SPX Options History — January 2012

In January 2012, SPX traded between $1276.51 and $1324.62. ATM implied volatility averaged 16.3%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.2% (HV 20d: 14.0%). Max pain ranged from $1225.00 to $1275.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.76.

Notable Days

  • 2012-01-18: Highest Volume — 1,303,640 contracts
  • 2012-01-12: Largest IV spike — 27.3% change
  • 2012-01-03: Highest IV Rank — 12.0%
  • 2012-01-09: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1300.29$1276.51$1324.62$1276.51$1311.29
Max Pain$1252.25$1225.00$1275.00$1225.00$1275.00
ATM IV16.3%14.0%18.6%18.6%18.2%
Expected Move4.8%4.1%5.3%5.2%4.5%
HV 20d14.0%7.9%20.6%20.6%7.9%
HV 60d23.3%20.5%25.5%25.5%20.5%
IV Rank8.4%4.9%12.0%12.0%11.5%
IV Percentile37.1%21.0%53.2%53.2%51.2%
Term Structure1.8%1.0%3.3%2.8%1.4%
VWIV18.6%16.0%21.5%20.1%16.1%
Skew 25d5.0%3.6%6.6%4.9%3.7%
Skew 10d9.7%6.2%13.3%9.3%6.9%
Call IV 25d14.5%12.9%16.3%16.3%14.1%
Put IV 25d19.5%16.8%22.3%21.1%17.7%
Bid-Ask Spread %25.764.2035.4822.394.20
Gamma HHI0.040.030.050.030.04
Net GEX3.27B724.2M7.64B2.01B1.17B
Net DEX-97.04B-158.18B-60.35B-60.35B-94.33B
Net VEX-1.73B-1.80B-1.65B-1.70B-1.80B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.761.142.161.891.59
Total Volume595,264.25376,6191,303,640530,379383,520
Total OI10,795,987.39,914,17012,262,5319,914,17011,247,361

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$1276.51$1225.0018.6%5.2%20.6%12.0%20.1%4.9%2.8%2.01B-60.35B-1.70B1.8922.39183,793346,5863,662,4926,251,678
2012-01-04$1277.43$1230.0017.0%4.9%20.4%9.5%17.9%4.6%3.3%2.07B-62.52B-1.70B2.0321.75137,082278,2083,722,4466,379,376
2012-01-05$1277.12$1225.0016.9%4.8%20.4%9.4%17.3%3.9%3.1%2.67B-66.37B-1.70B1.7023.30170,836290,2153,773,5566,467,892
2012-01-06$1278.18$1250.0015.6%5.3%20.3%7.3%20.7%6.5%1.1%2.64B-67.00B-1.68B1.4535.48231,817336,4973,825,4316,577,410
2012-01-09$1280.11$1250.0016.4%5.3%18.2%8.6%21.3%6.3%1.0%2.69B-71.65B-1.65B2.0535.01162,299332,7573,877,2536,607,626
2012-01-10$1290.69$1250.0016.5%5.2%17.4%8.8%20.4%6.0%1.3%4.60B-95.05B-1.67B1.4734.22255,948376,3143,950,8346,729,757
2012-01-11$1292.90$1250.0014.0%5.2%15.7%4.9%19.9%6.0%1.1%4.82B-98.82B-1.71B1.9531.87174,468339,7974,028,8126,881,694
2012-01-12$1296.38$1250.0017.8%5.1%15.3%10.8%20.3%5.4%1.4%5.64B-106.77B-1.72B1.5732.78218,245343,1424,105,0686,975,937
2012-01-13$1292.63$1250.0017.6%5.0%14.6%10.5%19.8%6.2%1.6%4.36B-97.53B-1.75B1.7831.75220,789392,6564,182,3897,107,857
2012-01-17$1293.74$1250.0018.2%5.2%14.6%11.5%21.5%6.6%1.5%3.99B-99.77B-1.74B1.4326.13281,439402,7054,201,9407,206,706
2012-01-18$1306.80$1260.0017.3%5.0%14.7%10.0%21.2%6.0%1.4%6.47B-133.10B-1.74B1.6524.88491,464812,1764,269,0627,373,867
2012-01-19$1315.15$1250.0016.1%4.6%13.9%8.1%18.1%5.1%1.9%7.64B-158.18B-1.73B1.1427.69497,983569,4884,452,2437,810,288
2012-01-20$1315.18$1250.0014.6%4.2%10.0%5.8%16.8%4.5%2.7%2.36B-99.51B-1.72B2.1626.90206,236446,2203,680,4016,248,269
2012-01-23$1314.97$1255.0014.9%4.3%10.0%6.2%17.3%4.1%2.2%1.96B-98.13B-1.74B2.0825.09163,452339,4623,777,3616,469,512
2012-01-24$1314.43$1260.0014.8%4.3%9.8%6.2%16.9%4.3%2.0%1.73B-99.07B-1.74B1.9221.66129,141247,4783,879,1596,631,165
2012-01-25$1324.62$1260.0014.3%4.1%9.7%5.3%16.0%3.8%1.8%3.39B-122.10B-1.72B1.6823.63162,384272,4313,928,1756,677,669
2012-01-26$1319.37$1260.0014.7%4.2%9.9%6.1%16.6%3.9%1.4%2.77B-110.92B-1.76B2.0122.21230,719462,9873,997,8906,777,849
2012-01-27$1315.59$1270.0015.1%4.3%8.4%6.6%17.0%3.6%1.4%1.65B-105.53B-1.77B1.7725.39203,760359,7384,092,6216,969,418
2012-01-30$1312.64$1275.0016.5%4.4%8.1%8.8%17.0%3.9%1.4%724.2M-94.14B-1.79B1.9218.85154,260296,7934,086,5957,034,687
2012-01-31$1311.29$1275.0018.2%4.5%7.9%11.5%16.1%3.7%1.4%1.17B-94.33B-1.80B1.594.20147,843235,6774,131,9407,115,421