SPX Options History — December 2009

In December 2009, SPX traded between $1089.86 and $1127.03. ATM implied volatility averaged 17.4%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.1% (HV 20d: 13.3%). Max pain ranged from $1075.00 to $1100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.77.

Notable Days

2009-12-16: Highest Volume — 1,260,563 contracts
2009-12-09: Largest IV drop — 10.2% change
2009-12-08: Highest IV Rank — 9.2%
2009-12-08: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1110.43	$1089.86	$1127.03	$1108.51	$1115.10
Max Pain	$1095.68	$1075.00	$1100.00	$1100.00	$1100.00
ATM IV	17.4%	14.5%	19.7%	19.4%	14.6%
Expected Move	5.0%	4.3%	5.7%	5.6%	4.8%
HV 20d	13.3%	9.7%	15.9%	15.3%	10.4%
HV 60d	16.7%	15.4%	17.3%	17.1%	15.5%
IV Rank	4.1%	0.0%	9.2%	7.1%	0.3%
IV Percentile	4.2%	0.0%	13.1%	9.1%	0.4%
Term Structure	1.7%	-0.1%	2.9%	-0.1%	2.2%
VWIV	19.2%	15.7%	21.8%	18.5%	19.6%
Skew 25d	4.6%	3.8%	5.4%	4.6%	4.4%
Skew 10d	9.5%	7.5%	11.8%	10.6%	9.0%
Call IV 25d	15.9%	13.6%	18.3%	17.3%	15.1%
Put IV 25d	20.4%	17.3%	23.5%	21.9%	19.5%
Bid-Ask Spread %	33.72	13.80	59.81	47.11	13.80
Gamma HHI	0.05	0.04	0.05	0.05	0.05
Net GEX	2.54B	71.8M	4.74B	3.94B	491.5M
Net DEX	-123.16B	-191.65B	-45.74B	-163.18B	-70.33B
Net VEX	-1.47B	-1.52B	-1.44B	-1.44B	-1.46B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	1.08	3.79	1.84	3.79
Total Volume	570,800.318	163,351	1,260,563	609,454	353,588
Total OI	13,234,652.136	9,274,032	17,027,403	14,304,596	10,409,206

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
2009-12-01	$1108.51	$1100.00	19.4%	5.6%	15.3%	7.1%	18.5%	4.6%	-0.1%	3.94B	-163.18B	-1.44B	1.84	47.11	214,626	394,828	5,888,691	8,415,905
2009-12-02	$1108.48	$1100.00	18.8%	5.4%	15.3%	6.2%	19.0%	3.9%	0.1%	4.03B	-163.17B	-1.45B	2.32	52.77	184,730	428,962	5,949,206	8,576,441
2009-12-03	$1098.91	$1100.00	19.3%	5.5%	15.9%	7.4%	21.0%	4.3%	0.6%	2.19B	-130.50B	-1.48B	1.08	49.41	324,884	351,715	5,994,463	8,741,050
2009-12-04	$1108.38	$1100.00	19.0%	5.5%	15.3%	6.7%	20.2%	3.8%	-0.0%	3.86B	-164.36B	-1.50B	1.67	36.82	253,231	423,662	6,106,693	8,849,778
2009-12-07	$1103.62	$1100.00	19.2%	5.5%	15.5%	7.7%	18.5%	4.2%	0.3%	3.06B	-150.24B	-1.50B	1.73	44.19	157,514	273,192	6,198,678	8,973,146
2009-12-08	$1089.86	$1100.00	19.7%	5.7%	14.0%	9.2%	20.8%	5.3%	0.9%	722.0M	-103.77B	-1.52B	1.70	49.38	313,149	532,180	6,238,387	9,016,329
2009-12-09	$1095.95	$1100.00	17.7%	5.4%	14.1%	4.1%	21.8%	4.9%	1.0%	1.59B	-123.77B	-1.52B	1.53	59.81	223,300	341,608	6,349,112	9,248,031
2009-12-10	$1102.49	$1075.00	19.2%	5.5%	14.2%	8.0%	20.3%	5.1%	1.7%	2.70B	-147.97B	-1.50B	1.75	32.76	202,318	354,932	6,403,513	9,336,931
2009-12-11	$1107.80	$1080.00	18.1%	5.2%	14.0%	5.1%	19.3%	5.1%	2.4%	2.74B	-159.70B	-1.50B	1.55	30.35	201,301	311,278	6,463,903	9,429,817
2009-12-14	$1113.18	$1090.00	17.9%	5.1%	14.0%	4.5%	19.6%	4.9%	2.0%	4.74B	-191.65B	-1.46B	1.23	36.80	287,261	351,888	6,524,794	9,520,146
2009-12-15	$1108.80	$1090.00	18.0%	5.2%	13.3%	5.0%	20.7%	5.1%	2.2%	2.80B	-170.90B	-1.47B	1.49	31.06	281,784	421,080	6,588,005	9,581,997
2009-12-16	$1110.12	$1090.00	17.6%	5.0%	13.3%	3.8%	19.6%	4.8%	2.0%	3.58B	-183.22B	-1.44B	1.98	32.58	423,099	837,464	6,673,225	9,766,331
2009-12-17	$1098.77	$1090.00	18.6%	5.3%	13.8%	6.3%	20.5%	5.4%	1.9%	300.3M	-138.12B	-1.49B	1.78	36.08	352,050	625,296	6,840,478	10,186,925
2009-12-18	$1102.30	$1090.00	17.9%	5.1%	13.0%	4.6%	19.7%	5.4%	2.2%	71.8M	-45.74B	-1.48B	1.81	28.13	237,524	429,191	3,466,542	5,807,490
2009-12-21	$1112.52	$1100.00	16.3%	4.7%	13.2%	0.5%	19.7%	5.0%	2.3%	880.1M	-63.98B	-1.48B	1.68	22.21	148,393	249,843	3,585,710	6,019,194
2009-12-22	$1118.92	$1100.00	15.1%	4.3%	12.7%	0.0%	17.0%	4.4%	2.9%	2.19B	-78.87B	-1.45B	1.69	18.46	152,708	258,821	3,642,046	6,092,986
2009-12-23	$1120.21	$1100.00	15.3%	4.4%	12.7%	0.7%	17.5%	4.2%	2.3%	2.30B	-79.04B	-1.47B	1.15	25.57	136,520	156,730	3,712,740	6,172,373
2009-12-24	$1126.34	$1100.00	15.1%	4.3%	12.7%	0.0%	15.7%	3.8%	2.8%	3.64B	-96.67B	-1.46B	1.99	24.18	54,547	108,804	3,777,054	6,215,500
2009-12-28	$1127.03	$1100.00	16.2%	4.4%	10.5%	2.7%	18.3%	4.3%	2.4%	3.42B	-95.80B	-1.44B	1.78	25.64	113,773	203,040	3,790,144	6,255,655
2009-12-29	$1125.85	$1100.00	15.3%	4.4%	10.5%	0.5%	17.3%	3.8%	2.3%	3.49B	-94.52B	-1.44B	2.15	21.69	129,653	279,139	3,814,865	6,333,444
2009-12-30	$1126.42	$1100.00	14.5%	4.3%	9.7%	0.0%	17.3%	3.8%	2.6%	3.16B	-93.95B	-1.44B	1.13	23.03	224,893	253,108	3,828,413	6,377,010
2009-12-31	$1115.10	$1100.00	14.6%	4.8%	10.4%	0.3%	19.6%	4.4%	2.2%	491.5M	-70.33B	-1.46B	3.79	13.80	73,852	279,736	3,959,681	6,449,525