SPX Options History — February 2012

In February 2012, SPX traded between $1323.74 and $1372.43. ATM implied volatility averaged 14.8%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 7.1% (HV 20d: 7.7%). Max pain ranged from $1260.00 to $1325.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2012-02-15: Highest Volume — 1,294,935 contracts
  • 2012-02-09: Largest IV spike — 23.5% change
  • 2012-02-15: Highest IV Rank — 9.4%
  • 2012-02-15: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1352.43$1323.74$1372.43$1323.74$1368.35
Max Pain$1287.25$1260.00$1325.00$1275.00$1325.00
ATM IV14.8%12.8%16.9%15.6%15.1%
Expected Move4.3%3.9%4.8%4.1%4.3%
HV 20d7.7%6.8%8.3%6.8%7.7%
HV 60d17.4%13.0%20.4%20.3%13.0%
IV Rank6.2%2.9%9.4%7.3%6.6%
IV Percentile23.6%9.1%42.5%31.0%26.2%
Term Structure1.2%0.7%1.9%1.6%0.7%
VWIV16.7%14.6%19.6%14.7%18.1%
Skew 25d4.7%3.4%6.1%3.4%4.9%
Skew 10d9.8%5.7%13.7%5.7%10.6%
Call IV 25d13.1%12.2%14.6%13.2%13.5%
Put IV 25d17.8%15.7%20.5%16.7%18.3%
Bid-Ask Spread %30.7420.6143.6320.6140.34
Gamma HHI0.040.040.050.040.04
Net GEX5.19B2.01B9.09B3.72B3.15B
Net DEX-172.43B-206.78B-128.62B-128.62B-173.70B
Net VEX-1.85B-1.96B-1.73B-1.76B-1.96B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.881.212.741.592.36
Total Volume697,444.5393,5721,294,935691,881624,958
Total OI12,341,903.8511,292,09413,773,23611,404,17412,880,487

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$1323.74$1275.0015.6%4.1%6.8%7.3%14.7%3.4%1.6%3.72B-128.62B-1.76B1.5920.61266,858425,0234,187,2987,216,876
2012-02-02$1325.49$1275.0014.2%3.9%6.8%5.3%15.0%3.4%1.9%3.68B-133.47B-1.79B1.9820.72139,168275,6434,268,9977,402,127
2012-02-03$1341.87$1260.0013.8%4.3%7.6%4.6%16.1%4.2%1.0%7.98B-180.40B-1.74B1.2535.11490,946615,7454,321,6387,533,165
2012-02-06$1342.36$1265.0014.9%4.3%7.7%6.3%16.1%4.2%1.2%7.25B-179.78B-1.74B1.6932.31146,560247,0124,406,0297,624,806
2012-02-07$1347.77$1270.0013.9%4.3%7.7%4.8%17.0%4.3%0.8%7.63B-188.98B-1.73B2.7437.15120,601330,1434,399,5127,686,138
2012-02-08$1350.27$1275.0012.8%4.3%7.4%2.9%16.0%4.6%0.9%7.95B-191.20B-1.76B1.4727.91218,537322,1954,438,6007,806,313
2012-02-09$1351.56$1275.0015.8%4.5%7.4%7.6%16.7%4.7%0.7%8.42B-193.99B-1.78B1.5629.87262,763410,6144,530,3247,933,538
2012-02-10$1342.84$1275.0016.5%4.7%8.0%8.7%18.0%6.1%1.0%5.17B-161.53B-1.89B1.5535.01354,165550,2034,649,1508,087,281
2012-02-13$1351.46$1275.0015.6%4.5%8.0%7.4%17.2%5.2%1.3%7.11B-192.60B-1.83B2.3131.95198,229457,2054,649,4208,178,804
2012-02-14$1349.79$1275.0015.8%4.5%8.0%7.8%17.9%5.5%1.0%6.23B-184.82B-1.88B1.8022.72252,376453,8844,691,0798,418,799
2012-02-15$1344.15$1275.0016.9%4.8%7.8%9.4%19.6%5.9%1.2%4.29B-163.44B-1.94B2.3726.24383,836911,0994,717,9088,514,456
2012-02-16$1357.44$1280.0015.1%4.3%8.2%6.7%17.7%5.3%1.5%9.09B-206.78B-1.91B1.6425.54376,330618,4384,840,1428,933,094
2012-02-17$1361.55$1285.0014.0%4.0%8.1%4.9%15.2%4.6%1.8%2.75B-160.89B-1.85B2.1421.67201,504432,1694,064,5397,227,555
2012-02-21$1361.74$1290.0014.2%4.1%8.1%5.2%15.4%4.5%1.8%2.83B-159.83B-1.86B1.4327.52328,971470,9074,148,1197,423,904
2012-02-22$1357.41$1295.0014.8%4.0%8.3%6.2%15.5%4.1%1.6%2.01B-147.30B-1.91B2.0923.28224,920469,8374,266,6997,627,023
2012-02-23$1365.31$1300.0013.4%4.0%8.1%4.0%17.6%4.5%0.8%3.48B-170.80B-1.86B2.1836.63213,238464,8274,312,2947,777,266
2012-02-24$1364.69$1325.0014.3%4.1%7.9%5.3%19.2%4.7%0.8%3.51B-168.06B-1.91B2.2337.60208,843466,0744,458,9818,030,817
2012-02-27$1368.43$1325.0014.6%4.2%7.7%5.8%16.4%4.7%0.8%3.15B-174.56B-1.92B2.0239.05159,863323,6684,448,7098,059,007
2012-02-28$1372.43$1325.0014.8%4.3%7.6%6.2%14.6%4.5%0.7%4.31B-187.94B-1.92B1.2143.63240,865290,6734,503,6808,173,503
2012-02-29$1368.35$1325.0015.1%4.3%7.7%6.6%18.1%4.9%0.7%3.15B-173.70B-1.96B2.3640.34186,002438,9564,586,4648,294,023