SPX Options History — July 2011

In July 2011, SPX traded between $1290.18 and $1356.11. ATM implied volatility averaged 16.3%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.9% (HV 20d: 15.4%). Max pain ranged from $1285.00 to $1300.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2011-07-14: Highest Volume — 1,075,456 contracts
  • 2011-07-11: Largest IV spike — 34.4% change
  • 2011-07-29: Highest IV Rank — 88.2%
  • 2011-07-29: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1325.52$1290.18$1356.11$1339.00$1290.18
Max Pain$1299.25$1285.00$1300.00$1300.00$1300.00
ATM IV16.3%12.3%23.0%12.3%23.0%
Expected Move4.7%3.5%6.6%3.5%6.6%
HV 20d15.4%13.8%16.4%15.5%16.1%
HV 60d14.3%13.7%15.1%13.7%15.1%
IV Rank39.2%9.5%88.2%9.5%88.2%
IV Percentile50.1%6.3%96.4%6.3%96.4%
Term Structure0.3%-2.7%1.7%1.7%-2.7%
VWIV18.5%13.3%24.8%13.3%24.8%
Skew 25d5.4%2.3%7.8%2.3%7.8%
Skew 10d11.2%6.1%15.9%6.1%15.9%
Call IV 25d14.4%12.0%19.7%12.0%19.7%
Put IV 25d19.8%14.3%27.5%14.3%27.5%
Bid-Ask Spread %33.739.1253.8242.579.12
Gamma HHI0.040.040.050.050.04
Net GEX1.14B-5.53B9.20B5.58B-5.53B
Net DEX-91.40B-218.72B34.66B-156.71B34.66B
Net VEX-2.18B-2.29B-2.04B-2.07B-2.26B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.911.132.881.412.34
Total Volume742,365.8389,4971,075,456876,895901,790
Total OI13,468,405.112,053,15114,716,33112,965,14113,785,846

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$1339.00$1300.0012.3%3.5%15.5%9.5%13.3%2.3%1.7%5.58B-156.71B-2.07B1.4142.57363,215513,6804,819,5268,145,615
2011-07-05$1340.81$1285.0014.3%4.0%15.1%22.4%15.0%4.3%0.8%6.60B-163.45B-2.04B1.9053.12251,152476,6614,940,2268,355,894
2011-07-06$1340.16$1300.0012.7%4.1%15.1%13.6%16.1%4.8%0.9%5.28B-156.59B-2.09B2.0453.82197,464403,7484,967,4618,483,947
2011-07-07$1356.11$1300.0012.3%4.0%15.2%11.0%14.8%4.2%0.8%9.20B-218.72B-2.04B1.1352.45503,341569,2505,017,0488,594,032
2011-07-08$1346.12$1300.0012.3%4.0%15.5%10.5%14.6%4.6%0.9%7.31B-183.64B-2.10B1.6552.29266,881440,4015,164,4998,774,041
2011-07-11$1322.87$1300.0016.5%4.6%15.8%41.0%18.6%5.4%1.0%-60.0M-85.99B-2.14B2.8845.79252,670727,0415,217,9408,810,509
2011-07-12$1314.64$1300.0017.8%5.0%16.1%50.6%19.5%6.1%0.2%-2.97B-50.89B-2.20B2.2340.59294,114655,9685,255,8909,013,687
2011-07-13$1316.57$1300.0015.8%4.9%15.5%36.2%20.2%5.5%0.4%-2.07B-59.92B-2.20B1.8637.67271,984505,1575,333,4499,192,560
2011-07-14$1311.10$1300.0017.2%4.9%13.8%46.2%19.1%6.2%0.9%-4.99B-29.90B-2.21B2.0437.11354,322721,1345,360,4809,355,851
2011-07-15$1318.27$1300.0016.0%4.6%13.9%37.7%20.4%6.0%0.9%-450.4M-55.64B-2.21B2.4833.10198,090492,1474,579,1907,473,961
2011-07-18$1304.08$1300.0017.7%5.1%14.6%49.4%20.3%6.0%0.4%-2.60B-17.97B-2.20B1.9926.64252,767502,2444,670,5737,695,606
2011-07-19$1325.61$1300.0016.0%4.6%15.5%37.2%17.9%5.5%0.7%720.2M-82.06B-2.21B1.6323.91188,864306,9684,754,4667,902,729
2011-07-20$1325.12$1300.0016.3%4.7%15.1%39.4%17.5%5.6%0.4%916.0M-83.31B-2.23B1.9828.64213,021420,9634,802,3608,013,173
2011-07-21$1346.04$1300.0015.0%4.3%15.7%30.4%16.2%4.8%0.5%4.97B-151.77B-2.17B1.1628.93355,862411,6674,881,7598,251,852
2011-07-22$1344.47$1300.0014.9%4.3%15.7%29.3%16.4%4.4%0.6%4.75B-148.35B-2.18B1.5724.46208,391326,2635,004,0178,368,695
2011-07-25$1336.87$1300.0016.9%4.8%15.2%43.6%18.9%5.1%-0.0%3.11B-119.42B-2.22B1.6620.67191,361317,5215,005,2078,310,251
2011-07-26$1329.65$1300.0017.3%4.9%15.2%46.6%20.2%5.7%-0.0%1.44B-96.90B-2.23B1.9920.82130,485259,0125,077,1818,438,306
2011-07-27$1302.96$1300.0020.1%5.8%16.4%66.8%22.4%6.5%-0.8%-3.70B-6.27B-2.28B2.7321.43206,423563,4755,138,0198,535,846
2011-07-28$1299.81$1300.0021.1%6.0%16.2%74.0%22.8%6.9%-1.2%-4.73B4.84B-2.29B1.6021.46243,443388,3765,183,9428,692,468
2011-07-29$1290.18$1300.0023.0%6.6%16.1%88.2%24.8%7.8%-2.7%-5.53B34.66B-2.26B2.349.12269,855631,9355,136,2618,649,585