gamma HHI	0.05	0.03	0.06	0.06	0.04
Net GEX	2.81B	618.0M	3.96B	3.20B	2.33B
Net DEX	-117.50B	-143.57B	-62.32B	-116.79B	-111.09B
Net VEX	-1.35B	-1.42B	-1.31B	-1.33B	-1.42B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	1.12	2.90	1.44	2.11
Total Volume	561,560.524	290,231	1,046,457	456,563	364,889
Total OI	12,613,313.667	11,499,924	14,101,739	11,880,603	12,892,361

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
2009-08-03	$1003.31	$925.00	24.1%	6.4%	18.0%	11.3%	23.5%	2.8%	0.4%	3.20B	-116.79B	-1.33B	1.44	18.75	186,847	269,716	4,847,859	7,032,744
2009-08-04	$1007.64	$925.00	23.7%	6.1%	15.6%	10.7%	22.4%	2.8%	0.8%	3.23B	-124.27B	-1.31B	1.16	21.50	216,241	251,584	4,906,839	7,142,466
2009-08-05	$1003.97	$925.00	21.8%	6.0%	15.4%	8.1%	21.8%	2.5%	1.3%	3.31B	-118.81B	-1.32B	2.90	25.71	111,488	322,943	4,959,359	7,206,567
2009-08-06	$997.70	$930.00	21.1%	6.2%	16.0%	7.0%	23.3%	2.8%	1.2%	2.47B	-102.32B	-1.35B	1.81	29.92	143,610	259,500	4,990,145	7,313,194
2009-08-07	$1008.01	$920.00	20.7%	6.4%	15.5%	6.5%	23.6%	4.4%	1.1%	3.34B	-127.59B	-1.32B	2.21	35.75	157,317	348,392	5,023,579	7,356,862
2009-08-10	$1008.81	$920.00	23.0%	6.3%	14.2%	9.8%	23.6%	4.5%	1.3%	3.25B	-127.82B	-1.31B	1.93	39.78	99,207	191,024	5,058,101	7,471,570
2009-08-11	$994.37	$920.00	21.6%	6.6%	15.9%	7.8%	23.3%	5.0%	0.6%	2.09B	-98.12B	-1.33B	1.26	28.35	172,678	217,983	5,098,480	7,535,339
2009-08-12	$1003.96	$925.00	19.8%	6.4%	13.4%	5.2%	23.2%	5.0%	1.1%	3.21B	-121.40B	-1.31B	1.67	29.14	196,186	328,571	5,143,004	7,583,160
2009-08-13	$1015.90	$925.00	21.6%	6.2%	13.5%	7.8%	22.9%	4.8%	0.4%	3.85B	-143.57B	-1.31B	1.12	31.90	245,297	274,171	5,200,018	7,695,165
2009-08-14	$1007.40	$925.00	21.4%	6.1%	14.2%	7.5%	22.5%	4.6%	1.3%	3.54B	-131.43B	-1.33B	1.43	35.08	236,045	338,288	5,320,251	7,771,455
2009-08-17	$979.17	$925.00	24.6%	7.1%	17.8%	12.1%	25.6%	5.4%	1.1%	618.0M	-62.32B	-1.36B	1.54	30.67	304,767	468,223	5,373,697	7,858,567
2009-08-18	$990.99	$930.00	22.9%	6.6%	18.1%	9.6%	24.3%	5.1%	0.4%	1.86B	-92.95B	-1.36B	1.55	31.57	295,017	456,148	5,489,537	8,013,462
2009-08-19	$998.41	$935.00	22.2%	6.4%	18.1%	8.6%	25.0%	5.5%	1.1%	2.84B	-112.64B	-1.36B	1.68	32.41	390,346	656,111	5,572,842	8,136,481
2009-08-20	$1006.01	$940.00	21.2%	6.1%	17.0%	7.2%	21.9%	5.3%	1.4%	3.96B	-138.14B	-1.35B	1.13	27.27	436,388	493,750	5,681,886	8,419,853
2009-08-21	$1026.30	$945.00	20.9%	6.0%	18.0%	6.8%	22.0%	4.8%	1.2%	2.64B	-120.35B	-1.35B	1.58	25.13	261,440	413,704	4,823,660	6,676,264
2009-08-24	$1025.49	$950.00	21.6%	6.0%	18.0%	7.7%	22.5%	4.3%	1.0%	2.49B	-116.64B	-1.36B	2.03	28.53	202,487	410,582	4,930,617	6,865,082
2009-08-25	$1026.99	$950.00	21.6%	5.9%	17.9%	7.8%	22.0%	3.7%	1.3%	2.49B	-120.27B	-1.37B	1.80	23.78	187,420	337,158	5,021,500	7,030,156
2009-08-26	$1027.47	$1000.00	21.6%	6.4%	17.9%	7.7%	30.7%	4.4%	0.8%	2.73B	-123.98B	-1.36B	2.11	37.84	172,385	363,778	5,103,343	7,159,757
2009-08-27	$1030.98	$1000.00	21.5%	6.3%	17.7%	7.6%	24.0%	4.3%	0.8%	2.77B	-129.81B	-1.38B	1.74	41.48	197,127	343,445	5,173,301	7,314,855
2009-08-28	$1027.98	$1000.00	21.9%	6.3%	17.8%	8.2%	22.4%	4.2%	1.0%	2.77B	-127.19B	-1.41B	1.27	44.89	207,711	262,807	5,276,992	7,409,217
2009-08-31	$1020.08	$1000.00	22.1%	6.3%	17.2%	8.5%	24.2%	4.3%	1.6%	2.33B	-111.09B	-1.42B	2.11	43.47	117,412	247,477	5,354,331	7,538,030