SPX Options History — September 2012

In September 2012, SPX traded between $1404.55 and $1465.55. ATM implied volatility averaged 13.0%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.1% (HV 20d: 9.9%). Max pain ranged from $1375.00 to $1450.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.56.

Notable Days

  • 2012-09-14: Highest Volume — 1,235,912 contracts
  • 2012-09-10: Largest IV spike — 18.8% change
  • 2012-09-05: Highest IV Rank — 12.6%
  • 2012-09-05: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1443.17$1404.55$1465.55$1407.09$1439.92
Max Pain$1414.74$1375.00$1450.00$1375.00$1430.00
ATM IV13.0%11.0%16.1%15.5%12.6%
Expected Move3.7%3.1%4.6%4.4%3.6%
HV 20d9.9%6.1%11.4%6.3%11.2%
HV 60d13.1%11.6%14.4%14.4%11.8%
IV Rank5.3%0.5%12.6%11.1%4.4%
IV Percentile12.5%0.4%40.9%35.3%9.9%
Term Structure-0.0%-7.1%1.4%0.5%0.1%
VWIV14.8%11.8%20.2%20.2%13.8%
Skew 25d3.8%2.8%5.2%5.2%3.9%
Skew 10d7.5%5.1%10.8%10.8%8.4%
Call IV 25d11.5%9.8%13.7%13.5%11.1%
Put IV 25d15.3%13.1%18.9%18.7%14.9%
Bid-Ask Spread %30.7619.6441.6723.4329.58
Gamma HHI0.050.030.070.030.07
Net GEX7.25B-4.27B17.79B-317.9M-4.27B
Net DEX-219.48B-376.12B-70.53B-125.48B-93.96B
Net VEX-1.63B-1.79B-1.52B-1.79B-1.69B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.962.211.352.21
Total Volume750,749445,1451,235,912488,360629,555
Total OI12,996,999.15810,555,29315,051,83212,780,74811,825,228

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$1407.09$1375.0015.5%4.4%6.3%11.1%20.2%5.2%0.5%-317.9M-125.48B-1.79B1.3523.43207,973280,3874,690,6588,090,090
2012-09-05$1404.55$1375.0016.1%4.6%6.1%12.6%19.7%5.2%-0.6%-833.8M-117.08B-1.76B2.0725.50145,043300,1024,739,0358,184,878
2012-09-06$1432.02$1380.0013.6%3.9%9.1%6.7%16.3%4.1%0.2%9.07B-222.79B-1.66B1.3019.64360,739468,0094,779,4468,309,687
2012-09-07$1437.89$1390.0012.1%3.4%9.2%3.2%12.9%3.4%0.3%10.04B-254.61B-1.61B1.6539.54348,293575,1144,884,6788,471,107
2012-09-10$1426.29$1420.0014.4%4.1%9.8%8.5%18.5%4.5%-0.3%5.14B-207.69B-1.64B1.9638.96212,336416,3094,866,5828,446,695
2012-09-11$1431.08$1440.0014.4%4.1%9.8%8.6%14.5%4.3%-0.3%5.25B-217.01B-1.65B1.8022.51269,508484,0444,942,9598,607,015
2012-09-12$1439.10$1440.0013.5%3.9%9.9%6.5%15.7%4.0%0.0%8.70B-259.11B-1.61B1.1919.84308,121365,9585,040,2868,753,912
2012-09-13$1456.94$1425.0012.4%3.6%10.7%4.0%12.8%3.3%-0.1%16.70B-335.86B-1.52B0.9630.04602,277580,0625,135,6888,843,933
2012-09-14$1465.55$1440.0012.7%3.6%10.6%4.5%13.6%2.8%0.2%17.79B-376.12B-1.54B0.9839.67623,172612,7405,289,2099,052,451
2012-09-17$1460.58$1400.0012.6%3.6%10.7%4.4%13.4%3.0%1.2%13.95B-337.47B-1.57B1.4441.67240,837346,2095,271,3258,953,698
2012-09-18$1459.50$1400.0012.0%3.4%10.7%2.9%13.9%3.1%1.2%15.72B-346.53B-1.53B1.3741.37320,792439,2265,361,4379,077,784
2012-09-19$1459.83$1400.0011.7%3.4%10.7%2.2%13.1%3.0%1.4%13.67B-338.49B-1.54B1.4233.05395,514563,0045,421,3379,207,906
2012-09-20$1460.81$1400.0011.3%3.2%10.7%1.3%12.5%3.1%0.7%13.01B-344.61B-1.56B1.2232.72450,612547,5925,553,9489,497,884
2012-09-21$1458.01$1405.0011.0%3.1%10.1%0.5%11.8%3.3%0.8%6.66B-150.67B-1.59B1.5532.34310,168479,8573,854,1726,701,121
2012-09-24$1457.41$1440.0011.5%3.3%9.9%1.7%12.6%3.5%0.9%6.22B-149.27B-1.61B2.1127.91166,365351,0084,013,8966,964,164
2012-09-25$1443.16$1440.0013.0%3.8%10.7%5.3%14.5%4.0%0.4%1.23B-105.93B-1.65B1.6427.66206,965339,3514,062,6077,091,761
2012-09-26$1433.51$1450.0014.1%4.1%11.0%8.0%16.6%4.6%-7.1%-1.95B-70.53B-1.69B1.6932.65236,825399,5274,136,4817,229,318
2012-09-27$1446.90$1430.0012.3%3.5%11.4%3.7%14.7%3.6%0.0%2.01B-116.97B-1.66B1.7726.45245,589435,0484,225,2357,365,373
2012-09-28$1439.92$1430.0012.6%3.6%11.2%4.4%13.8%3.9%0.1%-4.27B-93.96B-1.69B2.2129.58195,875433,6804,302,5307,522,698