SPX Options History — March 2013

In March 2013, SPX traded between $1519.20 and $1569.31. ATM implied volatility averaged 11.0%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.0% (HV 20d: 11.0%). Max pain ranged from $1500.00 to $1540.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2013-03-05: Highest Volume — 1,394,228 contracts
  • 2013-03-18: Largest IV spike — 17.6% change
  • 2013-03-21: Highest IV Rank — 18.4%
  • 2013-03-01: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1550.92$1519.20$1569.31$1519.20$1569.31
Max Pain$1519.75$1500.00$1540.00$1500.00$1540.00
ATM IV11.0%9.5%12.4%12.4%10.6%
Expected Move3.2%2.7%3.5%3.5%3.0%
HV 20d11.0%6.7%12.6%12.6%6.7%
HV 60d12.2%10.1%12.6%12.5%10.1%
IV Rank8.7%0.0%18.4%17.0%7.3%
IV Percentile8.8%0.0%22.6%20.6%6.0%
Term Structure0.4%-0.1%0.9%0.1%0.3%
VWIV12.4%9.2%14.8%13.3%11.9%
Skew 25d3.8%2.9%4.9%4.9%3.8%
Skew 10d7.8%5.5%10.5%10.5%7.9%
Call IV 25d9.5%8.5%10.5%10.5%9.1%
Put IV 25d13.3%11.4%15.4%15.4%12.9%
Bid-Ask Spread %22.0614.8032.3529.7830.06
Gamma HHI0.060.030.110.050.11
Net GEX13.44B1.38B24.86B6.06B20.92B
Net DEX-232.20B-399.87B-110.10B-167.99B-199.14B
Net VEX-1.68B-1.80B-1.55B-1.73B-1.76B
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.601.082.302.001.49
Total Volume828,926.15547,0391,394,228838,961801,361
Total OI11,361,729.18,894,66013,678,20512,329,45510,756,599

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$1519.20$1500.0012.4%3.5%12.6%17.0%13.3%4.9%0.1%6.06B-167.99B-1.73B2.0029.78280,075558,8864,458,7247,870,731
2013-03-04$1526.27$1520.0011.5%3.3%12.3%10.8%13.6%4.3%0.4%9.86B-218.07B-1.63B2.1423.50232,893498,8904,325,3767,517,321
2013-03-05$1537.33$1520.0011.0%3.1%12.1%7.0%14.8%3.9%0.6%17.65B-283.25B-1.56B1.3021.32606,254787,9744,391,4887,692,778
2013-03-06$1540.25$1520.0011.2%3.2%11.8%8.8%11.9%3.6%0.4%17.90B-292.78B-1.59B1.2318.00368,790452,3834,537,2587,879,274
2013-03-07$1543.73$1520.0010.8%3.1%11.8%6.0%13.4%3.2%0.5%20.94B-317.80B-1.58B1.4220.49300,136425,3624,644,3458,064,056
2013-03-08$1552.71$1520.0010.2%2.9%11.9%1.5%10.3%3.1%0.6%24.86B-354.26B-1.59B1.3222.19421,366558,0034,754,1588,287,244
2013-03-11$1555.73$1520.0010.0%2.9%11.9%0.5%11.1%3.2%0.4%21.19B-364.47B-1.55B1.3822.65356,231490,2684,704,8168,009,894
2013-03-12$1552.51$1525.0010.7%3.1%11.9%5.1%12.7%3.1%-0.1%19.00B-355.70B-1.59B1.3920.83473,615658,6074,781,7358,221,128
2013-03-13$1555.78$1530.0010.0%2.9%11.9%0.2%9.9%3.3%0.5%18.98B-365.01B-1.62B1.1518.12345,220395,4794,898,7148,451,578
2013-03-14$1563.84$1530.009.5%2.7%12.0%0.0%9.2%3.3%0.2%23.32B-399.87B-1.63B1.0819.91498,072540,3785,036,4538,641,752
2013-03-15$1559.80$1530.009.6%2.7%12.1%0.1%9.7%2.9%0.3%10.60B-163.06B-1.64B1.9322.92294,667568,4673,300,8025,593,858
2013-03-18$1553.96$1500.0011.2%3.2%12.2%11.4%12.8%3.9%0.8%7.04B-139.34B-1.73B1.6324.96241,091393,1843,447,9405,855,572
2013-03-19$1548.51$1500.0012.0%3.4%12.0%16.7%14.0%4.5%0.6%5.40B-124.26B-1.75B1.9916.62276,896551,1053,534,7326,017,222
2013-03-20$1555.35$1500.0011.0%3.2%10.8%9.9%13.1%3.8%0.9%7.31B-149.07B-1.74B1.8514.80325,512600,7013,622,7016,209,905
2013-03-21$1546.33$1500.0012.3%3.5%11.0%18.4%13.0%4.4%-0.1%1.38B-110.10B-1.80B1.6315.29320,570523,0913,729,9096,489,486
2013-03-22$1559.22$1500.0011.6%3.3%10.9%13.8%13.1%4.5%0.2%8.70B-156.87B-1.80B1.9615.97224,346439,3153,811,0936,670,907
2013-03-25$1552.83$1540.0012.0%3.5%8.2%16.5%13.4%4.3%0.2%4.98B-134.12B-1.77B2.3032.35196,151450,4153,723,2106,410,681
2013-03-26$1563.16$1540.0011.1%3.2%8.4%10.5%14.5%3.9%0.4%11.72B-176.38B-1.74B1.5626.85224,994350,7363,779,8836,580,396
2013-03-27$1562.54$1540.0011.5%3.3%6.8%13.1%13.1%4.1%0.3%11.03B-172.41B-1.75B1.2424.59244,022303,0173,846,0146,684,849
2013-03-28$1569.31$1540.0010.6%3.0%6.7%7.3%11.9%3.8%0.3%20.92B-199.14B-1.76B1.4930.06321,755479,6063,944,1136,812,486