SPX Options History — September 2013

In September 2013, SPX traded between $1640.64 and $1725.12. ATM implied volatility averaged 12.9%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.7% (HV 20d: 10.3%). Max pain ranged from $1650.00 to $1700.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.60.

Notable Days

2013-09-18: Highest Volume — 1,462,798 contracts
2013-09-30: Largest IV spike — 13.4% change
2013-09-03: Highest IV Rank — 55.0%
2013-09-09: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1687.29	$1640.64	$1725.12	$1640.64	$1681.23
Max Pain	$1670.00	$1650.00	$1700.00	$1655.00	$1650.00
ATM IV	12.9%	11.5%	15.1%	15.1%	14.7%
Expected Move	4.8%	4.1%	5.1%	4.4%	5.0%
HV 20d	10.3%	8.3%	11.8%	10.5%	8.9%
HV 60d	10.1%	9.0%	11.9%	11.8%	9.0%
IV Rank	33.3%	19.2%	55.0%	55.0%	50.8%
IV Percentile	53.0%	27.4%	83.7%	83.7%	79.0%
Term Structure	0.2%	-0.3%	0.6%	-0.1%	-0.3%
VWIV	18.7%	14.5%	24.0%	19.1%	24.0%
Skew 25d	4.0%	2.8%	5.0%	4.7%	5.0%
Skew 10d	7.9%	4.8%	10.6%	9.0%	10.6%
Call IV 25d	11.4%	10.3%	13.2%	13.2%	12.5%
Put IV 25d	15.3%	13.3%	17.8%	17.8%	17.4%
Bid-Ask Spread %	17.44	3.10	21.64	16.11	3.10
Gamma HHI	0.04	0.03	0.09	0.03	0.03
Net GEX	8.73B	-7.49B	34.24B	-7.49B	-3.65B
Net DEX	-220.74B	-480.18B	-45.12B	-45.12B	-88.51B
Net VEX	-1.83B	-1.97B	-1.68B	-1.97B	-1.91B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.96	2.40	2.03	2.40
Total Volume	818,533.2	537,771	1,462,798	618,523	818,126
Total OI	13,154,607.45	10,564,422	15,110,891	13,218,129	11,986,596

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
2013-09-03	$1640.64	$1655.00	15.1%	4.4%	10.5%	55.0%	19.1%	4.7%	-0.1%	-7.49B	-45.12B	-1.97B	2.03	16.11	204,032	414,491	5,058,001	8,160,128
2013-09-04	$1654.67	$1670.00	14.3%	4.1%	11.0%	47.3%	15.5%	4.4%	0.2%	-1.54B	-106.69B	-1.96B	1.54	16.13	261,754	403,540	5,110,714	8,297,973
2013-09-05	$1654.18	$1655.00	14.2%	4.1%	11.0%	46.0%	15.6%	4.4%	-0.1%	-1.52B	-108.59B	-1.94B	1.98	21.07	212,320	421,359	5,193,273	8,401,412
2013-09-06	$1655.10	$1650.00	14.2%	4.1%	10.9%	45.7%	14.9%	4.5%	0.1%	-3.01B	-115.74B	-1.94B	1.61	21.21	333,440	535,437	5,285,894	8,570,821
2013-09-09	$1669.58	$0.00	13.9%	5.1%	11.3%	42.8%	21.0%	4.5%	0.0%	5.66B	-188.02B	-1.87B	1.32	16.27	231,716	306,055	5,228,685	8,357,739
2013-09-10	$1682.75	$1650.00	12.8%	5.0%	11.7%	31.7%	21.4%	3.9%	0.1%	12.00B	-260.54B	-1.81B	1.43	19.30	372,272	534,100	5,308,663	8,464,377
2013-09-11	$1689.12	$1650.00	12.0%	4.9%	11.8%	24.2%	0.0%	3.6%	0.2%	16.71B	-299.38B	-1.76B	1.40	18.84	427,608	598,335	5,395,441	8,620,749
2013-09-12	$1685.13	$1650.00	12.5%	5.0%	11.7%	29.1%	18.8%	3.8%	0.2%	13.27B	-273.74B	-1.80B	1.40	19.34	307,066	431,250	5,510,930	8,771,246
2013-09-13	$1690.00	$1650.00	12.2%	4.9%	10.2%	26.0%	17.9%	3.9%	0.4%	16.05B	-300.43B	-1.79B	1.45	19.30	244,399	354,486	5,611,589	8,905,638
2013-09-16	$1697.86	$1650.00	12.6%	4.9%	10.2%	29.6%	20.5%	4.2%	0.4%	17.62B	-348.96B	-1.71B	1.22	16.48	453,962	555,180	5,507,828	8,622,010
2013-09-17	$1705.37	$1700.00	12.7%	4.9%	10.0%	30.7%	18.4%	4.2%	0.3%	19.84B	-379.81B	-1.74B	1.55	16.04	294,872	457,144	5,613,060	8,827,606
2013-09-18	$1724.34	$1700.00	12.1%	4.8%	10.5%	25.2%	23.8%	3.3%	0.5%	29.78B	-469.74B	-1.68B	1.04	16.45	718,486	744,312	5,701,210	8,945,844
2013-09-19	$1725.12	$1700.00	11.5%	4.8%	9.8%	19.4%	22.7%	2.8%	0.4%	34.24B	-480.18B	-1.71B	0.96	16.41	629,429	603,757	5,897,393	9,213,498
2013-09-20	$1708.78	$1700.00	11.5%	4.9%	10.1%	19.2%	14.5%	3.0%	0.4%	9.20B	-200.55B	-1.79B	1.80	16.32	319,126	574,639	4,081,731	6,482,691
2013-09-23	$1698.75	$1700.00	12.5%	4.9%	10.4%	29.5%	17.5%	3.7%	0.5%	5.45B	-166.03B	-1.80B	2.09	15.67	233,948	489,928	4,237,485	6,794,315
2013-09-24	$1698.61	$1700.00	12.3%	4.9%	10.2%	27.4%	19.5%	3.6%	0.5%	3.76B	-158.49B	-1.83B	1.52	16.71	239,787	364,334	4,347,991	6,990,407
2013-09-25	$1692.24	$1700.00	12.3%	4.9%	8.3%	27.3%	17.8%	3.7%	0.6%	1.85B	-136.73B	-1.81B	1.99	21.19	227,122	451,853	4,434,852	7,129,155
2013-09-26	$1698.60	$1650.00	12.1%	4.8%	8.3%	25.2%	15.7%	3.7%	0.3%	4.94B	-158.20B	-1.84B	1.35	21.64	295,876	400,638	4,525,328	7,340,888
2013-09-27	$1693.63	$1650.00	13.0%	4.9%	8.5%	33.7%	16.3%	4.6%	0.3%	1.51B	-129.43B	-1.90B	1.85	21.16	317,767	586,718	4,646,834	7,512,154
2013-09-30	$1681.23	$1650.00	14.7%	5.0%	8.9%	50.8%	24.0%	5.0%	-0.3%	-3.65B	-88.51B	-1.91B	2.40	3.10	240,385	577,741	4,571,447	7,415,149