SPX Options History — September 2010

In September 2010, SPX traded between $1082.64 and $1147.71. ATM implied volatility averaged 18.7%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.0% (HV 20d: 18.7%). Max pain ranged from $1100.00 to $1100.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.75.

Notable Days

2010-09-15: Highest Volume — 1,144,746 contracts
2010-09-09: Largest IV spike — 19.3% change
2010-09-01: Highest IV Rank — 36.8%
2010-09-01: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1122.25	$1082.64	$1147.71	$1082.64	$1141.20
Max Pain	$1100.00	$1100.00	$1100.00	$1100.00	$1100.00
ATM IV	18.7%	16.1%	21.8%	21.8%	17.6%
Expected Move	5.4%	4.9%	6.2%	6.2%	5.3%
HV 20d	18.7%	12.4%	22.2%	21.1%	12.4%
HV 60d	19.8%	17.7%	21.0%	21.0%	17.7%
IV Rank	27.5%	19.7%	36.8%	36.8%	24.2%
IV Percentile	42.5%	24.2%	71.0%	71.0%	31.7%
Term Structure	1.6%	-0.2%	2.6%	-0.2%	2.5%
VWIV	21.2%	19.0%	28.8%	24.1%	20.3%
Skew 25d	5.7%	4.5%	6.7%	6.2%	4.9%
Skew 10d	11.1%	9.4%	12.9%	11.7%	9.9%
Call IV 25d	16.4%	15.1%	18.6%	18.6%	16.4%
Put IV 25d	22.1%	20.2%	24.7%	24.7%	21.3%
Bid-Ask Spread %	28.52	4.28	53.79	53.27	4.28
Gamma HHI	0.04	0.04	0.05	0.05	0.04
Net GEX	1.33B	-2.71B	5.07B	-2.71B	1.67B
Net DEX	-49.07B	-138.39B	50.83B	50.83B	-58.14B
Net VEX	-1.84B	-1.94B	-1.76B	-1.84B	-1.94B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.92	2.40	1.21	1.76
Total Volume	659,966.476	379,026	1,144,746	966,909	480,847
Total OI	13,700,805.048	11,524,875	16,241,652	13,880,823	13,212,188

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
2010-09-01	$1082.64	$1100.00	21.8%	6.2%	21.1%	36.8%	24.1%	6.2%	-0.2%	-2.71B	50.83B	-1.84B	1.21	53.27	438,495	528,414	5,362,666	8,518,157
2010-09-02	$1090.10	$1100.00	19.6%	5.6%	21.3%	30.3%	28.8%	5.0%	1.2%	-1.44B	22.20B	-1.85B	1.31	53.79	210,312	274,573	5,482,309	8,626,152
2010-09-03	$1104.32	$1100.00	18.4%	5.3%	21.9%	26.6%	19.3%	4.5%	0.8%	561.9M	-28.05B	-1.82B	2.08	48.13	220,653	458,007	5,515,415	8,676,045
2010-09-07	$1092.43	$1100.00	19.6%	5.6%	22.1%	30.1%	19.3%	5.7%	1.6%	-1.72B	20.26B	-1.81B	2.03	43.44	157,974	320,674	5,569,391	8,799,371
2010-09-08	$1099.71	$1100.00	16.7%	5.5%	22.2%	21.6%	24.4%	5.6%	1.3%	-883.7M	-8.02B	-1.81B	2.04	45.14	197,068	401,937	5,630,246	8,940,037
2010-09-09	$1102.95	$1100.00	20.0%	5.7%	19.1%	31.4%	21.4%	6.7%	1.9%	106.0M	-26.34B	-1.79B	1.88	30.77	261,432	490,613	5,667,319	9,043,389
2010-09-10	$1109.68	$1100.00	18.8%	5.4%	19.1%	27.8%	20.6%	6.6%	2.4%	1.14B	-51.13B	-1.80B	1.95	29.34	234,282	457,829	5,776,655	9,149,018
2010-09-13	$1121.06	$1100.00	18.4%	5.3%	19.3%	26.7%	20.8%	6.1%	1.8%	4.62B	-104.53B	-1.76B	0.92	31.83	483,545	446,342	5,854,162	9,321,411
2010-09-14	$1121.01	$1100.00	18.7%	5.4%	19.3%	27.6%	19.7%	6.1%	2.0%	3.82B	-107.34B	-1.76B	1.58	25.62	344,231	543,980	5,939,985	9,417,123
2010-09-15	$1126.10	$1100.00	19.0%	5.4%	19.0%	28.3%	21.8%	6.1%	0.9%	5.07B	-124.20B	-1.80B	1.53	29.26	452,277	692,469	6,096,599	9,650,144
2010-09-16	$1127.21	$1100.00	18.3%	5.2%	18.9%	26.2%	19.9%	6.0%	1.3%	4.00B	-138.39B	-1.80B	1.03	30.23	505,167	519,406	6,245,805	9,995,847
2010-09-17	$1124.82	$1100.00	18.7%	5.4%	18.0%	27.5%	21.7%	6.3%	1.1%	-128.8M	-22.24B	-1.82B	2.40	18.36	166,039	398,714	4,243,691	7,281,184
2010-09-20	$1141.51	$1100.00	17.6%	5.0%	18.5%	24.1%	19.0%	5.7%	2.1%	1.78B	-58.75B	-1.81B	2.16	17.97	200,634	434,344	4,339,793	7,480,742
2010-09-21	$1139.69	$1100.00	18.4%	5.3%	18.3%	26.6%	21.4%	5.6%	1.3%	1.58B	-54.60B	-1.84B	2.04	19.85	233,774	476,294	4,422,396	7,621,191
2010-09-22	$1135.05	$1100.00	18.3%	5.2%	17.3%	26.2%	21.8%	5.3%	1.8%	962.3M	-43.75B	-1.88B	2.14	18.92	156,893	335,991	4,536,370	7,746,837
2010-09-23	$1125.23	$1100.00	19.5%	5.6%	17.8%	30.0%	20.7%	6.0%	1.5%	-297.5M	-22.08B	-1.90B	1.70	21.28	140,564	238,462	4,573,978	7,854,253
2010-09-24	$1147.71	$1100.00	16.1%	4.9%	18.0%	19.7%	19.1%	5.1%	2.0%	2.71B	-74.86B	-1.88B	1.57	21.54	206,745	325,144	4,606,383	7,896,043
2010-09-27	$1142.91	$1100.00	18.1%	5.2%	17.6%	25.8%	21.5%	5.5%	2.2%	2.07B	-64.23B	-1.87B	1.73	22.12	165,309	285,811	4,680,478	8,019,109
2010-09-28	$1146.44	$1100.00	19.2%	5.1%	15.7%	28.9%	20.5%	5.1%	2.3%	2.79B	-71.22B	-1.90B	2.35	16.82	151,749	356,450	4,737,506	8,135,411
2010-09-29	$1145.48	$1100.00	19.8%	5.3%	15.8%	30.7%	19.5%	4.9%	2.6%	2.23B	-65.88B	-1.92B	1.42	16.93	192,207	273,645	4,784,251	8,267,856
2010-09-30	$1141.20	$1100.00	17.6%	5.3%	12.4%	24.2%	20.3%	4.9%	2.5%	1.67B	-58.14B	-1.94B	1.76	4.28	174,032	306,815	4,867,273	8,344,915