SPX Options History — December 2013

In December 2013, SPX traded between $1775.32 and $1847.75. ATM implied volatility averaged 11.5%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.4% (HV 20d: 9.0%). Max pain ranged from $1725.00 to $1800.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.48.

Notable Days

2013-12-18: Highest Volume — 1,452,743 contracts
2013-12-18: Largest IV drop — 16.5% change
2013-12-17: Highest IV Rank — 39.4%
2013-12-16: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1807.93	$1775.32	$1847.75	$1800.11	$1847.75
Max Pain	$1775.00	$1725.00	$1800.00	$1725.00	$1800.00
ATM IV	11.5%	9.7%	13.6%	11.2%	11.2%
Expected Move	4.8%	4.6%	5.0%	4.9%	4.6%
HV 20d	9.0%	7.1%	10.4%	8.3%	10.3%
HV 60d	10.4%	10.0%	10.8%	10.2%	10.3%
IV Rank	18.9%	1.3%	39.4%	16.2%	18.3%
IV Percentile	36.6%	0.8%	76.6%	31.3%	35.7%
Term Structure	0.3%	-0.1%	0.8%	0.2%	0.3%
VWIV	17.4%	13.5%	22.5%	17.1%	13.5%
Skew 25d	3.6%	2.7%	4.7%	3.4%	3.1%
Skew 10d	7.4%	5.3%	10.1%	7.4%	6.1%
Call IV 25d	10.2%	8.8%	11.8%	9.9%	10.2%
Put IV 25d	13.8%	11.6%	16.5%	13.3%	13.2%
Bid-Ask Spread %	22.41	6.73	28.70	23.09	6.73
Gamma HHI	0.06	0.04	0.11	0.05	0.10
Net GEX	19.12B	-7.98B	40.08B	19.47B	26.42B
Net DEX	-329.89B	-479.78B	-207.66B	-398.61B	-293.03B
Net VEX	-1.70B	-1.87B	-1.60B	-1.76B	-1.64B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	1.00	2.08	1.58	1.04
Total Volume	821,293.762	448,103	1,452,743	544,158	836,233
Total OI	13,425,289.667	9,713,867	15,953,254	13,890,389	10,898,594

Daily Data (21 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
2013-12-02	$1800.11	$1725.00	11.2%	4.9%	8.3%	16.2%	17.1%	3.4%	0.2%	19.47B	-398.61B	-1.76B	1.58	23.09	210,511	333,647	5,390,065	8,500,324
2013-12-03	$1791.59	$1725.00	11.6%	4.9%	8.5%	20.5%	19.1%	3.9%	0.6%	14.07B	-355.36B	-1.78B	1.76	23.00	234,367	413,329	5,439,075	8,653,570
2013-12-04	$1792.17	$1725.00	11.8%	4.9%	8.3%	22.6%	20.5%	3.8%	0.5%	13.67B	-352.51B	-1.80B	1.63	23.06	293,813	479,711	5,519,693	8,813,811
2013-12-05	$1785.23	$1725.00	12.2%	4.9%	8.3%	26.3%	16.0%	3.8%	0.4%	7.69B	-300.95B	-1.87B	1.42	25.03	351,491	499,987	5,603,023	8,982,329
2013-12-06	$1807.40	$1725.00	10.8%	4.8%	8.1%	12.7%	18.2%	3.3%	0.5%	27.69B	-434.43B	-1.72B	1.80	23.80	321,559	579,979	5,668,139	9,167,406
2013-12-09	$1808.67	$1725.00	10.9%	4.8%	7.1%	13.7%	15.0%	3.4%	0.3%	24.87B	-451.54B	-1.63B	1.43	23.55	261,980	375,099	5,531,009	8,908,324
2013-12-10	$1802.97	$1725.00	11.3%	4.8%	7.3%	17.7%	15.2%	3.9%	0.3%	21.18B	-419.45B	-1.68B	1.82	22.12	222,059	403,429	5,622,051	9,044,093
2013-12-11	$1781.19	$1800.00	12.8%	4.9%	8.6%	31.9%	14.6%	4.1%	0.4%	4.88B	-291.43B	-1.76B	1.24	23.26	384,866	477,402	5,692,703	9,205,321
2013-12-12	$1776.78	$1800.00	13.0%	4.9%	8.2%	34.4%	17.6%	4.3%	0.1%	-328.3M	-258.53B	-1.78B	1.34	21.96	359,973	482,297	5,790,439	9,370,275
2013-12-13	$1775.32	$1800.00	13.2%	4.9%	7.9%	36.2%	18.4%	4.0%	0.1%	-7.98B	-249.78B	-1.78B	2.07	21.97	288,493	598,034	5,866,122	9,475,767
2013-12-16	$1786.84	$1800.00	13.5%	5.0%	8.2%	39.1%	15.7%	4.4%	0.0%	8.20B	-321.29B	-1.75B	1.88	21.10	218,805	411,281	5,768,289	9,279,961
2013-12-17	$1779.49	$1800.00	13.6%	4.9%	8.3%	39.4%	20.9%	4.7%	-0.1%	3.47B	-283.67B	-1.75B	1.44	21.07	312,898	451,088	5,821,039	9,435,001
2013-12-18	$1811.20	$1800.00	11.3%	4.8%	10.4%	17.4%	18.9%	3.6%	0.5%	29.67B	-479.78B	-1.61B	1.34	22.11	620,338	832,405	5,894,822	9,601,681
2013-12-19	$1809.86	$1800.00	11.1%	4.8%	10.4%	15.5%	20.6%	4.0%	0.0%	32.00B	-478.68B	-1.65B	1.00	24.29	707,495	709,530	6,068,862	9,884,392
2013-12-20	$1820.18	$1800.00	10.5%	4.7%	10.2%	9.8%	22.5%	3.4%	0.2%	19.64B	-207.66B	-1.66B	2.08	23.62	427,333	888,644	3,675,811	6,038,056
2013-12-23	$1828.98	$1800.00	10.1%	4.7%	10.2%	5.3%	16.7%	3.2%	0.8%	25.17B	-237.69B	-1.63B	1.40	21.76	268,369	374,637	3,861,362	6,431,921
2013-12-24	$1834.59	$1800.00	9.8%	4.7%	10.2%	2.5%	16.3%	3.1%	0.8%	29.41B	-258.19B	-1.62B	1.25	28.70	199,520	248,583	3,966,658	6,641,388
2013-12-26	$1842.37	$1800.00	9.8%	4.6%	10.3%	2.8%	15.6%	2.7%	0.3%	35.45B	-286.86B	-1.65B	1.08	22.15	327,728	355,526	4,058,128	6,779,210
2013-12-27	$1843.74	$1800.00	9.7%	4.6%	10.3%	1.3%	14.9%	3.2%	0.4%	40.08B	-293.65B	-1.60B	1.06	25.59	387,838	410,332	4,114,889	6,887,371
2013-12-30	$1840.05	$1800.00	11.0%	4.6%	10.3%	14.3%	18.8%	3.2%	0.3%	26.92B	-274.49B	-1.61B	1.32	22.68	296,526	390,034	3,900,410	6,679,699
2013-12-31	$1847.75	$1800.00	11.2%	4.6%	10.3%	18.3%	13.5%	3.1%	0.3%	26.42B	-293.03B	-1.64B	1.04	6.73	409,330	426,903	4,004,769	6,893,825