S&P 500 Index (SPX) (SX) Option Volatility Analysis

Daily S&P 500 Index (SPX) Option Analysis - Wed, June 6, 2001
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Month
JUN
JUL
AUG
SEP
DEC
Synthetic
Foward Price
1274.00
1277.90
1280.40
1284.30
1294.00
Days Left
10
45
73
108
199
Implied ATM
Volatility
21.60%
19.37%
20.32%
20.84%
20.38%
Last Trading Date
Fri, Jun. 15, 2001
Fri, Jul. 20, 2001
Fri, Aug. 17, 2001
Fri, Sep. 21, 2001
Fri, Dec. 21, 2001

Historical v. Implied Volatility Graphs
Historical Volatility Tables
Implied Standard Deviations

JUN Implied Volatility v. 1-Month Historical Volatility
January 3, 2010 - June 6, 2010

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

JUN Futures
January 3, 2010 - June 6, 2010

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 1-Month Historical Volatility
April 23, 2010 - June 6, 2010

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

AUG Implied Volatility v. 1-Month Historical Volatility
May 21, 2010 - June 6, 2010

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

SEP Implied Volatility v. 1-Month Historical Volatility
January 3, 2010 - June 6, 2010

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

SEP Futures
January 3, 2010 - June 6, 2010

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 1-Month Historical Volatility
January 3, 2010 - June 6, 2010

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

DEC Futures
January 3, 2010 - June 6, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for SX

1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month

JUN
SEP
DEC
7.88%
7.62%
7.13%
21.17%
20.88%
20.88%
15.09%
14.96%
15.27%
15.16%
15.05%
15.23%
17.25%
17.14%
17.19%
25.26%
25.38%
25.24%
24.84%
24.95%
24.78%
n/a
n/a
n/a

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
JUN SEP DEC	7.88% 7.62% 7.13%	21.17% 20.88% 20.88%	15.09% 14.96% 15.27%	15.16% 15.05% 15.23%	17.25% 17.14% 17.19%	25.26% 25.38% 25.24%	24.84% 24.95% 24.78%	n/a n/a n/a

Implied Standard Deviations for SX

1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.

JUN
JUL
AUG
SEP
DEC
14.40
12.95
13.62
14.01
13.80
24.95
22.44
23.59
24.27
23.90
38.11
34.27
36.03
37.07
36.51
53.90
48.47
50.96
52.42
51.64
78.90
70.95
74.59
76.74
75.59
112.50
101.18
106.36
109.43
107.78
137.41
123.57
129.91
133.65
131.65
21.60%
19.37%
20.32%
20.84%
20.38%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JUN JUL AUG SEP DEC	14.40 12.95 13.62 14.01 13.80	24.95 22.44 23.59 24.27 23.90	38.11 34.27 36.03 37.07 36.51	53.90 48.47 50.96 52.42 51.64	78.90 70.95 74.59 76.74 75.59	112.50 101.18 106.36 109.43 107.78	137.41 123.57 129.91 133.65 131.65	21.60% 19.37% 20.32% 20.84% 20.38%

JUN - SX Next (JUL) - 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)

950
995
1025
1050
1075
1100
1105
1110
1115
1120
1125
1130
1140
1150
1160
1170
1175
1180
1190
1200
1210
1220
1225
1230
1235
1250
1260
1270
1275*
1280
1285
1290
1295
1300
1305
1310
1315
1320
1325
1330
1350
1375
1400
1425
1450
1475

32706
28206
25300
22800
20310
17810
17310
16810
15900
15400
14900
14400
13410
12410
11504
10608
10108
9702
8806
7910
6604
6000
5110
4912
4210
3202
2200
1901
1715
1208
914
912
515
509
503
---
---
311
103
---
---
13
8
---
---
5

5
5
5
104
109
109
109
109
213
---
---
---
---
---
---
305
307
315
503
510
---
603
---
---
---
812
---
1501
1815
---
2009
2512
2704
3114
3514
4102
4700
4814
5200
6006
7610
10510
13010
15510
18000
20500

32400
27900
24900
22400
19900
17400
16900
16400
15900
15400
14900
14400
13400
12400
11400
10401
9901
9403
8406
7412
6506
5606
5200
4712
4311
3207
2514
2003
1710
1506
1304
1106
911
803
614
512
412
315
303
209
101
4
1
0
---
---

---
---
---
---
---
---
---
---
---
---
---
---
0
0
1
2
3
4
8
14
108
207
301
314
412
808
1115
1603
1810
2105
2404
2706
3010
3403
3713
4111
4511
4914
5402
5808
7615
10103
12600
15100
17600
20100

+306
+306
+400
+400
+410
+410
+410
+410
0
0
0
0
+10
+10
+104
+207
+207
+215
+400
+414
+14
+310
-6
+200
-101
-5
-314
-102
+5
-214
-306
-110
-312
-210
-111
---
---
-4
-201
---
---
+8
+7
---
---
+5

+5
+5
+5
+104
+109
+109
+109
+109
+213
---
---
---
---
---
---
+302
+304
+310
+411
+412
---
+311
---
---
---
+4
---
-102
+5
---
-311
-110
-306
-205
-115
-9
+105
-100
-202
+114
-5
+407
+410
+410
+400
+400

----
----
85.43
77.64
72.25
64.45
62.90
61.34
29.95
28.96
27.96
26.98
35.34
32.92
34.18
36.49
35.06
35.53
35.76
35.29
24.24
29.19
20.73
25.21
19.64
21.17
16.65
20.26
21.94
18.18
17.45
19.55
16.52
17.83
19.01
----
----
21.10
16.37
----
----
25.50
27.92
----
----
38.37

72.51
62.16
55.46
61.10
56.94
50.45
49.16
47.87
52.55
----
----
----
----
----
----
38.53
37.53
37.34
37.30
35.07
----
29.33
----
----
----
21.98
----
20.25
21.94
----
17.08
19.58
17.01
18.35
18.59
20.68
23.78
19.64
16.07
25.60
20.09
38.54
44.86
50.88
54.75
60.19

*1.00
*.99
.95
.94
.93
.92
.92
.92
1.00
1.00
1.00
1.00
.97
.97
.95
.92
.92
.91
.88
.85
.90
.82
.88
.80
.83
.71
.66
.54
.50
.44
.39
.36
.28
.25
.23
*.21
*.22
.16
.08
*.16
*.04
.04
.02
*.10
*.08
.01

-.01
-.01
-.01
-.02
-.03
-.04
-.04
-.04
-.06
*-.00
*-.00
*-.00
*-.03
*-.03
*-.05
-.09
-.09
-.10
-.13
-.14
*-.10
-.18
*-.12
*-.19
*-.17
-.29
*-.34
-.46
-.50
*-.56
-.61
-.64
-.71
-.74
-.78
-.79
-.78
-.86
-.93
-.84
-.96
-.88
-.89
-.90
-.92
-.92

.01
.01
.04
.04
.04
.05
.05
.05
.04
.00
.00
.00
.02
.02
.03
.05
.06
.06
.07
.08
.06
.09
.07
.09
.08
.12
.12
.13
.13
.13
.13
.13
.11
.11
.10
.10
.10
.08
.05
.08
.03
.07
.06
.06
.05
.05

0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.0
0.0
0.0
0.1
0.1
0.1
0.2
0.2
0.2
0.3
0.3
0.3
0.4
0.5
0.5
0.6
0.7
1
0.9
0.9
1
1
0.9
0.9
0.8
0.8
0.7
0.6
0.5
0.4
0.5
0.2
0.2
0.2
0.2
0.1
0.1

1.9
1.8
1.8
5.6
6.5
6.3
6.3
6.3
9.8
0.4
0.4
0.4
3.4
3.4
5.3
9.9
10
11
13
13
6.8
13
7.0
12
8.2
13
10
14
15
12
11
13
9.9
10
9.4
10
12
7.4
3.6
10
2.9
13
14
15
14
14

301
301
311
212
301
301
301
301
213
---
---
---
---
---
---
13
15
13
13
0
---
3
---
---
---
10
---
0
0
---
5
0
5
5
5
---
---
13
3
---
---
314
403
---
---
311

JUN Fut=1274.00 Days=10 atmVol=21.60% IntRate = 6.50%

JUN Volatility Skew
Last Trading Date: June 15, 2001

Strike v. Volatilitywww.pmpublishing.com

JUL - SX Next (AUG) - 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)

900
925
995
1005
1025
1050
1060
1075
1100
1125
1150
1175
1200
1225
1250
1275
1280*
1285
1300
1325
1350
1375
1400
1425
1450

37704
35308
28210
27304
25502
22800
21914
20706
18108
15906
13304
11202
9210
7106
5108
3504
3308
3206
2412
1507
1110
503
407
---
201

213
---
315
404
508
---
---
603
---
607
915
---
1208
1515
2506
3214
3602
4000
4706
6202
8102
10010
12310
14804
17412

37714
35214
28214
27214
25214
22714
21714
20214
17715
15305
12907
10611
8507
6605
4911
3514
3307
3102
2414
1608
1008
607
312
202
102

---
---
---
---
0
1
1
2
6
15
202
405
800
1312
2200
3300
3508
3803
4613
6305
8203
10300
12504
14809
17209

-10
+10
-4
+6
+204
+2
+200
+408
+309
+601
+313
+507
+703
+501
+113
-10
+1
+104
-2
-101
+102
-104
+11
---
+14

+213
---
+314
+403
+507
---
---
+600
---
+508
+713
---
+408
+203
+306
-2
+10
+113
+9
-103
-101
-206
-110
-5
+203

----
47.53
----
34.63
38.62
26.81
32.88
35.57
30.30
30.52
25.17
25.15
25.15
22.79
20.44
19.03
19.41
20.08
19.31
18.67
20.19
18.12
20.23
----
21.58

54.97
----
44.17
43.42
42.95
----
----
36.57
----
29.42
29.40
----
23.09
20.87
21.39
19.31
19.71
20.40
19.69
18.59
18.54
16.86
16.87
18.75
24.23

*.97
.98
*.95
.98
.95
.99
.95
.92
.93
.89
.89
.84
.77
.71
.63
.52
.50
.48
.41
.30
.23
.13
.11
*.05
.05

-.03
*-.02
-.05
-.05
-.06
*-.02
*-.05
-.08
*-.07
-.10
-.14
*-.16
-.21
-.27
-.37
-.47
-.49
-.51
-.58
-.70
-.79
-.88
-.93
-.95
-.92

.05
.04
.07
.07
.09
.03
.07
.11
.10
.13
1.00
1.01
1.05
1.08
1.11
1.12
1.12
1.12
1.12
1.09
1.06
.15
.13
.08
.10

0.0
0.0
0.0
0.1
0.1
0.0
0.1
0.1
0.1
0.1
0.2
0.2
0.3
0.4
0.4
0.5
0.4
0.4
0.4
0.4
0.3
0.3
0.2
0.1
0.1

2.8
1.9
3.3
3.5
4.1
0.9
2.5
4.2
3.3
4.0
5.2
4.8
5.2
5.5
6.4
6.1
6.2
6.4
6.1
5.1
4.2
2.6
1.7
1.6
2.7

307
---
403
314
304
---
---
111
---
1
409
---
204
209
112
8
8
8
8
7
210
111
215
---
10

JUL Fut=1277.90 Days=45 atmVol=19.37% IntRate = 6.50%

JUL Volatility Skew
Last Trading Date: July 20, 2001

Strike v. Volatilitywww.pmpublishing.com

AUG - SX Next (SEP) - Previous (JUL) - 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)

1025
1050
1075
1100
1125
1150
1175
1200
1225
1250
1275*
1300
1325
1350
1375
1400
1425
1450

26000
23600
20800
18712
16600
14014
12106
9814
8102
6204
4610
3300
2606
1905
1004
609
---
414

403
---
509
812
908
1410
---
2007
2508
3100
4406
5408
7110
8800
10404
12810
14808
17400

25506
23006
20509
18106
15800
13511
11410
9503
7710
6200
4809
3704
2715
2008
1412
1006
702
413

4
9
102
202
312
606
1003
1509
2212
3115
4303
5610
7201
8907
10807
12815
15009
17302

+410
+510
+207
+606
+800
+503
+612
+311
+308
+4
-115
-404
-109
-103
-408
-313
---
+1

+315
---
+407
+610
+512
+804
---
+414
+212
-15
+103
-202
-7
-107
-403
-5
-201
+14

35.42
33.47
26.21
28.80
28.27
24.69
24.83
22.44
22.10
20.43
19.46
18.44
19.59
19.71
17.59
17.50
----
20.42

31.99
----
28.24
28.70
26.23
26.86
----
23.11
21.72
19.90
20.84
19.37
20.10
19.58
17.75
20.12
18.44
21.26

.93
.92
.94
.89
.86
.84
.79
.75
.68
.62
.53
.44
.36
.29
.19
.13
*.10
.09

-.05
*-.08
-.07
-.11
-.12
-.17
*-.20
-.25
-.30
-.37
-.46
-.55
-.63
-.71
-.80
-.82
-.89
-.89

.11
.14
.13
1.01
1.04
1.07
1.10
1.13
2.00
2.02
2.04
2.04
2.02
1.15
1.09
1.07
1.00
1.00

0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.3
0.3
0.3
0.4
0.3
0.3
0.3
0.2
0.2
0.1

2.1
3.1
2.4
3.2
3.3
4.2
4.3
4.5
4.7
4.6
5.1
4.7
4.7
4.1
3.0
3.2
2.1
2.4

7
---
215
106
102
402
---
115
4
14
302
114
10
15
10
207
---
8

AUG Fut=1280.40 Days=73 atmVol=20.32% IntRate = 6.50%

AUG Volatility Skew
Last Trading Date: August 17, 2001

Strike v. Volatilitywww.pmpublishing.com

SEP - SX Next (DEC) - Previous (AUG) - 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)

800
900
950
975
995
1025
1050
1075
1100
1125
1150
1175
1200
1225
1250
1275
1285*
1300
1325
1350
1375
1400
1425
1450
1475
1500
1525

48004
38204
33606
31112
29202
26510
24012
21712
19610
17400
15102
13210
11102
9114
7602
6102
5700
4712
3800
2712
1903
1501
1106
905
305
---
108

300
---
---
606
607
801
911
1106
1306
1403
1802
2311
2604
3506
4212
5014
5602
6500
7410
9202
10700
12600
15006
17112
19402
21500
23900

48405
38405
33405
30905
28905
25905
23410
21012
18710
16508
14408
12413
10609
8915
7415
6111
5614
5002
4004
3114
2415
1904
1411
1101
804
601
407

---
0
2
5
9
102
200
305
504
801
1114
1615
2307
3107
4102
5208
5709
6510
8006
9611
11407
13307
15310
17413
19613
21909
24214

-401
-201
+201
+207
+213
+605
+602
+700
+900
+808
+610
+713
+409
+115
+103
-9
+2
-206
-204
-402
-512
-403
-305
-112
-415
---
-215

+215
---
---
+601
+514
+615
+711
+801
+802
+602
+604
+612
+213
+315
+110
-110
-107
-10
-512
-409
-707
-707
-304
-301
-211
-409
-314

----
----
34.97
32.87
31.27
32.09
29.36
28.25
28.14
26.59
24.69
24.72
22.87
21.63
21.29
20.63
20.89
19.97
20.01
19.21
18.35
18.82
19.02
19.73
16.58
----
16.79

46.40
----
----
34.33
32.37
31.06
29.94
28.64
27.33
25.06
24.45
24.20
22.11
22.43
21.46
20.24
20.32
20.61
18.69
19.04
17.59
17.11
19.03
18.81
18.60
----
----

*.99
*.97
.96
.95
.95
.91
.91
.89
.86
.83
.81
.76
.72
.67
.61
.54
.51
.47
.40
.33
.26
.21
.17
.14
.07
*.05
.03

-.02
*-.04
*-.05
-.06
-.06
-.08
-.09
-.11
-.13
-.15
-.18
-.23
-.26
-.32
-.38
-.45
-.47
-.51
-.59
-.66
-.74
-.80
-.82
-.87
-.91
*-.96
*-.99

.06
.09
.11
.13
.13
1.00
1.02
1.05
1.08
1.11
1.13
2.02
2.04
2.08
2.10
2.12
2.12
2.12
2.11
2.08
2.04
2.00
1.12
1.09
1.01
.11
.08

0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
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

1.3
1.7
1.7
2.0
2.0
2.3
2.5
2.7
3.0
2.9
3.3
3.7
3.7
4.1
4.1
4.0
4.0
4.1
3.6
3.5
2.8
2.3
2.4
2.0
1.6
0.8
0.6

700
---
---
315
310
112
304
215
101
8
105
6
9
213
15
15
3
109
401
105
214
412
111
304
2
---
303

SEP Fut=1284.30 Days=108 atmVol=20.84% IntRate = 6.50%

SEP Volatility Skew
Last Trading Date: September 21, 2001

Strike v. Volatilitywww.pmpublishing.com

DEC - SX Previous (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)

800
900
950
995
1025
1050
1060
1100
1150
1175
1200
1225
1250
1275
1300*
1325
1350
1375
1400
1425
1450
1475
1500
1525
1550
1575
1600
1650

48510
39212
34606
30214
27608
25314
24706
21202
17014
15010
13210
11806
9900
8410
7114
5904
4908
3800
3306
2700
1903
1315
1212
1110
915
607
403
202

504
---
704
1300
---
1701
1811
2311
3102
3800
4114
4814
5610
6906
7714
9206
10408
11908
13612
15204
17104
19208
21214
23404
25906
28300
30200
35400

49400
39400
34400
29901
26915
24610
23709
20212
16215
14412
12713
11203
9713
8411
7214
6206
5300
4412
3709
3106
2600
2107
1710
1406
1111
907
709
413

1
7
103
212
407
607
707
1208
2201
2807
3600
4413
5413
6603
7812
9210
10711
12314
14102
15906
17810
19810
21907
24015
26301
28512
30815
35610

-806
-104
+206
+313
+609
+704
+913
+906
+715
+514
+413
+603
+103
-1
-100
-302
-308
-612
-403
-406
-613
-708
-414
-212
-112
-300
-306
-212

+503
---
+601
+1004
---
+1010
+1104
+1103
+901
+909
+514
+401
+113
+303
-14
-4
-303
-406
-406
-702
-706
-602
-609
-611
-311
-212
-615
-210

----
----
28.66
26.25
26.38
25.57
26.56
24.95
23.37
22.38
21.89
22.21
20.72
20.35
20.10
19.54
19.41
18.44
19.11
18.98
17.97
17.42
18.29
19.09
19.47
18.51
17.83
17.40

38.43
----
28.58
29.29
----
26.94
26.89
25.58
23.75
23.60
22.22
21.58
20.88
21.25
20.14
20.31
19.50
19.13
19.05
18.03
17.73
17.92
17.33
16.59
18.06
18.27
----
----

*.99
*.96
.95
.93
.90
.88
.86
.82
.77
.73
.69
.65
.61
.56
.50
.45
.40
.34
.30
.26
.21
.17
.15
.13
.12
.08
.06
.03

-.03
*-.05
-.06
-.09
*-.10
-.12
-.13
-.17
-.22
-.25
-.29
-.33
-.37
-.42
-.47
-.52
-.58
-.63
-.68
-.73
-.78
-.82
-.86
-.91
-.91
-.93
*-.96
*-1.00

.11
.15
1.01
1.09
1.10
1.15
2.00
2.06
2.12
3.00
3.03
3.06
3.09
3.11
3.11
3.11
3.10
3.08
3.05
3.01
2.11
2.06
2.03
2.01
1.14
1.07
1.02
.11

0.0
0.0
0.0
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
0.2
0.2
0.1
0.1
0.1
0.1
0.1
0.1
0.0

1.1
1.2
1.2
1.8
1.7
2.0
2.2
2.4
2.6
2.8
2.8
2.9
2.9
3.0
2.9
2.9
2.8
2.6
2.5
2.1
1.9
1.7
1.4
1.1
1.2
1.0
0.8
0.5

1310
---
414
902
---
703
505
509
404
606
304
8
110
312
0
202
100
8
210
512
315
207
514
806
609
407
803
402

DEC Fut=1294.00 Days=199 atmVol=20.38% IntRate = 6.50%

DEC Volatility Skew
Last Trading Date: December 21, 2001

Strike v. Volatilitywww.pmpublishing.com

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