SPX Options History — April 2010

In April 2010, SPX traded between $1177.51 and $1215.98. ATM implied volatility averaged 13.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.3% (HV 20d: 9.2%). Max pain ranged from $1125.00 to $1175.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.74.

Notable Days

2010-04-15: Highest Volume — 1,478,584 contracts
2010-04-15: Largest IV spike — 40.6% change
2010-04-30: Highest IV Rank — 40.2%
2010-04-27: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1197.40	$1177.51	$1215.98	$1177.51	$1186.25
Max Pain	$1159.76	$1125.00	$1175.00	$1150.00	$1175.00
ATM IV	13.5%	9.6%	19.5%	12.7%	19.5%
Expected Move	4.1%	3.5%	5.3%	3.7%	5.2%
HV 20d	9.2%	6.2%	15.1%	6.9%	15.1%
HV 60d	13.0%	11.7%	13.6%	13.5%	12.9%
IV Rank	12.2%	0.0%	40.2%	1.4%	40.2%
IV Percentile	8.8%	0.0%	44.8%	1.6%	44.8%
Term Structure	1.3%	0.1%	2.1%	2.1%	0.7%
VWIV	16.3%	14.2%	21.2%	15.1%	20.1%
Skew 25d	4.3%	3.0%	6.2%	3.0%	5.7%
Skew 10d	9.3%	5.9%	15.0%	5.9%	13.1%
Call IV 25d	12.8%	11.1%	15.9%	12.1%	15.7%
Put IV 25d	17.0%	14.9%	22.1%	15.1%	21.3%
Bid-Ask Spread %	28.20	14.50	48.55	15.02	48.55
Gamma HHI	0.06	0.04	0.08	0.06	0.04
Net GEX	5.19B	-2.13B	12.28B	5.86B	-2.13B
Net DEX	-164.63B	-256.37B	-75.33B	-140.96B	-81.64B
Net VEX	-1.96B	-2.25B	-1.76B	-1.80B	-2.25B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	1.04	3.48	3.48	1.79
Total Volume	749,146.048	499,509	1,478,584	647,166	722,198
Total OI	13,515,011.81	11,826,188	15,161,658	12,844,875	14,111,540

Daily Data (21 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
2010-04-01	$1177.51	$1150.00	12.7%	3.7%	6.9%	1.4%	15.1%	3.0%	2.1%	5.86B	-140.96B	-1.80B	3.48	15.02	144,435	502,731	4,696,529	8,148,346
2010-04-05	$1186.83	$1125.00	14.8%	4.2%	6.3%	9.4%	16.3%	4.3%	1.3%	8.28B	-171.19B	-1.76B	1.52	40.20	208,099	316,630	4,757,205	8,263,752
2010-04-06	$1189.45	$1140.00	10.8%	4.0%	6.2%	0.0%	15.7%	4.2%	1.3%	9.28B	-182.87B	-1.76B	1.16	38.18	356,963	414,556	4,828,109	8,372,935
2010-04-07	$1182.44	$1140.00	12.5%	4.2%	6.9%	6.1%	16.7%	4.2%	0.9%	7.20B	-157.76B	-1.80B	1.93	37.53	285,385	551,065	4,934,443	8,523,894
2010-04-08	$1186.44	$1140.00	11.9%	4.1%	6.8%	4.1%	16.7%	4.2%	1.1%	8.67B	-174.15B	-1.80B	1.55	35.18	213,193	330,903	4,934,443	8,523,894
2010-04-09	$1196.49	$1150.00	11.5%	4.0%	7.2%	2.5%	14.9%	3.9%	1.2%	10.02B	-200.58B	-1.82B	1.41	45.70	316,548	446,420	5,070,130	8,821,703
2010-04-12	$1196.29	$1150.00	12.8%	4.1%	7.2%	7.2%	16.0%	4.1%	1.2%	9.84B	-196.97B	-1.85B	1.31	41.76	347,027	454,768	5,154,502	8,990,282
2010-04-13	$1196.23	$1150.00	12.1%	4.1%	7.1%	4.5%	16.1%	4.2%	1.1%	8.55B	-194.74B	-1.88B	1.32	36.10	473,110	623,941	5,280,819	9,199,669
2010-04-14	$1210.09	$1150.00	9.6%	3.9%	7.6%	0.0%	15.3%	3.8%	1.4%	12.28B	-244.66B	-1.86B	1.04	38.23	497,850	519,925	5,374,355	9,417,224
2010-04-15	$1212.13	$1160.00	13.5%	3.9%	7.6%	13.4%	14.9%	3.7%	1.6%	11.50B	-256.37B	-1.89B	1.40	35.50	617,223	861,361	5,524,175	9,637,483
2010-04-16	$1193.18	$1160.00	14.7%	4.2%	9.8%	17.6%	17.2%	5.1%	1.2%	1.46B	-119.44B	-2.03B	2.18	24.10	259,485	565,226	4,574,212	7,251,976
2010-04-19	$1199.66	$1170.00	13.5%	3.9%	9.7%	13.4%	16.4%	4.6%	1.7%	1.34B	-134.19B	-2.00B	1.62	16.44	258,597	419,876	4,707,435	7,575,426
2010-04-20	$1208.85	$1170.00	12.3%	3.5%	9.9%	9.3%	14.2%	3.8%	2.0%	3.75B	-170.44B	-1.97B	2.16	15.88	187,427	404,232	4,792,469	7,763,336
2010-04-21	$1203.44	$1175.00	13.1%	3.7%	10.0%	12.0%	15.3%	3.8%	1.8%	2.59B	-154.45B	-1.99B	2.53	14.50	216,526	546,821	4,836,677	7,894,337
2010-04-22	$1208.67	$1175.00	12.9%	3.7%	9.8%	11.5%	14.4%	3.6%	1.7%	2.61B	-157.94B	-2.04B	1.41	14.80	304,781	428,774	4,930,148	8,209,826
2010-04-23	$1215.98	$1175.00	13.4%	3.8%	9.8%	13.2%	14.5%	3.6%	1.5%	4.57B	-192.84B	-2.06B	1.36	15.88	211,519	287,990	5,026,534	8,279,587
2010-04-26	$1211.21	$1175.00	14.1%	4.1%	10.0%	15.8%	15.6%	3.8%	1.2%	3.75B	-180.37B	-2.06B	1.78	17.95	206,497	368,221	5,143,307	8,422,931
2010-04-27	$1184.53	$1175.00	18.4%	5.3%	13.1%	30.4%	21.2%	6.2%	0.1%	-2.00B	-75.33B	-2.21B	2.04	26.41	231,267	471,292	5,207,242	8,527,431
2010-04-28	$1193.01	$1175.00	16.2%	4.6%	13.3%	24.4%	19.3%	5.7%	1.1%	-1.16B	-102.05B	-2.20B	2.31	18.46	188,839	435,371	5,276,060	8,714,130
2010-04-29	$1206.77	$1175.00	14.4%	4.1%	13.7%	19.6%	16.0%	4.2%	1.4%	2.72B	-168.31B	-2.13B	1.34	15.79	228,280	306,715	5,319,112	8,797,640
2010-04-30	$1186.25	$1175.00	19.5%	5.2%	15.1%	40.2%	20.1%	5.7%	0.7%	-2.13B	-81.64B	-2.25B	1.79	48.55	258,829	463,369	5,362,830	8,748,710