SPX Options History — February 2011

In February 2011, SPX traded between $1303.29 and $1343.66. 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 2.2% (HV 20d: 11.6%). Max pain ranged from $1250.00 to $1325.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.87.

Notable Days

  • 2011-02-16: Highest Volume — 1,205,747 contracts
  • 2011-02-22: Largest IV spike — 41.3% change
  • 2011-02-23: Highest IV Rank — 26.4%
  • 2011-02-23: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1320.63$1303.29$1343.66$1305.81$1327.22
Max Pain$1266.84$1250.00$1325.00$1250.00$1320.00
ATM IV13.8%11.0%18.3%14.8%15.5%
Expected Move4.0%3.4%5.3%4.0%4.5%
HV 20d11.6%10.0%13.5%11.7%11.6%
HV 60d11.1%9.7%12.1%12.1%9.7%
IV Rank12.8%4.3%26.4%15.9%18.0%
IV Percentile19.7%1.2%59.1%26.2%38.1%
Term Structure0.7%-0.3%1.6%0.9%0.1%
VWIV16.2%13.6%22.7%15.2%21.5%
Skew 25d4.7%3.6%7.1%3.7%5.6%
Skew 10d10.1%7.2%15.1%9.2%12.3%
Call IV 25d12.2%10.8%15.4%12.2%13.1%
Put IV 25d16.9%14.9%22.6%15.9%18.7%
Bid-Ask Spread %30.5723.8240.7823.8226.32
Gamma HHI0.050.030.060.040.04
Net GEX5.63B-2.50B10.71B4.06B2.15B
Net DEX-207.73B-292.44B-98.64B-177.29B-187.38B
Net VEX-1.91B-2.09B-1.78B-1.91B-1.98B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.871.212.751.212.30
Total Volume644,066.421392,6851,205,747773,273512,086
Total OI12,827,583.31611,708,04614,313,14012,124,82912,724,840

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$1305.81$1250.0014.8%4.0%11.7%15.9%15.2%3.7%0.9%4.06B-177.29B-1.91B1.2123.82350,111423,1624,435,0257,689,804
2011-02-02$1303.29$1250.0014.3%3.8%11.7%14.4%14.6%4.2%0.8%4.57B-174.70B-1.92B2.3523.94117,182275,5034,573,9957,824,716
2011-02-03$1307.10$1250.0013.0%3.6%11.7%10.4%14.9%3.6%1.4%4.66B-181.63B-1.91B1.6726.20190,429317,3494,601,2597,928,166
2011-02-04$1310.87$1250.0011.6%3.8%11.6%6.0%15.0%4.3%1.1%6.92B-198.97B-1.89B1.8536.70172,701318,8464,681,5898,039,186
2011-02-07$1318.22$1250.0012.5%3.8%11.6%9.0%14.7%3.8%0.6%8.12B-225.44B-1.85B1.8535.28201,266371,5424,628,6708,014,939
2011-02-08$1323.88$1250.0011.8%3.7%11.6%6.7%13.8%3.6%0.7%9.56B-248.43B-1.79B1.3638.29238,756325,6414,708,8628,114,963
2011-02-09$1321.59$1250.0011.0%3.8%11.7%4.3%14.6%4.1%0.4%8.80B-238.47B-1.85B1.4635.87284,144413,6904,803,5478,202,178
2011-02-10$1320.94$1250.0013.0%3.7%11.3%10.3%14.3%4.2%0.5%7.68B-230.69B-1.86B1.6633.00154,873256,4364,876,5838,324,192
2011-02-11$1329.15$1250.0012.5%3.6%11.3%8.8%14.2%4.2%1.0%10.71B-261.38B-1.86B1.8334.36243,685445,0904,902,1938,423,163
2011-02-14$1329.72$1255.0012.8%3.7%11.2%9.8%14.6%3.9%0.7%10.36B-270.09B-1.78B2.0934.63218,383456,9774,913,4338,488,865
2011-02-15$1328.03$1260.0012.9%3.7%11.2%10.1%13.6%4.5%1.0%9.56B-259.26B-1.82B1.7924.71195,773349,4924,981,6638,642,103
2011-02-16$1334.61$1260.0013.2%3.8%10.1%11.1%14.7%4.5%1.2%10.51B-279.94B-1.84B1.8825.76418,524787,2235,014,4278,739,866
2011-02-17$1340.09$1265.0012.9%3.7%10.0%10.0%14.9%4.3%0.9%9.45B-292.44B-1.91B1.2228.42387,177470,8075,162,2219,150,919
2011-02-18$1343.66$1270.0011.9%3.4%10.0%7.0%14.2%4.6%1.6%5.08B-228.73B-1.90B2.7523.98177,777488,3024,364,3107,343,736
2011-02-22$1315.43$1270.0016.8%4.8%12.8%21.8%18.7%6.3%0.2%-569.1M-138.34B-2.03B2.5126.31196,478492,5384,401,9427,567,393
2011-02-23$1306.47$1275.0018.3%5.3%13.1%26.4%19.4%7.1%-0.3%-2.35B-104.58B-2.09B1.3725.77290,885398,2334,470,2447,800,528
2011-02-24$1306.10$1325.0017.6%5.1%13.0%24.1%22.7%7.0%0.3%-2.50B-98.64B-2.08B2.5636.78182,332466,2884,561,3437,924,976
2011-02-25$1319.88$1320.0016.0%4.6%13.5%19.2%22.5%6.0%0.1%253.9M-150.49B-2.04B1.8940.78224,422423,1594,635,8608,062,384
2011-02-28$1327.22$1320.0015.5%4.5%11.6%18.0%21.5%5.6%0.1%2.15B-187.38B-1.98B2.3026.32155,372356,7144,644,1578,080,683