SPX Options History — November 2009

In November 2009, SPX traded between $1041.69 and $1110.02. ATM implied volatility averaged 19.9%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.1% (HV 20d: 20.1%). Max pain ranged from $1040.00 to $1100.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2009-11-19: Highest Volume — 1,114,137 contracts
  • 2009-11-05: Largest IV drop — 38.1% change
  • 2009-11-04: Highest IV Rank — 18.9%
  • 2009-11-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1087.76$1041.69$1110.02$1041.69$1095.05
Max Pain$1053.75$1040.00$1100.00$1050.00$1100.00
ATM IV19.9%16.6%26.9%25.9%20.6%
Expected Move5.8%4.8%7.1%7.1%5.9%
HV 20d20.1%15.0%21.6%19.9%15.0%
HV 60d17.5%16.6%18.4%18.2%17.1%
IV Rank6.9%0.9%18.9%17.2%9.5%
IV Percentile11.7%0.8%44.4%40.1%17.9%
Term Structure0.3%-10.6%2.0%0.3%0.3%
VWIV21.9%17.6%27.9%27.9%23.0%
Skew 25d5.1%3.4%8.2%8.2%5.5%
Skew 10d10.7%7.1%18.2%18.2%11.3%
Call IV 25d18.4%15.1%22.3%22.3%18.9%
Put IV 25d23.5%18.7%30.5%30.5%24.4%
Bid-Ask Spread %32.1319.1866.5928.5240.43
Gamma HHI0.050.040.070.040.04
Net GEX2.72B-2.94B7.00B-2.94B1.95B
Net DEX-113.86B-194.83B21.09B21.09B-118.59B
Net VEX-1.55B-1.63B-1.48B-1.62B-1.49B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.913.131.532.22
Total Volume677,583.7377,4511,114,137750,948602,500
Total OI14,505,770.713,242,29315,949,07913,843,31714,095,499

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$1041.69$1050.0025.9%7.1%19.9%17.2%27.9%8.2%0.3%-2.94B21.09B-1.62B1.5328.52296,466454,4825,627,6728,215,645
2009-11-03$1044.43$1050.0022.9%6.9%19.6%12.0%26.6%7.4%0.7%-2.74B13.01B-1.63B2.5366.59187,324473,2165,747,1858,338,155
2009-11-04$1049.69$1050.0026.9%6.6%19.6%18.9%24.3%6.0%0.5%-2.40B-1.35B-1.63B1.7030.44237,406402,5865,761,2308,468,808
2009-11-05$1065.87$1050.0016.6%6.1%20.0%0.9%23.1%5.3%1.0%-60.2M-49.89B-1.60B1.9419.18193,209374,9305,784,5608,574,660
2009-11-06$1068.38$1040.0018.2%6.1%20.0%3.6%22.9%6.1%0.6%546.5M-60.09B-1.57B1.3729.84281,237385,7995,811,0998,590,297
2009-11-09$1093.33$1045.0019.1%5.8%21.6%5.3%21.7%5.3%-10.6%4.40B-140.70B-1.53B1.4543.20328,105475,9305,944,2978,729,123
2009-11-10$1093.60$1045.0019.4%5.7%21.6%5.8%22.0%4.7%0.6%4.86B-143.06B-1.54B1.6127.33237,929382,9235,996,3728,811,933
2009-11-11$1098.51$1045.0017.4%5.6%20.7%2.2%21.2%4.7%1.2%5.18B-157.39B-1.55B1.9831.68236,521469,1176,039,1118,859,361
2009-11-12$1089.59$1050.0021.3%6.1%20.9%9.1%22.6%4.9%0.3%3.82B-128.53B-1.59B1.6731.48282,920473,1326,094,1218,964,140
2009-11-13$1092.78$1050.0020.3%5.8%20.7%7.3%22.7%4.7%0.6%4.87B-140.66B-1.59B3.1332.13150,820471,5286,132,8599,008,584
2009-11-16$1107.78$1050.0020.0%5.7%21.1%6.8%20.9%4.4%1.4%6.97B-189.85B-1.52B1.1433.19429,725488,8896,140,1109,103,051
2009-11-17$1109.06$1050.0019.6%5.6%21.1%6.1%21.1%4.5%1.4%6.93B-192.65B-1.53B1.7124.68189,606324,0696,195,1679,193,997
2009-11-18$1109.83$1050.0018.9%5.4%20.7%5.0%20.5%4.2%1.9%7.00B-194.83B-1.51B1.5326.46403,762616,7306,195,6289,285,669
2009-11-19$1095.30$1050.0019.3%5.5%20.9%5.6%21.5%4.8%0.7%3.99B-147.68B-1.55B1.3730.90469,387644,7506,315,1849,633,895
2009-11-20$1091.38$1050.0018.6%5.3%20.3%4.3%19.9%4.7%0.5%1.12B-102.83B-1.52B1.9629.55239,860471,0375,397,6427,844,651
2009-11-23$1104.86$1050.0017.5%5.0%20.4%2.8%17.6%4.0%1.4%2.95B-143.00B-1.49B0.9123.38318,302289,6175,531,0328,044,009
2009-11-24$1104.11$1050.0017.4%4.8%20.2%2.8%18.7%4.0%1.6%3.03B-143.12B-1.49B1.6524.21186,961308,7905,710,6488,086,700
2009-11-25$1110.02$1050.0017.7%4.8%18.3%3.5%18.1%3.4%2.0%3.71B-157.44B-1.48B1.8821.95136,823257,8355,752,2438,158,792
2009-11-27$1089.94$1100.0020.8%6.0%18.5%9.8%21.9%5.2%0.5%1.13B-99.58B-1.55B2.8747.4397,473279,9785,766,8648,165,421
2009-11-30$1095.05$1100.0020.6%5.9%15.0%9.5%23.0%5.5%0.3%1.95B-118.59B-1.49B2.2240.43187,364415,1365,800,9638,294,536