SPX Options History — January 2013

In January 2013, SPX traded between $1457.33 and $1509.43. ATM implied volatility averaged 11.5%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 4.0% (HV 20d: 15.5%). Max pain ranged from $1400.00 to $1500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2013-01-17: Highest Volume — 1,209,835 contracts
2013-01-30: Largest IV spike — 10.9% change
2013-01-31: Highest IV Rank — 15.2%
2013-01-02: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1479.74	$1457.33	$1509.43	$1462.54	$1496.70
Max Pain	$1456.43	$1400.00	$1500.00	$1400.00	$1500.00
ATM IV	11.5%	10.0%	12.6%	12.6%	12.1%
Expected Move	3.3%	2.9%	3.6%	3.6%	3.5%
HV 20d	15.5%	5.8%	17.3%	17.1%	5.8%
HV 60d	14.5%	13.3%	15.3%	15.3%	13.3%
IV Rank	7.5%	0.0%	15.2%	13.2%	15.2%
IV Percentile	4.4%	0.0%	12.7%	9.9%	12.7%
Term Structure	0.6%	-0.0%	1.7%	0.4%	-0.0%
VWIV	12.7%	11.1%	14.2%	13.8%	13.2%
Skew 25d	3.3%	2.8%	4.1%	3.7%	3.6%
Skew 10d	6.7%	5.5%	8.3%	6.8%	8.1%
Call IV 25d	10.2%	9.0%	11.1%	11.0%	10.5%
Put IV 25d	13.5%	12.1%	14.7%	14.7%	14.1%
Bid-Ask Spread %	28.26	15.14	44.31	31.91	23.15
Gamma HHI	0.05	0.04	0.07	0.05	0.04
Net GEX	11.53B	6.17B	16.38B	9.49B	6.17B
Net DEX	-153.69B	-198.42B	-114.45B	-129.48B	-148.48B
Net VEX	-1.50B	-1.67B	-1.38B	-1.38B	-1.67B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.98	2.48	1.48	1.98
Total Volume	781,404.19	504,229	1,209,835	1,140,514	504,229
Total OI	9,861,322	8,649,580	11,196,064	8,649,580	10,648,239

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
2013-01-02	$1462.54	$1400.00	12.6%	3.6%	17.1%	13.2%	13.8%	3.7%	0.4%	9.49B	-129.48B	-1.38B	1.48	31.91	460,087	680,427	3,239,584	5,409,996
2013-01-03	$1457.96	$1425.00	12.4%	3.5%	17.2%	12.5%	14.2%	3.1%	0.4%	10.05B	-121.87B	-1.40B	1.21	32.56	417,536	506,963	3,398,175	5,612,372
2013-01-04	$1463.04	$1425.00	12.1%	3.4%	17.2%	10.2%	12.3%	2.8%	0.8%	12.37B	-138.17B	-1.41B	0.98	44.31	372,403	365,616	3,525,244	5,812,771
2013-01-07	$1460.59	$1450.00	12.0%	3.5%	17.2%	9.5%	13.3%	3.1%	0.4%	10.34B	-126.28B	-1.41B	1.43	31.36	319,148	457,373	3,529,409	5,679,899
2013-01-08	$1457.33	$1450.00	11.7%	3.4%	17.3%	7.1%	12.9%	3.0%	0.7%	9.10B	-114.45B	-1.43B	2.07	37.76	213,500	442,605	3,627,629	5,874,628
2013-01-09	$1460.75	$1425.00	12.0%	3.4%	17.3%	9.4%	12.8%	3.1%	0.4%	9.56B	-124.76B	-1.46B	1.32	34.73	333,453	440,805	3,686,862	6,036,561
2013-01-10	$1472.02	$1460.00	12.0%	3.4%	17.2%	9.1%	12.2%	3.0%	0.2%	14.66B	-164.28B	-1.47B	1.20	22.32	352,115	423,160	3,829,725	6,218,493
2013-01-11	$1472.05	$1460.00	11.9%	3.4%	17.1%	8.1%	12.1%	3.0%	0.2%	13.94B	-161.54B	-1.49B	1.37	29.42	297,649	406,786	3,936,700	6,402,029
2013-01-14	$1469.00	$1430.00	12.1%	3.5%	17.0%	9.7%	13.7%	3.6%	1.4%	12.46B	-151.58B	-1.49B	1.56	21.69	254,885	398,480	3,892,614	6,371,166
2013-01-15	$1470.71	$1440.00	11.8%	3.4%	16.9%	7.8%	13.4%	3.6%	1.7%	12.97B	-157.40B	-1.50B	1.77	23.13	246,179	435,935	3,987,336	6,538,422
2013-01-16	$1470.61	$1440.00	11.7%	3.4%	16.5%	6.9%	13.0%	3.5%	1.6%	12.57B	-156.00B	-1.50B	1.84	15.14	327,600	602,724	4,068,081	6,738,700
2013-01-17	$1480.13	$1440.00	11.5%	3.3%	16.4%	5.8%	12.8%	3.3%	0.4%	16.38B	-191.38B	-1.53B	1.04	16.72	593,580	616,255	4,158,523	7,037,541
2013-01-18	$1484.02	$1450.00	10.4%	2.9%	16.1%	0.0%	11.5%	2.8%	0.7%	7.88B	-124.73B	-1.54B	1.48	19.71	307,267	456,133	3,338,626	5,381,106
2013-01-22	$1494.48	$1475.00	10.4%	3.0%	16.2%	0.1%	12.1%	3.0%	0.8%	12.52B	-163.98B	-1.49B	1.60	29.09	298,149	477,471	3,515,326	5,629,016
2013-01-23	$1495.39	$1475.00	10.0%	2.9%	15.5%	0.0%	11.6%	3.4%	1.3%	13.43B	-167.60B	-1.49B	1.48	27.78	274,809	405,830	3,626,745	5,817,221
2013-01-24	$1496.81	$1475.00	10.3%	2.9%	15.4%	2.1%	11.1%	3.4%	0.3%	12.20B	-167.23B	-1.54B	1.31	24.43	473,265	618,022	3,701,712	5,970,501
2013-01-25	$1499.57	$1475.00	10.4%	2.9%	15.1%	3.2%	11.1%	3.1%	0.4%	13.74B	-182.60B	-1.56B	1.28	28.55	337,267	430,556	3,894,490	6,215,708
2013-01-28	$1501.46	$1490.00	11.2%	3.2%	15.1%	8.5%	12.7%	3.4%	0.4%	10.95B	-176.20B	-1.57B	1.57	27.71	204,830	321,280	3,833,092	6,176,839
2013-01-29	$1509.43	$1500.00	10.8%	3.1%	12.6%	5.7%	13.4%	3.4%	0.5%	13.06B	-198.42B	-1.58B	1.83	30.22	263,460	481,605	3,896,501	6,321,071
2013-01-30	$1499.87	$1500.00	11.9%	3.4%	10.3%	13.8%	13.6%	4.1%	0.3%	8.33B	-160.98B	-1.63B	2.48	41.76	169,683	420,368	3,979,183	6,529,926
2013-01-31	$1496.70	$1500.00	12.1%	3.5%	5.8%	15.2%	13.2%	3.6%	-0.0%	6.17B	-148.48B	-1.67B	1.98	23.15	169,185	335,044	4,009,128	6,639,111