SPX Options History — March 2015 In March 2015, SPX traded between $2039.64 and $2115.77. ATM implied volatility averaged 12.8%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.3% (HV 20d: 11.6%). Max pain ranged from $2030.00 to $2075.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.99.
Notable Days 2015-03-06 : Highest Volume — 1,465,500 contracts2015-03-25 : Largest IV spike — 18.7% change2015-03-11 : Highest IV Rank — 67.0%2015-03-11 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $2079.56 $2039.64 $2115.77 $2115.77 $2069.87 Max Pain $2066.59 $2030.00 $2075.00 $2030.00 $2075.00 ATM IV 12.8% 10.6% 14.9% 10.6% 13.6% Expected Move 3.7% 2.9% 4.3% 2.9% 3.8% HV 20d 11.6% 7.9% 14.8% 9.4% 14.8% HV 60d 14.7% 13.7% 15.6% 15.3% 14.2% IV Rank 56.6% 45.2% 67.0% 45.2% 60.2% IV Percentile 67.3% 36.1% 87.3% 36.1% 75.4% Term Structure 0.2% -0.1% 0.6% 0.3% 0.1% VWIV 13.9% 11.1% 15.9% 11.1% 14.0% Skew 25d 4.9% 4.0% 5.7% 4.0% 5.4% Skew 10d 9.1% 7.4% 10.2% 7.4% 9.4% Call IV 25d 10.7% 8.7% 12.6% 8.8% 11.1% Put IV 25d 15.6% 12.8% 17.9% 12.8% 16.5% Bid-Ask Spread % 24.33 15.37 32.96 24.79 22.66 Gamma HHI 0.03 0.03 0.05 0.04 0.03 Net GEX -4.97B -21.98B 16.25B 16.25B -13.94B Net DEX -82.65B -265.82B 72.69B -265.82B 3.73B Net VEX -2.06B -2.15B -1.97B -1.99B -2.10B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.99 1.40 2.39 2.05 2.15 Total Volume 924,130.227 546,951 1,465,500 881,270 969,916 Total OI 11,705,800.364 9,458,269 13,686,346 11,542,609 10,728,501
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 2015-03-02 $2115.77 $2030.00 10.6% 2.9% 9.4% 45.2% 11.1% 4.0% 0.3% 16.25B -265.82B -1.99B 2.05 24.79 289,204 592,066 3,704,512 7,838,097 2015-03-03 $2106.68 $2030.00 11.6% 3.2% 8.9% 50.1% 12.2% 4.7% 0.3% 9.96B -225.05B -2.04B 2.39 20.70 277,000 661,679 3,764,207 7,991,905 2015-03-04 $2098.27 $2035.00 11.7% 3.3% 8.2% 51.0% 12.7% 4.8% 0.2% 4.01B -185.26B -2.07B 2.13 19.67 309,619 658,062 3,810,829 8,200,193 2015-03-05 $2102.08 $2070.00 11.7% 3.5% 7.9% 51.0% 13.5% 4.9% 0.2% 6.53B -198.25B -2.08B 2.13 32.00 267,147 569,127 3,865,634 8,394,686 2015-03-06 $2069.84 $2075.00 13.4% 3.9% 9.1% 59.5% 14.7% 5.4% -0.0% -17.22B -45.98B -2.14B 2.16 30.15 463,324 1,002,176 3,908,033 8,542,963 2015-03-09 $2078.00 $2075.00 12.9% 3.7% 9.1% 56.6% 14.7% 5.4% 0.1% -5.90B -102.34B -2.07B 2.07 26.16 186,280 386,090 3,769,953 8,165,806 2015-03-10 $2042.01 $2075.00 14.9% 4.2% 11.0% 66.8% 15.0% 5.7% -0.1% -19.68B 60.09B -2.13B 1.67 22.89 433,070 723,356 3,834,970 8,352,508 2015-03-11 $2039.64 $2075.00 14.9% 4.3% 10.3% 67.0% 15.8% 5.3% -0.1% -20.90B 72.69B -2.15B 2.26 22.38 242,495 548,603 3,975,072 8,597,898 2015-03-12 $2065.67 $2075.00 13.6% 3.9% 11.3% 60.3% 14.6% 4.7% -0.0% -10.46B -47.55B -2.09B 1.90 26.06 245,455 465,840 4,049,026 8,772,407 2015-03-13 $2051.21 $2070.00 14.4% 4.2% 10.9% 64.3% 14.8% 4.7% 0.1% -17.37B 16.91B -2.12B 2.09 32.96 331,765 693,944 4,114,382 8,894,254 2015-03-16 $2076.01 $2070.00 14.1% 4.0% 11.7% 62.7% 15.9% 5.0% 0.0% -2.45B -122.74B -2.05B 1.79 29.74 267,664 478,816 4,025,757 8,663,420 2015-03-17 $2074.95 $2070.00 14.0% 4.0% 11.7% 62.1% 15.1% 5.0% 0.0% -2.87B -116.71B -2.07B 1.50 29.01 218,964 327,987 4,100,752 8,842,899 2015-03-18 $2101.32 $2060.00 11.9% 3.4% 12.6% 52.1% 13.9% 4.9% 0.2% 11.57B -260.32B -1.97B 2.21 31.08 366,202 808,039 4,156,217 8,970,082 2015-03-19 $2090.26 $2060.00 12.0% 3.4% 12.7% 52.4% 13.1% 4.8% 0.4% 5.20B -218.04B -2.00B 1.40 28.15 474,521 661,941 4,271,447 9,414,899 2015-03-20 $2107.36 $2070.00 10.9% 3.1% 12.9% 46.7% 11.9% 4.5% 0.6% 6.57B -110.24B -1.99B 1.57 17.65 382,146 598,828 2,813,009 6,645,260 2015-03-23 $2102.81 $2075.00 11.1% 3.1% 12.9% 48.0% 12.5% 4.7% 0.3% 4.42B -95.37B -1.98B 1.91 28.46 215,216 411,746 2,940,462 6,907,506 2015-03-24 $2092.84 $2075.00 11.5% 3.2% 13.0% 50.0% 12.5% 4.6% 0.3% -3.01B -63.77B -2.02B 1.97 16.34 239,087 470,538 3,001,378 7,079,263 2015-03-25 $2061.83 $2075.00 13.7% 3.9% 13.9% 60.8% 14.3% 5.1% 0.2% -18.75B 42.74B -2.08B 2.07 15.37 265,986 551,465 3,084,914 7,275,956 2015-03-26 $2057.48 $2075.00 14.1% 4.0% 13.9% 62.6% 15.2% 5.1% 0.1% -21.98B 59.33B -2.09B 2.15 19.14 401,506 861,928 3,144,890 7,476,809 2015-03-27 $2060.45 $2075.00 13.5% 3.9% 14.0% 59.9% 14.5% 5.0% 0.3% -18.04B 39.37B -2.11B 1.89 16.95 309,385 584,344 3,263,864 7,685,235 2015-03-30 $2085.94 $2075.00 12.5% 3.5% 14.6% 54.8% 13.2% 4.9% 0.2% -1.28B -55.64B -2.05B 2.38 22.97 331,362 786,976 3,170,091 7,317,662 2015-03-31 $2069.87 $2075.00 13.6% 3.8% 14.8% 60.2% 14.0% 5.4% 0.1% -13.94B 3.73B -2.10B 2.15 22.66 308,230 661,686 3,248,093 7,480,408
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