SPX Options History — September 2011

In September 2011, SPX traded between $1128.18 and $1218.06. ATM implied volatility averaged 31.9%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.0% (HV 20d: 31.9%). Max pain ranged from $1190.00 to $1225.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.89.

Notable Days

2011-09-09: Highest Volume — 1,376,657 contracts
2011-09-30: Largest IV spike — 23.7% change
2011-09-30: Highest IV Rank — 49.3%
2011-09-30: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1173.75	$1128.18	$1218.06	$1201.30	$1130.25
Max Pain	$1205.24	$1190.00	$1225.00	$1225.00	$1190.00
ATM IV	31.9%	24.9%	42.5%	28.6%	42.5%
Expected Move	9.3%	7.6%	11.1%	8.2%	11.1%
HV 20d	31.9%	26.9%	47.5%	46.6%	30.0%
HV 60d	32.6%	31.1%	34.1%	31.1%	34.1%
IV Rank	32.8%	21.8%	49.3%	27.7%	49.3%
IV Percentile	94.3%	87.3%	99.2%	94.0%	99.2%
Term Structure	-1.2%	-3.1%	0.7%	-1.4%	-1.5%
VWIV	35.3%	29.2%	39.1%	37.4%	39.1%
Skew 25d	11.1%	9.2%	12.9%	9.2%	11.8%
Skew 10d	21.3%	18.7%	24.7%	18.7%	21.6%
Call IV 25d	27.4%	22.0%	33.0%	24.5%	33.0%
Put IV 25d	38.4%	32.2%	44.8%	33.7%	44.8%
Bid-Ask Spread %	29.80	21.79	43.23	31.07	37.96
Gamma HHI	0.04	0.03	0.05	0.04	0.05
Net GEX	-5.51B	-8.67B	-1.07B	-5.41B	-6.79B
Net DEX	158.75B	15.82B	291.86B	145.83B	189.89B
Net VEX	-2.15B	-2.27B	-2.06B	-2.27B	-2.11B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	1.21	2.69	1.78	1.53
Total Volume	926,984.762	496,986	1,376,657	943,727	741,921
Total OI	16,020,927.524	12,502,825	19,598,269	17,622,315	14,761,685

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
2011-09-01	$1201.30	$1225.00	28.6%	8.2%	46.6%	27.7%	37.4%	9.2%	-1.4%	-5.41B	145.83B	-2.27B	1.78	31.07	339,825	603,902	6,719,469	10,902,846
2011-09-02	$1170.16	$1225.00	30.8%	8.8%	47.5%	31.0%	31.6%	10.4%	-1.6%	-8.67B	255.61B	-2.19B	1.88	36.33	330,347	619,484	6,812,479	11,112,651
2011-09-06	$1164.97	$1225.00	33.6%	9.6%	39.0%	35.4%	37.6%	11.7%	-2.8%	-8.57B	274.17B	-2.12B	1.89	30.76	332,719	627,593	6,814,531	11,015,874
2011-09-07	$1199.86	$1225.00	29.7%	8.5%	35.7%	29.3%	31.9%	10.0%	-1.8%	-5.64B	158.30B	-2.18B	2.10	43.23	320,597	672,373	6,870,071	11,122,208
2011-09-08	$1186.20	$1225.00	29.5%	9.1%	32.3%	29.1%	36.4%	10.0%	-2.3%	-6.86B	200.31B	-2.16B	1.21	28.37	382,191	463,427	6,963,406	11,263,869
2011-09-09	$1158.15	$1225.00	33.9%	10.4%	30.6%	36.0%	36.7%	11.9%	-3.1%	-8.64B	291.86B	-2.13B	1.87	33.52	478,879	897,778	7,032,360	11,210,119
2011-09-12	$1163.28	$1200.00	33.2%	9.5%	30.5%	34.8%	36.9%	12.8%	-1.3%	-8.31B	278.34B	-2.13B	2.21	25.90	358,176	792,424	7,282,160	11,486,617
2011-09-13	$1171.58	$1200.00	28.2%	9.3%	30.0%	27.1%	33.9%	11.2%	-1.1%	-7.52B	241.51B	-2.14B	1.72	27.47	405,338	698,754	7,400,676	11,638,191
2011-09-14	$1187.56	$1200.00	24.9%	8.8%	30.4%	21.8%	33.2%	10.2%	-0.3%	-4.53B	169.40B	-2.16B	1.48	41.93	519,646	766,856	7,527,010	11,710,622
2011-09-15	$1210.85	$1200.00	27.8%	8.0%	31.2%	26.4%	32.1%	9.7%	0.2%	-1.07B	62.80B	-2.17B	1.28	32.63	597,542	765,233	7,701,532	11,896,737
2011-09-16	$1218.06	$1200.00	26.4%	7.6%	27.3%	24.3%	29.2%	10.2%	0.7%	-1.43B	15.82B	-2.15B	1.76	30.24	302,932	532,534	4,767,117	7,735,708
2011-09-19	$1203.79	$1200.00	28.4%	8.1%	26.9%	27.3%	34.4%	10.1%	-0.1%	-1.91B	37.97B	-2.14B	2.34	28.36	148,967	348,019	4,930,653	7,912,738
2011-09-20	$1202.20	$1200.00	28.8%	8.3%	26.9%	28.0%	31.9%	9.5%	0.1%	-1.89B	39.94B	-2.13B	1.93	26.70	205,647	396,141	5,006,802	8,044,494
2011-09-21	$1162.27	$1200.00	32.4%	9.3%	27.9%	33.6%	36.8%	11.9%	-1.0%	-5.36B	127.36B	-2.08B	2.47	25.51	345,153	852,654	5,076,593	8,216,602
2011-09-22	$1128.18	$1200.00	36.2%	10.4%	29.5%	39.5%	37.1%	12.9%	-1.7%	-7.58B	192.11B	-2.06B	2.69	24.37	304,427	817,541	5,201,939	8,633,320
2011-09-23	$1134.45	$1200.00	36.4%	10.4%	29.3%	39.8%	37.5%	12.3%	-2.0%	-7.11B	181.81B	-2.10B	1.30	24.25	361,206	471,206	5,316,916	8,784,400
2011-09-26	$1164.60	$1200.00	34.0%	9.8%	30.3%	36.1%	37.6%	11.9%	-1.4%	-4.61B	117.52B	-2.15B	1.86	22.15	199,076	371,262	5,372,326	8,747,084
2011-09-27	$1175.65	$1190.00	33.1%	9.5%	28.8%	34.7%	35.9%	11.3%	-1.2%	-3.63B	91.61B	-2.17B	1.82	25.40	292,602	532,054	5,448,177	8,866,374
2011-09-28	$1154.74	$1190.00	36.5%	10.5%	29.4%	40.0%	37.0%	11.9%	-1.7%	-5.25B	138.24B	-2.17B	2.46	21.79	167,351	411,733	5,522,834	8,977,053
2011-09-29	$1160.72	$1190.00	34.3%	9.8%	29.1%	36.6%	36.5%	11.5%	-0.9%	-4.94B	123.39B	-2.16B	2.20	27.93	216,277	474,893	5,571,899	9,061,336
2011-09-30	$1130.25	$1190.00	42.5%	11.1%	30.0%	49.3%	39.1%	11.8%	-1.5%	-6.79B	189.89B	-2.11B	1.53	37.96	292,697	449,224	5,626,464	9,135,221