SPX Options History — March 2008

In March 2008, SPX traded between $1275.15 and $1350.14. ATM implied volatility averaged 25.2%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.5% (HV 20d: 23.7%). Max pain ranged from $1330.00 to $1375.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.97.

Notable Days

2008-03-19: Highest Volume — 1,148,389 contracts
2008-03-10: Largest IV spike — 28.8% change
2008-03-10: Highest IV Rank — 95.3%
2008-03-17: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1316.93	$1275.15	$1350.14	$1331.34	$1320.80
Max Pain	$1351.25	$1330.00	$1375.00	$1375.00	$1335.00
ATM IV	25.2%	22.5%	32.7%	24.8%	22.5%
Expected Move	7.2%	6.7%	8.5%	7.1%	6.9%
HV 20d	23.7%	14.7%	30.3%	17.6%	28.8%
HV 60d	21.8%	19.4%	23.8%	20.1%	23.7%
IV Rank	68.8%	59.0%	95.3%	67.1%	59.0%
IV Percentile	86.5%	68.7%	99.6%	89.7%	68.7%
Term Structure	0.2%	-1.2%	0.8%	0.0%	0.3%
VWIV	26.4%	23.0%	30.3%	27.7%	25.0%
Skew 25d	6.5%	5.3%	8.5%	5.7%	5.6%
Skew 10d	11.5%	9.2%	14.0%	10.0%	9.6%
Call IV 25d	21.9%	20.0%	25.5%	21.3%	21.0%
Put IV 25d	28.4%	25.6%	33.9%	27.0%	26.6%
Bid-Ask Spread %	36.59	28.22	44.15	42.62	35.24
Gamma HHI	0.06	0.05	0.11	0.06	0.06
Net GEX	-8.71B	-13.35B	-3.95B	-8.82B	-7.02B
Net DEX	252.59B	84.87B	417.71B	256.64B	148.87B
Net VEX	-1.96B	-2.05B	-1.80B	-1.95B	-1.98B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.97	1.24	2.74	2.60	2.14
Total Volume	666,730.3	356,987	1,148,389	551,408	356,987
Total OI	11,307,583.5	8,453,960	13,975,208	11,122,296	9,588,796

Daily Data (20 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
2008-03-03	$1331.34	$1375.00	24.8%	7.1%	17.6%	67.1%	27.7%	5.7%	0.0%	-8.82B	256.64B	-1.95B	2.60	42.62	153,293	398,115	4,218,466	6,903,830
2008-03-04	$1326.68	$1375.00	23.9%	6.9%	17.2%	64.2%	26.7%	5.8%	0.2%	-9.31B	271.46B	-1.94B	1.92	41.23	226,292	434,736	4,259,352	7,017,786
2008-03-05	$1334.64	$1375.00	23.5%	6.7%	14.7%	62.8%	23.0%	5.4%	-0.1%	-8.87B	251.73B	-1.97B	1.58	44.15	192,276	303,218	4,355,636	7,173,029
2008-03-06	$1304.34	$1375.00	26.3%	7.5%	16.5%	72.4%	28.5%	6.1%	-0.3%	-10.38B	318.54B	-1.92B	1.80	36.27	241,495	435,639	4,422,840	7,234,392
2008-03-07	$1292.47	$1375.00	25.4%	7.3%	16.6%	69.4%	23.6%	5.6%	0.7%	-11.72B	363.39B	-1.86B	1.50	41.06	301,394	452,873	4,542,193	7,373,186
2008-03-10	$1275.15	$1375.00	32.7%	7.9%	17.1%	95.3%	27.9%	5.3%	0.4%	-12.62B	401.75B	-1.80B	2.36	42.81	214,815	507,103	4,662,449	7,501,083
2008-03-11	$1322.62	$1350.00	25.5%	7.0%	21.8%	69.6%	25.7%	6.7%	-0.0%	-9.72B	284.36B	-1.97B	2.04	30.15	279,316	570,996	4,733,777	7,649,761
2008-03-12	$1308.77	$1350.00	23.2%	7.3%	21.8%	61.6%	26.4%	6.9%	-0.2%	-10.57B	325.85B	-1.96B	2.08	28.22	227,193	471,858	4,856,385	7,771,713
2008-03-13	$1315.48	$1350.00	25.4%	7.3%	21.5%	69.5%	26.1%	6.9%	0.1%	-10.22B	314.44B	-1.99B	2.12	29.13	238,356	505,549	4,975,323	7,997,625
2008-03-14	$1290.63	$1350.00	29.3%	8.4%	22.2%	83.1%	29.6%	7.7%	-1.2%	-11.32B	371.94B	-2.00B	2.04	40.85	297,726	606,705	5,097,873	8,138,889
2008-03-17	$1278.36	$1350.00	29.6%	8.5%	22.3%	84.3%	30.3%	8.5%	-0.7%	-13.35B	417.71B	-1.90B	1.89	37.48	290,105	547,159	5,276,337	8,402,705
2008-03-18	$1332.61	$1350.00	23.7%	6.8%	27.3%	63.5%	25.6%	6.9%	0.6%	-7.09B	252.66B	-2.00B	1.24	42.62	367,832	457,624	5,365,965	8,441,190
2008-03-19	$1297.82	$1330.00	27.2%	7.8%	28.7%	75.6%	28.4%	8.0%	0.2%	-10.52B	371.69B	-1.94B	1.96	37.17	387,560	760,829	5,460,935	8,514,273
2008-03-20	$1330.29	$1335.00	24.1%	6.9%	30.0%	64.7%	25.9%	7.0%	0.7%	-5.19B	123.37B	-1.99B	1.62	39.94	215,002	347,924	3,088,021	5,365,939
2008-03-24	$1349.88	$1330.00	23.3%	6.7%	30.3%	61.9%	25.3%	7.0%	0.7%	-3.95B	84.87B	-2.01B	1.50	29.91	258,357	387,856	3,190,085	5,531,214
2008-03-25	$1350.14	$1330.00	23.3%	6.7%	30.0%	62.0%	26.2%	6.9%	0.6%	-4.27B	85.66B	-2.05B	2.04	33.62	187,755	383,066	3,294,468	5,668,585
2008-03-26	$1332.65	$1335.00	24.1%	6.9%	30.1%	64.8%	25.2%	6.3%	0.6%	-5.80B	121.50B	-2.04B	1.75	33.32	193,273	337,606	3,351,361	5,807,418
2008-03-27	$1325.76	$1340.00	24.3%	7.0%	30.1%	65.3%	26.0%	6.2%	0.4%	-6.17B	130.05B	-2.04B	2.74	35.59	112,455	307,636	3,442,085	5,952,670
2008-03-28	$1318.26	$1340.00	22.8%	6.9%	30.1%	60.2%	25.7%	5.9%	0.8%	-7.24B	155.39B	-2.01B	2.47	30.38	108,459	268,173	3,458,893	6,065,142
2008-03-31	$1320.80	$1335.00	22.5%	6.9%	28.8%	59.0%	25.0%	5.6%	0.3%	-7.02B	148.87B	-1.98B	2.14	35.24	113,566	243,421	3,471,374	6,117,422