SPX Options History — March 2010

In March 2010, SPX traded between $1115.71 and $1173.98. ATM implied volatility averaged 14.6%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.6% (HV 20d: 9.1%). Max pain ranged from $1100.00 to $1145.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.83.

Notable Days

2010-03-17: Highest Volume — 1,827,067 contracts
2010-03-29: Largest IV spike — 19.0% change
2010-03-11: Highest IV Rank — 10.2%
2010-03-10: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1152.28	$1115.71	$1173.98	$1115.71	$1169.62
Max Pain	$1119.57	$1100.00	$1145.00	$1100.00	$1145.00
ATM IV	14.6%	12.3%	16.0%	15.9%	12.6%
Expected Move	4.2%	3.7%	4.6%	4.6%	3.8%
HV 20d	9.1%	6.4%	16.5%	16.5%	6.7%
HV 60d	14.0%	13.4%	14.4%	14.4%	13.4%
IV Rank	6.1%	0.0%	10.2%	7.9%	1.1%
IV Percentile	5.3%	0.0%	12.7%	7.1%	1.2%
Term Structure	1.5%	0.1%	2.6%	0.9%	2.1%
VWIV	17.4%	14.2%	23.6%	16.3%	15.1%
Skew 25d	3.4%	2.0%	4.9%	4.9%	3.2%
Skew 10d	7.3%	6.1%	10.3%	10.3%	6.3%
Call IV 25d	13.6%	12.1%	14.7%	14.6%	12.3%
Put IV 25d	17.0%	14.4%	19.5%	19.5%	15.5%
Bid-Ask Spread %	28.12	11.89	45.96	44.49	11.89
Gamma HHI	0.06	0.05	0.12	0.05	0.06
Net GEX	7.65B	849.0M	19.61B	849.0M	4.82B
Net DEX	-154.25B	-275.70B	-65.14B	-65.14B	-121.21B
Net VEX	-1.70B	-1.83B	-1.60B	-1.64B	-1.80B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.95	3.35	1.49	3.03
Total Volume	755,884.304	399,242	1,827,067	659,100	577,287
Total OI	13,500,145.174	11,044,411	16,520,258	12,855,948	12,855,290

Daily Data (23 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
2010-03-01	$1115.71	$1100.00	15.9%	4.6%	16.5%	7.9%	16.3%	4.9%	0.9%	849.0M	-65.14B	-1.64B	1.49	44.49	264,603	394,497	4,916,704	7,939,244
2010-03-02	$1118.56	$1100.00	16.0%	4.6%	15.8%	8.2%	20.0%	4.3%	0.8%	1.62B	-78.37B	-1.63B	1.18	42.59	290,971	342,418	5,016,237	8,044,597
2010-03-03	$1120.25	$1100.00	15.8%	4.5%	15.5%	7.7%	23.5%	4.4%	0.5%	2.65B	-85.41B	-1.61B	1.68	45.96	251,496	422,997	5,128,975	8,114,122
2010-03-04	$1123.13	$1100.00	15.7%	4.5%	15.4%	7.5%	22.9%	3.9%	0.7%	2.69B	-96.43B	-1.64B	1.88	39.37	351,779	662,134	5,229,930	8,252,655
2010-03-05	$1136.92	$1100.00	14.9%	4.3%	9.6%	5.7%	23.6%	3.4%	0.5%	7.43B	-153.75B	-1.64B	1.43	42.38	430,664	614,397	5,418,045	8,500,847
2010-03-08	$1137.53	$1100.00	15.2%	4.4%	9.5%	6.3%	20.8%	2.9%	0.1%	8.10B	-161.02B	-1.60B	2.05	36.51	200,555	411,499	5,515,267	8,549,042
2010-03-09	$1140.59	$1100.00	13.7%	4.5%	9.1%	2.9%	15.9%	2.6%	0.2%	8.20B	-168.81B	-1.63B	0.95	39.60	394,140	373,923	5,573,205	8,703,547
2010-03-10	$1145.42	$1110.00	13.8%	4.6%	8.8%	4.0%	16.9%	3.9%	1.0%	10.35B	-195.70B	-1.62B	1.08	35.02	329,427	356,701	5,666,478	8,759,824
2010-03-11	$1151.05	$1115.00	15.8%	4.5%	8.4%	10.2%	16.1%	3.8%	1.6%	11.64B	-213.12B	-1.68B	1.33	28.84	312,793	414,689	5,791,381	8,912,926
2010-03-12	$1151.30	$1120.00	15.7%	4.5%	8.0%	9.7%	17.6%	3.6%	1.1%	11.80B	-218.57B	-1.69B	2.00	27.47	280,810	562,340	5,888,310	9,068,722
2010-03-15	$1150.50	$1120.00	15.8%	4.5%	8.1%	10.0%	18.4%	3.7%	1.6%	11.07B	-208.72B	-1.68B	1.49	23.77	236,419	353,183	5,967,652	9,254,082
2010-03-16	$1159.54	$1120.00	14.9%	4.3%	7.4%	7.3%	15.7%	3.6%	1.7%	15.93B	-253.09B	-1.66B	1.07	32.32	452,099	481,766	6,029,312	9,359,805
2010-03-17	$1165.60	$1125.00	14.5%	4.2%	7.4%	6.1%	16.2%	3.3%	1.5%	19.61B	-274.64B	-1.68B	1.56	25.85	713,722	1,113,345	6,059,548	9,472,340
2010-03-18	$1166.37	$1125.00	14.1%	4.1%	7.3%	5.0%	15.3%	3.1%	1.8%	19.30B	-275.70B	-1.71B	1.30	18.79	478,812	621,830	6,316,618	10,203,640
2010-03-19	$1160.96	$1125.00	14.2%	4.1%	7.7%	5.2%	18.3%	3.6%	2.0%	3.53B	-102.51B	-1.74B	3.35	20.80	209,136	700,440	4,163,983	6,880,428
2010-03-22	$1166.73	$1130.00	13.5%	3.9%	7.8%	3.1%	15.6%	3.1%	2.6%	4.18B	-116.72B	-1.74B	2.64	24.54	170,895	451,230	4,265,976	7,143,161
2010-03-23	$1173.98	$1130.00	13.0%	3.7%	6.4%	1.5%	14.2%	2.0%	2.3%	5.75B	-135.71B	-1.74B	1.18	19.54	267,925	315,046	4,333,551	7,330,155
2010-03-24	$1169.33	$1130.00	14.2%	4.1%	6.8%	5.1%	16.1%	3.0%	2.0%	4.89B	-122.52B	-1.78B	2.19	17.91	179,833	392,941	4,443,004	7,532,214
2010-03-25	$1165.73	$1135.00	15.0%	4.3%	7.1%	7.7%	16.3%	3.4%	1.7%	4.70B	-117.10B	-1.82B	2.02	19.30	223,195	451,121	4,529,818	7,701,294
2010-03-26	$1167.67	$1140.00	12.3%	3.9%	7.0%	0.0%	15.4%	3.3%	2.5%	4.81B	-116.27B	-1.83B	2.37	14.79	141,576	335,839	4,582,036	7,815,735
2010-03-29	$1172.79	$1140.00	14.6%	3.9%	6.4%	7.1%	16.1%	3.1%	2.3%	5.84B	-132.48B	-1.79B	2.78	17.20	105,692	293,550	4,632,330	7,951,560
2010-03-30	$1173.27	$1140.00	15.4%	3.8%	6.5%	9.8%	14.5%	2.9%	1.9%	6.15B	-134.75B	-1.78B	2.04	17.84	149,677	305,947	4,657,552	8,032,197
2010-03-31	$1169.62	$1145.00	12.6%	3.8%	6.7%	1.1%	15.1%	3.2%	2.1%	4.82B	-121.21B	-1.80B	3.03	11.89	143,407	433,880	4,724,674	8,130,616