SPX Options History — October 2011

In October 2011, SPX traded between $1091.97 and $1286.10. ATM implied volatility averaged 29.9%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.3% (HV 20d: 31.2%). Max pain ranged from $1175.00 to $1200.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.89.

Notable Days

2011-10-19: Highest Volume — 1,346,836 contracts
2011-10-31: Largest IV spike — 40.6% change
2011-10-03: Highest IV Rank — 65.9%
2011-10-03: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1206.04	$1091.97	$1286.10	$1091.97	$1250.48
Max Pain	$1185.00	$1175.00	$1200.00	$1190.00	$1200.00
ATM IV	29.9%	21.5%	53.1%	53.1%	30.3%
Expected Move	8.1%	5.9%	12.3%	12.3%	7.4%
HV 20d	31.2%	27.6%	34.0%	31.0%	27.6%
HV 60d	36.2%	34.7%	37.3%	34.7%	36.5%
IV Rank	29.6%	16.5%	65.9%	65.9%	30.2%
IV Percentile	84.5%	73.0%	99.6%	99.6%	87.7%
Term Structure	-0.1%	-2.4%	0.9%	-2.4%	-0.3%
VWIV	31.1%	22.4%	41.7%	41.7%	28.9%
Skew 25d	9.1%	6.0%	10.9%	10.4%	8.1%
Skew 10d	18.0%	11.9%	22.2%	19.6%	16.7%
Call IV 25d	24.3%	17.8%	37.3%	37.3%	22.2%
Put IV 25d	33.4%	23.9%	47.7%	47.7%	30.2%
Bid-Ask Spread %	28.60	3.78	35.94	19.35	3.78
Gamma HHI	0.04	0.03	0.05	0.05	0.03
Net GEX	-1.01B	-7.33B	5.87B	-7.33B	659.3M
Net DEX	-2.17B	-188.44B	247.49B	247.49B	-86.62B
Net VEX	-2.15B	-2.21B	-2.00B	-2.00B	-2.18B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	1.40	3.02	2.26	3.02
Total Volume	897,179.81	430,759	1,346,836	969,637	701,450
Total OI	15,272,848.048	13,860,401	17,229,968	14,223,419	15,152,379

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
2011-10-03	$1091.97	$1190.00	53.1%	12.3%	31.0%	65.9%	41.7%	10.4%	-2.4%	-7.33B	247.49B	-2.00B	2.26	19.35	297,359	672,278	5,431,464	8,791,955
2011-10-04	$1119.13	$1190.00	44.0%	10.6%	32.5%	51.7%	38.5%	8.8%	-0.6%	-7.08B	203.12B	-2.07B	2.01	31.85	438,657	880,690	5,513,519	9,000,622
2011-10-05	$1140.17	$1180.00	41.1%	9.9%	31.3%	47.2%	35.6%	7.0%	-0.5%	-5.68B	154.99B	-2.13B	1.90	29.41	306,854	584,458	5,630,768	9,153,571
2011-10-06	$1162.01	$1180.00	33.9%	9.3%	32.1%	36.0%	33.8%	7.2%	0.2%	-3.99B	100.98B	-2.18B	1.53	23.28	377,536	578,898	5,691,769	9,264,408
2011-10-07	$1159.23	$1175.00	32.1%	9.2%	30.9%	33.1%	34.3%	10.6%	-0.4%	-4.16B	105.70B	-2.17B	2.16	24.22	253,565	546,718	5,782,831	9,405,337
2011-10-10	$1196.07	$1175.00	31.3%	8.3%	32.8%	31.9%	32.4%	10.1%	0.1%	-1.79B	18.12B	-2.18B	1.92	26.42	256,158	491,684	5,789,318	9,422,401
2011-10-11	$1194.26	$1175.00	29.1%	8.2%	32.8%	28.4%	31.6%	10.0%	0.1%	-1.83B	21.62B	-2.16B	1.89	26.46	254,494	482,007	5,892,472	9,536,212
2011-10-12	$1202.23	$1175.00	25.0%	7.7%	32.5%	22.1%	28.9%	9.5%	0.2%	-1.19B	-109.3M	-2.14B	1.71	30.91	436,316	744,451	5,983,600	9,665,439
2011-10-13	$1202.03	$1175.00	26.5%	7.6%	31.7%	24.3%	31.4%	9.8%	0.4%	-1.18B	-1.61B	-2.15B	1.40	35.94	293,456	411,651	6,091,080	9,769,403
2011-10-14	$1223.34	$1175.00	23.7%	6.8%	32.3%	20.1%	28.6%	9.3%	0.9%	2.23B	-64.20B	-2.12B	1.75	34.90	287,125	501,625	6,165,346	9,923,674
2011-10-17	$1198.83	$1175.00	27.8%	8.0%	32.9%	26.4%	30.1%	10.3%	-0.4%	-2.29B	12.51B	-2.13B	2.06	33.93	272,149	559,976	6,173,677	9,977,855
2011-10-18	$1227.92	$1175.00	25.6%	7.3%	34.0%	22.9%	30.7%	9.9%	0.1%	1.46B	-68.88B	-2.15B	1.65	29.75	324,934	535,359	6,215,310	10,153,574
2011-10-19	$1211.23	$1175.00	29.1%	8.3%	31.9%	28.4%	33.0%	10.9%	-0.4%	-1.62B	-21.87B	-2.19B	1.76	31.39	487,324	859,512	6,285,160	10,310,622
2011-10-20	$1214.13	$1180.00	28.9%	8.3%	29.6%	28.2%	31.8%	10.9%	-0.4%	-588.9M	-40.07B	-2.20B	1.43	32.20	464,498	661,954	6,449,589	10,780,379
2011-10-21	$1239.70	$1190.00	25.7%	7.4%	30.2%	23.2%	29.7%	9.8%	0.4%	441.9M	-59.73B	-2.20B	2.26	32.36	266,936	604,232	5,420,464	8,439,937
2011-10-24	$1251.49	$1200.00	24.6%	7.1%	29.2%	21.5%	27.5%	8.2%	-0.1%	1.80B	-95.24B	-2.16B	2.24	30.15	320,204	716,906	5,556,635	8,670,882
2011-10-25	$1229.59	$1200.00	27.2%	7.8%	30.0%	25.5%	30.4%	9.2%	-0.6%	-635.1M	-31.44B	-2.21B	1.94	30.32	174,440	339,076	5,671,138	8,941,171
2011-10-26	$1242.57	$1200.00	24.7%	7.1%	29.2%	21.6%	27.7%	8.5%	0.4%	515.3M	-64.67B	-2.17B	1.59	32.36	166,548	264,211	5,679,187	8,983,459
2011-10-27	$1286.10	$1200.00	21.5%	6.2%	31.2%	16.5%	23.2%	7.1%	0.1%	5.22B	-188.44B	-2.08B	1.61	33.12	507,447	817,190	5,736,971	9,059,766
2011-10-28	$1284.32	$1200.00	21.5%	5.9%	29.0%	16.6%	22.4%	6.0%	0.9%	5.87B	-187.22B	-2.09B	1.53	28.51	276,710	423,740	5,853,666	9,312,799
2011-10-31	$1250.48	$1200.00	30.3%	7.4%	27.6%	30.2%	28.9%	8.1%	-0.3%	659.3M	-86.62B	-2.18B	3.02	3.78	174,573	526,877	5,864,200	9,288,179