SPX Options History — January 2010

In January 2010, SPX traded between $1073.26 and $1149.27. ATM implied volatility averaged 16.7%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.8% (HV 20d: 11.9%). Max pain ranged from $1100.00 to $1120.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.67.

Notable Days

  • 2010-01-22: Highest Volume — 1,099,503 contracts
  • 2010-01-22: Largest IV spike — 22.0% change
  • 2010-01-29: Highest IV Rank — 23.4%
  • 2010-01-22: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1123.24$1073.26$1149.27$1132.21$1073.26
Max Pain$1113.16$1100.00$1120.00$1100.00$1110.00
ATM IV16.7%12.5%22.5%17.0%22.5%
Expected Move5.0%4.2%6.4%5.0%5.9%
HV 20d11.9%9.1%15.8%11.1%15.8%
HV 60d15.4%14.0%16.1%15.7%14.1%
IV Rank8.8%0.0%23.4%6.1%23.4%
IV Percentile13.2%0.0%49.2%4.4%49.2%
Term Structure1.3%-0.1%2.0%1.7%0.7%
VWIV19.5%15.7%26.4%19.3%22.9%
Skew 25d5.1%3.5%8.9%5.1%5.5%
Skew 10d10.8%7.9%18.7%10.9%11.1%
Call IV 25d15.7%13.3%19.2%15.5%18.7%
Put IV 25d20.8%17.0%28.2%20.6%24.2%
Bid-Ask Spread %29.8714.8759.3741.4059.37
Gamma HHI0.060.040.120.050.05
Net GEX1.70B-6.54B7.75B4.99B-6.54B
Net DEX-62.59B-150.56B79.01B-109.35B79.01B
Net VEX-1.53B-1.67B-1.40B-1.43B-1.63B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.671.242.521.312.23
Total Volume728,471.368507,3191,099,503604,976589,262
Total OI11,188,624.0539,619,92712,432,06610,443,60911,869,078

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$1132.21$1100.0017.0%5.0%11.1%6.1%19.3%5.1%1.7%4.99B-109.35B-1.43B1.3141.40261,354343,6223,956,6246,486,985
2010-01-05$1135.74$1100.0014.5%4.8%10.8%0.0%19.4%4.6%1.8%5.04B-115.03B-1.40B1.7941.54272,616488,3934,039,3486,555,994
2010-01-06$1137.05$1105.0014.3%4.8%10.6%0.0%18.1%4.4%1.6%5.60B-117.76B-1.42B1.3035.83287,339373,2334,145,7086,742,486
2010-01-07$1141.69$1110.0014.7%4.7%9.3%1.0%17.7%4.2%1.5%6.70B-129.10B-1.44B1.5133.72201,729305,5904,264,1636,890,049
2010-01-08$1145.00$1120.0012.9%4.5%9.2%0.0%17.1%3.8%1.6%7.41B-140.95B-1.43B1.2436.30314,487390,3284,345,0816,994,350
2010-01-11$1146.22$1115.0013.8%4.5%9.1%2.3%17.9%3.5%1.9%7.75B-146.54B-1.44B1.6436.19262,656429,6314,473,8167,158,725
2010-01-12$1137.66$1120.0013.5%4.6%9.6%1.5%17.6%4.3%1.4%5.07B-123.34B-1.47B1.5836.69328,786519,7444,543,4787,311,671
2010-01-13$1145.39$1115.0012.5%4.4%9.7%0.0%17.5%4.4%1.8%7.20B-143.43B-1.47B1.7127.04340,978582,7544,636,1727,498,513
2010-01-14$1149.00$1110.0015.1%4.3%9.6%6.1%16.0%3.8%1.6%7.41B-150.56B-1.48B1.2826.26376,981482,7604,718,4227,713,644
2010-01-15$1135.25$1115.0015.3%4.4%10.7%6.5%18.3%4.1%2.0%962.3M-72.21B-1.54B2.1523.34219,218470,6793,704,1415,915,786
2010-01-19$1149.27$1120.0014.6%4.2%10.5%4.8%15.7%3.7%1.9%2.84B-106.45B-1.49B1.2515.65355,042442,5683,837,7396,185,110
2010-01-20$1138.04$1120.0015.2%4.4%11.4%6.3%17.6%4.5%1.7%1.70B-77.12B-1.53B2.2114.87251,044554,1704,025,6256,356,586
2010-01-21$1114.29$1120.0018.2%5.2%13.6%13.3%20.8%6.2%1.1%-1.75B-18.68B-1.60B1.8618.48269,825503,0804,151,2816,648,802
2010-01-22$1094.79$1120.0022.2%6.4%14.8%22.7%26.4%8.9%-0.1%-3.56B31.42B-1.67B1.9733.08370,683728,8204,238,5596,771,353
2010-01-25$1096.03$1115.0021.0%6.0%14.8%19.8%23.8%8.1%0.3%-4.30B30.41B-1.65B2.5224.32186,240468,6514,357,0007,042,903
2010-01-26$1090.56$1115.0020.8%6.0%14.6%19.4%21.0%6.2%0.6%-4.86B40.32B-1.64B1.3223.70299,345394,1984,385,9917,124,654
2010-01-27$1098.25$1110.0019.1%5.5%14.9%15.3%20.7%6.2%0.9%-3.83B21.46B-1.64B1.5723.16254,885400,8834,448,3357,221,285
2010-01-28$1081.93$1110.0020.5%5.9%15.7%18.6%22.2%5.3%0.8%-5.58B58.65B-1.64B1.2816.63228,147291,2354,546,8317,277,569
2010-01-29$1073.26$1110.0022.5%5.9%15.8%23.4%22.9%5.5%0.7%-6.54B79.01B-1.63B2.2359.37182,647406,6154,590,0227,279,056