SPX Options History — October 2010

In October 2010, SPX traded between $1138.81 and $1186.55. ATM implied volatility averaged 16.7%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.4% (HV 20d: 11.3%). Max pain ranged from $1100.00 to $1150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.75.

Notable Days

2010-10-13: Highest Volume — 1,285,547 contracts
2010-10-14: Largest IV spike — 44.1% change
2010-10-29: Highest IV Rank — 33.8%
2010-10-04: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1171.89	$1138.81	$1186.55	$1146.28	$1182.55
Max Pain	$1135.00	$1100.00	$1150.00	$1100.00	$1150.00
ATM IV	16.7%	12.4%	20.8%	15.2%	20.8%
Expected Move	5.1%	4.6%	6.0%	4.9%	5.2%
HV 20d	11.3%	9.4%	12.4%	12.3%	9.4%
HV 60d	16.5%	15.2%	18.0%	17.6%	15.2%
IV Rank	21.5%	8.7%	33.8%	16.9%	33.8%
IV Percentile	30.3%	3.2%	69.4%	18.7%	69.4%
Term Structure	1.4%	0.5%	3.2%	3.2%	0.5%
VWIV	19.6%	17.6%	23.5%	18.3%	20.7%
Skew 25d	5.1%	4.3%	6.4%	4.5%	4.6%
Skew 10d	9.9%	7.8%	12.8%	7.8%	9.4%
Call IV 25d	15.9%	14.5%	18.3%	15.4%	16.5%
Put IV 25d	21.0%	18.7%	24.8%	19.9%	21.2%
Bid-Ask Spread %	24.03	3.95	35.27	18.43	3.95
Gamma HHI	0.05	0.04	0.06	0.04	0.05
Net GEX	3.74B	558.5M	7.81B	2.39B	2.14B
Net DEX	-111.81B	-166.43B	-53.13B	-70.49B	-108.87B
Net VEX	-1.96B	-2.06B	-1.89B	-1.94B	-2.06B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	1.06	3.40	1.35	3.40
Total Volume	625,833.19	430,960	1,285,547	435,509	534,023
Total OI	13,805,843.81	12,640,414	14,940,756	13,093,736	14,730,601

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
2010-10-01	$1146.28	$1100.00	15.2%	4.9%	12.3%	16.9%	18.3%	4.5%	3.2%	2.39B	-70.49B	-1.94B	1.35	18.43	185,317	250,192	4,827,460	8,266,276
2010-10-04	$1138.81	$1120.00	18.3%	6.0%	12.1%	26.4%	23.5%	6.4%	1.3%	1.73B	-53.13B	-1.91B	1.45	34.69	191,257	276,848	4,890,615	8,324,051
2010-10-05	$1158.61	$1120.00	16.3%	5.5%	12.4%	20.2%	20.5%	6.0%	1.5%	4.58B	-104.13B	-1.89B	1.16	32.06	364,935	423,086	4,900,202	8,415,742
2010-10-06	$1159.96	$1125.00	15.8%	5.5%	12.3%	18.9%	20.3%	5.8%	1.5%	5.15B	-109.02B	-1.91B	1.43	31.74	203,528	291,172	5,021,668	8,555,736
2010-10-07	$1160.31	$1125.00	16.5%	5.5%	12.3%	20.8%	19.7%	5.7%	1.5%	5.22B	-109.66B	-1.93B	1.40	31.58	222,008	310,856	5,068,577	8,668,985
2010-10-08	$1164.50	$1125.00	15.1%	5.3%	12.3%	16.8%	19.7%	5.3%	1.8%	5.65B	-122.95B	-1.93B	1.69	34.74	202,801	342,133	5,132,619	8,734,444
2010-10-11	$1166.16	$1125.00	15.5%	5.3%	11.9%	17.9%	20.4%	5.0%	1.6%	6.78B	-131.29B	-1.90B	1.49	35.27	292,632	435,530	5,183,767	8,846,344
2010-10-12	$1168.48	$1125.00	15.0%	5.1%	11.9%	16.3%	19.5%	4.8%	1.6%	6.84B	-141.11B	-1.90B	1.79	34.73	218,321	391,356	5,269,893	9,007,557
2010-10-13	$1178.28	$1125.00	12.4%	5.0%	12.1%	8.7%	19.0%	4.8%	1.6%	7.81B	-166.43B	-1.90B	1.27	30.18	566,538	719,009	5,293,199	9,166,582
2010-10-14	$1176.96	$1130.00	17.9%	5.1%	12.1%	25.2%	20.7%	5.7%	1.4%	6.63B	-161.70B	-1.97B	1.49	33.56	402,663	601,078	5,459,414	9,481,342
2010-10-15	$1178.40	$1140.00	17.1%	4.9%	12.0%	22.6%	19.9%	5.3%	1.9%	1.97B	-97.86B	-1.99B	2.89	22.12	139,035	402,112	4,705,656	7,934,758
2010-10-18	$1181.91	$1140.00	16.9%	4.8%	11.1%	22.2%	18.2%	5.0%	1.7%	2.35B	-109.44B	-1.97B	1.45	17.08	176,003	254,957	4,775,061	8,111,017
2010-10-19	$1167.56	$1140.00	17.9%	5.1%	12.1%	25.1%	18.8%	5.4%	1.4%	558.5M	-68.54B	-2.00B	1.46	20.29	213,441	311,205	4,829,282	8,182,665
2010-10-20	$1178.19	$1145.00	17.0%	4.9%	12.3%	22.2%	18.9%	5.2%	1.7%	2.16B	-99.84B	-1.98B	1.93	18.63	329,830	636,058	4,894,832	8,290,324
2010-10-21	$1178.82	$1150.00	16.9%	4.8%	11.6%	22.1%	17.7%	4.9%	1.2%	2.37B	-103.84B	-1.97B	1.70	18.37	231,824	395,101	5,088,902	8,713,960
2010-10-22	$1184.59	$1150.00	16.2%	4.6%	9.7%	19.9%	17.6%	4.3%	1.4%	2.99B	-117.21B	-1.96B	1.06	18.16	255,459	270,416	5,106,317	8,713,689
2010-10-25	$1186.55	$1150.00	17.3%	4.9%	9.5%	23.2%	19.1%	4.4%	0.9%	3.47B	-126.73B	-1.96B	1.89	17.45	191,817	361,773	5,247,193	8,840,468
2010-10-26	$1186.46	$1150.00	17.5%	5.0%	9.5%	23.8%	19.4%	4.3%	0.9%	3.15B	-123.54B	-1.98B	1.97	16.03	164,611	324,875	5,304,171	8,950,444
2010-10-27	$1182.45	$1150.00	17.7%	5.1%	9.6%	24.5%	19.7%	4.7%	1.2%	2.38B	-110.87B	-2.00B	2.15	17.19	164,490	354,334	5,362,669	9,041,752
2010-10-28	$1183.78	$1150.00	17.9%	5.1%	9.4%	25.0%	19.0%	4.4%	0.7%	2.20B	-111.27B	-2.03B	2.22	18.31	167,631	372,242	5,400,425	9,184,061
2010-10-29	$1182.55	$1150.00	20.8%	5.2%	9.4%	33.8%	20.7%	4.6%	0.5%	2.14B	-108.87B	-2.06B	3.40	3.95	121,267	412,756	5,445,262	9,285,339