SPX Options History — August 2012

In August 2012, SPX traded between $1365.16 and $1417.27. ATM implied volatility averaged 13.8%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.2% (HV 20d: 12.6%). Max pain ranged from $1350.00 to $1400.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.57.

Notable Days

2012-08-16: Highest Volume — 1,215,888 contracts
2012-08-02: Largest IV drop — 12.0% change
2012-08-30: Highest IV Rank — 11.5%
2012-08-01: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1403.23	$1365.16	$1417.27	$1374.67	$1406.53
Max Pain	$1384.35	$1350.00	$1400.00	$1380.00	$1400.00
ATM IV	13.8%	12.1%	17.3%	17.3%	15.3%
Expected Move	4.0%	3.5%	5.0%	5.0%	4.4%
HV 20d	12.6%	6.3%	16.0%	14.6%	6.3%
HV 60d	16.8%	14.4%	18.1%	17.7%	14.4%
IV Rank	6.6%	3.1%	11.5%	10.2%	10.8%
IV Percentile	15.6%	2.4%	42.5%	42.5%	34.5%
Term Structure	0.4%	-0.9%	1.4%	-0.9%	0.2%
VWIV	15.0%	13.1%	18.6%	18.6%	16.4%
Skew 25d	3.9%	2.9%	5.1%	4.5%	5.0%
Skew 10d	7.7%	5.3%	10.3%	8.8%	10.3%
Call IV 25d	12.3%	10.6%	15.4%	15.4%	13.1%
Put IV 25d	16.2%	14.2%	19.9%	19.9%	18.1%
Bid-Ask Spread %	33.24	24.08	49.31	31.11	40.93
Gamma HHI	0.05	0.03	0.06	0.04	0.03
Net GEX	5.62B	-3.02B	13.85B	2.73B	-940.0M
Net DEX	-148.49B	-219.62B	-53.17B	-82.70B	-118.17B
Net VEX	-1.78B	-1.88B	-1.68B	-1.88B	-1.85B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	1.12	2.63	1.21	1.66
Total Volume	587,450.217	337,816	1,215,888	608,406	544,524
Total OI	12,391,144.652	11,343,858	13,218,789	11,983,127	12,917,322

Daily Data (23 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
2012-08-01	$1374.67	$1380.00	17.3%	5.0%	14.6%	10.2%	18.6%	4.5%	-0.9%	2.73B	-82.70B	-1.88B	1.21	31.11	275,056	333,350	4,580,961	7,402,166
2012-08-02	$1365.16	$1380.00	15.2%	4.4%	14.7%	6.9%	17.5%	4.1%	-0.0%	-423.2M	-53.17B	-1.84B	1.22	29.14	322,684	394,482	4,655,822	7,453,575
2012-08-03	$1392.26	$1380.00	13.9%	4.0%	16.0%	4.9%	14.8%	3.1%	-0.1%	9.93B	-153.86B	-1.76B	1.17	39.94	351,230	409,384	4,704,774	7,553,022
2012-08-06	$1393.46	$1375.00	14.3%	4.1%	16.0%	5.5%	16.0%	3.5%	-0.1%	8.27B	-147.70B	-1.76B	1.48	31.77	207,154	307,504	4,678,075	7,485,636
2012-08-07	$1400.07	$1375.00	14.2%	4.1%	15.4%	5.3%	15.0%	3.4%	0.4%	10.05B	-169.28B	-1.78B	1.34	26.87	276,551	371,706	4,712,681	7,578,089
2012-08-08	$1401.45	$1400.00	13.6%	3.9%	15.4%	6.7%	14.0%	3.1%	0.5%	11.38B	-174.82B	-1.74B	1.38	32.76	195,328	269,390	4,796,136	7,661,543
2012-08-09	$1403.51	$1400.00	13.3%	3.8%	15.1%	6.0%	13.3%	2.9%	0.5%	11.64B	-180.22B	-1.75B	1.71	35.40	179,362	306,354	4,808,646	7,754,579
2012-08-10	$1405.25	$1400.00	12.6%	3.6%	14.2%	4.4%	13.2%	3.1%	0.6%	11.81B	-187.92B	-1.72B	1.50	31.52	184,459	276,081	4,841,386	7,843,521
2012-08-13	$1404.48	$1400.00	13.3%	3.8%	14.1%	6.0%	13.8%	3.3%	-0.4%	11.27B	-186.63B	-1.68B	1.80	24.08	217,361	390,353	4,769,402	7,757,125
2012-08-14	$1403.24	$1400.00	14.1%	4.1%	13.9%	7.9%	15.2%	3.6%	-0.6%	9.83B	-180.96B	-1.73B	1.77	24.42	212,602	375,876	4,822,743	7,995,062
2012-08-15	$1405.47	$1400.00	13.5%	3.9%	13.8%	6.6%	14.1%	3.5%	0.0%	10.04B	-187.30B	-1.74B	1.17	25.56	272,136	319,175	4,871,669	8,165,928
2012-08-16	$1415.79	$1400.00	12.8%	3.7%	14.0%	4.9%	13.2%	3.2%	0.2%	13.85B	-219.62B	-1.74B	1.12	24.75	574,676	641,212	4,941,353	8,277,436
2012-08-17	$1417.27	$1400.00	12.1%	3.5%	13.3%	3.1%	13.1%	3.2%	0.2%	5.73B	-169.24B	-1.72B	1.56	26.77	223,089	347,989	4,294,494	7,049,364
2012-08-20	$1416.54	$1350.00	12.1%	3.5%	12.5%	3.1%	13.6%	3.7%	1.0%	5.72B	-167.15B	-1.74B	2.63	33.82	178,805	470,175	4,415,244	7,240,493
2012-08-21	$1414.50	$1350.00	12.7%	3.6%	11.6%	4.7%	13.8%	4.2%	1.3%	3.64B	-152.09B	-1.78B	1.23	31.69	310,621	381,074	4,488,999	7,405,708
2012-08-22	$1414.35	$1350.00	12.7%	3.6%	11.6%	4.6%	14.1%	4.2%	1.3%	3.82B	-153.98B	-1.83B	2.03	26.93	188,940	384,479	4,598,415	7,497,232
2012-08-23	$1401.99	$1355.00	13.4%	3.8%	11.5%	6.3%	14.2%	4.3%	0.9%	-1.53B	-104.99B	-1.84B	1.63	30.72	251,880	411,244	4,582,992	7,676,326
2012-08-24	$1411.73	$1355.00	12.8%	3.6%	9.5%	4.8%	13.9%	4.2%	1.4%	1.85B	-141.37B	-1.83B	1.55	30.06	194,751	302,481	4,646,775	7,832,277
2012-08-27	$1409.94	$1390.00	14.2%	4.2%	9.5%	8.1%	16.1%	4.7%	0.7%	1.50B	-135.58B	-1.82B	1.86	48.01	118,216	219,600	4,597,382	7,781,428
2012-08-28	$1409.37	$1400.00	14.4%	4.2%	9.1%	8.6%	16.0%	5.0%	0.5%	1.34B	-130.88B	-1.82B	1.79	49.31	133,472	239,053	4,624,837	7,870,223
2012-08-29	$1408.76	$1400.00	14.9%	4.3%	9.1%	9.9%	17.9%	5.1%	0.6%	800.5M	-128.57B	-1.84B	1.75	47.91	123,273	215,347	4,662,134	7,973,826
2012-08-30	$1398.59	$1400.00	15.7%	4.5%	9.1%	11.5%	16.7%	4.9%	0.4%	-3.02B	-88.98B	-1.86B	1.51	41.15	242,249	366,627	4,685,690	8,043,836
2012-08-31	$1406.53	$1400.00	15.3%	4.4%	6.3%	10.8%	16.4%	5.0%	0.2%	-940.0M	-118.17B	-1.85B	1.66	40.93	204,530	339,994	4,736,570	8,180,752