SPX Options History — September 2009

In September 2009, SPX traded between $994.75 and $1071.68. ATM implied volatility averaged 21.2%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.9% (HV 20d: 16.2%). Max pain ranged from $1000.00 to $1025.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.77.

Notable Days

2009-09-16: Highest Volume — 1,377,996 contracts
2009-09-10: Largest IV spike — 19.1% change
2009-09-01: Highest IV Rank — 12.8%
2009-09-01: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1044.00	$994.75	$1071.68	$997.09	$1057.08
Max Pain	$1008.10	$1000.00	$1025.00	$1000.00	$1025.00
ATM IV	21.2%	17.4%	25.1%	25.1%	24.1%
Expected Move	6.1%	5.6%	7.2%	7.2%	6.2%
HV 20d	16.2%	12.7%	19.5%	19.0%	12.7%
HV 60d	18.5%	16.4%	20.0%	19.7%	16.4%
IV Rank	7.2%	1.8%	12.8%	12.8%	11.3%
IV Percentile	8.2%	0.4%	24.6%	23.8%	24.6%
Term Structure	1.5%	0.7%	2.3%	1.0%	0.9%
VWIV	23.7%	21.3%	31.1%	31.1%	22.8%
Skew 25d	4.6%	3.7%	5.4%	4.9%	4.8%
Skew 10d	9.6%	7.3%	11.4%	11.4%	9.4%
Call IV 25d	19.5%	18.1%	23.4%	23.4%	19.7%
Put IV 25d	24.1%	21.9%	28.6%	28.4%	24.5%
Bid-Ask Spread %	26.96	11.33	46.61	30.40	11.33
Gamma HHI	0.04	0.03	0.07	0.03	0.04
Net GEX	2.40B	-665.1M	6.78B	442.2M	637.5M
Net DEX	-113.88B	-246.31B	-37.30B	-52.32B	-62.21B
Net VEX	-1.46B	-2.03B	-1.34B	-1.46B	-1.51B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	1.08	3.52	1.44	1.96
Total Volume	630,425	294,393	1,377,996	768,263	461,241
Total OI	13,193,912.762	10,952,347	15,577,835	13,029,704	12,543,424

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
2009-09-01	$997.09	$1000.00	25.1%	7.2%	19.0%	12.8%	31.1%	4.9%	1.0%	442.2M	-52.32B	-1.46B	1.44	30.40	314,368	453,895	5,390,981	7,638,723
2009-09-02	$994.75	$1000.00	25.0%	7.2%	19.0%	12.6%	23.5%	5.4%	0.9%	-101.8M	-43.18B	-1.48B	1.37	44.59	277,013	380,302	5,458,539	7,753,942
2009-09-03	$1003.24	$1000.00	23.4%	6.7%	19.1%	10.3%	26.9%	5.0%	0.7%	1.08B	-68.13B	-1.45B	1.34	46.61	275,582	368,926	5,548,994	7,841,272
2009-09-04	$1013.96	$1000.00	20.6%	5.9%	19.2%	6.4%	28.6%	4.5%	1.9%	1.89B	-98.32B	-1.43B	1.25	33.47	246,006	307,078	5,526,926	7,966,221
2009-09-08	$1024.72	$1000.00	19.9%	6.0%	19.5%	5.3%	24.1%	4.2%	1.2%	2.92B	-127.66B	-1.40B	1.25	23.30	216,901	271,223	5,628,325	8,103,220
2009-09-09	$1032.67	$1000.00	17.4%	6.0%	18.8%	1.8%	23.9%	5.1%	2.2%	4.13B	-152.41B	-1.36B	1.43	25.72	233,877	334,335	5,674,636	8,158,827
2009-09-10	$1042.24	$1000.00	20.7%	5.9%	18.8%	6.5%	22.5%	5.1%	1.6%	4.85B	-177.91B	-1.34B	1.95	28.19	215,616	420,900	5,731,220	8,290,203
2009-09-11	$1041.69	$1000.00	21.1%	6.0%	18.4%	7.0%	23.7%	4.9%	1.6%	4.57B	-176.90B	-1.37B	1.32	27.49	353,251	467,243	5,792,788	8,405,053
2009-09-14	$1048.06	$1000.00	20.5%	5.9%	18.1%	6.3%	22.7%	5.2%	1.7%	5.26B	-197.11B	-1.34B	1.50	29.01	229,326	343,512	5,894,194	8,544,914
2009-09-15	$1050.57	$1000.00	20.4%	5.9%	14.1%	6.1%	23.0%	4.8%	1.5%	5.25B	-203.11B	-1.35B	1.51	26.36	279,110	421,429	5,970,608	8,688,013
2009-09-16	$1067.91	$1000.00	20.3%	5.8%	14.5%	5.9%	22.5%	4.6%	1.2%	6.44B	-241.79B	-1.35B	1.08	32.48	663,126	714,870	6,043,931	8,862,784
2009-09-17	$1067.04	$1000.00	20.6%	5.9%	14.6%	6.3%	22.6%	4.1%	1.3%	6.78B	-246.31B	-1.38B	1.35	23.81	467,014	632,079	6,326,636	9,251,199
2009-09-18	$1065.03	$1000.00	20.6%	5.9%	14.6%	6.3%	21.8%	3.9%	1.9%	2.07B	-89.37B	-1.44B	2.15	26.89	187,026	402,795	4,501,328	6,451,019
2009-09-21	$1064.66	$1010.00	20.6%	5.9%	13.1%	6.3%	22.0%	4.2%	1.8%	340.4M	-55.10B	-2.03B	2.42	23.30	129,305	313,561	4,884,230	8,551,619
2009-09-22	$1071.68	$1020.00	19.5%	5.6%	13.2%	4.7%	21.8%	3.8%	2.3%	2.13B	-98.19B	-1.44B	2.22	21.76	144,910	322,195	4,647,778	6,772,265
2009-09-23	$1063.23	$1020.00	19.9%	5.7%	13.7%	5.3%	21.3%	3.7%	1.9%	1.30B	-80.29B	-1.47B	2.15	27.13	174,664	375,464	4,700,640	6,921,838
2009-09-24	$1049.23	$1020.00	21.0%	6.0%	14.7%	7.0%	23.4%	4.3%	1.7%	-460.2M	-45.52B	-1.52B	1.96	21.85	189,992	372,266	4,779,318	7,102,378
2009-09-25	$1045.24	$1025.00	20.6%	6.2%	14.7%	6.3%	24.0%	4.3%	1.3%	-665.1M	-37.30B	-1.53B	2.25	17.77	175,953	396,529	4,838,149	7,223,740
2009-09-28	$1063.72	$1025.00	20.6%	6.0%	15.8%	6.3%	23.3%	4.5%	1.1%	1.06B	-74.12B	-1.51B	3.52	22.47	65,120	229,273	4,888,723	7,400,791
2009-09-29	$1060.16	$1025.00	23.1%	6.0%	15.5%	9.8%	23.1%	4.9%	1.2%	440.8M	-64.20B	-1.51B	1.71	22.13	152,012	259,637	4,915,081	7,457,698
2009-09-30	$1057.08	$1025.00	24.1%	6.2%	12.7%	11.3%	22.8%	4.8%	0.9%	637.5M	-62.21B	-1.51B	1.96	11.33	156,087	305,154	4,967,491	7,575,933