SPX Options History — February 2013

In February 2013, SPX traded between $1488.08 and $1529.85. ATM implied volatility averaged 11.8%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.4% (HV 20d: 8.4%). Max pain ranged from $1450.00 to $1525.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.83.

Notable Days

  • 2013-02-21: Highest Volume — 1,126,624 contracts
  • 2013-02-25: Largest IV spike — 37.5% change
  • 2013-02-25: Highest IV Rank — 45.9%
  • 2013-02-25: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1511.33$1488.08$1529.85$1510.05$1513.36
Max Pain$1492.63$1450.00$1525.00$1500.00$1500.00
ATM IV11.8%10.0%16.6%10.6%12.9%
Expected Move3.4%2.8%4.7%3.0%3.7%
HV 20d8.4%6.1%12.8%6.1%12.6%
HV 60d12.1%11.2%13.4%13.4%12.6%
IV Rank12.7%0.6%45.9%4.4%20.3%
IV Percentile15.5%0.4%79.8%2.0%28.6%
Term Structure0.3%-0.9%0.6%0.4%0.2%
VWIV13.3%10.4%19.1%11.7%13.9%
Skew 25d4.1%3.3%6.1%3.3%4.7%
Skew 10d8.5%6.7%12.6%7.0%10.0%
Call IV 25d10.2%8.6%13.9%9.2%10.9%
Put IV 25d14.3%12.1%20.0%12.5%15.6%
Bid-Ask Spread %24.027.0138.3638.367.01
Gamma HHI0.050.030.080.050.03
Net GEX5.91B-9.09B14.56B14.56B2.44B
Net DEX-171.00B-241.50B-31.26B-206.31B-157.04B
Net VEX-1.63B-1.80B-1.52B-1.59B-1.71B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.831.392.211.941.84
Total Volume792,673.947532,7771,126,624894,114708,565
Total OI11,172,239.6849,948,22212,106,36110,821,74412,106,361

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$1510.05$1500.0010.6%3.0%6.1%4.4%11.7%3.3%0.4%14.56B-206.31B-1.59B1.9438.36303,619590,4954,053,4666,768,278
2013-02-04$1497.38$1500.0012.1%3.5%7.1%14.7%13.3%3.9%0.5%4.10B-140.99B-1.65B1.9522.65220,974431,2863,956,6576,626,200
2013-02-05$1509.68$1500.0011.3%3.2%7.4%9.1%14.5%3.7%0.4%10.27B-195.91B-1.60B1.7526.16207,217361,7464,011,0396,788,451
2013-02-06$1510.71$1500.0011.2%3.2%7.3%8.6%12.4%3.5%0.3%10.64B-198.85B-1.58B1.8627.26186,240346,5374,071,3876,935,127
2013-02-07$1509.15$1500.0011.0%3.1%7.3%7.4%13.8%3.6%0.3%7.83B-185.71B-1.62B1.7522.61233,396407,5614,122,0737,059,298
2013-02-08$1515.11$1500.0010.8%3.1%7.1%5.8%11.3%3.9%0.3%14.53B-218.79B-1.59B1.6531.20292,671484,0804,182,8227,206,910
2013-02-11$1515.64$1450.0010.8%3.1%7.0%6.2%12.5%3.7%0.6%12.44B-220.85B-1.56B2.0121.64204,067410,7364,103,9267,115,223
2013-02-12$1518.70$1450.0010.5%3.0%6.9%4.0%11.5%3.7%0.5%13.75B-238.07B-1.52B1.4119.32295,998417,6094,161,7507,302,832
2013-02-13$1519.83$1450.0010.8%3.1%6.9%6.1%11.7%3.7%0.5%12.12B-236.30B-1.56B1.8614.90280,079522,1584,223,5187,472,060
2013-02-14$1520.74$1455.0010.5%3.0%6.9%3.7%11.6%3.7%0.4%12.33B-241.50B-1.58B1.3920.68345,697481,6364,331,4197,736,031
2013-02-15$1518.44$1455.0010.0%2.8%6.8%0.6%11.5%3.5%0.6%4.49B-167.58B-1.60B2.0613.44295,106606,9133,633,0186,315,204
2013-02-19$1529.85$1525.0010.0%2.9%7.1%0.6%10.4%3.7%0.4%10.30B-214.40B-1.53B1.9223.55281,480540,8613,791,6036,613,409
2013-02-20$1508.85$1525.0012.4%3.6%8.6%17.2%14.2%4.3%0.1%-714.7M-130.76B-1.63B2.1223.10269,929572,7573,883,5626,764,755
2013-02-21$1502.76$1525.0013.1%3.7%8.8%21.5%15.3%4.5%-0.0%-6.05B-95.51B-1.70B1.5521.08441,367685,2574,001,4377,010,935
2013-02-22$1516.20$1525.0012.0%3.4%9.3%14.6%12.4%4.4%0.2%2.38B-152.47B-1.67B1.8935.00245,880465,6694,137,4627,236,622
2013-02-25$1488.08$1500.0016.6%4.7%11.6%45.9%19.1%6.1%-0.9%-7.33B-31.26B-1.80B2.2126.01288,062635,6284,080,5567,098,763
2013-02-26$1493.66$1500.0014.7%4.2%11.6%33.0%16.8%5.2%-0.2%-9.09B-52.34B-1.77B1.7727.43383,001678,8764,181,2027,346,762
2013-02-27$1517.00$1500.0012.6%3.6%12.8%18.5%14.1%4.5%0.1%3.28B-164.32B-1.70B1.7835.05337,707599,9454,287,1357,555,301
2013-02-28$1513.36$1500.0012.9%3.7%12.6%20.3%13.9%4.7%0.2%2.44B-157.04B-1.71B1.847.01249,161459,4044,391,6907,714,671