SPX Options History — February 2010

In February 2010, SPX traded between $1057.98 and $1108.90. ATM implied volatility averaged 19.4%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.9% (HV 20d: 18.4%). Max pain ranged from $1100.00 to $1105.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.65.

Notable Days

  • 2010-02-17: Highest Volume — 1,320,140 contracts
  • 2010-02-25: Largest IV spike — 37.1% change
  • 2010-02-08: Highest IV Rank — 33.2%
  • 2010-02-05: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1089.42$1057.98$1108.90$1089.30$1104.39
Max Pain$1100.26$1100.00$1105.00$1105.00$1100.00
ATM IV19.4%12.5%26.7%19.0%17.4%
Expected Move5.4%2.6%6.6%5.4%5.0%
HV 20d18.4%16.0%20.4%16.6%16.6%
HV 60d14.9%14.2%15.7%14.4%14.5%
IV Rank16.0%0.0%33.2%15.2%11.4%
IV Percentile24.8%0.4%68.7%17.5%11.9%
Term Structure1.3%-0.6%8.7%0.9%-0.1%
VWIV20.3%11.1%24.9%18.9%20.6%
Skew 25d6.2%4.5%14.2%5.0%5.4%
Skew 10d11.5%9.4%14.6%10.8%11.2%
Call IV 25d16.6%8.2%20.2%17.0%15.1%
Put IV 25d22.8%19.2%27.4%22.0%20.5%
Bid-Ask Spread %37.7316.00172.5121.3254.76
Gamma HHI0.050.040.050.040.05
Net GEX-3.89B-8.78B528.7M-5.11B-1.53B
Net DEX26.67B-41.15B124.20B42.39B-25.81B
Net VEX-1.64B-1.66B-1.60B-1.60B-1.65B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.651.102.461.101.56
Total Volume704,909.684461,5671,320,140669,338596,583
Total OI12,767,616.78911,627,75314,125,35612,041,89712,572,289

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$1089.30$1105.0019.0%5.4%16.6%15.2%18.9%5.0%0.9%-5.11B42.39B-1.60B1.1021.32318,233351,1054,665,1087,376,789
2010-02-02$1100.44$1100.0019.4%5.0%16.1%16.2%18.7%5.0%1.7%-3.15B5.18B-1.62B1.8517.70245,289453,0744,789,6757,493,551
2010-02-03$1099.14$1100.0018.7%5.0%16.0%14.6%19.3%4.8%1.3%-3.51B12.76B-1.63B1.8816.00165,739311,7714,855,1067,615,763
2010-02-04$1064.01$1100.0021.4%6.4%19.3%20.7%24.0%6.0%0.6%-7.67B103.64B-1.64B1.9616.67231,141453,3834,918,4537,688,709
2010-02-05$1062.35$1100.0024.0%6.6%19.1%27.0%24.6%7.6%1.1%-7.96B110.67B-1.65B2.3239.06252,236585,6614,971,3337,752,440
2010-02-08$1057.98$1100.0026.7%6.6%19.0%33.2%24.9%7.1%1.2%-8.78B124.20B-1.61B1.8440.88184,657339,4265,058,9197,891,245
2010-02-09$1068.94$1100.0022.8%6.4%19.6%24.1%23.3%7.3%1.8%-7.21B91.64B-1.66B1.3236.49264,560349,6775,113,7317,975,840
2010-02-10$1066.02$1100.0020.2%6.4%19.5%17.9%23.4%7.1%1.4%-7.85B99.76B-1.64B1.4833.38200,801297,7975,177,7738,057,678
2010-02-11$1078.56$1100.0021.0%6.0%19.9%19.8%21.7%6.6%-0.6%-6.25B65.03B-1.65B1.1833.76212,090249,4775,245,7818,134,823
2010-02-12$1080.36$1100.0020.4%5.9%19.9%18.6%21.1%6.1%-0.6%-5.78B57.58B-1.65B1.5635.41258,937403,7625,274,9418,127,048
2010-02-16$1095.00$1100.0019.2%5.5%20.4%15.6%20.1%5.9%0.5%-2.44B9.50B-1.62B1.2634.00396,165499,3705,335,5928,251,647
2010-02-17$1101.09$1100.0018.6%5.3%19.9%14.2%20.6%5.7%1.1%-720.4M-12.76B-1.63B1.6223.59503,048817,0925,356,4058,303,244
2010-02-18$1107.22$1100.0017.2%4.9%19.9%11.0%18.6%5.0%1.3%528.7M-40.80B-1.64B1.1123.68610,228679,4405,474,2978,651,059
2010-02-19$1107.01$1100.0017.0%4.9%18.5%10.5%18.0%4.8%1.4%-815.2M-36.87B-1.64B1.3226.69315,309416,2624,449,2637,178,490
2010-02-22$1108.90$1100.0016.9%4.7%17.3%10.3%18.7%4.5%1.4%-382.6M-41.15B-1.61B2.4618.36174,587429,2344,536,2677,303,851
2010-02-23$1098.26$1100.0018.1%5.1%17.7%13.2%19.0%4.9%0.9%-1.83B-11.24B-1.63B2.3317.64202,516471,0564,624,6767,498,980
2010-02-24$1104.89$1100.0012.5%2.6%17.7%0.0%11.1%14.2%8.7%-1.58B-24.60B-1.65B1.52172.51242,212368,0614,700,5177,677,057
2010-02-25$1105.21$1100.0017.2%5.0%17.5%10.9%18.8%5.1%0.4%-1.79B-22.30B-1.65B1.6454.97206,173337,1324,752,7257,733,654
2010-02-26$1104.39$1100.0017.4%5.0%16.6%11.4%20.6%5.4%-0.1%-1.53B-25.81B-1.65B1.5654.76233,490363,0934,808,2187,764,071