SPX Options History — August 2010

In August 2010, SPX traded between $1045.90 and $1127.79. ATM implied volatility averaged 20.9%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.5% (HV 20d: 18.4%). Max pain ranged from $1075.00 to $1100.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.91.

Notable Days

2010-08-18: Highest Volume — 1,049,095 contracts
2010-08-30: Largest IV spike — 126.5% change
2010-08-31: Highest IV Rank — 45.5%
2010-08-31: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1086.41	$1045.90	$1127.79	$1124.78	$1049.30
Max Pain	$1090.91	$1075.00	$1100.00	$1075.00	$1100.00
ATM IV	20.9%	10.8%	24.6%	19.1%	24.6%
Expected Move	6.0%	3.1%	7.1%	5.1%	7.1%
HV 20d	18.4%	16.0%	21.5%	21.0%	17.3%
HV 60d	23.2%	20.2%	26.2%	26.2%	20.2%
IV Rank	34.1%	3.8%	45.5%	28.6%	45.5%
IV Percentile	61.2%	0.8%	85.7%	40.1%	85.7%
Term Structure	1.6%	-0.2%	12.0%	1.1%	-0.2%
VWIV	22.7%	16.2%	30.6%	20.9%	26.7%
Skew 25d	6.5%	4.3%	7.9%	5.1%	6.8%
Skew 10d	12.5%	9.1%	14.7%	10.4%	13.2%
Call IV 25d	18.3%	9.8%	21.6%	15.7%	21.6%
Put IV 25d	24.8%	17.8%	28.8%	20.7%	28.4%
Bid-Ask Spread %	40.73	16.75	185.11	18.80	53.83
Gamma HHI	0.05	0.04	0.06	0.04	0.06
Net GEX	-2.46B	-6.08B	2.58B	2.58B	-6.08B
Net DEX	39.68B	-83.82B	156.36B	-76.77B	152.57B
Net VEX	-1.86B	-1.93B	-1.75B	-1.91B	-1.78B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.87	3.29	2.15	1.82
Total Volume	577,201.955	343,849	1,049,095	603,149	464,174
Total OI	13,646,582.091	12,472,280	15,064,594	13,231,204	13,745,707

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
2010-08-02	$1124.78	$1075.00	19.1%	5.1%	21.0%	28.6%	20.9%	5.1%	1.1%	2.58B	-76.77B	-1.91B	2.15	18.80	191,383	411,766	5,237,807	7,993,397
2010-08-03	$1121.22	$1075.00	19.1%	5.2%	21.1%	28.8%	20.4%	5.0%	1.8%	1.32B	-59.25B	-1.92B	1.27	20.50	194,002	246,760	5,214,145	8,122,754
2010-08-04	$1127.66	$1075.00	18.1%	5.2%	18.2%	25.7%	20.5%	4.7%	0.9%	2.34B	-79.46B	-1.93B	3.29	16.75	101,417	333,891	5,280,507	8,202,514
2010-08-05	$1125.81	$1075.00	18.2%	5.2%	18.2%	25.9%	20.2%	4.3%	0.9%	1.97B	-76.47B	-1.92B	2.67	19.27	107,609	287,807	5,307,669	8,247,349
2010-08-06	$1122.15	$1090.00	15.8%	5.5%	18.3%	18.7%	20.0%	5.9%	0.9%	1.55B	-65.72B	-1.92B	1.74	45.99	160,328	279,239	5,317,136	8,268,764
2010-08-09	$1127.79	$1090.00	17.6%	5.3%	18.3%	24.3%	20.0%	5.9%	1.6%	2.32B	-83.82B	-1.88B	1.94	44.83	117,091	226,758	5,351,617	8,387,481
2010-08-10	$1121.68	$1095.00	19.3%	5.5%	18.1%	29.5%	21.1%	6.3%	0.8%	1.55B	-65.78B	-1.89B	2.49	45.31	125,181	311,464	5,393,277	8,474,557
2010-08-11	$1087.24	$1095.00	22.2%	6.4%	21.5%	38.1%	22.2%	7.5%	1.8%	-3.31B	37.26B	-1.89B	1.62	43.35	287,599	466,274	5,421,617	8,507,564
2010-08-12	$1081.77	$1095.00	22.9%	6.6%	21.5%	40.3%	25.4%	6.8%	1.4%	-4.21B	55.91B	-1.91B	2.98	45.58	149,367	444,674	5,477,610	8,609,882
2010-08-13	$1077.71	$1095.00	23.4%	6.7%	19.5%	41.7%	24.4%	7.2%	1.4%	-4.58B	65.67B	-1.90B	1.81	43.74	149,745	270,715	5,506,763	8,661,874
2010-08-16	$1078.93	$1090.00	22.7%	6.5%	19.5%	39.7%	22.9%	7.2%	1.7%	-4.44B	64.15B	-1.86B	1.57	36.44	243,036	381,617	5,537,803	8,726,284
2010-08-17	$1091.04	$1090.00	21.0%	6.0%	19.1%	34.5%	21.5%	6.9%	1.1%	-2.17B	24.04B	-1.85B	1.28	32.46	269,395	345,415	5,602,518	8,819,392
2010-08-18	$1088.31	$1090.00	21.1%	6.1%	18.2%	34.8%	22.4%	7.0%	0.9%	-2.47B	31.54B	-1.87B	1.94	23.20	356,325	692,770	5,683,361	8,974,409
2010-08-19	$1072.69	$1095.00	22.6%	6.5%	16.8%	39.3%	22.4%	6.9%	1.0%	-5.97B	89.23B	-1.86B	1.32	33.58	437,679	576,405	5,790,913	9,273,681
2010-08-20	$1071.76	$1095.00	22.0%	6.3%	16.3%	37.4%	22.1%	6.5%	1.2%	-4.07B	86.60B	-1.85B	1.88	23.88	232,271	436,117	4,823,498	7,648,782
2010-08-23	$1066.74	$1095.00	21.8%	6.3%	16.0%	36.9%	22.7%	6.9%	0.9%	-4.46B	99.52B	-1.81B	1.91	19.14	149,617	285,260	4,904,932	7,792,657
2010-08-24	$1051.00	$1095.00	24.4%	6.9%	16.5%	44.7%	23.6%	6.7%	0.6%	-5.21B	137.80B	-1.78B	0.87	21.28	290,972	253,205	4,975,103	7,891,727
2010-08-25	$1056.77	$1090.00	24.0%	6.6%	16.7%	43.5%	23.5%	6.7%	1.3%	-4.96B	126.68B	-1.79B	1.97	17.19	210,619	414,968	5,069,553	7,979,751
2010-08-26	$1045.90	$1100.00	24.3%	7.0%	16.9%	44.5%	30.6%	7.4%	0.8%	-5.50B	150.98B	-1.76B	1.46	53.31	240,113	350,574	5,143,221	8,073,949
2010-08-27	$1064.81	$1100.00	10.8%	3.1%	18.4%	3.8%	16.2%	7.9%	12.0%	-4.48B	101.89B	-1.79B	1.11	185.11	343,722	380,707	5,162,807	8,104,553
2010-08-30	$1046.00	$1100.00	24.5%	7.0%	17.2%	45.1%	28.7%	7.4%	0.5%	-5.93B	156.36B	-1.75B	3.04	52.41	118,995	361,417	5,230,166	8,285,755
2010-08-31	$1049.30	$1100.00	24.6%	7.1%	17.3%	45.5%	26.7%	6.8%	-0.2%	-6.08B	152.57B	-1.78B	1.82	53.83	164,500	299,674	5,294,081	8,451,626