SPX Options History — December 2011

In December 2011, SPX traded between $1205.16 and $1265.78. ATM implied volatility averaged 21.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 4.2% (HV 20d: 26.0%). Max pain ranged from $1200.00 to $1225.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.72.

Notable Days

2011-12-13: Highest Volume — 1,144,005 contracts
2011-12-09: Largest IV drop — 25.6% change
2011-12-08: Highest IV Rank — 27.2%
2011-12-08: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1243.24	$1205.16	$1265.78	$1244.55	$1256.83
Max Pain	$1216.67	$1200.00	$1225.00	$1200.00	$1225.00
ATM IV	21.8%	17.1%	28.3%	24.6%	17.1%
Expected Move	6.4%	5.1%	7.9%	7.1%	5.5%
HV 20d	26.0%	19.9%	29.0%	29.0%	19.9%
HV 60d	28.0%	25.5%	29.2%	29.2%	25.5%
IV Rank	17.0%	9.7%	27.2%	21.4%	9.7%
IV Percentile	61.5%	45.6%	79.8%	67.9%	45.6%
Term Structure	1.2%	-1.6%	2.6%	-0.4%	2.6%
VWIV	23.9%	19.4%	31.2%	27.8%	20.7%
Skew 25d	6.2%	4.9%	7.7%	7.1%	5.2%
Skew 10d	11.6%	9.0%	15.0%	13.5%	10.1%
Call IV 25d	19.4%	15.7%	24.6%	21.2%	17.0%
Put IV 25d	25.6%	20.9%	30.9%	28.3%	22.1%
Bid-Ask Spread %	30.03	20.32	60.17	27.30	60.17
Gamma HHI	0.03	0.03	0.05	0.03	0.03
Net GEX	-149.4M	-5.72B	4.13B	349.9M	354.6M
Net DEX	-40.67B	-150.03B	60.91B	-74.92B	-28.96B
Net VEX	-1.80B	-1.93B	-1.72B	-1.92B	-1.74B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	1.16	3.06	1.54	1.49
Total Volume	644,759.667	222,192	1,144,005	781,478	305,739
Total OI	13,496,420.381	9,295,118	17,548,090	15,718,963	10,610,058

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
2011-12-01	$1244.55	$1200.00	24.6%	7.1%	29.0%	21.4%	27.8%	7.1%	-0.4%	349.9M	-74.92B	-1.92B	1.54	27.30	307,815	473,663	5,978,280	9,740,683
2011-12-02	$1244.39	$1200.00	24.6%	7.1%	28.3%	21.5%	26.4%	6.8%	-0.5%	1.12B	-76.64B	-1.93B	1.65	27.14	279,330	461,469	6,101,875	9,853,340
2011-12-05	$1255.59	$1200.00	24.4%	7.0%	28.5%	21.1%	27.8%	6.9%	-0.1%	1.64B	-117.13B	-1.88B	1.52	22.93	294,570	446,297	6,121,901	9,834,671
2011-12-06	$1255.36	$1200.00	24.9%	7.1%	28.4%	21.9%	27.6%	6.5%	-0.1%	1.30B	-116.41B	-1.89B	1.38	26.95	269,875	373,742	6,245,395	9,979,974
2011-12-07	$1264.62	$1200.00	26.9%	7.7%	28.2%	24.9%	26.9%	6.1%	-1.6%	4.04B	-150.03B	-1.90B	1.16	33.75	333,279	387,459	6,354,859	10,047,580
2011-12-08	$1235.46	$1200.00	28.3%	7.9%	26.1%	27.2%	31.2%	6.4%	-0.7%	-612.5M	-50.96B	-1.91B	1.22	20.32	335,101	407,244	6,445,600	10,143,464
2011-12-09	$1258.23	$1200.00	21.1%	6.6%	26.7%	15.9%	23.3%	5.3%	0.1%	4.13B	-144.52B	-1.85B	1.53	31.09	342,245	525,173	6,552,412	10,251,746
2011-12-12	$1235.34	$1225.00	22.8%	6.8%	26.6%	18.6%	24.9%	7.7%	1.5%	-1.27B	-54.60B	-1.80B	1.67	33.57	280,706	468,588	6,438,919	10,280,268
2011-12-13	$1226.21	$1225.00	21.6%	6.8%	26.6%	16.8%	24.5%	7.6%	1.6%	-3.09B	-18.43B	-1.76B	1.56	35.49	446,641	697,364	6,504,569	10,429,117
2011-12-14	$1212.52	$1225.00	20.8%	6.8%	26.8%	15.5%	24.7%	7.5%	1.7%	-5.72B	44.53B	-1.78B	1.68	33.22	377,926	633,667	6,633,198	10,686,388
2011-12-15	$1217.77	$1225.00	22.4%	6.4%	26.1%	18.0%	22.5%	7.1%	2.0%	-4.48B	21.75B	-1.77B	1.66	41.69	338,938	563,705	6,740,865	10,807,225
2011-12-16	$1216.34	$1225.00	22.4%	6.4%	25.7%	18.0%	23.4%	6.5%	1.9%	-2.84B	39.30B	-1.76B	1.39	38.89	293,564	407,617	3,483,660	5,811,458
2011-12-19	$1205.16	$1225.00	22.6%	6.5%	25.9%	18.3%	23.9%	6.4%	1.8%	-4.52B	60.91B	-1.72B	1.61	30.29	180,571	291,188	3,536,537	6,029,556
2011-12-20	$1242.29	$1225.00	20.4%	5.9%	27.1%	14.9%	21.7%	6.0%	1.8%	-455.2M	-4.59B	-1.76B	1.23	30.93	211,600	260,358	3,625,611	6,132,549
2011-12-21	$1241.89	$1225.00	19.3%	5.5%	26.9%	13.2%	21.4%	5.2%	2.1%	-474.6M	-3.57B	-1.73B	2.56	22.20	200,294	512,550	3,701,181	6,222,258
2011-12-22	$1253.66	$1225.00	18.6%	5.3%	25.8%	12.1%	20.6%	4.9%	2.3%	1.33B	-30.91B	-1.75B	3.06	21.99	147,170	450,281	3,768,969	6,519,368
2011-12-23	$1264.86	$1225.00	17.8%	5.1%	25.5%	10.8%	19.9%	5.2%	2.5%	3.28B	-48.76B	-1.77B	1.84	23.05	127,204	234,103	3,832,364	6,682,578
2011-12-27	$1265.78	$1225.00	18.2%	5.2%	23.4%	11.5%	19.4%	5.2%	2.5%	1.86B	-46.89B	-1.74B	1.37	21.53	93,693	128,499	3,810,420	6,574,338
2011-12-28	$1249.45	$1225.00	19.8%	5.7%	24.1%	13.9%	22.7%	5.5%	2.1%	-412.1M	-15.31B	-1.75B	2.19	23.72	93,093	204,047	3,823,953	6,600,886
2011-12-29	$1261.69	$1225.00	18.9%	5.4%	19.9%	12.6%	20.3%	5.4%	2.4%	1.34B	-38.01B	-1.74B	2.81	24.37	92,891	260,694	3,837,223	6,649,532
2011-12-30	$1256.83	$1225.00	17.1%	5.5%	19.9%	9.7%	20.7%	5.2%	2.6%	354.6M	-28.96B	-1.74B	1.49	60.17	122,837	182,902	3,874,858	6,735,200