SPX Options History — July 2012

In July 2012, SPX traded between $1333.49 and $1386.12. ATM implied volatility averaged 15.5%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.6% (HV 20d: 17.1%). Max pain ranged from $1330.00 to $1425.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.49.

Notable Days

2012-07-19: Highest Volume — 1,001,910 contracts
2012-07-23: Largest IV spike — 14.5% change
2012-07-24: Highest IV Rank — 11.5%
2012-07-24: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1359.08	$1333.49	$1386.12	$1362.85	$1376.01
Max Pain	$1365.24	$1330.00	$1425.00	$1350.00	$1380.00
ATM IV	15.5%	13.7%	18.2%	14.9%	16.9%
Expected Move	4.5%	3.9%	5.2%	4.3%	4.8%
HV 20d	17.1%	14.7%	19.8%	19.8%	14.9%
HV 60d	17.4%	16.8%	18.1%	17.7%	17.7%
IV Rank	7.4%	4.5%	11.5%	6.5%	9.5%
IV Percentile	25.7%	9.9%	45.2%	21.4%	38.5%
Term Structure	0.3%	-0.6%	1.4%	0.0%	-0.2%
VWIV	17.4%	14.6%	20.9%	17.9%	18.5%
Skew 25d	4.6%	3.7%	6.1%	4.3%	4.7%
Skew 10d	9.0%	7.2%	12.0%	7.9%	9.0%
Call IV 25d	13.6%	12.0%	15.5%	13.0%	15.1%
Put IV 25d	18.2%	15.7%	21.6%	17.3%	19.8%
Bid-Ask Spread %	32.12	24.66	44.88	38.01	27.03
Gamma HHI	0.04	0.03	0.06	0.04	0.04
Net GEX	1.34B	-6.05B	9.40B	3.57B	3.27B
Net DEX	-56.16B	-132.88B	28.86B	-76.01B	-86.42B
Net VEX	-1.83B	-1.88B	-1.78B	-1.84B	-1.87B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	1.01	2.08	1.67	1.01
Total Volume	631,647.81	424,945	1,001,910	592,823	472,264
Total OI	11,845,965.857	10,693,342	13,059,373	11,424,207	11,816,278

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
2012-07-02	$1362.85	$1350.00	14.9%	4.3%	19.8%	6.5%	17.9%	4.3%	0.0%	3.57B	-76.01B	-1.84B	1.67	38.01	222,035	370,788	4,249,528	7,174,679
2012-07-03	$1373.40	$1375.00	14.4%	4.1%	19.7%	5.6%	15.5%	4.6%	0.5%	5.76B	-105.95B	-1.84B	1.26	38.74	187,652	237,293	4,327,049	7,293,357
2012-07-05	$1366.15	$1375.00	15.2%	4.3%	18.5%	6.9%	16.7%	4.7%	0.2%	4.66B	-86.26B	-1.86B	1.59	27.51	199,029	315,687	4,395,719	7,374,141
2012-07-06	$1356.47	$1360.00	15.1%	4.3%	18.7%	6.7%	15.3%	4.4%	0.2%	709.8M	-54.00B	-1.85B	1.91	32.09	179,014	342,301	4,454,444	7,481,308
2012-07-09	$1354.58	$1425.00	16.2%	4.7%	18.5%	8.5%	17.3%	4.8%	-0.4%	284.1M	-44.73B	-1.84B	1.99	30.85	157,184	312,340	4,410,527	7,444,730
2012-07-10	$1340.72	$1400.00	16.8%	4.8%	17.9%	9.5%	20.4%	4.7%	-0.3%	-3.59B	-2.81B	-1.84B	1.66	29.15	213,885	355,328	4,454,882	7,540,037
2012-07-11	$1341.61	$1400.00	16.3%	4.7%	17.2%	8.7%	19.2%	4.7%	-0.3%	-3.90B	-4.91B	-1.82B	1.21	33.91	249,895	302,550	4,482,712	7,610,480
2012-07-12	$1333.49	$1400.00	16.8%	4.8%	17.1%	9.4%	20.4%	4.8%	-0.6%	-6.05B	18.66B	-1.82B	1.46	30.72	287,799	420,721	4,581,923	7,734,222
2012-07-13	$1356.01	$1400.00	14.8%	4.2%	17.6%	6.3%	15.9%	4.1%	0.1%	2.74B	-63.03B	-1.80B	1.54	44.88	308,342	473,993	4,647,314	7,848,101
2012-07-16	$1352.32	$1335.00	15.5%	4.4%	17.3%	7.4%	16.5%	4.2%	1.0%	1.04B	-47.46B	-1.80B	1.51	34.89	209,210	314,910	4,651,521	7,764,827
2012-07-17	$1362.98	$1330.00	14.4%	4.1%	17.5%	5.7%	15.2%	4.0%	1.0%	4.62B	-84.39B	-1.78B	1.08	34.55	386,133	418,967	4,703,205	7,836,223
2012-07-18	$1372.29	$1335.00	14.1%	4.0%	17.5%	5.2%	15.4%	3.8%	1.4%	8.13B	-118.46B	-1.79B	1.41	32.21	414,636	584,001	4,774,467	7,951,744
2012-07-19	$1376.81	$1345.00	13.7%	3.9%	17.5%	4.5%	14.6%	3.7%	0.8%	9.40B	-132.88B	-1.79B	1.24	44.15	447,491	554,419	4,875,301	8,184,072
2012-07-20	$1363.17	$1350.00	14.0%	3.9%	15.4%	5.0%	15.0%	4.2%	1.0%	413.7M	-52.10B	-1.83B	2.07	25.59	187,291	387,292	4,055,620	6,637,722
2012-07-23	$1348.40	$1375.00	16.0%	4.7%	15.8%	8.2%	19.0%	5.3%	0.9%	-2.95B	-10.10B	-1.85B	1.40	29.71	227,610	319,729	4,125,335	6,804,447
2012-07-24	$1334.50	$1340.00	18.2%	5.2%	15.3%	11.5%	20.3%	6.1%	-0.2%	-5.37B	28.86B	-1.88B	2.08	33.67	189,043	393,451	4,192,497	6,938,621
2012-07-25	$1339.47	$1340.00	16.9%	4.8%	15.2%	9.6%	20.9%	5.6%	0.7%	-5.36B	18.07B	-1.86B	1.37	27.38	215,982	296,069	4,227,784	7,063,683
2012-07-26	$1358.41	$1340.00	15.3%	4.4%	15.7%	7.1%	17.7%	4.9%	0.3%	-702.7M	-40.70B	-1.84B	1.51	24.66	264,043	397,531	4,272,711	7,159,063
2012-07-27	$1386.12	$1340.00	14.5%	4.2%	17.0%	5.8%	15.8%	4.2%	-0.0%	6.78B	-123.27B	-1.83B	1.19	30.22	416,516	495,117	4,337,755	7,283,056
2012-07-30	$1384.91	$1375.00	16.2%	4.7%	14.7%	8.4%	18.0%	4.9%	-0.4%	4.65B	-111.53B	-1.86B	1.05	24.70	262,212	274,851	4,398,059	7,206,139
2012-07-31	$1376.01	$1380.00	16.9%	4.8%	14.9%	9.5%	18.5%	4.7%	-0.2%	3.27B	-86.42B	-1.87B	1.01	27.03	234,442	237,822	4,513,005	7,303,273