SPX Options History — December 2012

In December 2012, SPX traded between $1389.55 and $1446.14. ATM implied volatility averaged 15.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.4% (HV 20d: 10.8%). Max pain ranged from $1400.00 to $1430.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2012-12-19: Highest Volume — 1,351,557 contracts
  • 2012-12-31: Largest IV drop — 19.4% change
  • 2012-12-28: Highest IV Rank — 66.1%
  • 2012-12-28: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1421.73$1389.55$1446.14$1407.43$1425.59
Max Pain$1410.28$1400.00$1430.00$1400.00$1420.00
ATM IV15.2%13.6%19.7%14.8%15.9%
Expected Move4.4%3.9%5.7%4.3%4.5%
HV 20d10.8%8.7%14.8%14.8%14.8%
HV 60d12.8%12.3%14.3%13.3%14.3%
IV Rank30.7%19.7%66.1%23.2%37.8%
IV Percentile51.5%25.8%94.8%44.0%65.9%
Term Structure0.1%-0.6%0.7%0.1%0.1%
VWIV16.7%14.5%19.9%15.9%17.9%
Skew 25d4.2%3.2%5.9%4.0%5.0%
Skew 10d8.6%6.1%12.1%7.4%10.3%
Call IV 25d13.6%12.2%17.3%13.1%13.8%
Put IV 25d17.8%15.6%23.2%17.1%18.7%
Bid-Ask Spread %30.7019.0853.5343.3443.19
Gamma HHI0.050.040.080.040.04
Net GEX743.9M-11.49B12.09B-1.35B-1.35B
Net DEX-83.61B-243.55B85.25B-43.46B-26.46B
Net VEX-1.47B-1.53B-1.37B-1.49B-1.49B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.972.021.721.53
Total Volume743,969.15338,7591,351,557642,902767,741
Total OI12,474,138.68,158,64215,263,48512,981,0789,091,607

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$1407.43$1400.0014.8%4.3%14.8%23.2%15.9%4.0%0.1%-1.35B-43.46B-1.49B1.7243.34235,968406,9344,940,0818,040,997
2012-12-04$1405.75$1400.0015.5%4.5%14.7%27.2%17.3%4.2%-0.1%-2.35B-35.23B-1.50B1.9232.71207,732398,0015,039,5078,211,042
2012-12-05$1408.58$1400.0014.9%4.3%14.3%23.6%15.2%4.0%-0.1%-2.11B-46.10B-1.50B1.6242.77230,364372,5195,120,0988,401,917
2012-12-06$1414.08$0.0015.5%4.4%11.0%26.8%19.5%3.7%-0.6%-818.4M-63.19B-1.53B1.7721.58208,108367,5515,175,2698,541,807
2012-12-07$1416.87$1430.0014.5%4.2%10.2%21.2%15.4%3.4%0.0%539.1M-80.47B-1.50B1.1930.96345,857410,3165,257,5888,691,944
2012-12-10$1420.58$1420.0014.6%4.2%10.2%22.1%15.9%3.3%-0.1%887.0M-99.97B-1.45B1.5327.03229,858351,7905,263,7098,563,444
2012-12-11$1432.17$1420.0014.2%4.1%10.4%19.7%14.6%3.2%-0.4%6.52B-163.46B-1.43B0.9727.78387,490376,8175,328,6548,638,104
2012-12-12$1426.95$1420.0014.5%4.2%10.3%27.6%14.5%3.4%-0.3%4.35B-136.42B-1.45B1.4827.24269,871398,3255,405,0108,722,482
2012-12-13$1418.68$1400.0014.5%4.2%9.1%27.9%15.6%3.7%0.7%-1.02B-90.69B-1.46B1.3936.25287,412400,1085,482,6808,829,170
2012-12-14$1415.80$0.0014.9%4.3%9.2%30.8%16.6%3.9%-0.3%-1.93B-81.79B-1.45B1.6427.40283,366463,5585,533,8398,932,347
2012-12-17$1432.89$1400.0014.3%4.0%9.8%26.0%15.9%3.8%0.5%5.52B-168.42B-1.40B1.0831.33263,983285,5805,443,5828,760,337
2012-12-18$1446.14$1400.0013.6%3.9%8.7%20.9%14.8%3.4%0.6%12.09B-243.55B-1.37B1.0730.80508,570542,7855,520,1578,860,228
2012-12-19$1437.17$1400.0014.8%4.2%9.2%29.7%16.2%4.0%0.5%7.26B-199.13B-1.42B1.3725.39569,670781,8875,662,1749,055,263
2012-12-20$1445.91$1400.0014.6%4.2%9.3%28.5%17.9%4.4%0.2%10.74B-237.68B-1.46B1.4925.06478,659715,0845,857,2509,406,235
2012-12-21$1430.96$1400.0014.7%4.2%9.6%28.9%16.0%5.1%0.7%454.6M-34.99B-1.46B2.0227.58351,167710,7103,054,8115,103,831
2012-12-24$1424.75$1425.0015.5%4.5%9.7%35.2%19.4%5.3%0.2%-2.66B-14.54B-1.50B1.9519.47114,981223,7783,186,7555,445,497
2012-12-26$1418.30$1420.0016.6%4.8%9.7%43.4%17.9%5.6%0.0%-3.24B-1.59B-1.48B1.7819.08183,051326,3613,242,9235,502,580
2012-12-27$1416.42$1420.0017.1%4.9%9.5%46.7%18.5%5.5%-0.5%-5.17B9.77B-1.51B1.7121.46253,754433,8943,317,5135,651,834
2012-12-28$1389.55$1410.0019.7%5.7%11.4%66.1%19.9%5.9%-0.0%-11.49B85.25B-1.53B1.6553.53277,748458,0353,412,2205,788,286
2012-12-31$1425.59$1420.0015.9%4.5%14.8%37.8%17.9%5.0%0.1%-1.35B-26.46B-1.49B1.5343.19304,034463,7073,408,4635,683,144