SPX Options History — October 2013

In October 2013, SPX traded between $1654.89 and $1772.63. ATM implied volatility averaged 13.0%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.7% (HV 20d: 12.3%). Max pain ranged from $1650.00 to $1700.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.57.

Notable Days

2013-10-17: Highest Volume — 1,648,942 contracts
2013-10-16: Largest IV drop — 20.6% change
2013-10-08: Highest IV Rank — 90.0%
2013-10-08: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1719.85	$1654.89	$1772.63	$1695.34	$1760.16
Max Pain	$1660.87	$1650.00	$1700.00	$1650.00	$1700.00
ATM IV	13.0%	10.4%	18.7%	13.5%	11.0%
Expected Move	4.9%	4.6%	5.3%	4.9%	4.8%
HV 20d	12.3%	8.9%	14.1%	9.2%	12.5%
HV 60d	10.5%	9.0%	11.3%	9.1%	11.1%
IV Rank	34.4%	8.8%	90.0%	38.7%	13.9%
IV Percentile	46.6%	6.0%	99.6%	64.7%	15.9%
Term Structure	0.2%	-0.8%	0.9%	-0.1%	0.5%
VWIV	18.8%	16.9%	23.4%	19.6%	20.0%
Skew 25d	4.3%	2.7%	7.0%	4.7%	3.0%
Skew 10d	8.8%	5.2%	14.0%	9.9%	5.6%
Call IV 25d	11.4%	9.5%	15.7%	11.7%	9.8%
Put IV 25d	15.7%	12.2%	22.7%	16.3%	12.8%
Bid-Ask Spread %	18.94	2.29	26.54	15.31	2.29
Gamma HHI	0.04	0.03	0.08	0.03	0.05
Net GEX	11.15B	-13.26B	27.89B	2.51B	18.52B
Net DEX	-224.84B	-385.13B	7.88B	-140.97B	-317.77B
Net VEX	-1.88B	-2.01B	-1.76B	-1.86B	-1.88B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	1.06	2.04	1.79	1.59
Total Volume	903,755.87	564,468	1,648,942	742,147	687,173
Total OI	12,732,360.652	11,571,312	13,891,813	11,627,568	13,437,300

Daily Data (23 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
2013-10-01	$1695.34	$1650.00	13.5%	4.9%	9.2%	38.7%	19.6%	4.7%	-0.1%	2.51B	-140.97B	-1.86B	1.79	15.31	266,013	476,134	4,430,039	7,197,529
2013-10-02	$1689.91	$1650.00	14.4%	4.9%	8.9%	47.9%	20.4%	5.2%	-0.2%	-704.8M	-118.78B	-1.91B	1.43	16.47	318,708	455,997	4,532,571	7,390,794
2013-10-03	$1676.38	$1650.00	15.7%	5.0%	9.5%	60.0%	19.3%	5.7%	-0.1%	-6.40B	-62.90B	-1.96B	1.54	17.71	365,782	564,443	4,659,410	7,607,380
2013-10-04	$1691.45	$1650.00	14.6%	5.0%	10.0%	49.9%	18.6%	5.4%	-0.1%	911.8M	-123.95B	-1.97B	1.77	16.86	285,531	506,533	4,760,318	7,792,971
2013-10-07	$1673.54	$1650.00	17.1%	5.1%	10.3%	74.5%	0.0%	6.6%	-0.3%	-5.97B	-60.89B	-2.00B	2.04	15.92	189,401	386,981	4,671,780	7,607,093
2013-10-08	$1655.38	$1650.00	18.7%	5.3%	10.6%	90.0%	18.2%	7.0%	-0.7%	-12.02B	4.83B	-2.01B	1.59	16.14	401,970	640,285	4,750,735	7,780,963
2013-10-09	$1654.89	$1650.00	18.0%	5.2%	10.5%	83.3%	17.4%	6.6%	-0.8%	-13.26B	7.88B	-1.99B	1.68	16.60	401,949	676,031	4,871,805	7,934,920
2013-10-10	$1691.14	$1650.00	14.8%	5.0%	13.2%	51.7%	17.3%	5.5%	-0.4%	3.73B	-140.55B	-1.96B	1.45	22.82	480,045	694,167	5,007,864	8,137,818
2013-10-11	$1705.11	$1650.00	13.2%	4.9%	13.5%	36.2%	18.4%	5.2%	-0.1%	15.13B	-206.67B	-1.92B	1.90	22.52	308,838	588,211	5,115,469	8,246,864
2013-10-14	$1710.11	$1650.00	13.6%	4.9%	13.4%	39.6%	23.4%	5.0%	0.3%	11.06B	-214.23B	-1.90B	1.44	19.42	378,660	546,662	4,980,928	8,033,215
2013-10-15	$1697.78	$1650.00	15.5%	5.0%	13.6%	58.6%	19.1%	5.8%	-0.3%	3.18B	-155.64B	-1.98B	1.48	26.54	375,255	556,365	5,055,370	8,171,899
2013-10-16	$1718.92	$1650.00	12.3%	4.8%	13.7%	27.2%	22.6%	3.9%	0.6%	19.75B	-274.32B	-1.80B	1.59	19.33	529,786	840,864	5,090,122	8,288,624
2013-10-17	$1733.49	$1650.00	11.2%	4.8%	14.1%	16.1%	18.6%	3.1%	0.2%	25.06B	-332.77B	-1.81B	1.24	19.54	736,275	912,667	5,244,062	8,647,751
2013-10-18	$1741.92	$1650.00	10.5%	4.6%	13.7%	9.5%	18.1%	2.7%	0.3%	18.21B	-294.97B	-1.76B	1.38	18.21	568,249	783,135	4,449,709	7,121,603
2013-10-21	$1743.58	$1650.00	10.6%	4.7%	13.4%	10.5%	16.9%	3.0%	0.8%	18.41B	-301.64B	-1.77B	1.50	20.40	272,638	409,228	4,655,561	7,488,745
2013-10-22	$1754.83	$1650.00	11.0%	4.7%	13.5%	14.0%	18.8%	3.0%	0.8%	21.27B	-343.53B	-1.78B	1.06	20.11	444,123	469,767	4,723,546	7,681,226
2013-10-23	$1747.03	$1675.00	11.0%	4.7%	13.6%	14.2%	17.6%	2.9%	0.8%	18.11B	-308.46B	-1.82B	1.81	20.02	231,172	417,911	4,859,636	7,862,360
2013-10-24	$1754.93	$1675.00	10.5%	4.7%	13.6%	9.9%	18.1%	3.0%	-0.0%	21.12B	-331.06B	-1.84B	1.53	22.59	231,485	354,899	4,935,958	8,003,710
2013-10-25	$1758.98	$1675.00	10.4%	4.8%	13.5%	8.8%	17.3%	2.7%	0.0%	27.89B	-355.49B	-1.82B	1.68	22.52	212,747	356,483	5,001,839	8,140,034
2013-10-28	$1763.68	$1675.00	10.6%	4.7%	13.0%	10.2%	19.1%	2.9%	0.9%	23.05B	-359.17B	-1.77B	1.53	24.34	343,993	527,937	4,859,023	7,696,344
2013-10-29	$1772.63	$1700.00	10.8%	4.7%	12.9%	12.3%	18.6%	2.8%	0.9%	24.47B	-385.13B	-1.80B	1.70	20.10	209,167	355,301	4,942,073	7,906,917
2013-10-30	$1765.29	$1700.00	11.1%	4.7%	13.0%	14.8%	17.2%	3.1%	0.8%	22.50B	-355.20B	-1.86B	1.39	19.76	429,420	598,004	5,025,681	8,044,736
2013-10-31	$1760.16	$1700.00	11.0%	4.8%	12.5%	13.9%	20.0%	3.0%	0.5%	18.52B	-317.77B	-1.88B	1.59	2.29	265,634	421,539	5,134,358	8,302,942