SPX Options History — October 2012

In October 2012, SPX traded between $1406.84 and $1461.74. ATM implied volatility averaged 13.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.4% (HV 20d: 10.5%). Max pain ranged from $1400.00 to $1460.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.68.

Notable Days

2012-10-17: Highest Volume — 1,036,190 contracts
2012-10-23: Largest IV spike — 18.8% change
2012-10-23: Highest IV Rank — 20.7%
2012-10-23: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1436.98	$1406.84	$1461.74	$1442.44	$1406.84
Max Pain	$1442.86	$1400.00	$1460.00	$1450.00	$1400.00
ATM IV	13.9%	12.1%	16.1%	13.8%	15.9%
Expected Move	4.0%	3.4%	4.6%	4.0%	4.6%
HV 20d	10.5%	8.0%	13.0%	11.1%	12.2%
HV 60d	11.1%	10.2%	11.6%	11.6%	10.2%
IV Rank	11.7%	5.2%	20.7%	7.1%	19.8%
IV Percentile	26.9%	5.2%	54.0%	20.6%	53.6%
Term Structure	0.2%	-0.7%	1.1%	-0.2%	0.0%
VWIV	15.6%	13.2%	21.3%	15.0%	18.2%
Skew 25d	4.0%	2.9%	5.0%	4.1%	4.6%
Skew 10d	8.2%	6.3%	10.3%	9.2%	9.0%
Call IV 25d	12.4%	10.7%	14.3%	12.1%	14.3%
Put IV 25d	16.3%	13.6%	19.1%	16.2%	18.8%
Bid-Ask Spread %	24.58	16.46	33.75	21.89	27.54
Gamma HHI	0.04	0.03	0.05	0.04	0.04
Net GEX	-816.0M	-9.15B	11.17B	1.48B	-7.43B
Net DEX	-78.01B	-183.74B	24.41B	-101.94B	12.16B
Net VEX	-1.65B	-1.71B	-1.60B	-1.68B	-1.65B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	1.03	2.17	1.65	1.36
Total Volume	652,829.952	330,785	1,036,190	525,341	550,096
Total OI	12,019,223.571	11,023,033	13,188,666	11,324,958	12,155,081

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
2012-10-01	$1442.44	$1450.00	13.8%	4.0%	11.1%	7.1%	15.0%	4.1%	-0.2%	1.48B	-101.94B	-1.68B	1.65	21.89	198,016	327,325	4,135,539	7,189,419
2012-10-02	$1446.32	$1450.00	13.0%	3.7%	11.1%	5.3%	17.1%	4.0%	0.4%	2.68B	-112.90B	-1.66B	2.17	21.30	129,883	281,639	4,187,804	7,303,616
2012-10-03	$1450.07	$1450.00	13.1%	3.7%	11.0%	6.9%	16.6%	3.7%	-0.0%	3.13B	-123.97B	-1.67B	2.00	22.07	157,764	315,177	4,251,401	7,409,496
2012-10-04	$1461.15	$1450.00	12.6%	3.6%	9.2%	6.0%	14.4%	3.3%	0.3%	8.84B	-165.03B	-1.63B	1.55	18.56	271,657	421,218	4,258,561	7,479,343
2012-10-05	$1460.79	$1450.00	12.1%	3.4%	9.1%	5.2%	13.2%	2.9%	0.4%	6.97B	-164.04B	-1.63B	1.72	29.60	279,260	479,199	4,341,225	7,604,473
2012-10-08	$1454.90	$1440.00	13.2%	3.8%	8.7%	9.5%	14.9%	3.5%	-0.6%	4.92B	-142.81B	-1.63B	1.84	19.10	116,420	214,365	4,303,686	7,487,172
2012-10-09	$1441.17	$1460.00	14.3%	4.1%	9.4%	13.8%	14.1%	4.0%	-0.6%	-847.2M	-92.93B	-1.65B	2.08	17.45	152,236	316,720	4,335,671	7,561,348
2012-10-10	$1431.21	$1450.00	14.6%	4.2%	9.5%	14.8%	15.8%	4.0%	-0.5%	-4.70B	-56.57B	-1.65B	1.74	24.26	244,389	426,084	4,385,136	7,643,393
2012-10-11	$1433.24	$1450.00	14.0%	4.0%	8.3%	12.5%	14.4%	3.7%	-0.7%	-4.99B	-62.22B	-1.64B	1.84	21.64	206,469	380,466	4,461,886	7,809,133
2012-10-12	$1426.27	$1450.00	14.4%	4.2%	8.0%	14.0%	14.9%	3.9%	-0.3%	-7.72B	-34.48B	-1.65B	2.05	29.44	250,138	513,127	4,543,705	7,969,860
2012-10-15	$1440.57	$1440.00	13.3%	3.8%	8.9%	9.7%	14.3%	3.9%	1.0%	-584.7M	-92.01B	-1.60B	1.55	30.43	203,323	315,746	4,517,382	7,928,727
2012-10-16	$1454.37	$1440.00	13.1%	3.7%	9.6%	8.9%	13.8%	3.7%	0.9%	6.53B	-149.40B	-1.60B	1.03	28.34	329,484	338,761	4,558,078	7,984,104
2012-10-17	$1461.74	$1440.00	12.7%	3.6%	9.8%	7.3%	13.9%	3.6%	1.0%	11.17B	-183.74B	-1.61B	1.73	16.46	379,263	656,927	4,672,906	8,101,229
2012-10-18	$1456.17	$1450.00	12.4%	3.6%	9.9%	6.5%	13.3%	3.6%	1.1%	5.04B	-158.01B	-1.62B	1.41	18.54	428,400	604,410	4,765,435	8,423,231
2012-10-19	$1429.20	$1450.00	13.9%	4.0%	11.9%	12.1%	15.4%	4.6%	0.2%	-4.38B	-34.71B	-1.68B	2.03	23.03	311,687	631,437	4,019,833	7,003,200
2012-10-22	$1435.36	$1450.00	13.6%	3.9%	12.0%	10.8%	16.1%	4.2%	0.9%	-3.73B	-51.51B	-1.67B	1.65	25.53	268,086	442,043	4,134,790	7,284,183
2012-10-23	$1410.99	$1440.00	16.1%	4.6%	13.0%	20.7%	18.3%	5.0%	0.1%	-8.53B	21.01B	-1.71B	1.03	24.89	425,178	436,658	4,235,552	7,443,136
2012-10-24	$1410.29	$1430.00	15.6%	4.5%	12.8%	18.9%	21.3%	4.5%	0.1%	-9.15B	24.41B	-1.71B	1.50	32.67	203,137	305,639	4,395,826	7,608,429
2012-10-25	$1412.12	$1430.00	15.6%	4.5%	12.3%	18.6%	16.9%	4.4%	0.1%	-7.93B	13.26B	-1.70B	1.63	33.75	215,259	351,244	4,466,609	7,685,341
2012-10-26	$1411.45	$1430.00	15.2%	4.4%	12.2%	17.3%	16.0%	4.2%	0.2%	-7.91B	17.14B	-1.70B	1.63	29.75	239,931	391,168	4,557,805	7,800,951
2012-10-31	$1406.84	$1400.00	15.9%	4.6%	12.2%	19.8%	18.2%	4.6%	0.0%	-7.43B	12.16B	-1.65B	1.36	27.54	232,897	317,199	4,493,533	7,661,548