SPX Options History — March 2011

In March 2011, SPX traded between $1259.89 and $1330.97. ATM implied volatility averaged 17.6%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.7% (HV 20d: 15.9%). Max pain ranged from $1300.00 to $1325.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.93.

Notable Days

2011-03-16: Highest Volume — 1,644,960 contracts
2011-03-28: Largest IV spike — 27.2% change
2011-03-16: Highest IV Rank — 44.8%
2011-03-16: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1303.73	$1259.89	$1330.97	$1302.03	$1325.29
Max Pain	$1309.13	$1300.00	$1325.00	$1320.00	$1300.00
ATM IV	17.6%	13.7%	24.4%	18.1%	14.2%
Expected Move	5.0%	3.9%	7.0%	5.2%	3.9%
HV 20d	15.9%	12.5%	18.5%	13.6%	14.6%
HV 60d	12.1%	10.1%	13.4%	10.1%	13.4%
IV Rank	24.2%	12.4%	44.8%	25.9%	13.9%
IV Percentile	50.3%	17.9%	87.7%	57.5%	22.2%
Term Structure	0.4%	-1.6%	1.8%	-0.2%	1.8%
VWIV	19.5%	14.7%	27.9%	21.6%	14.7%
Skew 25d	6.3%	4.1%	9.8%	6.5%	4.3%
Skew 10d	12.4%	8.6%	19.3%	13.2%	9.6%
Call IV 25d	14.8%	11.7%	20.4%	15.5%	11.7%
Put IV 25d	21.1%	16.0%	30.1%	21.9%	16.0%
Bid-Ask Spread %	26.23	11.42	47.76	28.34	11.42
Gamma HHI	0.04	0.03	0.04	0.03	0.04
Net GEX	-2.62B	-10.81B	4.03B	-3.15B	3.22B
Net DEX	-84.86B	-196.79B	80.98B	-98.94B	-128.02B
Net VEX	-2.08B	-2.14B	-2.04B	-2.08B	-2.05B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	1.35	2.52	2.31	2.10
Total Volume	709,371.435	374,340	1,644,960	684,617	479,055
Total OI	13,014,388.87	10,781,972	15,467,423	12,916,256	12,341,320

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
2011-03-01	$1302.03	$1320.00	18.1%	5.2%	13.6%	25.9%	21.6%	6.5%	-0.2%	-3.15B	-98.94B	-2.08B	2.31	28.34	206,728	477,889	4,708,537	8,207,719
2011-03-02	$1306.69	$1325.00	18.0%	5.2%	12.5%	25.5%	18.4%	6.5%	-0.3%	-2.79B	-109.06B	-2.08B	2.02	26.40	184,930	373,138	4,766,854	8,371,737
2011-03-03	$1330.97	$1325.00	15.6%	4.5%	14.1%	18.2%	19.3%	5.8%	0.3%	2.46B	-196.79B	-2.05B	1.60	26.44	268,605	429,791	4,830,559	8,500,420
2011-03-04	$1321.15	$1325.00	16.3%	4.7%	14.4%	20.2%	22.4%	5.7%	-0.1%	-1.27B	-165.18B	-2.08B	1.97	25.69	222,934	438,699	4,948,093	8,677,235
2011-03-07	$1309.21	$1325.00	17.7%	5.1%	14.7%	24.7%	20.1%	6.3%	-0.2%	-2.73B	-126.42B	-2.09B	2.28	23.26	142,290	324,997	4,961,948	8,677,928
2011-03-08	$1320.14	$1325.00	17.0%	4.9%	14.9%	22.4%	19.1%	5.8%	-0.1%	-182.2M	-166.32B	-2.07B	1.55	21.44	310,536	482,043	4,981,564	8,760,271
2011-03-09	$1315.28	$1325.00	16.7%	5.0%	14.9%	21.5%	16.5%	6.0%	-0.1%	-1.49B	-150.39B	-2.10B	2.24	13.12	163,082	364,563	5,116,111	8,956,340
2011-03-10	$1295.11	$1320.00	19.0%	5.5%	15.8%	28.5%	20.4%	6.3%	0.0%	-6.72B	-64.96B	-2.12B	1.35	32.55	319,407	431,705	5,154,774	9,055,377
2011-03-11	$1304.28	$1310.00	17.3%	5.0%	16.1%	23.4%	18.9%	6.3%	1.1%	-4.60B	-118.66B	-2.09B	2.06	47.76	216,918	447,359	5,227,251	9,155,580
2011-03-14	$1295.40	$1310.00	18.6%	5.3%	16.0%	27.1%	19.9%	6.8%	0.2%	-6.48B	-79.03B	-2.06B	1.80	43.89	335,806	605,342	5,196,001	9,133,413
2011-03-15	$1280.26	$1300.00	20.6%	5.9%	16.4%	33.4%	22.2%	7.9%	-0.4%	-9.18B	-6.25B	-2.10B	1.69	33.25	422,602	714,923	5,310,471	9,281,548
2011-03-16	$1259.89	$1300.00	24.4%	7.0%	17.2%	44.8%	27.9%	9.7%	-1.6%	-10.81B	80.98B	-2.14B	2.52	24.74	467,780	1,177,180	5,432,198	9,393,266
2011-03-17	$1273.53	$1300.00	22.0%	6.3%	17.6%	37.4%	25.4%	9.8%	-0.8%	-9.33B	26.83B	-2.12B	2.17	24.34	388,710	842,651	5,601,544	9,865,879
2011-03-18	$1279.23	$1300.00	20.1%	5.8%	17.6%	31.8%	23.0%	8.7%	-0.1%	-4.42B	-4.09B	-2.11B	2.03	19.20	231,954	470,854	3,867,104	6,914,868
2011-03-21	$1297.79	$1300.00	16.9%	4.8%	18.5%	22.2%	19.0%	6.9%	1.0%	-2.36B	-49.10B	-2.06B	2.00	24.78	234,723	470,553	3,959,402	7,115,704
2011-03-22	$1292.54	$1300.00	17.1%	4.9%	17.1%	22.6%	19.0%	6.0%	0.9%	-3.26B	-38.76B	-2.08B	1.98	29.86	178,166	352,812	4,035,356	7,324,238
2011-03-23	$1296.69	$1300.00	16.4%	4.7%	17.0%	20.6%	18.0%	5.5%	0.9%	-2.95B	-49.36B	-2.06B	1.40	26.67	215,825	301,774	4,101,481	7,432,632
2011-03-24	$1309.78	$1300.00	15.0%	4.3%	17.4%	16.3%	17.2%	5.1%	1.2%	293.1M	-84.84B	-2.05B	2.23	27.29	175,675	391,567	4,188,767	7,536,392
2011-03-25	$1314.55	$1300.00	15.7%	4.2%	17.0%	18.5%	15.9%	4.7%	1.4%	1.74B	-98.43B	-2.06B	2.00	25.44	216,027	431,377	4,269,085	7,659,837
2011-03-28	$1306.91	$1300.00	20.0%	4.7%	17.0%	31.4%	18.0%	5.3%	0.8%	-1.70B	-75.83B	-2.07B	1.82	26.55	169,947	308,669	4,268,773	7,683,077
2011-03-29	$1320.85	$1300.00	14.5%	4.2%	16.0%	15.0%	16.8%	5.6%	1.2%	1.40B	-113.23B	-2.06B	1.73	21.04	137,199	237,141	4,333,595	7,802,750
2011-03-30	$1328.25	$1300.00	13.7%	3.9%	16.0%	12.4%	15.5%	4.1%	1.7%	4.03B	-135.90B	-2.04B	1.49	19.91	221,347	330,270	4,364,031	7,859,914
2011-03-31	$1325.29	$1300.00	14.2%	3.9%	14.6%	13.9%	14.7%	4.3%	1.8%	3.22B	-128.02B	-2.05B	2.10	11.42	154,341	324,714	4,409,922	7,931,398