SPX Options History — June 2012

In June 2012, SPX traded between $1272.94 and $1361.86. ATM implied volatility averaged 19.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.3% (HV 20d: 20.4%). Max pain ranged from $1300.00 to $1370.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2012-06-01: Highest Volume — 1,233,975 contracts
2012-06-21: Largest IV spike — 17.7% change
2012-06-01: Highest IV Rank — 21.1%
2012-06-01: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1323.49	$1272.94	$1361.86	$1272.94	$1361.86
Max Pain	$1320.00	$1300.00	$1370.00	$1325.00	$1325.00
ATM IV	19.1%	14.9%	24.3%	24.3%	15.2%
Expected Move	5.5%	4.3%	7.0%	7.0%	4.3%
HV 20d	20.4%	17.1%	22.5%	17.7%	19.8%
HV 60d	16.1%	14.6%	17.7%	14.8%	17.7%
IV Rank	12.9%	6.4%	21.1%	21.1%	6.9%
IV Percentile	46.9%	21.8%	65.5%	65.5%	24.6%
Term Structure	-0.0%	-1.4%	1.3%	-0.6%	0.3%
VWIV	21.3%	15.0%	27.9%	24.9%	15.0%
Skew 25d	6.1%	4.3%	7.9%	7.3%	4.3%
Skew 10d	11.5%	8.4%	15.1%	12.8%	8.4%
Call IV 25d	16.4%	12.7%	21.1%	21.1%	13.0%
Put IV 25d	22.5%	17.4%	28.4%	28.4%	17.4%
Bid-Ask Spread %	31.26	22.25	47.32	33.11	30.59
Gamma HHI	0.04	0.03	0.05	0.05	0.04
Net GEX	-5.10B	-15.33B	5.45B	-15.33B	5.45B
Net DEX	61.90B	-82.24B	244.86B	244.86B	-82.24B
Net VEX	-1.89B	-1.92B	-1.85B	-1.91B	-1.87B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	1.06	2.60	2.60	1.06
Total Volume	746,885.857	439,684	1,233,975	1,233,975	889,198
Total OI	12,700,545.381	9,992,898	15,102,846	13,705,468	11,865,504

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
2012-06-01	$1272.94	$1325.00	24.3%	7.0%	17.7%	21.1%	24.9%	7.3%	-0.6%	-15.33B	244.86B	-1.91B	2.60	33.11	343,103	890,872	5,007,535	8,697,933
2012-06-04	$1273.67	$1300.00	23.5%	6.7%	17.1%	19.9%	21.7%	7.9%	-0.4%	-14.06B	241.92B	-1.88B	2.14	47.32	260,283	557,765	5,032,414	8,832,395
2012-06-05	$1285.83	$1300.00	23.1%	6.6%	17.6%	19.2%	23.1%	6.5%	-1.0%	-12.50B	207.58B	-1.89B	2.17	35.67	233,732	507,651	5,115,110	8,977,890
2012-06-06	$1316.22	$1300.00	19.6%	5.6%	19.9%	13.7%	25.1%	5.9%	0.1%	-7.22B	110.02B	-1.91B	2.17	39.07	335,346	727,709	5,200,620	9,188,606
2012-06-07	$1316.35	$1300.00	19.5%	5.6%	19.8%	13.7%	22.3%	6.5%	-0.7%	-6.32B	106.70B	-1.89B	1.37	22.25	413,684	564,800	5,287,395	9,195,275
2012-06-08	$1328.36	$1300.00	19.0%	5.4%	20.1%	12.8%	20.5%	5.9%	0.2%	-3.47B	54.40B	-1.92B	1.23	40.61	313,787	384,658	5,414,486	9,342,701
2012-06-11	$1307.39	$1300.00	22.1%	6.3%	20.7%	17.7%	25.2%	7.0%	-0.8%	-9.47B	139.47B	-1.90B	1.52	28.99	233,730	355,527	5,368,863	9,196,168
2012-06-12	$1326.56	$1325.00	20.4%	5.8%	21.1%	15.0%	23.8%	6.6%	-0.4%	-4.92B	69.70B	-1.91B	1.55	33.89	238,401	369,104	5,432,745	9,322,768
2012-06-13	$1315.80	$1325.00	21.4%	6.1%	21.2%	16.6%	27.9%	7.5%	0.2%	-7.98B	113.00B	-1.92B	1.93	29.85	204,849	395,884	5,504,260	9,403,022
2012-06-14	$1332.68	$1325.00	20.5%	5.9%	21.7%	15.2%	26.2%	7.2%	-1.4%	-2.96B	36.71B	-1.92B	1.35	31.76	379,255	511,511	5,573,283	9,529,563
2012-06-15	$1344.47	$1325.00	18.6%	5.4%	21.0%	12.3%	22.2%	7.0%	-1.2%	-1.30B	-11.61B	-1.89B	1.75	32.87	269,194	470,622	3,663,886	6,329,012
2012-06-18	$1346.93	$1325.00	16.2%	4.6%	20.6%	8.5%	17.7%	6.0%	1.0%	-457.8M	-23.33B	-1.86B	1.73	29.76	237,564	411,715	3,809,616	6,583,734
2012-06-19	$1357.14	$1325.00	16.1%	4.6%	19.7%	8.4%	17.1%	5.9%	0.9%	1.24B	-47.76B	-1.87B	1.63	26.09	278,475	453,948	3,890,670	6,721,980
2012-06-20	$1356.93	$1325.00	14.9%	4.3%	19.7%	6.4%	16.0%	5.2%	1.3%	2.11B	-51.11B	-1.85B	1.98	26.58	281,243	555,690	3,994,069	6,817,934
2012-06-21	$1324.00	$1325.00	17.5%	5.0%	21.8%	10.5%	19.1%	5.5%	0.5%	-5.39B	33.83B	-1.90B	1.93	27.99	284,663	548,010	4,079,455	7,053,779
2012-06-22	$1332.50	$1325.00	16.3%	4.6%	21.9%	8.6%	16.4%	4.8%	0.9%	-4.47B	15.37B	-1.89B	1.52	27.50	281,531	429,089	4,161,567	7,250,238
2012-06-25	$1312.42	$1325.00	18.6%	5.4%	22.5%	12.1%	22.0%	5.1%	0.3%	-6.97B	64.78B	-1.88B	1.86	31.46	219,633	409,391	4,123,172	7,114,216
2012-06-26	$1321.58	$1370.00	18.0%	5.2%	22.0%	11.3%	20.3%	5.3%	0.2%	-5.69B	42.30B	-1.88B	1.51	30.35	175,184	264,500	4,172,378	7,207,141
2012-06-27	$1331.88	$1325.00	17.8%	5.1%	21.1%	10.9%	21.5%	5.3%	0.3%	-3.44B	13.98B	-1.91B	1.39	27.45	215,769	299,649	4,241,964	7,315,474
2012-06-28	$1327.78	$1325.00	17.6%	5.0%	21.1%	10.6%	20.1%	5.4%	0.1%	-4.06B	21.35B	-1.90B	1.90	23.30	167,973	319,911	4,304,117	7,388,515
2012-06-29	$1361.86	$1325.00	15.2%	4.3%	19.8%	6.9%	15.0%	4.3%	0.3%	5.45B	-82.24B	-1.87B	1.06	30.59	431,168	458,030	4,360,918	7,504,586