SPX Options History — January 2011

In January 2011, SPX traded between $1269.12 and $1299.54. ATM implied volatility averaged 13.8%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 7.4% (HV 20d: 6.5%). Max pain ranged from $1200.00 to $1250.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.78.

Notable Days

  • 2011-01-19: Highest Volume — 1,313,318 contracts
  • 2011-01-28: Largest IV spike — 41.3% change
  • 2011-01-31: Highest IV Rank — 25.1%
  • 2011-01-28: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1282.59$1269.12$1299.54$1269.12$1285.56
Max Pain$1232.75$1200.00$1250.00$1200.00$1250.00
ATM IV13.8%11.8%17.9%13.1%17.9%
Expected Move4.0%3.6%4.7%3.9%4.4%
HV 20d6.5%4.6%10.6%4.7%10.6%
HV 60d11.5%11.2%12.2%11.4%12.2%
IV Rank12.8%6.8%25.1%10.5%25.1%
IV Percentile15.3%1.6%50.4%8.3%50.4%
Term Structure1.1%-0.7%2.3%2.3%0.3%
VWIV15.9%13.8%19.1%14.4%17.9%
Skew 25d4.0%2.6%5.4%3.4%5.4%
Skew 10d8.9%5.6%13.0%6.1%13.0%
Call IV 25d12.5%11.3%14.4%12.1%13.3%
Put IV 25d16.5%14.4%19.8%15.5%18.7%
Bid-Ask Spread %31.644.9750.6422.874.97
Gamma HHI0.060.040.110.050.04
Net GEX4.93B-1.30B9.58B5.58B-456.7M
Net DEX-166.93B-237.55B-87.52B-158.75B-115.57B
Net VEX-1.84B-1.97B-1.76B-1.77B-1.96B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.863.061.403.06
Total Volume647,021.6349,3871,313,318682,895602,616
Total OI11,670,23910,447,18213,393,79510,692,67311,956,033

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$1269.12$1200.0013.1%3.9%4.7%10.5%14.4%3.4%2.3%5.58B-158.75B-1.77B1.4022.87284,159398,7363,906,3506,786,323
2011-01-04$1269.31$1200.0013.2%3.9%4.6%10.8%14.5%3.5%2.2%6.15B-160.92B-1.79B1.4921.44174,438260,7384,033,0576,978,877
2011-01-05$1275.67$1200.0014.5%3.6%4.7%14.8%13.8%2.6%2.3%7.22B-177.28B-1.79B1.8118.94209,030378,1454,088,7077,095,701
2011-01-06$1273.85$1200.0013.6%3.8%4.7%12.2%14.6%2.9%2.0%6.25B-166.49B-1.81B0.8620.92370,364317,7214,152,9127,219,586
2011-01-07$1271.50$1225.0012.3%4.3%4.9%8.3%17.4%4.3%1.1%5.22B-164.70B-1.83B1.8050.64188,477339,0754,261,5107,367,275
2011-01-10$1269.52$1225.0013.9%4.3%4.7%13.0%16.3%4.4%1.1%5.45B-161.01B-1.81B1.5848.64135,231214,1564,293,2947,413,896
2011-01-11$1273.68$1225.0012.2%4.1%4.7%8.1%16.3%4.2%1.3%6.02B-171.83B-1.81B1.9049.65206,034391,9354,338,5637,509,225
2011-01-12$1286.98$1230.0011.8%4.0%5.7%6.8%16.1%3.9%1.1%8.66B-208.90B-1.78B1.2940.93300,003386,7594,392,2527,659,766
2011-01-13$1284.66$1230.0014.0%4.0%5.5%13.5%15.4%3.4%1.1%8.02B-204.19B-1.80B1.3940.63232,643323,4654,511,9307,774,139
2011-01-14$1293.24$1240.0013.1%3.7%5.7%10.6%14.8%3.4%1.2%9.19B-225.81B-1.79B1.4640.76247,508361,4254,570,0747,878,074
2011-01-18$1298.30$1240.0013.0%3.7%5.6%10.3%14.9%3.9%1.1%9.58B-237.55B-1.76B1.4833.45293,000433,9904,538,4717,898,287
2011-01-19$1282.82$1240.0014.0%4.0%7.6%13.5%16.8%4.0%1.2%6.19B-193.20B-1.83B2.3639.16390,482922,8364,641,7198,047,822
2011-01-20$1279.27$1250.0014.4%4.1%7.4%14.6%16.9%4.2%1.0%2.70B-184.60B-1.88B1.6541.98330,345544,0344,811,7618,582,034
2011-01-21$1283.35$1250.0014.3%4.1%7.4%14.2%16.8%4.5%0.9%1.36B-120.92B-1.88B1.5731.53239,100374,8703,879,2356,567,947
2011-01-24$1291.75$1250.0014.1%4.0%7.5%13.6%16.7%4.2%0.6%2.31B-141.90B-1.86B2.0628.86140,098288,8653,997,8786,810,023
2011-01-25$1290.62$1250.0013.7%3.9%7.6%12.4%16.2%4.3%0.7%2.43B-138.46B-1.88B2.4422.86158,497386,2344,067,8436,904,474
2011-01-26$1296.75$1250.0013.2%3.8%7.7%10.8%14.6%4.0%0.6%3.74B-155.71B-1.86B1.0623.08303,675321,2044,126,2937,063,756
2011-01-27$1299.54$1250.0012.5%3.6%7.7%8.8%15.6%3.5%1.3%4.19B-163.30B-1.85B2.6623.28166,634443,3924,285,9227,230,564
2011-01-28$1276.34$1250.0017.6%4.7%10.3%24.3%19.1%5.4%-0.7%-1.30B-87.52B-1.97B2.3128.10266,085614,4334,365,1607,398,047
2011-01-31$1285.56$1250.0017.9%4.4%10.6%25.1%17.9%5.4%0.3%-456.7M-115.57B-1.96B3.064.97148,366454,2504,390,9607,565,073