SPX Options History — June 2011

In June 2011, SPX traded between $1265.99 and $1318.95. ATM implied volatility averaged 17.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.4% (HV 20d: 15.6%). Max pain ranged from $1300.00 to $1325.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.83.

Notable Days

2011-06-15: Highest Volume — 1,590,374 contracts
2011-06-29: Largest IV drop — 25.1% change
2011-06-27: Highest IV Rank — 42.2%
2011-06-16: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1286.95	$1265.99	$1318.95	$1313.94	$1318.95
Max Pain	$1315.00	$1300.00	$1325.00	$1325.00	$1300.00
ATM IV	17.0%	12.7%	22.5%	15.2%	12.7%
Expected Move	4.7%	3.6%	5.4%	4.4%	3.6%
HV 20d	15.6%	14.2%	17.2%	14.4%	15.5%
HV 60d	12.8%	12.2%	13.4%	12.9%	13.4%
IV Rank	22.5%	11.1%	42.2%	16.0%	11.1%
IV Percentile	54.5%	11.5%	92.1%	38.9%	11.5%
Term Structure	0.3%	-0.5%	1.8%	0.4%	1.8%
VWIV	18.2%	14.4%	21.3%	17.0%	14.4%
Skew 25d	5.2%	3.5%	7.0%	5.1%	3.5%
Skew 10d	10.6%	7.9%	15.1%	9.8%	7.9%
Call IV 25d	14.3%	11.1%	16.1%	13.9%	11.1%
Put IV 25d	19.5%	14.6%	23.1%	19.0%	14.6%
Bid-Ask Spread %	36.57	12.48	75.67	49.13	12.48
Gamma HHI	0.05	0.04	0.06	0.05	0.04
Net GEX	-7.84B	-14.47B	3.36B	-5.11B	3.36B
Net DEX	56.62B	-92.20B	174.76B	-29.18B	-92.20B
Net VEX	-2.02B	-2.11B	-1.89B	-2.07B	-2.11B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	1.40	2.89	2.19	1.50
Total Volume	801,659.909	525,295	1,590,374	772,893	938,075
Total OI	13,681,975.091	11,185,632	16,476,513	14,047,127	12,829,408

Daily Data (22 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
2011-06-01	$1313.94	$1325.00	15.2%	4.4%	14.4%	16.0%	17.0%	5.1%	0.4%	-5.11B	-29.18B	-2.07B	2.19	49.13	242,516	530,377	5,229,883	8,817,244
2011-06-02	$1313.26	$1325.00	15.2%	4.3%	14.3%	15.7%	18.7%	5.1%	0.4%	-7.21B	-17.17B	-2.07B	1.61	48.32	241,910	388,381	5,236,994	8,985,215
2011-06-03	$1295.53	$1325.00	16.2%	4.6%	14.8%	19.4%	21.3%	4.5%	-0.3%	-9.66B	49.28B	-2.03B	2.14	52.23	210,903	450,565	5,181,075	8,969,529
2011-06-06	$1285.95	$1325.00	16.8%	4.8%	15.0%	21.8%	18.9%	4.4%	-0.5%	-11.71B	90.66B	-1.96B	1.46	28.68	333,513	487,194	5,235,281	9,138,559
2011-06-07	$1285.70	$1325.00	16.5%	4.7%	14.7%	20.5%	16.7%	4.1%	-0.4%	-11.62B	93.58B	-1.96B	1.40	19.95	321,604	450,517	5,345,954	9,217,606
2011-06-08	$1277.83	$1325.00	15.9%	4.8%	14.2%	18.3%	17.0%	4.0%	-0.3%	-12.96B	121.90B	-1.94B	1.77	43.08	296,898	525,787	5,424,432	9,313,927
2011-06-09	$1288.23	$1325.00	15.5%	4.5%	14.4%	17.1%	16.3%	4.5%	0.6%	-10.90B	82.69B	-1.96B	1.43	37.60	275,392	392,541	5,524,281	9,399,044
2011-06-10	$1269.00	$1325.00	16.8%	4.8%	14.7%	21.5%	16.7%	5.6%	0.4%	-13.29B	154.65B	-1.89B	1.70	75.67	337,460	572,276	5,620,427	9,496,438
2011-06-13	$1272.05	$1325.00	17.1%	4.9%	14.6%	22.7%	18.5%	5.1%	0.3%	-12.19B	143.90B	-1.92B	1.67	29.28	312,657	520,904	5,690,729	9,528,654
2011-06-14	$1289.60	$1325.00	15.4%	4.4%	15.6%	16.5%	17.7%	4.9%	0.9%	-8.87B	71.91B	-1.96B	1.51	34.61	388,808	585,382	5,816,577	9,684,307
2011-06-15	$1265.99	$1320.00	17.9%	5.1%	16.7%	25.7%	20.2%	6.2%	0.3%	-13.77B	174.76B	-1.96B	2.89	31.80	409,206	1,181,168	5,968,787	9,849,470
2011-06-16	$1268.93	$1320.00	18.9%	5.4%	16.2%	29.3%	20.5%	7.0%	0.1%	-14.47B	170.20B	-2.05B	1.92	40.14	411,638	788,378	6,151,935	10,324,578
2011-06-17	$1271.01	$1315.00	18.7%	5.4%	16.1%	28.5%	20.5%	7.0%	0.1%	-6.57B	63.00B	-2.05B	2.03	32.21	225,814	457,940	4,069,506	7,116,126
2011-06-20	$1279.15	$1310.00	17.4%	5.0%	16.2%	23.7%	19.3%	6.0%	0.1%	-6.26B	46.35B	-2.03B	1.64	40.22	211,676	346,493	4,158,391	7,317,473
2011-06-21	$1292.66	$1310.00	16.7%	4.8%	16.4%	21.1%	18.1%	5.6%	0.1%	-3.61B	3.33B	-2.04B	1.57	35.40	310,657	489,067	4,282,153	7,433,067
2011-06-22	$1284.88	$1305.00	16.3%	4.7%	16.5%	19.7%	17.5%	4.9%	0.5%	-5.12B	25.46B	-2.04B	2.01	36.23	174,710	350,585	4,383,954	7,633,379
2011-06-23	$1281.61	$1300.00	16.6%	4.8%	16.5%	20.9%	19.2%	5.8%	0.5%	-5.88B	36.53B	-2.07B	2.41	40.06	217,489	524,430	4,464,947	7,732,977
2011-06-24	$1268.41	$1300.00	20.4%	5.4%	16.4%	34.7%	19.3%	5.9%	-0.4%	-8.09B	77.56B	-2.10B	2.07	32.52	199,181	413,270	4,527,557	7,966,633
2011-06-27	$1281.51	$1300.00	22.5%	5.1%	16.9%	42.2%	18.7%	5.8%	-0.5%	-6.34B	44.29B	-2.08B	2.45	25.25	171,741	419,957	4,529,812	7,944,256
2011-06-28	$1299.10	$1300.00	19.9%	4.5%	17.2%	32.7%	18.1%	5.8%	0.7%	-2.81B	-14.58B	-2.09B	1.49	27.25	309,109	460,641	4,588,495	8,017,648
2011-06-29	$1309.61	$1300.00	14.9%	3.8%	15.3%	15.8%	14.8%	4.8%	1.6%	627.2M	-51.38B	-2.09B	1.41	32.48	314,950	444,758	4,725,666	8,131,078
2011-06-30	$1318.95	$1300.00	12.7%	3.6%	15.5%	11.1%	14.4%	3.5%	1.8%	3.36B	-92.20B	-2.11B	1.50	12.48	374,669	563,406	4,731,685	8,097,723