SPX Options History — March 2012

In March 2012, SPX traded between $1341.99 and $1420.33. ATM implied volatility averaged 12.8%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.3% (HV 20d: 10.5%). Max pain ranged from $1325.00 to $1360.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.90.

Notable Days

2012-03-13: Highest Volume — 995,671 contracts
2012-03-15: Largest IV spike — 25.0% change
2012-03-06: Highest IV Rank — 9.5%
2012-03-06: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1389.66	$1341.99	$1420.33	$1375.50	$1407.79
Max Pain	$1345.23	$1325.00	$1360.00	$1325.00	$1360.00
ATM IV	12.8%	10.8%	17.0%	13.8%	11.5%
Expected Move	3.8%	3.3%	4.9%	4.0%	3.5%
HV 20d	10.5%	6.7%	12.5%	7.3%	12.3%
HV 60d	10.9%	9.1%	13.5%	13.0%	9.1%
IV Rank	3.2%	0.0%	9.5%	4.6%	1.2%
IV Percentile	10.3%	0.0%	44.4%	13.5%	2.0%
Term Structure	1.2%	0.4%	2.2%	0.6%	1.7%
VWIV	15.1%	13.3%	20.1%	15.8%	13.6%
Skew 25d	4.2%	3.6%	5.6%	4.2%	3.6%
Skew 10d	8.7%	6.8%	12.3%	9.7%	7.8%
Call IV 25d	11.7%	10.3%	14.5%	12.2%	10.8%
Put IV 25d	15.9%	13.8%	20.2%	16.4%	14.3%
Bid-Ask Spread %	33.21	4.36	48.87	40.64	4.36
Gamma HHI	0.04	0.03	0.09	0.05	0.04
Net GEX	4.20B	-4.51B	14.14B	4.75B	3.64B
Net DEX	-167.39B	-323.89B	-80.51B	-199.89B	-129.88B
Net VEX	-1.93B	-1.99B	-1.80B	-1.92B	-1.99B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	1.00	2.76	2.34	2.44
Total Volume	666,987.045	481,954	995,671	600,543	581,530
Total OI	12,524,400.591	9,942,949	14,962,573	13,089,390	12,195,190

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
2012-03-01	$1375.50	$1325.00	13.8%	4.0%	7.3%	4.6%	15.8%	4.2%	0.6%	4.75B	-199.89B	-1.92B	2.34	40.64	179,570	420,973	4,644,394	8,444,996
2012-03-02	$1369.73	$1325.00	13.8%	3.9%	7.6%	4.5%	15.5%	4.3%	1.0%	4.01B	-184.45B	-1.94B	2.06	44.88	164,664	339,927	4,703,040	8,639,004
2012-03-05	$1364.61	$1335.00	14.2%	4.1%	6.7%	5.3%	17.5%	4.6%	0.8%	2.28B	-172.88B	-1.90B	2.13	46.65	154,111	327,843	4,656,827	8,595,942
2012-03-06	$1341.99	$1335.00	17.0%	4.9%	9.2%	9.5%	20.1%	5.6%	0.4%	-4.51B	-80.51B	-1.99B	1.53	39.94	316,467	485,215	4,710,708	8,736,144
2012-03-07	$1353.50	$1335.00	15.2%	4.3%	9.6%	6.7%	17.8%	5.0%	0.5%	-1.43B	-126.51B	-1.95B	1.80	43.61	195,076	351,046	4,787,095	8,912,243
2012-03-08	$1366.16	$1335.00	13.4%	4.1%	10.1%	3.9%	14.5%	4.6%	0.4%	3.09B	-178.25B	-1.93B	1.00	48.87	365,152	366,194	4,830,458	9,006,968
2012-03-09	$1372.34	$1335.00	11.5%	3.9%	10.2%	1.0%	14.3%	3.8%	0.8%	6.31B	-215.79B	-1.91B	1.46	48.37	259,019	378,293	4,994,041	9,140,264
2012-03-12	$1372.23	$1350.00	11.6%	3.9%	9.8%	1.1%	15.1%	4.7%	1.6%	4.78B	-216.96B	-1.86B	1.43	37.94	226,635	322,989	5,014,951	9,134,038
2012-03-13	$1396.24	$1350.00	12.0%	3.8%	11.3%	1.7%	15.2%	4.4%	1.3%	12.81B	-305.74B	-1.80B	1.37	39.39	419,827	575,844	5,098,955	9,250,313
2012-03-14	$1394.16	$1350.00	10.8%	4.0%	11.3%	0.0%	15.8%	4.2%	1.6%	11.25B	-298.70B	-1.89B	1.03	44.61	414,893	426,689	5,219,106	9,477,780
2012-03-15	$1401.68	$1350.00	13.5%	3.9%	11.1%	4.2%	14.7%	3.9%	1.7%	14.14B	-323.89B	-1.87B	1.22	43.58	429,411	523,453	5,334,757	9,627,816
2012-03-16	$1403.75	$1350.00	12.3%	3.5%	10.8%	2.3%	13.5%	4.1%	2.2%	3.77B	-124.78B	-1.91B	2.09	39.95	211,423	442,447	3,430,500	6,512,449
2012-03-19	$1409.39	$1350.00	12.5%	3.6%	10.8%	2.8%	13.8%	3.9%	1.8%	4.55B	-135.38B	-1.90B	1.36	27.99	297,269	403,339	3,511,316	6,660,715
2012-03-20	$1405.34	$1350.00	12.7%	3.7%	10.9%	3.1%	14.6%	4.1%	1.6%	3.52B	-125.23B	-1.94B	2.21	23.58	188,506	417,047	3,628,855	6,850,619
2012-03-21	$1403.46	$1350.00	12.4%	3.6%	10.8%	2.6%	15.1%	3.8%	1.4%	2.73B	-120.14B	-1.94B	2.76	16.05	204,981	566,615	3,714,515	7,009,882
2012-03-22	$1394.78	$1350.00	13.0%	3.7%	11.0%	3.4%	15.3%	4.1%	1.5%	-374.5M	-94.70B	-1.98B	2.43	19.25	184,970	449,491	3,808,160	7,268,683
2012-03-23	$1398.97	$1350.00	12.2%	3.5%	11.0%	2.3%	13.8%	3.9%	1.4%	2.39B	-108.64B	-1.96B	2.47	19.54	157,765	389,205	3,866,187	7,460,704
2012-03-26	$1420.33	$1350.00	11.5%	3.3%	12.1%	1.2%	13.3%	3.6%	0.9%	6.38B	-164.00B	-1.89B	1.74	28.99	216,915	376,560	3,833,880	7,559,934
2012-03-27	$1411.74	$1350.00	13.0%	3.7%	12.4%	3.5%	13.7%	3.6%	0.9%	4.46B	-140.50B	-1.97B	2.52	22.20	179,590	452,802	3,902,506	7,675,272
2012-03-28	$1405.06	$1350.00	12.4%	3.6%	12.5%	2.6%	14.9%	3.9%	1.5%	2.54B	-121.97B	-1.95B	2.59	25.46	187,067	483,752	3,957,672	7,795,073
2012-03-29	$1403.82	$1360.00	12.3%	3.5%	12.4%	2.4%	13.6%	3.7%	1.5%	1.39B	-113.87B	-1.99B	1.76	24.72	231,454	407,696	4,020,670	7,914,191
2012-03-30	$1407.79	$1360.00	11.5%	3.5%	12.3%	1.2%	13.6%	3.6%	1.7%	3.64B	-129.88B	-1.99B	2.44	4.36	169,010	412,520	4,120,046	8,075,144