SPX Options History — November 2012

In November 2012, SPX traded between $1354.17 and $1428.63. ATM implied volatility averaged 14.9%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.0% (HV 20d: 15.9%). Max pain ranged from $1375.00 to $1425.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.61.

Notable Days

2012-11-15: Highest Volume — 1,389,912 contracts
2012-11-07: Largest IV spike — 12.3% change
2012-11-07: Highest IV Rank — 29.5%
2012-11-07: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1394.06	$1354.17	$1428.63	$1427.84	$1415.89
Max Pain	$1396.00	$1375.00	$1425.00	$1400.00	$1400.00
ATM IV	14.9%	13.1%	17.0%	14.1%	14.0%
Expected Move	4.3%	3.8%	4.9%	4.0%	4.0%
HV 20d	15.9%	13.4%	17.5%	13.4%	15.4%
HV 60d	12.5%	10.6%	13.3%	10.6%	13.3%
IV Rank	19.5%	11.3%	29.5%	13.1%	18.6%
IV Percentile	41.5%	18.3%	67.5%	30.2%	32.1%
Term Structure	-0.0%	-0.5%	0.4%	0.2%	0.1%
VWIV	15.8%	13.7%	18.4%	15.2%	16.3%
Skew 25d	3.8%	3.3%	4.6%	3.8%	3.6%
Skew 10d	7.5%	6.3%	9.4%	7.6%	7.5%
Call IV 25d	13.4%	11.8%	15.4%	12.8%	12.5%
Put IV 25d	17.2%	15.2%	19.6%	16.6%	16.2%
Bid-Ask Spread %	25.65	11.35	41.05	23.56	11.35
Gamma HHI	0.05	0.04	0.08	0.04	0.04
Net GEX	-6.87B	-17.93B	4.50B	-1.93B	2.09B
Net DEX	33.14B	-86.37B	195.61B	-46.58B	-78.91B
Net VEX	-1.53B	-1.63B	-1.47B	-1.63B	-1.53B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	1.13	2.17	1.80	1.84
Total Volume	783,470.476	502,864	1,389,912	707,756	637,607
Total OI	12,799,004.19	11,607,999	13,934,041	12,396,380	13,203,628

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
2012-11-01	$1427.84	$1400.00	14.1%	4.0%	13.4%	13.1%	15.2%	3.8%	0.2%	-1.93B	-46.58B	-1.63B	1.80	23.56	253,076	454,680	4,594,189	7,802,191
2012-11-02	$1409.01	$1400.00	15.3%	4.4%	14.1%	17.7%	16.1%	3.9%	0.0%	-8.79B	17.70B	-1.61B	1.41	22.49	294,331	415,135	4,657,356	7,935,184
2012-11-05	$1415.32	$1420.00	15.9%	4.5%	13.9%	23.3%	18.1%	4.5%	-0.0%	-5.21B	-9.06B	-1.62B	1.37	21.34	244,858	335,102	4,597,695	7,781,718
2012-11-06	$1428.63	$1420.00	15.1%	4.3%	14.4%	20.7%	16.3%	4.0%	-0.2%	-605.1M	-61.24B	-1.59B	1.44	17.66	255,386	368,782	4,712,854	7,881,703
2012-11-07	$1393.21	$1425.00	17.0%	4.9%	16.7%	29.5%	18.4%	4.6%	-0.4%	-12.16B	73.84B	-1.60B	1.21	19.54	517,921	629,231	4,798,385	7,993,774
2012-11-08	$1378.32	$1420.00	16.5%	4.7%	16.8%	27.3%	17.7%	4.3%	0.2%	-16.81B	122.47B	-1.54B	1.51	26.72	421,851	639,077	4,934,960	8,150,773
2012-11-09	$1378.65	$1420.00	16.9%	4.8%	16.7%	28.8%	17.6%	4.3%	-0.0%	-17.73B	124.22B	-1.56B	2.08	35.54	375,826	781,292	5,022,908	8,342,577
2012-11-12	$1380.88	$1390.00	15.7%	4.5%	16.7%	23.5%	16.4%	3.8%	-0.1%	-14.57B	106.12B	-1.51B	1.68	22.51	270,462	454,425	4,951,240	8,234,702
2012-11-13	$1373.65	$1375.00	15.5%	4.5%	16.7%	22.5%	16.3%	3.6%	-0.2%	-16.07B	129.15B	-1.49B	1.27	41.05	337,498	428,071	5,032,905	8,331,806
2012-11-14	$1355.62	$1380.00	16.8%	4.8%	16.6%	28.6%	17.8%	3.9%	-0.3%	-17.93B	188.34B	-1.47B	1.96	40.96	432,495	847,138	5,178,605	8,468,309
2012-11-15	$1354.17	$1380.00	16.9%	4.9%	15.9%	29.1%	16.8%	4.0%	-0.5%	-17.32B	195.61B	-1.48B	1.79	26.16	498,856	891,056	5,350,791	8,583,250
2012-11-16	$1362.40	$1375.00	15.4%	4.5%	16.0%	21.9%	15.7%	3.7%	-0.4%	-9.28B	103.08B	-1.48B	1.64	23.41	434,542	711,191	4,421,432	7,186,567
2012-11-19	$1384.90	$1390.00	13.8%	3.9%	17.5%	14.4%	14.5%	3.3%	0.1%	-4.94B	33.69B	-1.51B	1.20	21.71	266,992	320,505	4,613,132	7,474,946
2012-11-20	$1388.25	$1390.00	13.3%	3.8%	16.5%	12.0%	14.6%	3.6%	0.1%	-3.92B	21.97B	-1.52B	2.00	20.65	188,777	377,181	4,722,182	7,563,070
2012-11-21	$1391.26	$1390.00	13.5%	3.9%	16.4%	13.1%	14.6%	3.5%	0.1%	-3.47B	15.30B	-1.52B	2.17	17.80	192,102	416,851	4,774,040	7,673,152
2012-11-23	$1407.31	$1390.00	13.1%	3.8%	15.9%	11.3%	13.7%	3.4%	0.0%	1.86B	-48.91B	-1.54B	1.44	24.14	217,601	313,037	4,851,056	7,843,475
2012-11-26	$1405.11	$1390.00	13.4%	3.8%	15.9%	12.3%	14.2%	3.3%	0.1%	-528.4M	-36.42B	-1.50B	1.20	19.48	257,022	308,183	4,795,774	7,732,898
2012-11-27	$1399.10	$1380.00	13.8%	4.0%	16.0%	14.4%	14.2%	3.5%	0.4%	-1.88B	-17.30B	-1.51B	2.09	37.37	162,959	339,905	4,887,939	7,840,747
2012-11-28	$1408.52	$1385.00	13.5%	3.9%	16.2%	13.1%	14.5%	3.4%	0.3%	520.4M	-50.85B	-1.51B	1.13	37.83	255,314	287,309	4,917,120	7,923,877
2012-11-29	$1417.27	$0.00	13.1%	3.8%	16.3%	13.5%	13.7%	3.3%	0.1%	4.50B	-86.37B	-1.50B	1.65	27.41	234,108	385,145	5,001,539	8,014,639
2012-11-30	$1415.89	$1400.00	14.0%	4.0%	15.4%	18.6%	16.3%	3.6%	0.1%	2.09B	-78.91B	-1.53B	1.84	11.35	224,893	412,714	5,067,008	8,136,620