SPX Options History — April 2011

In April 2011, SPX traded between $1304.84 and $1362.58. ATM implied volatility averaged 12.6%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.5% (HV 20d: 11.1%). Max pain ranged from $1300.00 to $1325.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2011-04-14: Highest Volume — 979,766 contracts
  • 2011-04-14: Largest IV spike — 21.8% change
  • 2011-04-12: Highest IV Rank — 14.5%
  • 2011-04-12: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1330.74$1304.84$1362.58$1331.97$1362.58
Max Pain$1319.75$1300.00$1325.00$1300.00$1325.00
ATM IV12.6%10.9%14.4%12.0%10.9%
Expected Move3.8%3.2%4.4%3.6%3.3%
HV 20d11.1%9.2%14.5%14.5%9.7%
HV 60d13.3%12.8%13.7%13.4%12.8%
IV Rank6.9%0.1%14.5%7.2%0.1%
IV Percentile8.8%0.4%23.8%4.0%0.4%
Term Structure1.5%1.0%2.7%2.7%1.6%
VWIV15.0%12.4%17.8%13.8%12.4%
Skew 25d4.8%3.0%6.1%4.0%3.0%
Skew 10d9.6%5.6%11.9%7.7%5.6%
Call IV 25d11.5%10.1%13.1%11.1%10.5%
Put IV 25d16.4%13.3%18.8%15.1%13.5%
Bid-Ask Spread %28.2918.3654.7019.8154.70
Gamma HHI0.050.040.060.040.06
Net GEX2.85B-2.02B10.24B4.90B10.24B
Net DEX-132.34B-228.33B-51.64B-145.58B-228.33B
Net VEX-2.10B-2.14B-2.04B-2.04B-2.11B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.681.132.252.131.75
Total Volume600,017.2209,113979,766775,466735,659
Total OI12,476,431.311,137,81913,652,46212,131,26112,895,802

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$1331.97$1300.0012.0%3.6%14.5%7.2%13.8%4.0%2.7%4.90B-145.58B-2.04B2.1319.81248,062527,4044,367,5257,763,736
2011-04-04$1333.32$1320.0013.2%4.2%14.1%10.8%17.3%5.7%1.0%3.66B-144.19B-2.05B2.2533.00156,190351,5284,425,2757,890,195
2011-04-05$1330.77$1320.0013.8%4.2%13.8%12.7%15.8%5.1%1.1%2.80B-138.54B-2.07B1.7031.92208,268354,4504,497,7988,029,549
2011-04-06$1332.92$1320.0011.8%4.2%13.7%6.6%16.6%5.1%1.1%3.41B-143.68B-2.08B1.4835.41165,849245,4114,575,5508,135,495
2011-04-07$1332.48$1320.0012.1%4.2%12.4%7.6%16.9%5.3%1.3%4.06B-145.42B-2.10B1.9331.45173,751335,2974,637,5588,212,966
2011-04-08$1327.72$1320.0012.7%4.3%12.3%9.3%16.5%6.1%1.2%2.53B-126.61B-2.13B1.7424.94224,857390,3654,685,5738,273,091
2011-04-11$1323.46$1325.0013.6%4.3%12.1%12.1%15.6%5.9%1.3%1.68B-118.21B-2.11B1.4126.29214,657301,6864,722,1248,335,969
2011-04-12$1312.03$1325.0014.4%4.4%11.7%14.5%16.6%5.7%1.2%-2.02B-79.22B-2.11B1.5132.03320,953484,8624,776,1628,405,995
2011-04-13$1312.97$1320.0011.6%4.2%9.7%2.4%17.8%5.7%1.3%-950.3M-83.31B-2.12B1.6827.94238,448401,6804,881,9818,530,944
2011-04-14$1314.41$1320.0014.1%4.0%9.2%10.3%15.6%5.6%1.0%-1.15B-82.70B-2.14B1.5734.84381,694598,0724,984,4618,668,001
2011-04-15$1322.59$1320.0012.6%3.6%9.3%5.4%15.5%5.3%1.9%-28.3M-93.46B-2.13B2.0725.10198,100410,8034,237,4436,900,376
2011-04-18$1304.84$1320.0014.0%4.0%9.5%9.9%15.6%5.6%1.5%-1.95B-51.64B-2.13B1.8128.37188,378340,9614,326,9267,083,837
2011-04-19$1312.49$1320.0013.2%3.8%9.5%7.5%13.8%5.0%1.5%-1.45B-68.94B-2.12B1.1625.05226,606263,7774,380,9607,211,479
2011-04-20$1332.55$1320.0012.0%3.4%10.8%3.7%14.3%4.6%1.8%3.53B-131.07B-2.13B2.1726.10260,028563,7614,493,4557,308,598
2011-04-21$1334.26$1320.0011.7%3.4%10.3%2.7%13.3%3.9%2.0%3.45B-138.28B-2.12B1.6026.80232,710371,6824,584,9237,605,221
2011-04-25$1334.78$1320.0012.4%3.5%10.2%4.9%13.4%4.4%1.5%3.10B-138.11B-2.10B1.3018.3690,837118,2764,593,1177,619,557
2011-04-26$1344.43$1320.0012.4%3.5%10.2%4.8%12.8%3.9%1.5%4.43B-168.54B-2.11B1.1321.58293,404331,9594,626,9247,640,838
2011-04-27$1355.41$1320.0012.1%3.5%9.9%4.1%13.1%3.5%1.3%7.61B-203.55B-2.09B1.2020.50230,735277,9294,743,0397,770,417
2011-04-28$1358.79$1320.0011.3%3.2%9.8%1.5%12.4%3.1%1.7%9.09B-217.42B-2.08B1.9621.63182,803358,4524,826,1707,879,596
2011-04-29$1362.58$1325.0010.9%3.3%9.7%0.1%12.4%3.0%1.6%10.24B-228.33B-2.11B1.7554.70267,401468,2584,883,7988,012,004