SPX Options History — March 2009

In March 2009, SPX traded between $675.67 and $832.86. ATM implied volatility averaged 41.4%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.6% (HV 20d: 42.0%). Max pain ranged from $750.00 to $780.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.41.

Notable Days

2009-03-18: Highest Volume — 1,257,762 contracts
2009-03-09: Largest IV spike — 23.6% change
2009-03-09: Highest IV Rank — 57.2%
2009-03-02: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$758.05	$675.67	$832.86	$705.90	$797.87
Max Pain	$758.86	$750.00	$780.00	$780.00	$750.00
ATM IV	41.4%	35.6%	55.2%	48.2%	44.3%
Expected Move	11.5%	10.2%	13.8%	13.8%	11.0%
HV 20d	42.0%	33.4%	48.2%	35.2%	44.5%
HV 60d	37.3%	34.3%	40.4%	35.6%	39.7%
IV Rank	38.2%	30.3%	57.2%	47.5%	42.2%
IV Percentile	67.1%	54.4%	84.9%	79.4%	73.4%
Term Structure	-0.3%	-2.8%	1.5%	-2.4%	1.5%
VWIV	43.9%	37.2%	67.7%	52.8%	41.2%
Skew 25d	8.2%	5.7%	11.4%	11.4%	6.7%
Skew 10d	16.4%	12.5%	22.7%	22.7%	13.7%
Call IV 25d	36.6%	32.1%	42.4%	42.4%	35.9%
Put IV 25d	44.8%	39.1%	53.8%	53.8%	42.5%
Bid-Ask Spread %	28.76	11.65	34.29	18.44	11.65
Gamma HHI	0.06	0.04	0.09	0.08	0.05
Net GEX	-1.12B	-3.02B	458.5M	-2.86B	-181.9M
Net DEX	179.45B	36.15B	304.48B	285.24B	72.34B
Net VEX	-981.0M	-2.08B	-698.2M	-755.4M	-1.14B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.91	2.78	1.29	2.25
Total Volume	718,963	381,846	1,257,762	781,440	381,846
Total OI	12,533,349.818	9,151,594	15,522,113	12,190,638	9,672,683

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
2009-03-02	$705.90	$780.00	48.2%	13.8%	35.2%	47.5%	52.8%	11.4%	-2.4%	-2.86B	285.24B	-755.4M	1.29	18.44	341,436	440,004	5,171,541	7,019,097
2009-03-03	$690.01	$780.00	45.7%	13.1%	35.1%	44.1%	67.7%	11.1%	-1.0%	-3.02B	296.41B	-708.4M	1.62	28.17	278,966	451,190	5,284,634	7,170,674
2009-03-04	$709.32	$780.00	44.2%	12.7%	36.6%	42.1%	47.7%	10.3%	-2.8%	-2.88B	286.41B	-743.5M	1.84	32.18	285,139	525,914	5,388,193	7,269,430
2009-03-05	$688.57	$780.00	45.5%	13.0%	37.3%	43.9%	51.2%	11.0%	-1.9%	-3.02B	300.90B	-716.1M	1.19	26.47	397,356	471,936	5,523,317	7,480,181
2009-03-06	$688.44	$775.00	44.7%	12.8%	36.5%	42.7%	50.2%	9.7%	-1.4%	-2.88B	298.90B	-727.7M	1.02	29.30	397,399	404,020	5,692,941	7,549,501
2009-03-09	$675.67	$775.00	55.2%	13.4%	33.4%	57.2%	60.0%	9.7%	-2.3%	-2.73B	304.48B	-698.2M	1.17	31.54	253,004	296,101	5,887,230	7,646,584
2009-03-10	$715.65	$775.00	45.7%	11.6%	41.6%	44.1%	41.1%	7.3%	-0.7%	-2.10B	274.19B	-787.6M	1.02	26.60	396,224	402,358	5,995,340	7,750,522
2009-03-11	$720.90	$750.00	40.2%	11.4%	39.7%	36.5%	38.9%	7.6%	-0.7%	-1.99B	267.45B	-819.2M	1.07	33.23	286,269	305,403	6,099,576	7,846,383
2009-03-12	$752.08	$750.00	38.0%	10.9%	43.1%	33.6%	38.2%	7.0%	-0.4%	-1.15B	227.09B	-891.6M	1.00	33.46	382,395	382,623	6,200,901	7,895,048
2009-03-13	$758.01	$750.00	38.4%	11.0%	43.3%	34.0%	38.6%	7.2%	0.3%	-860.8M	214.86B	-931.2M	0.92	29.53	280,414	256,937	6,349,035	8,009,391
2009-03-16	$757.03	$750.00	39.4%	11.3%	42.9%	35.4%	40.3%	7.9%	-0.0%	-822.5M	216.87B	-914.6M	1.23	30.53	389,942	479,957	6,459,071	8,082,590
2009-03-17	$779.06	$750.00	36.1%	10.4%	41.9%	30.9%	37.7%	7.4%	0.1%	-291.9M	173.76B	-951.7M	0.95	31.25	422,989	403,670	6,544,959	8,192,713
2009-03-18	$795.18	$750.00	35.6%	10.2%	42.4%	30.3%	37.2%	7.6%	0.1%	297.5M	136.53B	-996.1M	0.94	32.43	648,655	609,107	6,711,750	8,296,295
2009-03-19	$784.27	$750.00	38.5%	11.0%	42.8%	34.2%	40.4%	8.4%	0.5%	72.7M	158.06B	-1.03B	1.28	31.28	419,563	536,028	6,931,408	8,590,705
2009-03-20	$766.88	$750.00	40.3%	11.5%	43.3%	36.7%	43.7%	9.6%	0.7%	-586.4M	102.13B	-1.02B	2.03	19.21	246,855	499,963	3,952,603	5,198,991
2009-03-23	$822.40	$750.00	37.6%	10.8%	48.2%	33.0%	39.4%	7.8%	0.3%	86.0M	43.11B	-2.08B	0.91	28.11	429,633	392,923	5,625,370	7,424,436
2009-03-24	$807.61	$750.00	38.1%	10.9%	47.8%	33.7%	39.6%	7.4%	0.7%	49.3M	60.98B	-1.11B	0.97	30.15	344,361	334,063	4,215,264	5,606,702
2009-03-25	$811.18	$750.00	37.6%	10.8%	47.6%	33.0%	39.6%	7.0%	0.2%	13.3M	57.09B	-1.13B	1.42	31.73	202,857	287,127	4,314,118	5,759,381
2009-03-26	$832.86	$750.00	35.7%	10.2%	47.9%	30.3%	38.5%	5.7%	0.7%	458.5M	36.15B	-1.15B	1.83	32.16	169,499	310,430	4,339,112	5,815,740
2009-03-27	$819.04	$750.00	36.8%	10.5%	47.4%	31.8%	39.0%	6.0%	1.5%	257.8M	49.09B	-1.16B	2.26	34.29	122,488	276,801	4,422,121	5,902,018
2009-03-30	$799.13	$750.00	44.9%	11.2%	45.6%	43.0%	42.8%	6.7%	1.2%	-481.1M	85.83B	-1.12B	2.78	31.06	177,952	495,389	4,448,080	5,998,067
2009-03-31	$797.87	$750.00	44.3%	11.0%	44.5%	42.2%	41.2%	6.7%	1.5%	-181.9M	72.34B	-1.14B	2.25	11.65	117,446	264,400	3,637,305	6,035,378