SPX Options History — March 2007 In March 2007, SPX traded between $1371.23 and $1435.63. ATM implied volatility averaged 13.0%. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 4.3% (HV 20d: 17.4%). Max pain ranged from $1400.00 to $1450.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.08.
Notable Days 2007-03-14 : Highest Volume — 1,800,086 contracts2007-03-13 : Largest IV spike — 28.0% change2007-03-05 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $1406.75 $1371.23 $1435.63 $1403.17 $1420.86 Max Pain $1411.82 $1400.00 $1450.00 $1450.00 $1405.00 ATM IV 13.0% 9.8% 18.4% 14.9% 11.8% Expected Move 3.8% 2.8% 5.3% 4.3% 3.6% HV 20d 17.4% 13.2% 20.0% 15.3% 13.2% HV 60d 13.1% 12.7% 13.5% 12.8% 12.8% Term Structure -0.2% -2.3% 1.1% -2.0% 0.4% VWIV 13.8% 10.9% 18.8% 14.6% 14.0% Skew 25d 5.0% 3.8% 6.9% 5.5% 4.3% Skew 10d 10.0% 7.7% 12.2% 11.5% 8.8% Call IV 25d 10.7% 8.1% 15.4% 12.1% 10.3% Put IV 25d 15.7% 12.1% 22.3% 17.6% 14.6% Bid-Ask Spread % 34.77 20.96 54.23 44.65 31.66 Gamma HHI 0.05 0.04 0.06 0.04 0.04 Net GEX -8.52B -23.61B 6.16B -18.45B -2.84B Net DEX 29.85B -95.47B 187.27B 82.69B -34.14B Net VEX -1.43B -2.02B -1.30B -1.34B -1.54B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.08 1.03 3.79 2.83 2.84 Total Volume 738,400.182 380,631 1,800,086 1,002,148 486,646 Total OI 8,755,960.227 6,420,855 10,988,305 8,735,091 8,693,220
Daily Data (22 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 2007-03-01 $1403.17 $1450.00 14.9% 4.3% 15.3% 0.0% 14.6% 5.5% -2.0% -18.45B 82.69B -1.34B 2.83 44.65 261,688 740,460 3,087,920 5,647,171 2007-03-02 $1383.84 $1450.00 17.6% 5.0% 15.7% 0.0% 14.5% 6.5% -2.1% -21.06B 145.89B -1.41B 2.65 47.89 215,704 571,869 3,118,289 5,692,605 2007-03-05 $1371.23 $1450.00 18.4% 5.3% 15.9% 0.0% 18.8% 6.9% -2.3% -23.61B 187.27B -1.36B 3.37 51.32 268,543 904,270 3,178,370 5,735,328 2007-03-06 $1394.11 $1450.00 14.2% 4.1% 17.3% 0.0% 12.3% 5.8% -0.6% -18.59B 104.18B -1.33B 1.68 54.23 353,528 593,975 3,270,551 5,714,768 2007-03-07 $1392.00 $1450.00 13.6% 3.9% 17.3% 0.0% 13.6% 5.3% -0.2% -17.94B 104.33B -1.30B 1.92 48.75 282,938 544,416 3,435,017 5,958,834 2007-03-08 $1401.89 $1400.00 13.5% 3.9% 17.5% 0.0% 13.2% 5.1% -1.1% -13.87B 58.57B -1.32B 1.13 47.73 305,413 345,327 3,525,503 6,094,379 2007-03-09 $1403.06 $1400.00 11.8% 3.8% 17.5% 0.0% 12.5% 4.7% -1.3% -14.88B 58.73B -1.33B 2.04 50.45 181,262 370,194 3,632,831 6,315,282 2007-03-12 $1405.95 $1400.00 11.9% 3.4% 17.4% 0.0% 12.8% 4.9% 0.5% -9.92B 38.91B -1.30B 1.20 29.04 330,600 398,341 3,722,189 6,374,696 2007-03-13 $1379.00 $1400.00 15.2% 4.3% 18.6% 0.0% 15.2% 5.9% -0.1% -23.07B 172.06B -1.36B 2.00 29.01 308,023 616,974 3,858,102 6,497,093 2007-03-14 $1389.13 $1400.00 12.9% 4.0% 18.5% 0.0% 16.9% 5.7% -0.2% -16.86B 123.63B -1.36B 3.57 31.62 394,147 1,405,939 3,927,435 6,620,706 2007-03-15 $1392.37 $1400.00 13.4% 3.8% 18.3% 0.0% 13.7% 5.6% -0.2% -11.26B 105.90B -1.40B 1.45 26.72 412,758 598,990 4,088,472 6,899,833 2007-03-16 $1386.99 $1400.00 14.3% 4.1% 18.3% 0.0% 16.4% 5.7% -0.5% -5.88B 36.24B -1.40B 2.21 24.90 148,991 329,894 2,355,817 4,065,038 2007-03-19 $1404.05 $1400.00 12.4% 3.6% 19.0% 0.0% 13.1% 5.2% 0.7% -3.78B -17.64B -2.02B 1.06 20.96 274,618 291,503 3,012,252 5,086,569 2007-03-20 $1411.95 $1400.00 11.2% 3.2% 19.1% 0.0% 13.5% 4.5% 1.1% -1.68B -26.28B -1.39B 1.96 22.95 182,648 358,291 2,582,482 4,367,887 2007-03-21 $1433.70 $1400.00 9.8% 2.8% 20.0% 0.0% 11.3% 4.0% 0.6% 3.87B -85.18B -1.37B 1.69 34.92 302,694 510,423 2,659,048 4,549,953 2007-03-22 $1434.54 $1400.00 10.5% 3.0% 20.0% 0.0% 11.9% 4.3% 0.4% 4.58B -87.28B -1.42B 1.45 24.67 342,261 496,369 2,785,960 4,789,273 2007-03-23 $1435.63 $1400.00 10.8% 3.1% 20.0% 0.0% 10.9% 4.0% 0.4% 6.16B -95.47B -1.45B 1.03 29.28 187,104 193,527 2,943,735 5,012,738 2007-03-26 $1434.44 $1400.00 10.8% 3.1% 20.0% 0.0% 12.0% 3.8% 0.6% 3.80B -84.56B -1.45B 1.64 27.44 147,898 242,348 2,973,070 5,137,166 2007-03-27 $1430.21 $1400.00 11.3% 3.2% 14.2% 0.0% 12.9% 4.1% 0.7% 1.95B -67.63B -1.50B 2.01 28.72 138,834 279,003 3,029,986 5,247,330 2007-03-28 $1419.25 $1400.00 12.6% 3.6% 14.3% 0.0% 15.1% 4.3% 0.4% -2.14B -29.10B -1.54B 3.79 28.69 101,162 383,575 3,047,932 5,346,642 2007-03-29 $1421.18 $1405.00 13.0% 3.7% 14.3% 0.0% 14.5% 4.6% -0.4% -1.99B -34.46B -1.52B 2.24 29.43 136,177 305,479 3,078,694 5,470,959 2007-03-30 $1420.86 $1405.00 11.8% 3.6% 13.2% 0.0% 14.0% 4.3% 0.4% -2.84B -34.14B -1.54B 2.84 31.66 126,681 359,965 3,113,282 5,579,938
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