SPX Options History — October 2009

In October 2009, SPX traded between $1025.93 and $1094.45. ATM implied volatility averaged 20.9%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.2% (HV 20d: 16.7%). Max pain ranged from $1025.00 to $1050.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.89.

Notable Days

2009-10-14: Highest Volume — 1,192,494 contracts
2009-10-30: Largest IV spike — 48.1% change
2009-10-30: Highest IV Rank — 26.1%
2009-10-30: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1067.45	$1025.93	$1094.45	$1032.07	$1035.49
Max Pain	$1045.45	$1025.00	$1050.00	$1025.00	$1050.00
ATM IV	20.9%	16.1%	30.9%	26.1%	30.9%
Expected Move	6.1%	5.1%	7.4%	7.1%	7.4%
HV 20d	16.7%	15.8%	20.5%	15.8%	20.5%
HV 60d	16.5%	15.8%	18.3%	17.2%	18.3%
IV Rank	7.8%	0.0%	26.1%	14.1%	26.1%
IV Percentile	11.8%	0.0%	51.6%	32.5%	51.6%
Term Structure	0.7%	-0.6%	1.5%	0.1%	-0.5%
VWIV	23.0%	19.5%	28.6%	24.8%	28.6%
Skew 25d	5.0%	3.6%	7.9%	5.4%	7.9%
Skew 10d	10.6%	7.7%	18.5%	11.3%	18.5%
Call IV 25d	19.2%	16.8%	22.7%	22.3%	22.7%
Put IV 25d	24.2%	20.4%	30.7%	27.7%	30.7%
Bid-Ask Spread %	28.66	19.00	42.35	19.03	42.35
Gamma HHI	0.04	0.03	0.09	0.03	0.04
Net GEX	787.2M	-3.60B	6.94B	-2.57B	-3.60B
Net DEX	-70.47B	-173.23B	34.71B	262.1M	34.71B
Net VEX	-1.52B	-1.64B	-1.44B	-1.55B	-1.64B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	1.01	3.79	1.50	1.95
Total Volume	688,265.591	464,761	1,192,494	710,241	985,080
Total OI	13,144,568.091	11,708,052	14,467,456	12,620,646	13,556,733

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
2009-10-01	$1032.07	$1025.00	26.1%	7.1%	15.8%	14.1%	24.8%	5.4%	0.1%	-2.57B	262.1M	-1.55B	1.50	19.03	284,410	425,831	4,974,412	7,646,234
2009-10-02	$1025.93	$1025.00	24.3%	7.1%	15.8%	11.7%	26.3%	5.4%	0.3%	-3.03B	10.30B	-1.55B	1.97	19.00	247,212	486,967	5,058,216	7,706,830
2009-10-05	$1040.87	$1040.00	21.8%	6.7%	16.2%	8.0%	24.4%	6.5%	0.3%	-1.28B	-25.48B	-1.51B	1.45	32.57	193,382	279,736	5,112,615	7,840,405
2009-10-06	$1051.92	$1030.00	22.6%	6.5%	16.2%	9.2%	24.3%	6.1%	0.5%	-172.6M	-52.67B	-1.51B	1.62	36.04	190,056	307,369	5,165,941	7,936,234
2009-10-07	$1057.31	$1030.00	20.0%	6.2%	16.1%	5.4%	23.1%	5.8%	0.9%	990.9M	-67.96B	-1.49B	1.40	37.61	273,498	383,978	5,211,645	8,017,953
2009-10-08	$1068.21	$1050.00	18.7%	6.1%	16.2%	3.6%	22.8%	5.1%	0.8%	2.34B	-92.12B	-1.49B	1.42	38.65	192,362	272,399	5,294,478	8,177,601
2009-10-09	$1072.04	$1050.00	16.1%	5.9%	16.2%	0.0%	21.6%	4.9%	1.0%	4.43B	-114.07B	-1.44B	2.04	34.45	160,760	328,164	5,340,431	8,167,583
2009-10-12	$1074.98	$1050.00	19.4%	5.9%	16.1%	4.6%	23.7%	4.7%	0.7%	4.50B	-118.45B	-1.44B	1.56	32.22	260,198	406,643	5,362,967	8,293,628
2009-10-13	$1072.20	$1050.00	19.9%	5.9%	16.1%	6.0%	23.2%	4.8%	0.9%	3.97B	-110.92B	-1.45B	1.97	37.01	242,467	478,056	5,435,453	8,407,461
2009-10-14	$1091.48	$1050.00	20.4%	5.8%	16.3%	6.8%	22.8%	4.7%	0.8%	6.37B	-160.67B	-1.45B	1.36	32.21	506,239	686,255	5,475,922	8,579,984
2009-10-15	$1093.95	$1050.00	19.3%	5.5%	16.3%	5.0%	21.4%	4.2%	1.0%	6.94B	-173.23B	-1.45B	1.01	34.47	547,439	550,303	5,642,090	8,825,366
2009-10-16	$1085.32	$1050.00	19.1%	5.5%	16.6%	5.2%	20.6%	4.6%	1.3%	1.19B	-94.64B	-1.48B	2.49	23.62	215,489	536,504	4,739,553	6,968,499
2009-10-19	$1094.31	$1050.00	18.9%	5.4%	16.8%	4.9%	20.9%	3.9%	1.2%	1.43B	-108.18B	-1.50B	2.37	25.35	201,184	477,362	4,857,037	7,175,207
2009-10-20	$1092.43	$1050.00	18.5%	5.3%	16.7%	4.3%	20.6%	3.6%	1.5%	1.24B	-105.30B	-1.51B	2.09	23.94	177,832	372,172	4,973,920	7,321,255
2009-10-21	$1081.40	$1050.00	19.6%	5.6%	16.9%	6.1%	21.5%	3.8%	1.1%	161.9M	-80.02B	-1.54B	2.02	29.88	225,116	455,250	5,046,096	7,450,526
2009-10-22	$1094.45	$1050.00	17.9%	5.1%	16.5%	3.2%	19.5%	3.7%	1.4%	1.33B	-108.07B	-1.51B	1.49	22.92	234,450	349,407	5,146,352	7,666,396
2009-10-23	$1079.85	$1050.00	19.2%	5.5%	17.3%	5.4%	21.1%	4.2%	1.2%	403.2M	-78.87B	-1.57B	2.31	19.67	142,405	329,285	5,245,906	7,711,532
2009-10-26	$1069.42	$1050.00	21.0%	6.0%	16.6%	8.6%	22.3%	4.5%	0.7%	-750.3M	-52.16B	-1.57B	2.19	23.18	171,412	374,972	5,306,963	7,850,939
2009-10-27	$1063.88	$1050.00	21.3%	6.1%	16.7%	9.2%	23.7%	5.0%	0.4%	-1.66B	-36.43B	-1.57B	3.79	21.55	152,422	578,389	5,327,432	7,926,381
2009-10-28	$1041.71	$1050.00	24.5%	7.0%	18.3%	14.8%	24.8%	6.2%	-0.6%	-3.59B	21.54B	-1.62B	1.96	23.38	276,356	540,352	5,373,591	8,171,336
2009-10-29	$1064.66	$1050.00	20.9%	6.0%	17.8%	8.4%	23.7%	5.3%	0.3%	-1.33B	-37.90B	-1.60B	1.55	21.51	251,926	390,754	5,458,770	8,232,625
2009-10-30	$1035.49	$1050.00	30.9%	7.4%	20.5%	26.1%	28.6%	7.9%	-0.5%	-3.60B	34.71B	-1.64B	1.95	42.35	334,042	651,038	5,528,496	8,028,237