SPX Options History — June 2010

In June 2010, SPX traded between $1030.71 and $1116.15. ATM implied volatility averaged 26.4%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.1% (HV 20d: 29.5%). Max pain ranged from $1105.00 to $1175.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.57.

Notable Days

2010-06-16: Highest Volume — 1,147,795 contracts
2010-06-29: Largest IV spike — 47.2% change
2010-06-29: Highest IV Rank — 87.1%
2010-06-07: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1082.83	$1030.71	$1116.15	$1070.48	$1030.71
Max Pain	$1136.36	$1105.00	$1175.00	$1175.00	$1105.00
ATM IV	26.4%	19.8%	38.5%	30.5%	36.4%
Expected Move	7.3%	5.7%	9.4%	8.7%	8.6%
HV 20d	29.5%	24.4%	33.7%	32.2%	24.4%
HV 60d	24.0%	21.3%	25.5%	21.3%	25.5%
IV Rank	50.8%	31.0%	87.1%	63.2%	80.9%
IV Percentile	83.9%	48.4%	99.6%	97.6%	98.8%
Term Structure	-0.1%	-2.7%	1.2%	-1.1%	-0.5%
VWIV	27.9%	22.3%	40.4%	33.2%	30.3%
Skew 25d	9.0%	6.8%	11.8%	11.0%	9.0%
Skew 10d	17.6%	14.3%	23.4%	21.7%	17.2%
Call IV 25d	21.8%	16.5%	28.2%	26.4%	25.9%
Put IV 25d	30.7%	23.5%	39.7%	37.4%	34.9%
Bid-Ask Spread %	31.71	3.54	51.89	51.89	3.54
Gamma HHI	0.05	0.04	0.06	0.05	0.06
Net GEX	-4.98B	-8.35B	-1.23B	-7.19B	-6.75B
Net DEX	150.15B	21.77B	295.15B	231.00B	196.51B
Net VEX	-1.98B	-2.11B	-1.88B	-2.09B	-1.88B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.88	2.12	2.03	1.29
Total Volume	682,106	324,901	1,147,795	427,625	758,896
Total OI	15,082,816.773	11,508,209	18,479,083	15,907,942	13,000,642

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
2010-06-01	$1070.48	$1175.00	30.5%	8.7%	32.2%	63.2%	33.2%	11.0%	-1.1%	-7.19B	231.00B	-2.09B	2.03	51.89	141,131	286,494	6,037,149	9,870,793
2010-06-02	$1097.51	$1175.00	25.7%	7.4%	33.4%	48.5%	29.1%	9.4%	-1.2%	-6.15B	162.41B	-2.10B	1.33	51.59	271,468	359,995	6,087,914	9,954,323
2010-06-03	$1104.36	$1175.00	25.6%	7.3%	33.5%	48.5%	27.9%	9.1%	-1.4%	-5.48B	137.53B	-2.11B	2.02	51.62	218,920	442,346	6,155,002	10,013,512
2010-06-04	$1066.30	$1175.00	29.8%	8.5%	33.6%	60.9%	34.9%	11.8%	-0.1%	-7.62B	249.33B	-2.04B	2.00	45.30	246,416	493,027	6,219,522	10,143,972
2010-06-07	$1047.22	$1175.00	32.9%	9.4%	33.7%	70.2%	40.4%	11.5%	-1.6%	-8.35B	295.15B	-1.93B	1.56	49.32	238,302	371,631	6,325,528	10,219,285
2010-06-08	$1059.65	$1175.00	31.6%	8.9%	29.6%	66.6%	31.4%	9.9%	-2.7%	-7.92B	270.53B	-1.94B	1.55	44.14	447,832	693,995	6,446,847	10,256,846
2010-06-09	$1055.20	$1130.00	29.3%	8.3%	29.6%	59.5%	31.0%	10.7%	-0.9%	-7.98B	281.14B	-1.96B	1.71	34.93	294,762	503,426	6,603,749	10,440,763
2010-06-10	$1084.20	$1125.00	25.7%	7.4%	30.9%	48.6%	27.6%	9.9%	0.4%	-5.70B	192.26B	-2.04B	1.24	35.55	362,314	450,043	6,688,965	10,554,892
2010-06-11	$1089.43	$1125.00	24.3%	7.0%	30.9%	44.3%	25.0%	8.9%	0.7%	-5.61B	178.08B	-2.03B	1.32	37.29	324,395	427,476	6,742,982	10,660,925
2010-06-14	$1090.48	$1125.00	24.6%	7.1%	30.4%	45.5%	27.1%	8.9%	0.5%	-5.14B	175.34B	-1.99B	1.67	38.58	234,284	391,332	6,838,804	10,696,854
2010-06-15	$1113.59	$1125.00	21.6%	6.2%	31.5%	36.4%	24.4%	8.1%	0.8%	-2.15B	83.13B	-1.98B	1.35	27.89	336,291	453,450	6,906,201	10,801,128
2010-06-16	$1114.10	$1125.00	22.0%	6.3%	31.1%	37.4%	24.2%	7.8%	0.9%	-1.46B	76.31B	-1.97B	1.48	28.80	463,382	684,413	6,999,578	10,937,025
2010-06-17	$1116.15	$1125.00	21.1%	6.1%	31.0%	34.8%	22.3%	8.0%	1.2%	-1.71B	70.68B	-1.98B	0.88	29.36	390,204	344,882	7,135,627	11,343,456
2010-06-18	$1114.58	$1125.00	19.8%	5.7%	27.7%	31.0%	23.3%	7.0%	1.0%	-1.29B	21.77B	-1.95B	1.35	27.81	256,375	347,268	4,388,372	7,119,837
2010-06-21	$1114.81	$1125.00	20.6%	5.9%	27.3%	33.4%	22.7%	6.8%	0.9%	-1.23B	22.03B	-1.95B	2.12	18.51	203,756	431,447	4,502,785	7,278,929
2010-06-22	$1094.68	$1125.00	23.1%	6.6%	27.8%	40.7%	27.0%	7.7%	0.3%	-3.32B	67.98B	-1.94B	1.85	18.02	200,412	370,139	4,563,784	7,418,665
2010-06-23	$1091.28	$1125.00	22.8%	6.5%	27.8%	40.0%	24.6%	7.4%	0.5%	-3.56B	76.48B	-1.96B	1.74	17.36	140,104	243,699	4,657,370	7,529,399
2010-06-24	$1073.56	$1120.00	24.8%	7.1%	28.2%	45.8%	26.3%	8.6%	0.6%	-4.87B	112.65B	-1.95B	1.58	19.35	223,677	353,482	4,726,749	7,608,456
2010-06-25	$1078.22	$1115.00	24.4%	6.7%	24.8%	44.8%	26.1%	8.0%	0.9%	-4.47B	105.40B	-1.96B	1.92	19.68	175,153	336,634	4,798,232	7,668,732
2010-06-28	$1074.55	$1115.00	26.1%	7.0%	24.5%	50.0%	25.0%	7.6%	0.6%	-4.79B	114.24B	-1.95B	1.10	22.83	155,015	169,886	4,865,255	7,806,366
2010-06-29	$1041.24	$1115.00	38.5%	8.7%	26.2%	87.1%	30.6%	10.0%	-1.5%	-6.85B	183.25B	-1.89B	1.45	24.33	313,612	454,566	4,942,812	7,863,942
2010-06-30	$1030.71	$1105.00	36.4%	8.6%	24.4%	80.9%	30.3%	9.0%	-0.5%	-6.75B	196.51B	-1.88B	1.29	3.54	331,631	427,265	5,034,396	7,966,246