SPX Options History — August 2013

In August 2013, SPX traded between $1630.08 and $1708.12. ATM implied volatility averaged 12.6%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.9% (HV 20d: 7.7%). Max pain ranged from $1625.00 to $1710.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.76.

Notable Days

2013-08-15: Highest Volume — 1,290,458 contracts
2013-08-15: Largest IV spike — 14.4% change
2013-08-30: Highest IV Rank — 55.9%
2013-08-30: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1669.13	$1630.08	$1708.12	$1704.40	$1632.97
Max Pain	$1671.82	$1625.00	$1710.00	$1700.00	$1650.00
ATM IV	12.6%	10.2%	15.2%	11.3%	15.2%
Expected Move	3.6%	2.9%	4.4%	3.2%	4.4%
HV 20d	7.7%	5.4%	10.8%	7.1%	10.2%
HV 60d	12.1%	11.7%	12.5%	11.9%	12.0%
IV Rank	29.9%	6.2%	55.9%	16.8%	55.9%
IV Percentile	45.1%	3.2%	85.7%	19.8%	85.7%
Term Structure	0.2%	-0.3%	0.6%	-0.0%	0.3%
VWIV	13.7%	11.0%	17.8%	12.1%	17.8%
Skew 25d	4.0%	2.5%	4.9%	3.0%	4.9%
Skew 10d	7.9%	4.8%	10.0%	6.1%	10.0%
Call IV 25d	11.0%	9.2%	13.3%	10.1%	13.3%
Put IV 25d	15.0%	11.8%	18.2%	13.1%	18.2%
Bid-Ask Spread %	24.52	16.11	41.14	29.58	18.94
Gamma HHI	0.03	0.03	0.05	0.04	0.03
Net GEX	522.2M	-12.44B	18.70B	16.41B	-10.69B
Net DEX	-152.95B	-330.54B	13.65B	-311.83B	181.7M
Net VEX	-2.04B	-2.09B	-1.96B	-2.02B	-2.06B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	1.14	2.77	1.25	2.12
Total Volume	731,736.682	414,050	1,290,458	1,042,574	643,421
Total OI	13,112,090.682	11,731,725	14,092,471	12,830,674	13,555,333

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
2013-08-01	$1704.40	$1700.00	11.3%	3.2%	7.1%	16.8%	12.1%	3.0%	-0.0%	16.41B	-311.83B	-2.02B	1.25	29.58	464,309	578,265	4,877,182	7,953,492
2013-08-02	$1708.12	$1700.00	10.3%	2.9%	6.3%	7.0%	11.2%	2.5%	0.2%	18.70B	-330.54B	-1.98B	1.74	41.14	300,242	521,405	4,954,707	8,089,216
2013-08-05	$1705.47	$1710.00	10.2%	2.9%	6.4%	6.2%	11.0%	2.7%	0.6%	16.06B	-318.29B	-1.96B	1.58	27.84	239,525	379,311	4,905,815	7,949,293
2013-08-06	$1696.86	$1700.00	11.0%	3.2%	6.7%	14.2%	13.0%	3.1%	0.5%	11.31B	-276.25B	-2.02B	2.77	25.01	152,573	423,070	4,971,917	8,114,510
2013-08-07	$1691.06	$1700.00	11.2%	3.2%	6.9%	16.4%	12.7%	3.4%	0.5%	6.87B	-243.18B	-2.07B	1.67	29.24	200,512	335,128	5,031,158	8,298,830
2013-08-08	$1697.30	$1690.00	11.0%	3.1%	5.4%	14.3%	11.5%	3.3%	0.4%	10.88B	-275.41B	-2.02B	1.35	30.09	277,454	374,716	5,088,469	8,405,632
2013-08-09	$1689.71	$1690.00	11.4%	3.2%	5.7%	18.5%	11.4%	3.8%	0.4%	6.60B	-239.41B	-2.07B	2.10	33.58	218,132	459,166	5,172,020	8,535,741
2013-08-12	$1689.24	$1690.00	11.7%	3.4%	5.5%	21.0%	13.9%	3.8%	0.4%	8.48B	-244.37B	-2.03B	1.46	22.23	196,353	286,792	5,114,600	8,371,754
2013-08-13	$1693.02	$1690.00	11.0%	3.2%	5.4%	14.4%	12.7%	3.7%	0.5%	10.07B	-265.73B	-1.99B	1.28	24.60	292,642	373,244	5,167,050	8,501,170
2013-08-14	$1683.88	$1675.00	11.6%	3.3%	5.7%	20.1%	12.3%	4.0%	0.4%	4.91B	-226.97B	-2.03B	1.73	23.85	252,411	437,841	5,246,963	8,621,992
2013-08-15	$1658.65	$1700.00	13.3%	3.8%	7.7%	36.5%	13.1%	4.4%	0.2%	-10.25B	-94.09B	-2.08B	1.48	26.33	519,621	770,837	5,312,067	8,780,404
2013-08-16	$1653.04	$1675.00	12.8%	3.7%	7.4%	32.4%	13.3%	4.4%	0.0%	-6.62B	-71.95B	-2.07B	1.91	27.12	319,157	608,286	4,530,563	7,201,162
2013-08-19	$1646.32	$1645.00	13.7%	4.0%	7.5%	40.9%	13.6%	4.5%	-0.0%	-8.67B	-46.52B	-2.06B	1.76	22.44	268,401	473,073	4,666,609	7,510,511
2013-08-20	$1653.10	$1645.00	13.2%	3.8%	7.7%	35.9%	13.8%	4.3%	0.1%	-7.68B	-72.28B	-2.08B	1.72	16.56	220,980	380,219	4,741,656	7,728,710
2013-08-21	$1638.92	$1645.00	14.1%	4.1%	8.2%	44.9%	15.5%	4.6%	0.0%	-11.53B	-14.90B	-2.09B	2.41	19.17	307,312	740,639	4,811,841	7,894,067
2013-08-22	$1657.17	$1640.00	13.1%	3.8%	9.3%	35.1%	13.2%	4.1%	0.4%	-5.50B	-91.15B	-2.09B	1.70	24.62	238,528	404,745	4,923,152	8,152,610
2013-08-23	$1663.69	$1640.00	12.1%	3.5%	9.4%	25.5%	12.7%	3.9%	0.5%	-29.6M	-122.79B	-2.01B	2.10	22.51	190,691	399,958	4,966,854	8,252,505
2013-08-26	$1655.48	$1650.00	13.4%	3.9%	9.5%	38.3%	15.4%	4.4%	-0.2%	-4.60B	-96.24B	-2.00B	2.00	16.11	138,126	275,924	4,864,129	7,862,890
2013-08-27	$1630.08	$1670.00	15.1%	4.3%	10.8%	54.7%	16.7%	4.9%	-0.3%	-12.44B	13.65B	-2.03B	1.70	19.24	389,211	663,285	4,923,374	7,970,320
2013-08-28	$1633.93	$1650.00	15.0%	4.3%	10.8%	53.8%	16.5%	4.7%	-0.2%	-11.14B	-9.18B	-2.02B	1.14	20.81	367,866	419,545	5,008,339	8,114,705
2013-08-29	$1638.46	$1625.00	15.1%	4.3%	10.3%	54.5%	17.5%	4.8%	-0.1%	-9.65B	-27.67B	-2.06B	1.83	18.32	210,103	385,188	5,092,136	8,230,547
2013-08-30	$1632.97	$1650.00	15.2%	4.4%	10.2%	55.9%	17.8%	4.9%	0.3%	-10.69B	181.7M	-2.06B	2.12	18.94	206,288	437,133	5,186,696	8,368,637