SPX Options History — May 2013

In May 2013, SPX traded between $1581.30 and $1667.07. ATM implied volatility averaged 11.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.1% (HV 20d: 11.6%). Max pain ranged from $1560.00 to $1630.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.42.

Notable Days

2013-05-03: Highest Volume — 1,485,171 contracts
2013-05-31: Largest IV spike — 12.7% change
2013-05-31: Highest IV Rank — 33.1%
2013-05-31: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1639.36	$1581.30	$1667.07	$1581.30	$1630.68
Max Pain	$1602.27	$1560.00	$1630.00	$1590.00	$1615.00
ATM IV	11.8%	10.4%	14.4%	12.5%	14.4%
Expected Move	3.4%	2.9%	4.2%	3.6%	4.2%
HV 20d	11.6%	7.9%	16.1%	15.8%	9.6%
HV 60d	11.9%	11.0%	12.5%	12.1%	11.5%
IV Rank	15.1%	5.8%	33.1%	20.2%	33.1%
IV Percentile	25.0%	4.4%	65.9%	32.9%	65.9%
Term Structure	0.2%	-0.4%	0.6%	0.3%	-0.2%
VWIV	12.8%	10.7%	15.8%	15.4%	15.8%
Skew 25d	3.2%	2.5%	4.7%	4.2%	4.7%
Skew 10d	6.2%	4.5%	9.9%	8.4%	9.9%
Call IV 25d	10.6%	9.2%	12.6%	10.9%	12.6%
Put IV 25d	13.8%	12.4%	17.3%	15.0%	17.3%
Bid-Ask Spread %	24.55	9.57	47.47	17.97	9.57
Gamma HHI	0.04	0.03	0.07	0.04	0.03
Net GEX	13.58B	-2.89B	23.21B	6.48B	-2.89B
Net DEX	-331.43B	-451.13B	-166.70B	-166.70B	-193.35B
Net VEX	-1.92B	-2.20B	-1.74B	-1.90B	-2.20B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.86	2.14	1.56	1.83
Total Volume	930,309.864	561,568	1,485,171	680,611	963,744
Total OI	12,323,133.318	11,118,878	13,603,419	11,118,878	13,306,026

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
2013-05-01	$1581.30	$1590.00	12.5%	3.6%	15.8%	20.2%	15.4%	4.2%	0.3%	6.48B	-166.70B	-1.90B	1.56	17.97	266,133	414,478	4,234,947	6,883,931
2013-05-02	$1596.26	$1590.00	11.5%	3.3%	16.0%	13.4%	12.2%	3.7%	0.0%	13.60B	-230.11B	-1.83B	1.68	18.13	306,364	513,925	4,288,211	7,041,553
2013-05-03	$1612.43	$1590.00	11.0%	3.1%	16.1%	9.8%	11.2%	3.0%	0.3%	22.87B	-304.08B	-1.79B	1.01	27.59	739,387	745,784	4,382,889	7,195,864
2013-05-06	$1616.22	$1610.00	10.7%	3.1%	16.0%	7.6%	12.8%	3.1%	0.6%	18.40B	-306.47B	-1.77B	1.04	22.58	386,298	400,965	4,408,592	7,084,534
2013-05-07	$1624.23	$1610.00	10.7%	3.1%	16.0%	7.8%	12.6%	3.1%	0.5%	20.51B	-340.07B	-1.76B	1.16	20.71	411,634	478,332	4,508,925	7,219,492
2013-05-08	$1632.25	$1610.00	10.8%	3.1%	15.5%	8.2%	10.7%	3.0%	0.5%	22.18B	-366.41B	-1.74B	1.06	22.71	495,644	525,497	4,592,809	7,406,834
2013-05-09	$1628.08	$1625.00	10.9%	3.1%	15.6%	9.4%	11.6%	3.1%	0.4%	20.55B	-345.64B	-1.84B	1.27	21.45	457,423	579,500	4,750,615	7,579,229
2013-05-10	$1633.01	$1625.00	10.4%	2.9%	15.5%	5.8%	10.9%	3.2%	0.6%	19.51B	-367.83B	-1.85B	1.62	29.60	325,312	525,976	4,846,889	7,820,893
2013-05-13	$1632.78	$1625.00	11.4%	3.3%	12.0%	12.7%	10.9%	2.9%	-0.0%	18.02B	-361.04B	-1.83B	1.25	19.51	279,449	348,957	4,770,750	7,640,263
2013-05-14	$1650.02	$1630.00	11.3%	3.3%	11.3%	12.0%	12.1%	2.7%	0.2%	21.35B	-429.58B	-1.79B	1.08	18.79	692,103	744,838	4,857,166	7,839,051
2013-05-15	$1656.45	$1630.00	11.2%	3.2%	9.4%	11.5%	11.8%	2.6%	0.3%	23.21B	-451.13B	-1.84B	0.86	22.51	723,228	623,485	5,019,295	8,132,979
2013-05-16	$1651.06	$1630.00	11.6%	3.3%	8.8%	14.0%	13.0%	3.2%	-0.0%	17.19B	-431.26B	-1.92B	1.54	19.07	415,677	642,054	5,203,221	8,400,198
2013-05-17	$1665.76	$1630.00	11.0%	3.1%	8.8%	9.7%	11.7%	2.5%	0.0%	12.43B	-373.07B	-1.89B	1.43	17.38	424,940	608,728	4,390,616	6,885,873
2013-05-20	$1666.21	$1560.00	11.5%	3.3%	8.8%	13.1%	12.2%	2.5%	0.3%	13.31B	-378.50B	-1.90B	1.46	22.92	284,903	416,825	4,561,391	7,174,373
2013-05-21	$1667.07	$1560.00	12.0%	3.4%	8.3%	16.4%	12.6%	2.5%	0.4%	12.54B	-379.56B	-1.93B	1.63	27.85	302,107	492,960	4,652,168	7,363,731
2013-05-22	$1656.89	$1565.00	12.4%	3.5%	8.9%	19.2%	13.1%	2.5%	0.3%	8.40B	-335.09B	-2.03B	1.33	25.85	621,503	824,270	4,737,976	7,561,491
2013-05-23	$1652.38	$1570.00	12.4%	3.6%	9.0%	19.6%	13.0%	3.1%	0.3%	5.00B	-306.22B	-2.09B	1.51	29.92	355,978	538,850	4,912,497	7,867,306
2013-05-24	$1652.90	$1570.00	12.3%	3.5%	8.8%	18.4%	13.4%	3.2%	0.2%	5.74B	-302.53B	-2.14B	2.14	29.07	242,561	517,966	5,044,962	8,011,774
2013-05-28	$1656.89	$1600.00	12.9%	3.7%	8.6%	22.8%	15.3%	3.4%	0.1%	8.05B	-320.67B	-2.07B	1.60	47.47	215,898	345,670	4,899,713	7,722,072
2013-05-29	$1647.69	$1600.00	13.2%	3.8%	9.0%	24.5%	14.1%	3.8%	0.2%	4.77B	-282.87B	-2.10B	1.36	34.49	283,197	383,910	4,960,783	7,865,328
2013-05-30	$1655.39	$1615.00	12.8%	3.7%	7.9%	22.1%	14.3%	3.8%	-0.4%	7.47B	-319.30B	-2.05B	1.87	34.95	209,098	391,266	5,052,508	8,029,215
2013-05-31	$1630.68	$1615.00	14.4%	4.2%	9.6%	33.1%	15.8%	4.7%	-0.2%	-2.89B	-193.35B	-2.20B	1.83	9.57	340,128	623,616	5,117,556	8,188,470