SPX Options History — July 2010

In July 2010, SPX traded between $1017.78 and $1114.45. ATM implied volatility averaged 21.3%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.2% (HV 20d: 22.5%). Max pain ranged from $1060.00 to $1100.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.51.

Notable Days

2010-07-13: Highest Volume — 1,167,156 contracts
2010-07-15: Largest IV spike — 23.5% change
2010-07-01: Highest IV Rank — 54.5%
2010-07-01: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1079.27	$1017.78	$1114.45	$1027.37	$1101.60
Max Pain	$1080.71	$1060.00	$1100.00	$1100.00	$1075.00
ATM IV	21.3%	18.1%	27.6%	27.6%	19.5%
Expected Move	6.3%	5.5%	8.0%	8.0%	5.5%
HV 20d	22.5%	20.7%	24.8%	24.2%	20.7%
HV 60d	26.7%	25.5%	27.4%	25.5%	26.7%
IV Rank	35.5%	25.7%	54.5%	54.5%	30.0%
IV Percentile	61.2%	32.9%	93.7%	93.7%	46.8%
Term Structure	1.2%	0.7%	2.1%	0.9%	1.7%
VWIV	24.0%	20.9%	29.2%	29.2%	21.7%
Skew 25d	6.9%	5.3%	8.9%	7.0%	5.3%
Skew 10d	13.1%	9.8%	17.4%	12.9%	10.9%
Call IV 25d	19.4%	16.7%	25.4%	25.4%	17.1%
Put IV 25d	26.2%	22.4%	32.4%	32.4%	22.4%
Bid-Ask Spread %	25.64	11.80	36.25	25.82	11.80
Gamma HHI	0.04	0.04	0.06	0.06	0.04
Net GEX	-1.69B	-7.69B	1.65B	-7.00B	-201.6M
Net DEX	53.68B	-43.75B	216.90B	200.53B	-11.16B
Net VEX	-1.95B	-2.03B	-1.81B	-1.88B	-1.95B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.86	2.49	1.60	1.18
Total Volume	597,564.714	315,909	1,167,156	979,971	422,261
Total OI	13,145,345.667	11,509,164	14,907,984	13,027,717	13,097,362

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
2010-07-01	$1027.37	$1100.00	27.6%	8.0%	24.2%	54.5%	29.2%	7.0%	0.9%	-7.00B	200.53B	-1.88B	1.60	25.82	376,552	603,419	5,058,101	7,969,616
2010-07-02	$1017.78	$1100.00	21.9%	7.2%	21.3%	37.3%	24.7%	5.8%	2.1%	-7.69B	216.90B	-1.83B	1.52	17.85	188,421	285,896	5,240,044	8,149,583
2010-07-06	$1028.20	$1100.00	26.5%	7.5%	20.9%	51.2%	28.8%	8.9%	0.7%	-7.34B	200.24B	-1.81B	1.91	30.36	233,843	446,308	5,314,911	8,181,930
2010-07-07	$1062.59	$1100.00	22.4%	6.6%	23.7%	38.8%	24.3%	8.3%	1.2%	-4.69B	121.42B	-1.91B	0.91	32.95	331,268	302,819	5,365,832	8,242,798
2010-07-08	$1070.98	$1100.00	20.5%	6.5%	23.8%	32.9%	23.7%	7.6%	0.7%	-3.21B	98.24B	-1.92B	1.12	36.25	250,371	280,158	5,464,481	8,314,934
2010-07-09	$1075.80	$1100.00	18.4%	6.3%	21.8%	26.5%	24.2%	8.0%	1.3%	-2.46B	82.56B	-1.94B	1.37	33.62	275,032	376,755	5,516,326	8,310,057
2010-07-12	$1080.67	$1100.00	21.6%	6.4%	21.7%	36.2%	24.1%	7.6%	1.1%	-1.68B	69.16B	-1.94B	1.49	30.94	283,127	421,390	5,589,309	8,408,436
2010-07-13	$1093.72	$1090.00	20.2%	6.4%	22.2%	32.0%	24.2%	7.4%	0.9%	1.57B	21.76B	-1.97B	1.26	33.27	516,867	650,289	5,730,448	8,518,045
2010-07-14	$1095.07	$1075.00	18.1%	6.4%	20.8%	25.7%	24.9%	7.2%	1.0%	1.54B	16.51B	-2.00B	1.01	26.37	469,171	475,499	5,812,456	8,737,483
2010-07-15	$1094.11	$1075.00	22.4%	6.4%	20.8%	38.6%	24.1%	7.3%	0.9%	1.65B	10.64B	-2.03B	0.86	32.46	419,540	361,480	5,991,091	8,916,893
2010-07-16	$1066.76	$1075.00	23.6%	6.8%	22.5%	42.4%	25.4%	7.5%	1.4%	-2.15B	64.85B	-1.98B	2.18	30.52	190,959	416,289	4,645,429	6,863,735
2010-07-19	$1067.26	$1070.00	23.4%	6.7%	22.5%	41.6%	25.1%	7.1%	0.9%	-2.29B	64.92B	-1.96B	1.76	24.50	158,190	277,724	4,770,486	7,070,860
2010-07-20	$1084.06	$1060.00	20.6%	5.9%	23.4%	33.2%	22.8%	6.7%	1.5%	-1.33B	30.00B	-1.98B	1.49	21.30	173,110	258,007	4,833,392	7,168,555
2010-07-21	$1067.53	$1065.00	22.7%	6.5%	23.1%	39.5%	25.1%	7.1%	0.8%	-2.41B	66.03B	-1.95B	2.49	21.80	199,564	495,996	4,878,502	7,253,537
2010-07-22	$1093.67	$1060.00	21.2%	6.1%	24.8%	35.2%	23.8%	6.7%	1.0%	-473.5M	9.19B	-2.01B	1.27	22.02	180,425	229,104	4,987,964	7,584,672
2010-07-23	$1104.17	$1070.00	20.2%	5.8%	24.2%	31.9%	22.2%	5.6%	1.1%	120.0M	-18.13B	-1.99B	1.59	22.11	186,205	296,888	5,002,148	7,563,955
2010-07-26	$1113.07	$1070.00	19.1%	5.5%	24.3%	28.7%	21.1%	6.2%	1.2%	1.12B	-42.14B	-1.97B	1.60	20.39	151,049	241,720	5,039,201	7,651,323
2010-07-27	$1114.45	$1070.00	19.1%	5.5%	24.2%	28.8%	20.9%	5.4%	1.6%	1.12B	-43.75B	-1.96B	1.40	18.40	200,452	279,835	5,098,969	7,734,758
2010-07-28	$1106.13	$1070.00	20.0%	5.7%	21.2%	31.3%	21.7%	6.0%	1.4%	380.1M	-22.65B	-1.96B	1.97	24.51	106,265	209,644	5,140,673	7,794,067
2010-07-29	$1099.66	$1070.00	19.5%	5.6%	20.9%	30.0%	21.7%	5.4%	1.9%	-45.5M	-7.95B	-1.95B	1.74	21.30	119,150	207,817	5,164,853	7,875,044
2010-07-30	$1101.60	$1075.00	19.5%	5.5%	20.7%	30.0%	21.7%	5.3%	1.7%	-201.6M	-11.16B	-1.95B	1.18	11.80	193,928	228,333	5,190,025	7,907,337