SPX Options History — July 2013

In July 2013, SPX traded between $1612.86 and $1695.46. ATM implied volatility averaged 12.4%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.1% (HV 20d: 12.3%). Max pain ranged from $1575.00 to $1700.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.55.

Notable Days

2013-07-11: Highest Volume — 1,255,396 contracts
2013-07-05: Largest IV drop — 12.5% change
2013-07-02: Highest IV Rank — 52.7%
2013-07-02: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1668.98	$1612.86	$1695.46	$1612.86	$1689.63
Max Pain	$1647.50	$1575.00	$1700.00	$1600.00	$1700.00
ATM IV	12.4%	10.8%	14.9%	14.8%	11.6%
Expected Move	3.6%	3.1%	4.3%	4.3%	3.3%
HV 20d	12.3%	6.7%	17.2%	17.2%	6.7%
HV 60d	13.0%	11.8%	14.4%	14.4%	11.8%
IV Rank	28.1%	12.7%	52.7%	51.7%	20.5%
IV Percentile	37.3%	11.1%	75.0%	73.4%	25.8%
Term Structure	0.5%	0.0%	1.0%	0.2%	0.5%
VWIV	14.0%	11.5%	19.2%	17.6%	12.3%
Skew 25d	3.3%	2.6%	4.5%	4.5%	3.6%
Skew 10d	6.4%	4.9%	8.6%	8.5%	7.3%
Call IV 25d	11.1%	9.7%	13.1%	13.1%	10.3%
Put IV 25d	14.4%	12.7%	17.6%	17.5%	13.9%
Bid-Ask Spread %	28.00	16.60	44.59	23.60	31.41
Gamma HHI	0.04	0.03	0.06	0.03	0.03
Net GEX	11.24B	-1.77B	25.11B	-1.77B	7.47B
Net DEX	-239.50B	-349.41B	-68.37B	-68.37B	-227.01B
Net VEX	-2.07B	-2.19B	-2.00B	-2.19B	-2.09B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	1.13	2.29	1.71	1.65
Total Volume	748,801.091	414,743	1,255,396	647,272	619,053
Total OI	12,541,895.5	11,431,521	14,051,767	11,848,574	12,599,977

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
2013-07-01	$1612.86	$1600.00	14.8%	4.3%	17.2%	51.7%	17.6%	4.5%	0.2%	-1.77B	-68.37B	-2.19B	1.71	23.60	238,851	408,421	4,640,761	7,207,813
2013-07-02	$1613.18	$1615.00	14.9%	4.3%	17.2%	52.7%	17.9%	4.5%	0.2%	-1.70B	-71.39B	-2.18B	1.32	19.39	335,533	443,400	4,734,696	7,328,547
2013-07-03	$1615.54	$1615.00	14.8%	4.3%	16.4%	52.1%	19.2%	4.4%	0.1%	-775.4M	-83.75B	-2.18B	1.81	20.49	149,868	270,672	4,841,675	7,460,299
2013-07-05	$1633.64	$1615.00	13.0%	3.7%	16.6%	33.8%	12.8%	3.8%	0.4%	8.18B	-154.46B	-2.12B	1.50	37.76	282,846	425,230	4,890,266	7,546,206
2013-07-08	$1641.20	$1575.00	13.2%	3.8%	16.2%	35.9%	14.2%	3.6%	0.1%	7.97B	-181.31B	-2.06B	1.52	16.60	457,551	694,510	4,763,049	7,308,775
2013-07-09	$1650.92	$1640.00	12.9%	3.7%	16.3%	33.4%	14.4%	3.4%	0.1%	13.40B	-222.87B	-2.04B	1.13	20.45	451,654	510,859	4,871,429	7,525,513
2013-07-10	$1654.50	$1650.00	12.7%	3.6%	16.0%	31.1%	14.4%	3.4%	0.0%	13.73B	-232.47B	-2.04B	1.25	25.51	341,857	426,578	4,999,097	7,667,889
2013-07-11	$1676.12	$1650.00	12.5%	3.6%	15.9%	29.3%	13.5%	2.8%	0.2%	24.22B	-324.26B	-2.02B	1.20	25.74	569,656	685,740	5,084,601	7,827,048
2013-07-12	$1676.24	$1650.00	12.4%	3.5%	14.9%	28.0%	12.7%	2.7%	0.3%	25.11B	-323.35B	-2.06B	1.35	44.59	383,107	515,832	5,209,573	8,842,194
2013-07-15	$1682.20	$1625.00	12.4%	3.6%	14.5%	28.6%	13.2%	2.6%	0.9%	20.05B	-329.61B	-2.03B	1.22	37.63	417,599	507,495	5,076,675	7,967,339
2013-07-16	$1676.20	$1625.00	13.0%	3.7%	14.4%	34.1%	14.5%	3.1%	0.8%	16.97B	-302.47B	-2.09B	1.74	27.43	278,637	485,720	5,168,277	8,146,801
2013-07-17	$1679.95	$1625.00	12.3%	3.5%	14.2%	27.0%	13.6%	3.1%	0.9%	17.52B	-326.51B	-2.06B	1.45	25.82	381,114	552,918	5,227,508	8,381,076
2013-07-18	$1686.08	$1625.00	12.1%	3.5%	13.2%	25.1%	13.0%	2.8%	0.3%	18.22B	-349.41B	-2.04B	1.15	30.11	578,033	664,644	5,362,148	8,664,853
2013-07-19	$1694.94	$1625.00	11.1%	3.2%	9.1%	15.4%	12.0%	2.9%	0.4%	10.98B	-275.83B	-2.04B	1.38	33.00	266,073	367,196	4,435,154	6,996,367
2013-07-22	$1695.46	$1675.00	10.8%	3.1%	9.1%	12.7%	14.0%	2.8%	1.0%	12.34B	-285.79B	-2.00B	2.29	25.69	158,074	362,466	4,553,235	7,208,191
2013-07-23	$1693.39	$1680.00	11.1%	3.2%	7.4%	15.0%	13.0%	2.8%	1.0%	10.76B	-268.96B	-2.06B	1.62	28.63	175,752	285,296	4,589,165	7,346,288
2013-07-24	$1688.80	$1685.00	11.4%	3.3%	7.4%	18.3%	14.2%	3.1%	0.9%	8.85B	-251.31B	-2.08B	1.91	23.12	178,642	340,841	4,658,875	7,455,072
2013-07-25	$1688.91	$1685.00	11.4%	3.2%	7.1%	18.1%	13.2%	3.0%	0.3%	8.79B	-251.90B	-2.04B	1.65	27.61	204,866	338,525	4,702,334	7,604,094
2013-07-26	$1691.44	$1685.00	11.1%	3.1%	7.0%	15.0%	11.5%	3.1%	0.4%	9.77B	-261.23B	-2.04B	1.99	40.27	254,158	506,212	4,768,088	7,747,274
2013-07-29	$1687.07	$1700.00	11.7%	3.4%	6.7%	21.4%	13.1%	3.4%	0.6%	8.59B	-238.35B	-2.01B	1.95	24.18	140,426	274,317	4,668,966	7,495,761
2013-07-30	$1689.19	$1700.00	11.5%	3.3%	6.7%	18.9%	14.1%	3.6%	0.5%	8.54B	-238.43B	-2.04B	1.35	27.05	231,571	311,831	4,718,688	7,630,064
2013-07-31	$1689.63	$1700.00	11.6%	3.3%	6.7%	20.5%	12.3%	3.6%	0.5%	7.47B	-227.01B	-2.09B	1.65	31.41	233,602	385,451	4,800,449	7,799,528