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Daily S&P 500 Option Analysis - Wed, April 7, 2004
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FREE Email Summaries
Month
JUN
SEP
 Futures
Closing Price
1142.300
1141.100
 Days Left
52
118
 Implied ATM
Volatility
15.07%
16.22%
 Last Trading Date
Thu, Jun. 17, 2004
Fri, Sep. 17, 2004
ArrowHistorical v. Implied Volatility Graphs
ArrowHistorical Volatility Tables
ArrowImplied Standard Deviations

JUN Implied Volatility v. 1-Month Historical Volatility
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUN Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 1-Month Historical Volatility
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

SEP Futures
January 26, 2010 - April 7, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for SP
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
JUN
SEP
 8.48%
8.60%
 13.26%
13.34%
 14.86%
14.94%
 11.98%
12.04%
 n/a
n/a
 n/a
n/a
 n/a
n/a
 n/a
n/a

Implied Standard Deviations for SP
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
JUN
SEP
 10.66
11.46
 18.46
19.84
 28.20
30.31
 39.87
42.87
 58.37
62.75
 83.23
89.49
 101.66
109.30
 15.07%
16.22%

JUN - SP Next (SEP) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
675
700
725
750
775
800
825
840
850
860
875
880
890
900
920
925
940
950
960
970
975
980
990
1000
1010
1020
1025
1030
1035
1040
1045
1050
1055
1060
1065
1070
1075
1080
1085
1090
1095
1100
1105
1110
1115
1120
1125
1130
1135
1140*
1145
1150
1155
1160
1165
1170
1175
1180
1185
1190
1195
1200
1205
1210
1215
1220
1225
1230
1240
1250
1275
1290
1300
1325
1350
1375
1400
---
44230.0
---
---
---
---
31730.0
---
29250.0
---
26770.0
---
---
24300.0
---
21850.0
20390.0
19410.0
---
---
17010.0
---
---
14650.0
---
12780.0
12310.0
11850.0
---
10950.0
---
10060.0
---
9180.0
---
8330.0
7910.0
---
7080.0
6670.0
6270.0
5890.0
5510.0
5140.0
4780.0
4430.0
4090.0
3780.0
3470.0
3170.0
2880.0
2620.0
2360.0
2120.0
1890.0
1680.0
1480.0
1300.0
1140.0
990.0
860.0
740.0
630.0
540.0
450.0
380.0
310.0
270.0
190.0
130.0
50.0
40.0
35.0
25.0
15.0
15.0
10.0
5.0
10.0
15.0
20.0
25.0
35.0
50.0
55.0
65.0
75.0
90.0
95.0
110.0
125.0
160.0
170.0
210.0
230.0
270.0
310.0
330.0
350.0
400.0
460.0
520.0
590.0
620.0
660.0
710.0
750.0
800.0
860.0
920.0
980.0
1050.0
1120.0
1200.0
1280.0
1370.0
1460.0
1560.0
1670.0
1790.0
1920.0
2060.0
2210.0
2370.0
2550.0
2740.0
2940.0
3150.0
3390.0
3630.0
3880.0
4150.0
4440.0
4740.0
---
---
---
---
6490.0
---
---
---
---
8560.0
---
---
10870.0
---
---
15780.0
---
---
---
25770.0
46730.0
44230.0
41730.0
39230.0
36730.0
34230.0
31730.0
30230.0
29230.0
28230.0
26730.0
26230.0
25230.0
24230.0
22230.0
21730.0
20230.0
19230.0
18230.0
17230.0
16730.0
16230.0
15230.0
14235.8
13256.0
12292.2
11817.0
11346.7
10881.8
10422.5
9969.4
9522.9
9083.5
8651.7
8228.0
7812.8
7406.8
7010.4
6624.1
6248.3
5883.5
5530.1
5188.4
4858.7
4541.4
4236.6
3944.6
3665.5
3399.2
3146.0
2905.6
2678.0
2463.1
2260.7
2070.5
1892.3
1725.7
1570.3
1425.9
1291.9
1168.0
1053.6
948.4
851.8
763.3
682.6
609.0
542.2
426.9
333.3
172.7
113.5
84.9
39.7
17.7
7.5
3.1
---
---
---
---
---
---
---
---
---
---
---
---
---
---
1.3
1.7
3.9
6.6
10.9
17.6
22.1
27.7
42.7
64.4
95.0
137.2
163.6
194.1
229.3
269.5
315.3
367.2
425.8
491.6
565.0
646.8
737.4
837.4
947.2
1067.4
1198.3
1340.5
1494.3
1660.1
1838.0
2028.5
2231.6
2447.6
2676.5
2918.2
3172.9
3440.4
3720.6
4013.3
4318.3
4635.2
4963.9
5304.0
5655.0
6016.6
6388.3
6769.8
7160.6
7560.2
7968.1
8383.9
8807.2
9237.4
10117.2
11019.9
13357.7
14804.3
15783.1
18270.0
20770.0
23270.0
25770.0
---
0.0
---
---
---
---
0.0
---
+20.0
---
+40.0
---
---
+70.0
---
+120.0
+160.0
+180.0
---
---
+280.0
---
---
+414.2
---
+487.8
+493.0
+503.3
---
+527.5
---
+537.1
---
+528.3
---
+517.2
+503.2
---
+455.9
+421.7
+386.5
+359.9
+321.6
+281.3
+238.6
+193.4
+145.4
+114.5
+70.8
+24.0
-25.6
-58.0
-103.1
-140.7
-180.5
-212.3
-245.7
-270.3
-285.9
-301.9
-308.0
-313.6
-318.4
-311.8
-313.3
-302.6
-299.0
-272.2
-236.9
-203.3
-122.7
-73.5
-49.9
-14.7
-2.7
+7.5
+6.9
+5.0
+10.0
+15.0
+20.0
+25.0
+35.0
+50.0
+55.0
+65.0
+75.0
+89.9
+94.9
+109.8
+124.6
+158.7
+168.3
+206.1
+223.4
+259.1
+292.4
+307.9
+322.3
+357.3
+395.6
+425.0
+452.8
+456.4
+465.9
+480.7
+480.5
+484.7
+492.8
+494.2
+488.4
+485.0
+473.2
+462.6
+442.6
+422.8
+392.6
+361.7
+329.5
+295.7
+259.9
+222.0
+181.5
+138.4
+102.4
+63.5
+21.8
-22.9
-50.4
-90.6
-133.3
-168.3
-195.2
-223.9
---
---
---
---
-279.8
---
---
---
---
-247.2
---
---
-149.9
---
---
-3.1
---
---
---
0.0
----
----
----
----
----
----
----
----
34.16
----
32.08
----
----
30.08
----
28.35
27.35
26.46
----
----
24.91
----
----
23.42
----
22.05
21.63
21.30
----
20.73
----
20.13
----
19.50
----
18.96
18.67
----
18.05
17.71
17.40
17.17
16.88
16.61
16.35
16.08
15.82
15.65
15.43
15.19
14.94
14.78
14.55
14.36
14.14
13.96
13.75
13.57
13.42
13.26
13.14
13.00
12.84
12.75
12.58
12.48
12.30
12.36
12.27
12.17
12.10
12.74
13.18
14.18
14.79
16.21
16.85
38.66
38.50
37.40
35.89
34.15
32.87
31.69
30.50
30.14
29.68
28.86
28.56
28.12
27.60
26.52
26.25
25.56
24.86
24.50
24.03
23.76
23.47
22.97
22.51
21.95
21.40
21.04
20.76
20.54
20.20
19.93
19.71
19.45
19.16
18.91
18.63
18.38
18.09
17.83
17.53
17.25
16.99
16.74
16.50
16.26
16.02
15.78
15.59
15.39
15.18
14.96
14.82
14.62
14.40
14.21
14.05
13.86
----
----
----
----
13.22
----
----
----
----
12.80
----
----
12.91
----
----
14.89
----
----
----
21.60
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
*1.00
.99
*1.00
.98
*.99
*.99
.97
*.98
.96
.95
.95
*.95
*.94
.93
*.93
*.92
.90
*.90
.88
.87
.87
*.86
.85
*.85
.83
*.83
.81
*.80
.79
.77
*.76
.75
.73
.71
.70
.68
.66
.64
.62
.59
.57
.55
.52
.49
.47
.44
.41
.39
.36
.33
.30
.28
.25
.23
.20
.18
.16
.14
.12
.11
.09
.07
.05
.02
.02
.01
.01
.01
.01
.00
-.00
-.00
-.00
-.00
-.00
-.01
-.01
-.01
-.01
-.01
-.02
-.02
-.02
-.02
-.03
-.03
-.04
-.04
-.05
-.06
-.06
-.06
-.07
-.08
-.09
-.11
-.11
-.12
-.13
-.14
-.15
-.16
-.17
-.18
-.19
-.20
-.22
-.23
-.24
-.26
-.28
-.29
-.31
-.33
-.35
-.37
-.40
-.42
-.44
-.47
-.50
-.52
-.55
-.58
-.60
-.63
-.66
*-.69
*-.71
*-.74
*-.76
-.78
*-.81
*-.83
*-.85
*-.87
-.88
*-.90
*-.93
-.94
*-.99
*-1.00
-.98
*-1.00
*-1.00
*-1.00
-1.00
.02
.03
.04
.05
.07
.09
.12
.14
.16
.18
.21
.22
.25
.28
.34
.38
.45
.49
.52
.58
.63
.64
.71
.81
.86
.96
1.00
1.04
1.07
1.14
1.17
1.23
1.27
1.33
1.38
1.44
1.49
1.54
1.60
1.65
1.70
1.75
1.79
1.84
1.88
1.92
1.95
1.98
2.00
2.01
2.01
2.01
1.99
1.97
1.94
1.89
1.84
1.77
1.70
1.62
1.53
1.45
1.34
1.24
1.13
1.04
.96
.85
.68
.56
.27
.22
.19
.14
.09
.08
.06
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.4
0.4
0.4
0.4
0.4
0.4
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.4
0.3
0.3
0.3
0.3
0.2
0.2
0.1
0.1
0.1
0.0
0.0
0.0
0.0
0.5
1.0
1.4
1.7
2.1
2.7
3.6
3.9
4.4
4.9
5.7
5.9
6.6
7.2
8.5
8.9
10
11
12
13
14
14
15
17
18
19
20
20
21
22
22
23
24
24
25
25
26
27
27
28
28
28
29
29
29
29
29
29
29
29
29
28
28
27
26
25
24
23
22
20
19
18
16
15
14
12
12
10
8.0
7.6
3.1
2.6
4.6
1.9
1.2
1.3
4.9
---
10
---
---
---
---
50
---
45
---
50
---
---
55
---
50
50
50
---
---
50
---
---
40
---
40
40
40
---
30
---
30
---
30
---
20
20
---
20
20
20
10
10
10
10
10
10
0
0
0
0
0
0
10
10
10
10
---
---
---
---
20
---
---
---
---
20
---
---
30
---
---
25
---
---
---
10
JUN Fut=1142.30 Days=52 atmVol=15.07% IntRate = 6.50%
JUN Volatility Skew
Last Trading Date: June 17, 2004
Strike v. Volatility
www.pmpublishing.com
SEP - SP Previous (JUN) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
700
725
750
775
800
825
850
875
880
890
900
925
940
950
960
970
975
980
990
1000
1010
1025
1030
1040
1050
1060
1070
1075
1080
1090
1100
1110
1115
1120
1125
1130
1140*
1150
1160
1170
1175
1180
1190
1200
1210
1220
1225
1250
1275
1290
1300
1325
1350
1425
---
---
---
---
---
---
---
---
---
---
24570.0
---
---
19920.0
---
---
17640.0
---
16310.0
15420.0
---
13270.0
---
12030.0
11230.0
10440.0
9670.0
9290.0
8920.0
---
7480.0
6800.0
---
6130.0
5820.0
---
4920.0
4370.0
3860.0
3390.0
3170.0
2950.0
2540.0
2160.0
1840.0
1550.0
1410.0
890.0
530.0
370.0
290.0
175.0
100.0
30.0
70.0
100.0
140.0
185.0
240.0
310.0
390.0
480.0
510.0
550.0
600.0
750.0
850.0
930.0
1010.0
1100.0
1140.0
1190.0
1300.0
1410.0
1540.0
1740.0
1820.0
1990.0
2180.0
2390.0
2610.0
2730.0
2850.0
3110.0
3400.0
3710.0
3870.0
4040.0
4220.0
4410.0
4810.0
5250.0
5740.0
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
44110.0
41610.0
39110.0
36610.0
34110.0
31610.0
29110.0
26610.0
26110.0
25110.0
24110.0
21610.0
20115.6
19137.7
18176.7
17233.3
16768.3
16308.1
15402.1
14516.4
13652.3
12399.3
11993.8
11202.1
10437.2
9700.2
8992.2
8649.4
8314.2
7667.0
7051.1
6467.2
6187.2
5915.3
5651.4
5395.5
4907.7
4451.5
4026.3
3631.5
3445.2
3266.1
2929.3
2619.8
2336.4
2077.9
1957.5
1437.6
1038.0
846.9
737.1
515.1
354.5
105.9
---
---
---
0.7
1.8
4.7
11.7
26.9
31.5
42.8
57.5
114.7
168.2
214.3
270.5
338.2
376.9
419.1
514.8
627.1
757.7
991.8
1080.9
1276.9
1497.8
1745.3
2020.6
2169.0
2324.9
2659.1
3024.0
3420.3
3630.4
3848.3
4074.3
4308.2
4800.0
5323.2
5877.7
6462.7
6766.4
7077.5
7721.2
8392.7
9091.1
9815.0
10186.2
12127.7
14197.5
15492.9
16376.4
18647.5
20996.6
28390.0
---
---
---
---
---
---
---
---
---
---
+460.0
---
---
+782.3
---
---
+871.7
---
+907.9
+903.6
---
+870.7
---
+827.9
+792.8
+739.8
+677.8
+640.6
+605.8
---
+428.9
+332.8
---
+214.7
+168.6
---
+12.3
-81.5
-166.3
-241.5
-275.2
-316.1
-389.3
-459.8
-496.4
-527.9
-547.5
-547.6
-508.0
-476.9
-447.1
-340.1
-254.5
-75.9
+69.9
+99.9
+139.7
+184.3
+238.2
+305.3
+378.3
+453.1
+478.5
+507.2
+542.5
+635.3
+681.8
+715.7
+739.5
+761.8
+763.1
+770.9
+785.2
+782.9
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+748.2
+739.1
+713.1
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+644.7
+589.4
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+450.9
+376.0
+289.7
+239.6
+191.7
+145.7
+101.8
+10.0
-73.2
-137.7
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
----
----
----
----
----
----
----
----
----
----
27.07
----
----
24.51
----
----
23.19
----
22.49
21.95
----
20.78
----
20.14
19.76
19.35
18.95
18.74
18.55
----
17.76
17.38
----
16.96
16.79
----
16.26
15.95
15.66
15.40
15.28
15.13
14.84
14.53
14.32
14.10
13.96
13.57
13.19
12.92
12.78
12.81
12.77
13.64
31.64
31.07
30.48
29.68
28.83
27.99
27.04
25.99
25.89
25.43
25.04
24.11
23.50
23.14
22.73
22.34
22.09
21.90
21.53
21.11
20.75
20.12
19.94
19.59
19.26
18.94
18.59
18.43
18.24
17.89
17.57
17.23
17.05
16.88
16.72
16.56
16.25
15.98
15.76
----
----
----
----
----
----
----
----
----
----
----
----
----
----
----
*1.00
*1.00
*1.00
*1.00
*1.00
*.98
*.97
*.95
*.95
*.94
.92
*.91
*.90
.88
*.88
*.87
.85
*.86
.84
.82
*.82
.79
*.79
.76
.74
.72
.70
.69
.68
*.66
.63
.60
*.59
.58
.56
*.55
.51
.48
.45
.42
.40
.38
.35
.31
.28
.25
.23
.17
.11
.08
.07
.04
.03
.01
-.01
-.01
-.02
-.02
-.03
-.03
-.04
-.05
-.06
-.06
-.07
-.08
-.09
-.10
-.11
-.12
-.13
-.13
-.14
-.15
-.17
-.19
-.20
-.22
-.23
-.25
-.28
-.29
-.30
-.32
-.35
-.38
-.39
-.40
-.42
-.43
-.46
-.50
-.53
*-.56
*-.58
*-.60
*-.63
*-.67
*-.70
*-.73
*-.75
*-.82
*-.89
*-.92
*-.94
*-.98
*-1.00
*-1.00
.17
.23
.30
.38
.47
.58
.69
.82
.86
.92
1.01
1.16
1.28
1.40
1.45
1.53
1.61
1.62
1.75
1.84
1.92
2.09
2.12
2.24
2.34
2.44
2.54
2.59
2.63
2.72
2.80
2.87
2.90
2.92
2.95
2.96
2.99
2.99
2.98
2.94
2.91
2.88
2.80
2.69
2.56
2.41
2.33
1.90
1.45
1.18
1.01
.72
.48
.18
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.2
0.2
0.2
0.1
0.1
0.1
0.0
2.2
3.0
3.8
4.7
5.7
6.8
7.9
9.0
9.4
9.8
10
12
13
13
14
14
15
15
15
16
17
17
18
18
19
19
20
20
20
20
20
20
20
20
20
20
20
20
19
19
18
18
17
16
15
14
14
11
8.0
6.4
5.4
3.9
2.6
1.0
---
---
---
---
---
---
---
---
---
---
140
---
---
120
---
---
110
---
100
100
---
80
---
70
60
60
50
50
40
---
30
20
---
20
10
---
0
10
10
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
SEP Fut=1141.10 Days=118 atmVol=16.22% IntRate = 6.50%
SEP Volatility Skew
Last Trading Date: September 17, 2004
Strike v. Volatility
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