Implied volatilities of a wide range of S&P 500 index options. Both puts and calls.
I buy mostly as insurance, but if you're looking for a short term trade, you need to consider your approach. In other words, you buy July delta, and price what delta is is before you pull the trigger. If you're looking long term, good luck.
It's a complicated game that banks are very good at. Google search arbitrage between SPX and SPY, and there is one article where a trader for a bank talks about how they operate, and at what levels, including hidden.
This post was edited on 6/10 at 5:36 pm