SPX Options History — April 2012

In April 2012, SPX traded between $1361.03 and $1417.16. ATM implied volatility averaged 15.0%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.0% (HV 20d: 13.0%). Max pain ranged from $1365.00 to $1390.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2012-04-10: Highest Volume — 1,120,296 contracts
  • 2012-04-09: Largest IV spike — 27.0% change
  • 2012-04-10: Highest IV Rank — 12.9%
  • 2012-04-10: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1385.85$1361.03$1417.16$1417.16$1397.66
Max Pain$1382.00$1365.00$1390.00$1365.00$1385.00
ATM IV15.0%12.3%19.1%13.1%15.3%
Expected Move4.3%3.3%5.1%3.5%3.9%
HV 20d13.0%10.3%14.4%12.3%14.2%
HV 60d10.7%9.1%11.7%9.1%11.6%
IV Rank6.6%2.4%12.9%3.6%7.0%
IV Percentile29.7%6.3%57.1%15.1%31.7%
Term Structure1.1%0.5%2.1%1.6%1.0%
VWIV16.2%13.4%19.1%13.6%15.8%
Skew 25d4.8%3.2%6.4%3.2%3.9%
Skew 10d9.4%6.8%12.6%7.1%8.0%
Call IV 25d13.0%10.5%15.1%10.9%12.5%
Put IV 25d17.8%13.8%21.5%14.1%16.4%
Bid-Ask Spread %34.1417.7967.8220.1267.82
Gamma HHI0.030.030.040.040.04
Net GEX-3.47B-11.34B4.59B4.59B258.1M
Net DEX-56.38B-155.23B31.74B-155.23B-89.35B
Net VEX-2.00B-2.07B-1.95B-1.95B-1.96B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.831.062.651.702.07
Total Volume653,724.45354,0731,120,296614,390354,073
Total OI12,185,176.210,869,90913,595,44111,739,92811,744,754

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$1417.16$1365.0013.1%3.5%12.3%3.6%13.6%3.2%1.6%4.59B-155.23B-1.95B1.7020.12227,266387,1244,039,4727,700,456
2012-04-03$1413.04$1370.0012.3%3.3%10.3%2.4%13.4%3.3%2.1%2.94B-142.49B-1.97B1.7418.39217,671378,2854,119,2627,874,372
2012-04-04$1397.47$1375.0012.9%3.7%11.1%3.3%14.1%3.7%1.5%-3.50B-86.39B-2.00B1.8018.82207,635373,1684,100,4597,996,541
2012-04-05$1394.41$1375.0012.9%3.7%10.8%3.3%14.5%3.4%1.8%-4.66B-77.33B-2.04B2.2217.79191,275424,3024,165,1648,104,470
2012-04-09$1379.30$1390.0016.4%4.7%11.5%8.8%18.5%5.6%0.9%-7.32B-28.96B-2.03B2.4043.83180,147432,5254,146,8708,105,437
2012-04-10$1361.03$1390.0019.1%5.1%12.5%12.9%19.1%6.4%0.8%-11.34B31.74B-2.05B1.5644.48436,784683,5124,192,0698,127,105
2012-04-11$1368.86$1380.0015.5%5.0%10.9%7.3%18.2%6.2%0.6%-9.34B2.00B-2.07B1.9744.78226,678446,6284,313,7928,248,266
2012-04-12$1389.75$1385.0014.7%4.2%12.3%6.2%16.7%5.6%1.5%-1.31B-78.24B-2.02B1.9350.54246,838476,6924,400,0818,328,966
2012-04-13$1368.74$1385.0017.0%4.9%13.2%9.6%18.4%5.8%0.8%-9.16B1.53B-2.06B2.2556.07190,588428,6494,486,0468,461,502
2012-04-16$1368.42$1385.0017.3%5.0%13.2%10.1%18.9%6.0%0.7%-9.03B1.68B-2.04B1.5642.60257,056401,2184,489,8008,472,975
2012-04-17$1388.19$1385.0015.7%4.5%14.2%7.6%17.0%5.5%0.8%-3.29B-74.98B-2.01B1.4335.17292,873420,2384,546,1898,570,528
2012-04-18$1382.79$1385.0016.0%4.6%14.2%8.1%17.5%5.3%1.1%-5.53B-54.71B-2.01B2.6529.01233,327619,0544,602,7238,666,140
2012-04-19$1376.49$1385.0015.9%4.6%14.3%8.0%16.7%5.9%0.5%-8.47B-34.98B-2.02B1.7132.53378,721647,2274,666,5368,928,905
2012-04-20$1379.27$1385.0014.7%4.2%14.2%6.1%16.1%5.0%1.3%-3.23B-34.45B-2.00B1.5328.86227,453347,3203,840,4757,029,434
2012-04-23$1366.99$1385.0016.4%4.7%14.4%8.8%16.6%5.2%0.8%-4.76B-3.94B-1.98B1.0621.48267,809284,5063,933,7987,149,169
2012-04-24$1374.26$1385.0015.1%4.3%13.3%6.7%16.4%5.1%0.9%-3.51B-22.79B-1.99B2.6024.69117,018303,7064,046,7087,259,089
2012-04-25$1391.45$1380.0013.8%4.0%14.1%4.8%14.3%4.0%1.1%420.2M-69.99B-1.95B1.4628.45208,087303,7744,088,0597,344,593
2012-04-26$1400.03$1380.0013.2%3.8%14.2%3.8%14.4%3.7%1.3%2.72B-104.11B-1.97B1.1828.41308,881365,6904,142,1537,444,103
2012-04-27$1401.68$1385.0013.2%3.8%14.2%3.8%14.2%4.1%1.3%4.11B-106.66B-1.98B1.8328.93205,154375,5374,239,0467,588,017
2012-04-30$1397.66$1385.0015.3%3.9%14.2%7.0%15.8%3.9%1.0%258.1M-89.35B-1.96B2.0767.82115,350238,7234,219,7707,524,984