SPX Options History — April 2013

In April 2013, SPX traded between $1538.95 and $1597.42. ATM implied volatility averaged 12.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.2% (HV 20d: 12.2%). Max pain ranged from $1540.00 to $1580.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.42.

Notable Days

2013-04-18: Highest Volume — 1,345,896 contracts
2013-04-15: Largest IV spike — 38.5% change
2013-04-18: Highest IV Rank — 37.1%
2013-04-18: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1569.79	$1538.95	$1597.42	$1561.07	$1597.42
Max Pain	$1556.82	$1540.00	$1580.00	$1560.00	$1580.00
ATM IV	12.0%	10.5%	15.0%	11.8%	11.2%
Expected Move	3.4%	3.0%	4.3%	3.4%	3.2%
HV 20d	12.2%	7.1%	15.9%	7.1%	15.8%
HV 60d	10.7%	8.8%	12.2%	8.8%	12.1%
IV Rank	16.9%	6.4%	37.1%	15.4%	11.5%
IV Percentile	23.3%	5.2%	63.9%	17.1%	14.3%
Term Structure	0.2%	-0.4%	0.7%	0.1%	0.7%
VWIV	13.5%	10.7%	16.5%	12.7%	12.5%
Skew 25d	4.2%	3.1%	5.7%	4.3%	3.8%
Skew 10d	8.4%	6.5%	10.8%	8.9%	7.8%
Call IV 25d	10.4%	9.3%	12.8%	10.1%	9.9%
Put IV 25d	14.6%	12.4%	18.5%	14.4%	13.8%
Bid-Ask Spread %	28.75	20.02	49.70	30.18	22.26
Gamma HHI	0.04	0.03	0.07	0.04	0.05
Net GEX	8.79B	-12.76B	29.24B	7.99B	13.46B
Net DEX	-169.15B	-303.24B	-40.28B	-154.77B	-229.79B
Net VEX	-1.83B	-1.96B	-1.70B	-1.75B	-1.83B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	1.01	2.02	1.27	1.66
Total Volume	795,391.273	430,302	1,345,896	430,302	488,381
Total OI	11,062,269	9,859,252	12,570,473	10,275,825	10,916,286

Daily Data (22 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
2013-04-01	$1561.07	$1560.00	11.8%	3.4%	7.1%	15.4%	12.7%	4.3%	0.1%	7.99B	-154.77B	-1.75B	1.27	30.18	189,156	241,146	3,820,429	6,455,396
2013-04-02	$1569.55	$1575.00	10.9%	3.1%	7.2%	9.2%	12.9%	3.9%	0.3%	12.18B	-189.24B	-1.72B	1.29	31.81	294,500	378,536	3,870,876	6,562,235
2013-04-03	$1553.50	$1575.00	12.6%	3.6%	7.9%	20.8%	15.7%	4.5%	-0.4%	2.35B	-127.04B	-1.79B	1.39	33.32	365,731	506,539	3,968,871	6,671,364
2013-04-04	$1560.57	$1570.00	12.0%	3.4%	8.0%	16.8%	13.9%	4.3%	0.0%	5.67B	-148.79B	-1.78B	1.43	25.62	262,098	375,268	4,022,460	6,847,439
2013-04-05	$1551.96	$1570.00	12.3%	3.5%	8.3%	18.7%	12.5%	4.3%	0.1%	853.1M	-120.88B	-1.82B	1.29	26.87	385,721	497,606	4,108,732	6,985,176
2013-04-08	$1563.86	$1550.00	11.7%	3.4%	8.5%	14.3%	12.3%	4.0%	-0.3%	10.08B	-176.27B	-1.76B	1.09	29.32	229,312	249,829	4,030,078	6,792,332
2013-04-09	$1567.81	$1550.00	11.1%	3.2%	8.5%	10.6%	12.6%	4.0%	-0.0%	13.26B	-192.49B	-1.75B	1.11	21.97	335,356	371,136	4,114,682	6,886,509
2013-04-10	$1587.89	$1550.00	10.5%	3.0%	9.5%	6.4%	10.7%	3.6%	0.1%	26.68B	-280.22B	-1.70B	1.01	24.62	601,305	609,307	4,239,945	7,035,308
2013-04-11	$1592.22	$1575.00	10.8%	3.1%	9.5%	8.2%	12.1%	3.1%	0.1%	29.24B	-303.24B	-1.74B	1.08	23.24	569,967	614,542	4,404,603	7,228,684
2013-04-12	$1587.47	$1580.00	10.6%	3.0%	9.5%	7.4%	10.7%	3.1%	0.1%	25.21B	-278.40B	-1.76B	1.37	28.45	380,621	522,263	4,540,152	7,417,741
2013-04-15	$1548.08	$1540.00	14.7%	4.2%	13.2%	35.2%	16.0%	5.3%	0.1%	-2.04B	-88.22B	-1.94B	1.91	49.70	375,960	716,504	4,426,832	7,236,186
2013-04-16	$1573.62	$1540.00	11.7%	3.3%	14.4%	14.4%	13.1%	4.0%	0.7%	10.38B	-207.77B	-1.84B	1.31	37.27	291,257	382,713	4,520,337	7,510,311
2013-04-17	$1551.34	$1540.00	14.3%	4.1%	15.3%	32.4%	15.4%	4.9%	0.2%	-3.08B	-101.32B	-1.93B	2.02	37.05	431,156	871,224	4,573,380	7,606,647
2013-04-18	$1538.95	$1540.00	15.0%	4.3%	15.5%	37.1%	16.0%	5.7%	0.2%	-12.76B	-40.28B	-1.96B	1.43	37.82	553,424	792,472	4,680,853	7,889,620
2013-04-19	$1552.52	$1545.00	12.7%	3.6%	15.7%	21.6%	14.1%	4.3%	0.5%	-2.17B	-67.22B	-1.94B	1.54	32.64	314,527	483,447	3,759,735	6,099,517
2013-04-22	$1560.73	$1540.00	12.5%	3.6%	15.5%	20.1%	16.5%	4.5%	0.4%	1.22B	-100.03B	-1.90B	1.73	20.08	204,424	353,209	3,899,674	6,311,111
2013-04-23	$1578.29	$1540.00	11.3%	3.3%	15.9%	12.0%	13.3%	4.0%	0.7%	9.32B	-168.68B	-1.85B	1.29	27.95	362,758	468,528	3,980,840	6,487,109
2013-04-24	$1578.71	$1550.00	11.7%	3.3%	15.7%	14.4%	14.4%	4.0%	0.5%	10.79B	-165.99B	-1.89B	1.30	26.59	270,831	352,935	4,094,759	6,631,218
2013-04-25	$1586.26	$1550.00	11.7%	3.4%	15.8%	14.9%	12.6%	3.9%	-0.3%	13.43B	-196.34B	-1.89B	1.44	20.02	250,445	361,705	4,153,688	6,741,182
2013-04-26	$1580.96	$1550.00	11.8%	3.4%	15.8%	15.2%	12.1%	3.9%	-0.0%	8.98B	-173.34B	-1.88B	1.54	23.64	270,051	416,497	4,214,792	6,882,463
2013-04-29	$1592.62	$1580.00	11.7%	3.4%	15.8%	14.8%	14.9%	3.9%	0.2%	12.27B	-211.09B	-1.84B	1.67	22.07	189,288	316,933	4,126,187	6,624,179
2013-04-30	$1597.42	$1580.00	11.2%	3.2%	15.8%	11.5%	12.5%	3.8%	0.7%	13.46B	-229.79B	-1.83B	1.66	22.26	183,399	304,982	4,170,663	6,745,623