SPX Options History — May 2010

In May 2010, SPX traded between $1062.17 and $1201.43. ATM implied volatility averaged 27.0%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.6% (HV 20d: 26.4%). Max pain ranged from $1150.00 to $1175.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.87.

Notable Days

2010-05-20: Highest Volume — 2,178,409 contracts
2010-05-07: Largest IV spike — 128.2% change
2010-05-07: Highest IV Rank — 100.0%
2010-05-20: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1124.01	$1062.17	$1201.43	$1201.43	$1089.41
Max Pain	$1161.00	$1150.00	$1175.00	$1175.00	$1175.00
ATM IV	27.0%	16.5%	42.7%	16.5%	25.9%
Expected Move	7.5%	4.5%	10.8%	4.5%	7.4%
HV 20d	26.4%	15.5%	32.8%	15.5%	32.6%
HV 60d	17.1%	11.1%	21.2%	11.1%	21.2%
IV Rank	55.2%	28.1%	100.0%	28.1%	49.4%
IV Percentile	83.2%	25.4%	100.0%	25.4%	90.5%
Term Structure	0.3%	-2.2%	1.7%	1.5%	0.2%
VWIV	28.3%	18.5%	37.8%	18.5%	30.9%
Skew 25d	10.7%	5.2%	17.0%	5.2%	10.0%
Skew 10d	21.7%	11.1%	33.8%	11.1%	21.4%
Call IV 25d	21.8%	13.6%	30.3%	13.6%	22.7%
Put IV 25d	32.5%	18.8%	47.3%	18.8%	32.7%
Bid-Ask Spread %	27.41	13.35	52.87	22.93	13.35
Gamma HHI	0.04	0.03	0.05	0.04	0.05
Net GEX	-6.77B	-12.19B	632.5M	632.5M	-6.54B
Net DEX	109.48B	-137.68B	315.15B	-137.68B	180.23B
Net VEX	-2.21B	-2.37B	-1.72B	-2.17B	-2.19B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	1.34	2.52	2.14	1.50
Total Volume	1,095,425.5	487,744	2,178,409	487,744	567,271
Total OI	15,428,197.6	14,275,083	17,411,703	14,359,656	15,773,685

Daily Data (20 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
2010-05-03	$1201.43	$1175.00	16.5%	4.5%	15.5%	28.1%	18.5%	5.2%	1.5%	632.5M	-137.68B	-2.17B	2.14	22.93	155,144	332,600	5,422,015	8,937,641
2010-05-04	$1175.22	$1175.00	22.7%	5.5%	17.4%	53.1%	20.9%	6.9%	0.5%	-4.60B	-34.21B	-2.25B	1.67	20.67	317,257	528,369	5,490,136	9,020,451
2010-05-05	$1167.48	$1175.00	23.6%	6.0%	17.5%	61.5%	22.5%	7.4%	-0.1%	-4.99B	-5.18B	-2.26B	2.05	21.14	356,892	732,326	5,562,140	9,096,852
2010-05-06	$1128.15	$1175.00	18.7%	7.9%	21.1%	42.8%	28.4%	10.6%	-1.6%	-8.25B	133.86B	-1.72B	2.38	48.47	388,527	924,438	5,515,768	9,086,817
2010-05-07	$1108.61	$1160.00	42.7%	9.2%	21.3%	100.0%	33.7%	14.8%	0.6%	-8.26B	175.93B	-2.37B	2.52	22.37	397,359	999,428	5,751,166	9,268,322
2010-05-10	$1157.48	$1155.00	27.5%	6.8%	27.0%	54.1%	25.4%	9.4%	0.7%	-5.69B	16.91B	-2.34B	1.71	30.16	410,501	703,896	5,902,459	9,441,249
2010-05-11	$1153.68	$1155.00	26.5%	6.7%	27.0%	51.1%	25.9%	8.8%	0.8%	-6.10B	27.60B	-2.33B	2.10	30.62	353,528	742,244	5,977,213	9,600,865
2010-05-12	$1171.43	$1155.00	20.4%	6.1%	27.3%	32.8%	22.5%	8.2%	0.3%	-3.53B	-44.14B	-2.31B	1.44	31.76	411,283	591,116	6,078,779	9,670,989
2010-05-13	$1157.44	$1155.00	22.2%	6.4%	27.5%	38.1%	23.1%	8.5%	1.0%	-5.18B	6.57B	-2.28B	1.34	31.31	281,567	376,263	6,131,695	9,723,087
2010-05-14	$1136.78	$1155.00	25.2%	7.2%	27.7%	47.1%	27.2%	10.5%	1.4%	-8.56B	98.27B	-2.31B	1.78	30.33	308,889	548,467	6,203,390	9,775,516
2010-05-17	$1135.78	$1155.00	24.7%	7.1%	27.5%	45.7%	26.2%	10.2%	1.4%	-9.85B	100.50B	-2.23B	2.04	28.70	308,404	630,401	6,203,390	9,777,546
2010-05-18	$1119.74	$1155.00	27.4%	7.8%	27.5%	53.7%	28.3%	11.6%	-0.0%	-9.88B	157.99B	-2.23B	1.97	19.75	381,820	750,853	6,339,470	9,939,522
2010-05-19	$1111.83	$1150.00	28.5%	8.2%	27.6%	57.3%	32.7%	12.3%	1.5%	-10.68B	189.86B	-2.23B	2.44	21.60	614,894	1,501,698	6,368,990	10,088,035
2010-05-20	$1071.08	$1150.00	37.7%	10.8%	29.8%	84.8%	37.8%	17.0%	-1.3%	-12.19B	315.15B	-2.20B	2.02	18.79	720,969	1,457,440	6,617,473	10,794,230
2010-05-21	$1085.43	$1150.00	31.8%	9.1%	30.3%	67.0%	34.4%	14.8%	1.7%	-5.48B	177.51B	-2.24B	2.06	24.21	472,918	971,952	5,391,132	8,883,951
2010-05-24	$1071.34	$1150.00	31.8%	9.1%	30.4%	67.0%	33.0%	13.8%	-0.1%	-6.56B	221.39B	-2.12B	1.41	19.92	328,094	462,537	5,528,247	9,193,702
2010-05-25	$1073.61	$1150.00	28.8%	8.1%	29.9%	58.0%	31.4%	12.1%	0.8%	-7.00B	221.25B	-2.11B	1.76	22.36	453,886	798,795	5,670,448	9,334,961
2010-05-26	$1062.17	$1175.00	31.2%	9.1%	29.6%	65.1%	36.1%	12.2%	-2.2%	-7.01B	244.34B	-2.07B	1.57	52.87	322,559	505,529	5,798,907	9,548,386
2010-05-27	$1102.07	$1175.00	25.1%	7.3%	32.8%	46.8%	27.5%	9.8%	-0.7%	-5.69B	143.47B	-2.20B	1.54	36.97	314,652	483,744	5,913,332	9,741,995
2010-05-28	$1089.41	$1175.00	25.9%	7.4%	32.6%	49.4%	30.9%	10.0%	0.2%	-6.54B	180.23B	-2.19B	1.50	13.35	226,506	340,765	5,973,060	9,800,625