SPX Options History — November 2010

In November 2010, SPX traded between $1176.69 and $1224.22. ATM implied volatility averaged 17.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.9% (HV 20d: 11.5%). Max pain ranged from $1150.00 to $1155.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.72.

Notable Days

2010-11-04: Highest Volume — 1,278,261 contracts
2010-11-03: Largest IV drop — 28.4% change
2010-11-02: Highest IV Rank — 43.7%
2010-11-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1198.33	$1176.69	$1224.22	$1185.21	$1180.15
Max Pain	$1150.24	$1150.00	$1155.00	$1150.00	$1155.00
ATM IV	17.3%	12.6%	24.0%	24.0%	20.8%
Expected Move	5.0%	4.3%	6.2%	5.4%	6.2%
HV 20d	11.5%	7.3%	15.9%	8.9%	15.9%
HV 60d	13.9%	12.5%	15.2%	15.2%	12.5%
IV Rank	23.5%	9.2%	43.7%	43.4%	33.9%
IV Percentile	38.9%	4.8%	84.9%	83.7%	71.4%
Term Structure	0.5%	-1.4%	1.3%	0.3%	-0.2%
VWIV	18.5%	15.9%	22.8%	21.2%	22.8%
Skew 25d	4.9%	2.6%	6.6%	4.6%	6.5%
Skew 10d	9.8%	4.5%	13.2%	9.9%	13.2%
Call IV 25d	15.4%	13.2%	18.2%	17.1%	18.2%
Put IV 25d	20.3%	17.2%	24.6%	21.7%	24.6%
Bid-Ask Spread %	24.47	9.95	33.65	18.38	9.95
Gamma HHI	0.05	0.04	0.07	0.05	0.04
Net GEX	3.26B	-2.47B	10.07B	2.34B	-1.89B
Net DEX	-140.42B	-248.67B	-49.52B	-113.80B	-51.80B
Net VEX	-1.97B	-2.05B	-1.90B	-2.05B	-1.96B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	1.09	2.57	2.57	2.12
Total Volume	630,450.381	210,934	1,278,261	461,022	503,689
Total OI	15,445,097.048	14,169,396	17,009,323	14,866,731	14,845,831

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
2010-11-01	$1185.21	$1150.00	24.0%	5.4%	8.9%	43.4%	21.2%	4.6%	0.3%	2.34B	-113.80B	-2.05B	2.57	18.38	129,011	332,011	5,461,559	9,405,172
2010-11-02	$1195.42	$1150.00	24.0%	5.5%	7.3%	43.7%	20.2%	4.2%	-0.1%	3.89B	-148.04B	-2.03B	1.20	16.87	196,203	235,283	5,498,010	9,482,503
2010-11-03	$1200.45	$1150.00	17.2%	4.8%	7.4%	23.1%	17.6%	3.5%	1.1%	5.90B	-168.53B	-1.96B	1.97	24.40	172,666	340,559	5,576,738	9,551,241
2010-11-04	$1221.06	$1150.00	15.1%	4.5%	9.1%	16.6%	16.5%	2.6%	0.6%	10.07B	-240.56B	-1.90B	1.80	18.72	457,151	821,110	5,626,931	9,631,472
2010-11-05	$1224.22	$1150.00	12.6%	4.7%	9.1%	9.2%	17.4%	3.5%	0.5%	9.75B	-248.67B	-1.94B	1.62	29.35	282,515	458,177	5,761,169	9,811,376
2010-11-08	$1221.94	$1150.00	14.5%	4.6%	9.2%	14.8%	16.8%	3.9%	0.8%	9.75B	-238.61B	-1.94B	1.25	33.07	214,469	267,589	5,810,051	9,962,579
2010-11-09	$1213.15	$1150.00	15.3%	4.7%	9.8%	17.1%	16.9%	4.1%	1.1%	6.80B	-203.57B	-1.97B	1.59	32.06	206,254	328,221	5,832,235	10,059,918
2010-11-10	$1216.44	$1150.00	13.6%	4.6%	9.6%	12.2%	17.0%	4.3%	0.7%	8.14B	-217.99B	-1.95B	1.61	31.90	206,909	332,418	5,885,795	10,184,133
2010-11-11	$1212.70	$1150.00	15.7%	4.5%	9.7%	18.4%	17.0%	4.8%	1.2%	6.90B	-199.18B	-1.98B	1.64	30.14	161,571	264,923	5,921,113	10,274,773
2010-11-12	$1196.65	$1150.00	17.8%	5.1%	11.0%	24.9%	19.5%	5.3%	0.4%	2.23B	-137.73B	-2.04B	1.22	33.65	394,483	482,395	5,909,106	10,300,031
2010-11-15	$1197.62	$1150.00	17.4%	5.0%	11.0%	23.7%	17.8%	5.0%	0.5%	3.30B	-148.31B	-2.00B	1.46	30.74	193,490	281,687	6,035,447	10,448,310
2010-11-16	$1176.69	$1150.00	19.4%	5.6%	11.9%	29.6%	19.8%	6.5%	0.5%	-2.47B	-57.23B	-2.04B	1.80	25.15	382,206	688,513	6,029,559	10,495,714
2010-11-17	$1178.99	$1150.00	18.3%	5.3%	11.5%	26.4%	19.1%	6.6%	1.3%	-929.0M	-71.63B	-2.02B	1.60	21.11	405,506	647,764	6,116,426	10,581,973
2010-11-18	$1199.33	$1150.00	15.7%	4.5%	13.0%	18.4%	16.3%	5.0%	1.2%	4.22B	-157.65B	-1.96B	1.19	30.57	468,464	559,045	6,196,918	10,812,405
2010-11-19	$1200.22	$1150.00	15.1%	4.3%	12.9%	16.7%	15.9%	4.7%	1.0%	1.64B	-122.40B	-1.95B	1.09	22.92	324,140	352,192	5,277,200	8,892,196
2010-11-22	$1197.50	$1150.00	15.7%	4.5%	13.0%	18.5%	17.6%	5.0%	-1.4%	1.59B	-116.09B	-1.91B	2.12	21.45	148,118	313,583	5,369,156	8,909,305
2010-11-23	$1178.93	$1150.00	17.8%	5.1%	14.2%	24.8%	18.6%	5.9%	0.1%	-1.92B	-49.52B	-1.93B	1.95	20.25	181,187	352,545	5,364,804	9,051,237
2010-11-24	$1197.53	$1150.00	16.4%	4.6%	15.2%	20.6%	18.1%	5.1%	0.3%	752.6M	-110.93B	-1.93B	2.00	23.35	150,502	301,226	5,405,737	9,195,759
2010-11-26	$1183.93	$1150.00	19.4%	5.6%	15.8%	29.6%	21.1%	6.0%	-0.3%	-1.23B	-65.19B	-1.97B	2.07	20.32	68,602	142,332	5,426,164	9,219,623
2010-11-29	$1186.78	$1150.00	18.6%	5.5%	15.8%	27.2%	20.5%	5.8%	0.4%	-361.8M	-81.36B	-1.90B	2.24	19.42	151,633	339,116	5,444,836	9,282,533
2010-11-30	$1180.15	$1155.00	20.8%	6.2%	15.9%	33.9%	22.8%	6.5%	-0.2%	-1.89B	-51.80B	-1.96B	2.12	9.95	161,263	342,426	5,472,813	9,373,018