SPX Options History — March 2014

In March 2014, SPX traded between $1841.45 and $1880.20. ATM implied volatility averaged 12.3%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.2% (HV 20d: 10.1%). Max pain ranged from $1750.00 to $1850.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.80.

Notable Days

2014-03-14: Highest Volume — 1,061,194 contracts
2014-03-17: Largest IV drop — 15.2% change
2014-03-14: Highest IV Rank — 61.5%
2014-03-14: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1863.16	$1841.45	$1880.20	$1844.42	$1871.67
Max Pain	$1822.50	$1750.00	$1850.00	$1800.00	$1850.00
ATM IV	12.3%	11.3%	15.2%	13.2%	11.8%
Expected Move	4.5%	4.2%	4.7%	4.5%	4.2%
HV 20d	10.1%	8.4%	13.5%	13.5%	10.6%
HV 60d	12.2%	11.9%	12.5%	12.2%	12.1%
IV Rank	29.4%	17.7%	61.5%	39.6%	23.6%
IV Percentile	57.3%	32.9%	92.1%	73.4%	48.4%
Term Structure	0.2%	-0.5%	0.5%	0.4%	-0.1%
VWIV	17.4%	14.4%	19.8%	17.0%	16.6%
Skew 25d	4.4%	3.7%	6.0%	4.8%	4.3%
Skew 10d	8.9%	7.2%	13.0%	10.0%	8.6%
Call IV 25d	10.6%	9.8%	12.8%	11.1%	10.3%
Put IV 25d	15.0%	13.8%	18.8%	15.9%	14.6%
Bid-Ask Spread %	21.55	7.06	44.82	34.20	7.06
Gamma HHI	0.04	0.03	0.05	0.03	0.04
Net GEX	7.86B	-7.92B	20.53B	6.13B	8.83B
Net DEX	-190.20B	-318.44B	-25.35B	-162.27B	-108.70B
Net VEX	-1.88B	-2.00B	-1.79B	-1.99B	-1.85B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	1.39	2.55	2.28	1.39
Total Volume	812,501.524	512,576	1,061,194	775,077	644,787
Total OI	11,841,871.143	9,161,858	13,930,779	11,605,464	10,172,127

Daily Data (21 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
2014-03-03	$1844.42	$1800.00	13.2%	4.5%	13.5%	39.6%	17.0%	4.8%	0.4%	6.13B	-162.27B	-1.99B	2.28	34.20	236,234	538,843	4,272,963	7,332,501
2014-03-04	$1872.55	$1800.00	11.6%	4.4%	10.1%	22.4%	18.4%	4.1%	0.1%	20.15B	-298.25B	-1.86B	1.81	21.58	313,324	566,462	4,331,252	7,531,849
2014-03-05	$1873.74	$1800.00	11.6%	4.4%	10.1%	22.4%	16.5%	3.9%	0.1%	20.32B	-302.90B	-1.86B	2.02	21.16	248,170	501,108	4,400,109	7,744,221
2014-03-06	$1877.62	$1800.00	11.7%	4.5%	10.0%	23.0%	16.1%	3.7%	0.1%	20.53B	-318.14B	-1.85B	1.66	19.92	336,568	557,670	4,452,421	7,892,486
2014-03-07	$1880.20	$1825.00	11.7%	4.5%	9.5%	23.0%	15.9%	4.2%	0.1%	16.70B	-310.38B	-1.87B	1.75	16.78	357,248	623,854	4,526,003	8,107,232
2014-03-10	$1877.04	$1825.00	11.8%	4.5%	8.5%	25.2%	19.2%	4.1%	0.0%	18.43B	-311.49B	-1.79B	2.28	16.35	179,556	408,557	4,464,147	7,826,333
2014-03-11	$1865.60	$1850.00	12.4%	4.5%	9.0%	30.9%	14.4%	4.7%	0.0%	10.95B	-246.47B	-1.89B	1.42	19.63	326,466	462,466	4,517,583	7,968,250
2014-03-12	$1868.03	$1850.00	11.9%	4.5%	8.4%	26.0%	15.6%	4.4%	-0.0%	11.65B	-257.15B	-1.90B	1.76	20.71	248,781	437,458	4,626,801	8,155,920
2014-03-13	$1848.36	$1850.00	13.6%	4.6%	9.4%	44.3%	15.3%	5.1%	-0.1%	-3.92B	-142.90B	-1.99B	1.41	21.45	428,678	605,376	4,707,242	8,356,829
2014-03-14	$1841.45	$1850.00	15.2%	4.7%	9.5%	61.5%	19.2%	6.0%	-0.5%	-7.06B	-96.56B	-2.00B	2.55	42.50	299,191	762,003	4,830,228	8,525,833
2014-03-17	$1857.91	$1850.00	12.9%	4.6%	9.8%	36.4%	17.5%	5.0%	0.3%	6.00B	-213.35B	-1.86B	1.52	34.57	254,046	385,550	4,724,212	8,392,575
2014-03-18	$1870.77	$1850.00	12.1%	4.5%	10.0%	27.1%	18.4%	4.5%	0.3%	14.25B	-287.32B	-1.86B	1.87	20.92	306,326	572,904	4,801,814	8,529,676
2014-03-19	$1859.96	$1850.00	12.3%	4.6%	10.0%	29.6%	17.4%	4.5%	0.3%	8.41B	-247.19B	-1.81B	1.42	44.82	381,996	542,595	4,887,438	8,744,532
2014-03-20	$1874.29	$1850.00	11.3%	4.4%	10.1%	17.7%	19.8%	4.0%	0.5%	16.18B	-318.44B	-1.85B	1.71	19.49	347,963	593,655	4,978,101	8,952,678
2014-03-21	$1864.02	$1850.00	11.8%	4.4%	10.3%	23.6%	17.8%	4.4%	0.4%	5.18B	-88.21B	-1.84B	1.97	19.30	306,939	604,160	3,260,798	5,901,060
2014-03-24	$1856.56	$0.00	12.4%	4.4%	10.2%	30.7%	19.0%	4.5%	0.3%	-536.8M	-63.59B	-1.85B	1.85	8.62	244,383	451,650	3,418,671	6,278,039
2014-03-25	$1866.57	$1750.00	11.7%	4.3%	10.4%	22.6%	18.1%	4.1%	0.4%	4.83B	-95.73B	-1.86B	1.79	16.18	183,927	328,649	3,501,461	6,469,779
2014-03-26	$1849.99	$1750.00	12.6%	4.4%	10.9%	32.2%	17.6%	4.2%	0.4%	-4.90B	-37.78B	-1.87B	1.95	16.22	272,239	530,666	3,558,422	6,580,629
2014-03-27	$1847.91	$1750.00	12.4%	4.4%	10.6%	30.1%	19.0%	4.2%	0.3%	-7.92B	-25.35B	-1.86B	1.63	15.49	285,929	464,904	3,609,575	6,752,224
2014-03-28	$1857.66	$1850.00	11.9%	4.4%	10.8%	24.9%	17.6%	4.3%	0.4%	942.2M	-62.07B	-1.87B	1.89	15.65	318,836	602,415	3,689,251	6,906,029
2014-03-31	$1871.67	$1850.00	11.8%	4.2%	10.6%	23.6%	16.6%	4.3%	-0.1%	8.83B	-108.70B	-1.85B	1.39	7.06	270,271	374,516	3,555,332	6,616,795