SPX Options History — May 2012

In May 2012, SPX traded between $1292.33 and $1404.33. ATM implied volatility averaged 18.6%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.1% (HV 20d: 13.5%). Max pain ranged from $1325.00 to $1390.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.96.

Notable Days

2012-05-17: Highest Volume — 1,763,899 contracts
2012-05-30: Largest IV spike — 16.4% change
2012-05-18: Highest IV Rank — 17.3%
2012-05-18: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1340.33	$1292.33	$1404.33	$1404.33	$1310.10
Max Pain	$1358.18	$1325.00	$1390.00	$1385.00	$1325.00
ATM IV	18.6%	14.8%	21.9%	14.8%	21.5%
Expected Move	5.2%	3.8%	6.3%	3.8%	6.2%
HV 20d	13.5%	11.2%	15.3%	14.1%	15.3%
HV 60d	12.6%	11.4%	14.1%	11.4%	13.7%
IV Rank	12.3%	6.3%	17.3%	6.3%	16.7%
IV Percentile	51.5%	24.6%	61.9%	24.6%	60.3%
Term Structure	0.6%	-0.5%	1.4%	1.4%	-0.2%
VWIV	19.5%	14.1%	28.5%	14.1%	28.5%
Skew 25d	5.9%	3.1%	7.5%	3.1%	7.0%
Skew 10d	11.5%	6.5%	14.5%	6.5%	14.0%
Call IV 25d	15.7%	12.0%	18.5%	12.0%	18.4%
Put IV 25d	21.7%	15.1%	25.9%	15.1%	25.4%
Bid-Ask Spread %	29.63	7.95	41.77	22.65	7.95
Gamma HHI	0.05	0.03	0.09	0.04	0.04
Net GEX	-8.63B	-20.10B	2.43B	2.43B	-10.17B
Net DEX	70.80B	-115.07B	216.55B	-115.07B	138.94B
Net VEX	-1.97B	-2.02B	-1.92B	-1.94B	-1.98B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	1.35	2.58	1.68	2.16
Total Volume	792,034	474,099	1,763,899	505,865	836,894
Total OI	12,787,950.318	11,830,200	13,912,377	11,867,499	13,435,699

Daily Data (22 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
2012-05-01	$1404.33	$1385.00	14.8%	3.8%	14.1%	6.3%	14.1%	3.1%	1.4%	2.43B	-115.07B	-1.94B	1.68	22.65	188,849	317,016	4,264,596	7,602,903
2012-05-02	$1401.36	$1385.00	16.3%	4.0%	14.1%	8.6%	14.9%	3.4%	0.8%	1.69B	-103.91B	-1.94B	2.36	25.09	160,250	377,609	4,328,249	7,714,143
2012-05-03	$1388.69	$1390.00	15.5%	4.1%	13.9%	7.4%	16.0%	3.7%	1.0%	-2.68B	-60.44B	-1.99B	1.69	20.72	176,019	298,080	4,392,011	7,839,959
2012-05-04	$1365.17	$1375.00	16.8%	4.8%	15.1%	9.4%	17.5%	5.8%	-0.0%	-9.24B	17.87B	-2.00B	1.57	41.77	315,951	497,608	4,488,615	7,928,262
2012-05-07	$1368.56	$1370.00	17.5%	4.7%	14.7%	10.4%	17.3%	5.6%	0.3%	-6.41B	4.11B	-1.96B	1.35	40.52	209,535	283,678	4,463,341	7,917,143
2012-05-08	$1361.33	$1370.00	19.2%	4.8%	14.0%	13.2%	17.5%	5.4%	0.7%	-7.90B	26.13B	-1.96B	2.02	34.87	251,368	508,368	4,524,111	7,989,590
2012-05-09	$1353.56	$1370.00	17.4%	5.0%	14.0%	10.4%	18.3%	5.9%	0.9%	-9.40B	50.01B	-1.96B	1.65	41.29	265,154	438,016	4,590,866	8,084,131
2012-05-10	$1359.90	$1370.00	16.5%	4.7%	12.9%	8.9%	17.4%	5.4%	0.7%	-7.62B	26.31B	-1.96B	1.53	36.62	299,471	457,585	4,704,486	8,222,450
2012-05-11	$1352.23	$1370.00	17.9%	5.1%	11.9%	11.1%	18.5%	5.9%	0.5%	-10.68B	53.61B	-1.97B	2.46	38.56	177,552	436,604	4,781,087	8,336,289
2012-05-14	$1336.17	$1370.00	19.2%	5.5%	12.6%	13.1%	19.8%	6.4%	0.6%	-12.59B	102.90B	-1.92B	2.58	30.81	266,335	687,697	4,724,756	8,189,749
2012-05-15	$1330.22	$1365.00	19.2%	5.5%	11.2%	13.1%	20.2%	6.6%	0.7%	-15.03B	125.24B	-1.94B	2.35	26.55	270,387	634,189	4,828,890	8,481,650
2012-05-16	$1324.51	$1365.00	19.1%	5.5%	11.2%	13.0%	20.2%	6.6%	1.1%	-16.95B	149.36B	-1.95B	2.33	24.86	391,057	910,992	4,912,181	8,596,797
2012-05-17	$1303.08	$1360.00	20.9%	6.0%	12.3%	15.7%	20.5%	7.2%	1.1%	-20.10B	216.55B	-1.93B	2.52	25.31	501,292	1,262,607	5,049,132	8,863,245
2012-05-18	$1292.33	$1360.00	21.9%	6.3%	12.3%	17.3%	22.3%	7.5%	1.2%	-10.14B	173.51B	-1.96B	2.19	24.24	371,037	811,261	4,279,791	7,550,409
2012-05-21	$1317.29	$1350.00	18.8%	5.4%	14.4%	12.5%	20.2%	5.8%	1.0%	-8.13B	112.84B	-1.96B	1.72	27.88	282,041	485,291	4,481,308	7,814,150
2012-05-22	$1316.80	$1350.00	19.0%	5.5%	14.2%	12.9%	19.7%	5.9%	0.7%	-8.29B	116.07B	-1.98B	1.71	28.04	301,796	514,737	4,568,973	8,006,207
2012-05-23	$1317.38	$1350.00	19.6%	5.4%	13.1%	13.7%	20.1%	5.8%	1.3%	-8.01B	112.77B	-2.01B	1.86	31.44	240,960	447,612	4,676,399	8,130,748
2012-05-24	$1323.96	$1325.00	18.8%	5.6%	13.0%	12.5%	21.5%	6.9%	-0.2%	-6.30B	93.54B	-2.02B	1.60	33.17	287,009	457,829	4,730,958	8,304,370
2012-05-25	$1316.29	$1325.00	19.9%	5.7%	13.0%	14.1%	21.5%	6.9%	-0.3%	-8.26B	118.62B	-2.02B	2.08	33.20	179,875	374,283	4,828,315	8,419,917
2012-05-29	$1334.55	$1325.00	18.6%	5.3%	14.3%	12.2%	20.5%	6.8%	-0.3%	-6.25B	59.84B	-1.98B	1.63	29.06	252,867	411,736	4,782,604	8,265,562
2012-05-30	$1309.56	$1325.00	21.6%	6.2%	15.2%	16.9%	22.5%	7.1%	-0.5%	-9.87B	138.74B	-1.98B	2.17	27.21	184,724	401,527	4,875,051	8,365,814
2012-05-31	$1310.10	$1325.00	21.5%	6.2%	15.3%	16.7%	28.5%	7.0%	-0.2%	-10.17B	138.94B	-1.98B	2.16	7.95	264,745	572,149	4,941,862	8,493,837