SPX Options History — May 2011

In May 2011, SPX traded between $1314.12 and $1360.71. ATM implied volatility averaged 14.3%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.4% (HV 20d: 10.9%). Max pain ranged from $1300.00 to $1325.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.78.

Notable Days

2011-05-19: Highest Volume — 1,008,386 contracts
2011-05-04: Largest IV spike — 16.4% change
2011-05-16: Highest IV Rank — 17.9%
2011-05-06: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1337.32	$1314.12	$1360.71	$1360.71	$1345.84
Max Pain	$1310.24	$1300.00	$1325.00	$1325.00	$1325.00
ATM IV	14.3%	12.5%	16.5%	12.8%	12.9%
Expected Move	4.0%	3.5%	4.5%	3.5%	3.7%
HV 20d	10.9%	9.7%	12.1%	9.7%	11.8%
HV 60d	12.9%	11.9%	13.5%	12.8%	12.0%
IV Rank	12.1%	6.0%	17.9%	6.1%	7.6%
IV Percentile	25.8%	8.7%	42.9%	11.1%	13.5%
Term Structure	0.7%	-0.2%	2.1%	1.5%	0.5%
VWIV	15.1%	13.4%	17.1%	13.6%	15.2%
Skew 25d	4.6%	3.2%	5.6%	3.2%	4.1%
Skew 10d	9.4%	7.3%	11.2%	7.3%	7.7%
Call IV 25d	12.2%	10.9%	13.4%	11.1%	11.7%
Put IV 25d	16.8%	14.3%	18.9%	14.3%	15.7%
Bid-Ask Spread %	30.59	4.68	52.90	17.03	4.68
Gamma HHI	0.04	0.04	0.05	0.05	0.05
Net GEX	957.4M	-4.84B	7.26B	7.26B	2.33B
Net DEX	-126.76B	-215.78B	-32.58B	-215.78B	-159.17B
Net VEX	-2.17B	-2.25B	-2.05B	-2.15B	-2.05B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	1.16	2.52	1.38	1.59
Total Volume	596,353.905	314,512	1,008,386	567,404	413,139
Total OI	13,833,231.429	12,871,889	15,067,917	13,070,285	13,938,711

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
2011-05-02	$1360.71	$1325.00	12.8%	3.5%	9.7%	6.1%	13.6%	3.2%	1.5%	7.26B	-215.78B	-2.15B	1.38	17.03	238,612	328,792	4,933,360	8,136,925
2011-05-03	$1355.54	$1325.00	13.3%	3.6%	9.8%	7.8%	14.4%	3.5%	2.1%	5.66B	-191.04B	-2.20B	1.84	19.89	190,184	350,750	5,008,153	8,265,519
2011-05-04	$1345.99	$1325.00	15.5%	3.8%	10.2%	14.7%	14.3%	3.8%	1.7%	3.76B	-160.82B	-2.22B	2.08	18.11	140,314	291,908	5,062,526	8,375,017
2011-05-05	$1337.47	$1325.00	16.5%	4.3%	10.5%	17.8%	16.0%	4.8%	0.5%	619.4M	-126.37B	-2.25B	1.96	23.31	201,611	395,362	5,085,974	8,462,014
2011-05-06	$1336.36	$1300.00	16.1%	4.5%	10.5%	16.6%	16.6%	5.4%	0.9%	-121.8M	-123.14B	-2.25B	1.85	37.08	211,004	390,560	5,155,480	8,584,033
2011-05-09	$1344.96	$1300.00	14.4%	4.2%	10.6%	13.1%	15.5%	5.1%	0.4%	3.00B	-158.34B	-2.20B	1.87	35.83	109,438	205,074	5,141,882	8,610,918
2011-05-10	$1356.16	$1300.00	12.8%	3.9%	10.8%	7.3%	14.3%	4.8%	0.9%	6.75B	-204.19B	-2.15B	1.54	35.07	181,422	279,665	5,170,233	8,702,540
2011-05-11	$1340.97	$1300.00	13.9%	4.2%	11.2%	11.1%	15.5%	4.9%	0.2%	1.60B	-142.87B	-2.20B	2.10	38.02	201,230	422,151	5,207,300	8,801,530
2011-05-12	$1349.61	$1300.00	13.6%	3.9%	11.3%	9.9%	14.2%	4.5%	0.7%	4.89B	-182.47B	-2.16B	1.80	40.26	182,466	329,360	5,276,270	8,933,330
2011-05-13	$1336.03	$1300.00	14.7%	4.2%	12.0%	14.0%	15.3%	4.8%	1.0%	-1.37B	-123.36B	-2.20B	1.86	39.07	181,281	337,124	5,291,784	9,053,116
2011-05-16	$1327.48	$1300.00	15.8%	4.5%	12.1%	17.9%	15.7%	5.2%	0.7%	-2.32B	-89.18B	-2.18B	1.88	31.66	231,165	434,100	5,308,729	9,044,864
2011-05-17	$1327.19	$1300.00	15.1%	4.3%	11.0%	15.5%	15.8%	4.9%	0.6%	-2.82B	-86.43B	-2.17B	1.89	29.16	292,198	552,815	5,392,939	9,168,268
2011-05-18	$1340.29	$1300.00	13.6%	3.9%	11.3%	10.0%	14.1%	4.4%	0.3%	3.22B	-148.75B	-2.15B	1.16	25.60	451,642	524,638	5,478,613	9,339,497
2011-05-19	$1343.75	$1305.00	12.5%	3.6%	10.1%	6.0%	13.6%	4.4%	0.8%	5.59B	-162.38B	-2.13B	1.80	32.33	359,991	648,395	5,558,779	9,509,138
2011-05-20	$1329.52	$1305.00	13.9%	4.0%	10.8%	11.1%	14.5%	5.6%	1.0%	-1.04B	-90.67B	-2.16B	2.08	30.81	227,136	471,665	4,832,949	8,038,940
2011-05-23	$1315.98	$1310.00	15.4%	4.4%	11.4%	16.6%	17.1%	5.3%	-0.1%	-4.05B	-39.43B	-2.15B	2.52	29.60	221,036	557,752	4,904,230	8,243,219
2011-05-24	$1314.12	$1310.00	15.1%	4.4%	11.0%	15.4%	16.2%	4.7%	-0.2%	-4.84B	-32.58B	-2.16B	1.77	25.95	168,202	298,385	4,973,282	8,460,848
2011-05-25	$1317.89	$1310.00	14.4%	4.0%	10.5%	12.8%	15.1%	4.2%	0.6%	-4.62B	-41.21B	-2.14B	1.30	23.52	203,590	265,495	5,002,637	8,567,696
2011-05-26	$1327.78	$1325.00	13.7%	4.0%	10.9%	10.3%	13.4%	4.6%	-0.1%	-1.78B	-85.45B	-2.11B	1.76	52.43	225,802	397,749	5,062,175	8,665,158
2011-05-27	$1330.01	$1325.00	14.1%	4.1%	10.9%	12.0%	16.4%	4.4%	-0.1%	-1.61B	-98.32B	-2.12B	1.27	52.90	180,656	229,573	5,107,043	8,642,241
2011-05-31	$1345.84	$1325.00	12.9%	3.7%	11.8%	7.6%	15.2%	4.1%	0.5%	2.33B	-159.17B	-2.05B	1.59	4.68	159,424	253,715	5,177,071	8,761,640