SPX Options History — November 2011

In November 2011, SPX traded between $1154.65 and $1275.88. ATM implied volatility averaged 28.4%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.8% (HV 20d: 27.6%). Max pain ranged from $1200.00 to $1200.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.92.

Notable Days

2011-11-17: Highest Volume — 1,474,712 contracts
2011-11-09: Largest IV spike — 37.8% change
2011-11-01: Highest IV Rank — 40.1%
2011-11-25: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1226.25	$1154.65	$1275.88	$1228.23	$1245.28
Max Pain	$1200.00	$1200.00	$1200.00	$1200.00	$1200.00
ATM IV	28.4%	22.8%	36.6%	36.6%	24.2%
Expected Move	7.9%	6.7%	9.1%	8.4%	6.9%
HV 20d	27.6%	23.7%	29.8%	28.1%	29.1%
HV 60d	29.6%	28.4%	33.2%	33.2%	29.8%
IV Rank	27.3%	18.5%	40.1%	40.1%	20.8%
IV Percentile	81.0%	67.5%	96.8%	96.8%	67.5%
Term Structure	0.2%	-1.4%	1.1%	-1.4%	0.2%
VWIV	29.6%	25.9%	36.3%	32.8%	26.8%
Skew 25d	9.3%	7.4%	11.8%	10.6%	7.4%
Skew 10d	17.9%	13.6%	24.2%	21.2%	14.1%
Call IV 25d	23.5%	19.6%	26.9%	25.1%	21.3%
Put IV 25d	32.8%	28.3%	36.7%	35.7%	28.6%
Bid-Ask Spread %	25.87	6.70	36.89	32.12	6.70
Gamma HHI	0.04	0.03	0.06	0.03	0.03
Net GEX	-2.25B	-8.86B	3.55B	-2.38B	573.1M
Net DEX	-11.10B	-163.88B	190.22B	-8.32B	-80.36B
Net VEX	-2.10B	-2.23B	-1.93B	-2.23B	-1.94B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	1.01	2.70	2.32	2.33
Total Volume	797,505	444,676	1,474,712	1,078,269	1,009,543
Total OI	15,962,370.524	14,651,887	17,660,962	15,456,973	15,583,199

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
2011-11-01	$1228.23	$1200.00	36.6%	8.4%	28.1%	40.1%	32.8%	10.6%	-1.4%	-2.38B	-8.32B	-2.23B	2.32	32.12	324,553	753,716	5,912,110	9,544,863
2011-11-02	$1238.34	$1200.00	32.8%	7.9%	27.7%	34.2%	32.8%	8.8%	0.0%	-1.16B	-39.23B	-2.23B	2.29	29.31	192,517	440,963	6,042,845	9,677,222
2011-11-03	$1258.67	$1200.00	27.0%	7.2%	27.5%	25.2%	28.8%	7.9%	0.8%	1.09B	-105.13B	-2.21B	1.55	21.23	318,981	494,546	6,047,642	9,823,278
2011-11-04	$1253.99	$1200.00	25.8%	7.2%	27.5%	23.3%	26.4%	9.9%	0.9%	237.7M	-92.71B	-2.20B	1.65	26.24	203,680	335,985	6,167,811	9,945,344
2011-11-07	$1260.21	$1200.00	26.8%	7.2%	25.6%	24.9%	27.9%	9.7%	1.0%	1.28B	-112.31B	-2.15B	2.04	26.41	152,378	310,986	6,076,369	9,909,753
2011-11-08	$1275.88	$1200.00	22.8%	6.7%	25.8%	18.5%	25.9%	8.7%	0.3%	3.55B	-163.88B	-2.10B	1.92	27.70	236,747	454,071	6,108,706	9,982,927
2011-11-09	$1228.77	$1200.00	31.4%	8.6%	29.5%	32.0%	32.6%	11.8%	0.2%	-2.69B	-8.11B	-2.22B	2.17	26.06	326,182	707,248	6,178,865	10,089,133
2011-11-10	$1239.68	$1200.00	27.4%	7.9%	29.6%	25.8%	29.2%	10.9%	-0.1%	-1.85B	-42.90B	-2.19B	1.98	27.54	207,024	410,434	6,244,216	10,334,968
2011-11-11	$1263.86	$1200.00	25.0%	7.2%	29.8%	22.1%	27.1%	9.3%	-0.5%	1.70B	-127.63B	-2.16B	1.49	28.38	287,152	428,241	6,304,527	10,383,081
2011-11-14	$1254.15	$1200.00	26.4%	7.6%	28.9%	24.2%	28.9%	10.2%	0.6%	672.7M	-98.24B	-2.14B	1.23	26.26	362,193	445,186	6,339,049	10,381,318
2011-11-15	$1255.99	$1200.00	26.4%	7.6%	27.7%	24.2%	28.3%	9.4%	0.7%	1.43B	-113.01B	-2.13B	1.67	23.74	277,352	463,779	6,425,157	10,500,153
2011-11-16	$1232.97	$1200.00	28.3%	8.1%	28.1%	27.2%	30.8%	9.8%	0.9%	-2.97B	-31.69B	-2.16B	2.52	23.63	368,621	928,647	6,452,565	10,639,532
2011-11-17	$1217.15	$1200.00	29.8%	8.5%	28.5%	29.5%	30.9%	10.4%	-0.4%	-6.07B	31.67B	-2.14B	2.20	25.38	460,816	1,013,896	6,549,932	11,111,030
2011-11-18	$1215.56	$1200.00	28.0%	8.0%	27.4%	26.7%	29.1%	9.3%	-0.1%	-3.45B	31.69B	-2.11B	1.01	27.20	394,434	399,894	5,571,263	9,080,624
2011-11-21	$1192.23	$1200.00	29.8%	8.5%	27.9%	29.5%	30.4%	8.5%	-0.3%	-5.11B	89.52B	-2.06B	1.82	27.73	282,673	514,057	5,716,853	9,228,193
2011-11-22	$1184.45	$1200.00	28.7%	8.2%	27.4%	27.8%	29.3%	8.0%	1.1%	-6.19B	113.07B	-2.00B	1.65	27.79	278,744	461,037	5,785,113	9,436,644
2011-11-23	$1162.07	$1200.00	31.4%	8.9%	27.6%	32.0%	31.4%	8.2%	0.9%	-7.67B	171.89B	-1.96B	1.74	20.38	338,016	586,563	5,804,131	9,510,432
2011-11-25	$1154.65	$1200.00	31.9%	9.1%	23.7%	32.8%	26.4%	9.6%	-1.0%	-8.86B	190.22B	-1.93B	1.88	36.89	154,355	290,321	5,897,274	9,550,698
2011-11-28	$1192.20	$1200.00	28.3%	8.1%	27.2%	27.1%	36.3%	8.3%	0.2%	-4.79B	87.55B	-1.95B	2.70	30.04	142,465	385,191	5,888,619	9,462,169
2011-11-29	$1197.00	$1200.00	27.6%	7.9%	25.9%	26.1%	29.2%	7.8%	-0.0%	-4.64B	74.75B	-1.93B	2.05	22.53	198,340	406,078	5,928,312	9,593,861
2011-11-30	$1245.28	$1200.00	24.2%	6.9%	29.1%	20.8%	26.8%	7.4%	0.2%	573.1M	-80.36B	-1.94B	2.33	6.70	303,182	706,361	5,927,448	9,655,751