SPX Options History — August 2011

In August 2011, SPX traded between $1113.43 and $1282.64. ATM implied volatility averaged 33.8%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 5.6% (HV 20d: 39.4%). Max pain ranged from $1225.00 to $1300.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.92.

Notable Days

2011-08-08: Highest Volume — 2,111,823 contracts
2011-08-08: Largest IV spike — 150.7% change
2011-08-01: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1184.35	$1113.43	$1282.64	$1282.64	$1219.78
Max Pain	$1266.09	$1225.00	$1300.00	$1300.00	$1225.00
ATM IV	33.8%	26.6%	75.0%	28.1%	28.2%
Expected Move	8.6%	6.0%	11.3%	6.3%	8.1%
HV 20d	39.4%	15.0%	49.7%	15.0%	49.2%
HV 60d	26.4%	15.1%	31.0%	15.1%	31.0%
IV Rank	48.7%	24.5%	100.0%	100.0%	27.0%
IV Percentile	97.5%	93.7%	100.0%	100.0%	93.7%
Term Structure	-1.2%	-4.7%	0.5%	-2.1%	-1.8%
VWIV	32.4%	23.1%	38.6%	23.8%	33.8%
Skew 25d	11.3%	5.5%	15.2%	7.0%	10.1%
Skew 10d	22.3%	10.6%	31.3%	13.1%	20.5%
Call IV 25d	25.2%	18.8%	32.7%	19.3%	23.6%
Put IV 25d	36.6%	24.3%	48.0%	26.3%	33.7%
Bid-Ask Spread %	31.17	18.84	50.61	32.80	43.75
Gamma HHI	0.04	0.03	0.05	0.04	0.03
Net GEX	-9.67B	-14.21B	-3.88B	-7.66B	-3.88B
Net DEX	274.26B	66.95B	478.53B	66.95B	89.42B
Net VEX	-2.14B	-2.33B	-1.89B	-2.18B	-2.33B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	1.38	2.65	2.41	1.40
Total Volume	1,266,854.174	698,933	2,111,823	899,957	965,853
Total OI	16,445,571.174	14,039,471	18,771,767	14,039,471	17,433,222

Daily Data (23 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
2011-08-01	$1282.64	$1300.00	28.1%	6.3%	15.0%	100.0%	23.8%	7.0%	-2.1%	-7.66B	66.95B	-2.18B	2.41	32.80	263,904	636,053	5,207,699	8,831,772
2011-08-02	$1250.77	$1300.00	30.7%	6.8%	17.0%	100.0%	23.8%	7.3%	-2.2%	-12.32B	172.53B	-2.10B	2.11	29.69	414,871	876,266	5,287,717	8,989,059
2011-08-03	$1257.85	$1300.00	27.2%	6.0%	17.3%	82.7%	23.1%	5.5%	-0.6%	-12.51B	156.02B	-2.13B	1.51	34.22	504,735	764,539	5,406,427	9,238,521
2011-08-04	$1201.08	$1300.00	38.2%	9.3%	22.2%	100.0%	31.2%	10.5%	-4.7%	-14.21B	309.64B	-2.06B	2.23	41.29	523,031	1,165,190	5,572,312	9,417,448
2011-08-05	$1199.28	$1300.00	29.9%	7.8%	22.2%	69.7%	28.3%	10.0%	-0.1%	-13.59B	312.59B	-2.11B	2.65	31.20	538,887	1,425,421	5,700,374	9,449,321
2011-08-08	$1113.43	$1295.00	75.0%	11.3%	32.8%	100.0%	37.8%	15.2%	-1.6%	-11.61B	478.53B	-1.89B	2.07	25.49	687,041	1,424,782	5,944,864	9,916,606
2011-08-09	$1173.68	$1285.00	40.7%	8.4%	39.4%	46.6%	33.6%	11.9%	-0.4%	-13.88B	380.01B	-2.03B	2.63	28.01	547,682	1,442,119	6,188,235	10,129,174
2011-08-10	$1125.42	$1280.00	46.7%	10.4%	41.3%	55.9%	37.0%	14.2%	-1.3%	-12.47B	463.52B	-1.97B	1.73	20.20	527,725	912,441	6,399,187	10,416,811
2011-08-11	$1170.45	$1275.00	32.8%	9.4%	44.6%	34.2%	35.5%	13.1%	-1.1%	-11.65B	355.38B	-2.19B	1.38	24.73	632,933	873,556	6,662,523	10,563,948
2011-08-12	$1178.70	$1275.00	30.9%	8.9%	44.6%	31.3%	33.2%	12.0%	-0.6%	-10.61B	326.05B	-2.22B	1.79	26.70	424,612	761,619	6,874,019	10,769,836
2011-08-15	$1198.51	$1275.00	27.4%	7.8%	45.3%	25.8%	30.4%	10.0%	-0.1%	-11.60B	272.48B	-2.18B	2.10	33.44	351,760	737,674	6,867,209	10,759,463
2011-08-16	$1194.09	$1270.00	27.6%	7.9%	44.6%	26.2%	30.1%	9.9%	0.1%	-11.02B	278.74B	-2.18B	1.42	24.39	476,344	678,195	7,011,232	10,894,933
2011-08-17	$1192.06	$1265.00	26.6%	7.6%	44.6%	24.5%	28.6%	9.7%	0.5%	-10.01B	286.52B	-2.13B	2.19	18.84	457,332	1,003,554	7,183,900	10,985,151
2011-08-18	$1145.82	$1265.00	34.8%	10.0%	45.5%	37.3%	36.9%	14.9%	-1.2%	-11.70B	435.44B	-2.07B	1.94	45.75	654,596	1,268,130	7,325,889	11,445,878
2011-08-19	$1126.16	$1260.00	36.3%	10.4%	45.5%	39.7%	36.5%	14.9%	-0.8%	-8.01B	335.74B	-2.02B	1.67	19.60	402,966	674,009	5,880,719	9,507,415
2011-08-22	$1125.59	$1250.00	36.2%	10.4%	45.6%	39.6%	37.1%	14.1%	-0.7%	-8.27B	339.28B	-2.00B	2.01	50.61	248,084	497,812	6,039,360	9,705,148
2011-08-23	$1160.68	$1250.00	30.7%	8.8%	47.7%	31.0%	33.5%	11.7%	-0.0%	-7.42B	267.88B	-2.11B	1.78	21.91	329,684	586,892	6,130,150	9,904,169
2011-08-24	$1173.24	$1250.00	27.1%	6.4%	47.8%	25.4%	31.7%	11.3%	0.4%	-6.44B	230.66B	-2.20B	1.73	25.98	365,848	633,562	6,287,720	10,102,726
2011-08-25	$1158.67	$1225.00	34.6%	9.8%	47.8%	37.0%	38.6%	14.2%	-3.3%	-6.94B	262.11B	-2.23B	1.72	37.44	256,641	442,292	6,377,151	10,309,829
2011-08-26	$1177.14	$1225.00	30.6%	8.8%	48.4%	30.9%	30.0%	12.5%	-2.1%	-6.35B	224.28B	-2.23B	1.66	38.75	360,253	596,551	6,449,412	10,459,228
2011-08-29	$1209.29	$1225.00	28.4%	8.2%	49.7%	27.4%	34.3%	11.0%	-2.2%	-4.93B	128.66B	-2.28B	2.26	32.31	295,334	666,015	6,503,364	10,516,212
2011-08-30	$1205.65	$1225.00	29.4%	8.4%	49.0%	29.0%	35.5%	10.0%	-2.3%	-5.29B	135.50B	-2.31B	1.84	29.89	295,987	544,871	6,539,735	10,663,069
2011-08-31	$1219.78	$1225.00	28.2%	8.1%	49.2%	27.0%	33.8%	10.1%	-1.8%	-3.88B	89.42B	-2.33B	1.40	43.75	401,887	563,966	6,654,571	10,778,651