SPX Options History — June 2013

In June 2013, SPX traded between $1572.09 and $1651.60. ATM implied volatility averaged 15.6%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.9% (HV 20d: 13.7%). Max pain ranged from $1580.00 to $1650.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.64.

Notable Days

2013-06-20: Highest Volume — 2,304,774 contracts
2013-06-20: Largest IV spike — 24.5% change
2013-06-24: Highest IV Rank — 89.3%
2013-06-24: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1618.56	$1572.09	$1651.60	$1636.48	$1606.07
Max Pain	$1612.50	$1580.00	$1650.00	$1650.00	$1585.00
ATM IV	15.6%	13.5%	18.6%	14.3%	15.4%
Expected Move	4.5%	3.8%	5.3%	4.0%	4.4%
HV 20d	13.7%	9.0%	17.9%	9.0%	17.2%
HV 60d	13.1%	11.5%	14.6%	11.5%	14.5%
IV Rank	52.8%	29.0%	89.3%	32.0%	58.0%
IV Percentile	79.2%	52.8%	99.6%	62.3%	82.1%
Term Structure	-0.0%	-0.6%	0.4%	0.4%	0.2%
VWIV	16.8%	13.6%	21.3%	15.8%	16.8%
Skew 25d	5.1%	4.0%	6.6%	4.6%	4.8%
Skew 10d	9.8%	8.3%	12.5%	9.6%	8.7%
Call IV 25d	13.4%	11.7%	15.7%	12.3%	13.3%
Put IV 25d	18.4%	15.7%	22.2%	16.9%	18.1%
Bid-Ask Spread %	23.99	14.51	37.35	16.78	35.78
Gamma HHI	0.03	0.03	0.03	0.03	0.03
Net GEX	-2.07B	-15.55B	9.60B	1.07B	-3.72B
Net DEX	-145.01B	-347.57B	74.80B	-227.54B	-40.95B
Net VEX	-2.17B	-2.23B	-2.07B	-2.17B	-2.23B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	1.10	2.00	1.18	1.73
Total Volume	971,655	477,967	2,304,774	827,270	709,962
Total OI	13,530,938.85	10,584,769	15,481,319	13,100,150	12,359,680

Daily Data (20 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
2013-06-03	$1636.48	$1650.00	14.3%	4.0%	9.0%	32.0%	15.8%	4.6%	0.4%	1.07B	-227.54B	-2.17B	1.18	16.78	379,720	447,550	5,038,594	8,061,556
2013-06-04	$1631.38	$1625.00	14.7%	4.2%	9.1%	34.7%	16.3%	4.6%	0.1%	135.9M	-210.12B	-2.18B	1.79	16.00	224,691	403,246	5,161,697	8,224,173
2013-06-05	$1608.34	$1625.00	15.6%	4.5%	10.3%	41.2%	17.7%	4.9%	-0.1%	-7.46B	-100.93B	-2.21B	1.45	16.68	515,482	745,536	5,217,142	8,354,487
2013-06-06	$1623.88	$1625.00	14.8%	4.2%	10.8%	37.5%	15.9%	4.8%	0.0%	-2.80B	-171.11B	-2.22B	1.86	17.87	486,259	905,017	5,365,564	8,597,506
2013-06-07	$1641.04	$1625.00	13.5%	3.8%	11.4%	29.0%	13.6%	4.0%	0.2%	6.94B	-266.48B	-2.16B	1.58	37.32	380,689	601,811	5,534,057	8,851,102
2013-06-10	$1643.14	$1600.00	13.8%	4.0%	11.4%	33.7%	13.9%	4.3%	-0.1%	5.93B	-282.92B	-2.13B	1.80	19.46	170,570	307,397	5,450,118	8,638,948
2013-06-11	$1628.12	$1650.00	15.2%	4.4%	11.8%	44.8%	17.0%	4.9%	-0.0%	124.8M	-206.17B	-2.18B	1.84	14.51	230,004	422,772	5,508,405	8,739,475
2013-06-12	$1610.66	$1650.00	17.0%	4.9%	11.7%	59.2%	16.7%	5.3%	-0.1%	-6.31B	-116.42B	-2.22B	1.88	16.30	256,650	481,615	5,570,419	8,893,495
2013-06-13	$1638.80	$1650.00	14.5%	4.2%	13.3%	39.8%	16.1%	4.7%	0.1%	4.35B	-259.04B	-2.14B	1.59	17.29	350,014	556,655	5,638,608	9,037,520
2013-06-14	$1626.16	$1640.00	15.5%	4.4%	13.6%	49.7%	15.5%	4.9%	0.0%	-2.20B	-193.46B	-2.18B	1.66	22.08	335,662	555,999	5,707,969	9,228,033
2013-06-17	$1640.12	$1600.00	15.2%	4.4%	13.5%	47.5%	16.9%	5.1%	0.1%	4.79B	-282.18B	-2.10B	1.49	24.39	290,928	432,137	5,663,338	9,073,226
2013-06-18	$1651.60	$1600.00	14.9%	4.3%	13.8%	49.1%	16.3%	5.0%	0.1%	9.60B	-347.57B	-2.10B	1.10	19.43	360,485	396,718	5,755,853	9,179,316
2013-06-19	$1629.35	$1600.00	14.9%	4.3%	14.6%	52.8%	16.1%	4.9%	0.0%	497.1M	-230.08B	-2.07B	1.75	28.34	355,825	622,542	5,833,415	9,284,583
2013-06-20	$1591.06	$1605.00	18.6%	5.3%	16.6%	88.7%	20.1%	6.6%	-0.1%	-15.55B	3.41B	-2.13B	1.76	37.35	835,561	1,469,213	5,959,438	9,521,881
2013-06-21	$1590.58	$1600.00	17.3%	4.9%	16.6%	75.9%	18.2%	5.7%	-0.1%	-8.78B	24.24B	-2.14B	1.69	37.04	499,311	844,834	4,093,875	6,490,894
2013-06-24	$1572.09	$1580.00	18.6%	5.3%	16.9%	89.3%	21.3%	6.3%	-0.6%	-11.94B	74.80B	-2.17B	1.46	24.53	561,780	822,305	4,310,660	6,837,608
2013-06-25	$1587.24	$1580.00	17.2%	4.9%	17.4%	75.6%	18.7%	5.9%	-0.4%	-9.27B	23.88B	-2.19B	2.00	26.95	247,229	493,671	4,474,414	7,092,169
2013-06-26	$1601.81	$1580.00	15.8%	4.5%	17.8%	61.9%	17.2%	5.2%	0.0%	-5.70B	-23.29B	-2.20B	1.48	28.02	317,710	471,217	4,575,582	7,225,797
2013-06-27	$1613.33	$1580.00	15.2%	4.3%	17.9%	55.2%	15.4%	4.8%	0.2%	-1.04B	-68.24B	-2.23B	1.72	23.78	347,190	597,143	4,702,534	7,365,646
2013-06-28	$1606.07	$1585.00	15.4%	4.4%	17.2%	58.0%	16.8%	4.8%	0.2%	-3.72B	-40.95B	-2.23B	1.73	35.78	260,501	449,461	4,823,470	7,536,210