SPX Options History — March 2016

In March 2016, SPX traded between $1974.92 and $2064.48. ATM implied volatility averaged 13.9%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.3% (HV 20d: 13.6%). Max pain ranged from $1925.00 to $1990.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.73.

Notable Days

2016-03-18: Highest Volume — 1,857,891 contracts
2016-03-29: Largest IV drop — 11.1% change
2016-03-08: Highest IV Rank — 31.9%
2016-03-08: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2021.04	$1974.92	$2064.48	$1974.92	$2061.44
Max Pain	$1955.00	$1925.00	$1990.00	$1925.00	$1990.00
ATM IV	13.9%	11.5%	16.6%	15.8%	12.1%
Expected Move	3.9%	3.0%	4.8%	4.6%	3.2%
HV 20d	13.6%	8.9%	19.1%	19.1%	9.0%
HV 60d	18.7%	17.5%	20.0%	20.0%	17.5%
IV Rank	19.1%	8.1%	31.9%	28.1%	10.6%
IV Percentile	46.7%	17.9%	68.7%	65.5%	27.4%
Term Structure	0.3%	0.1%	0.5%	0.2%	0.2%
VWIV	15.4%	11.5%	18.9%	17.1%	12.1%
Skew 25d	4.9%	4.0%	6.0%	5.4%	4.5%
Skew 10d	9.4%	7.5%	11.1%	10.2%	8.4%
Call IV 25d	11.8%	9.8%	14.2%	13.4%	10.0%
Put IV 25d	16.7%	14.0%	20.0%	18.9%	14.5%
Bid-Ask Spread %	30.74	18.75	46.44	25.92	46.44
Gamma HHI	0.04	0.03	0.17	0.03	0.04
Net GEX	13.49B	957.9M	26.48B	4.68B	20.48B
Net DEX	-180.45B	-391.26B	-72.61B	-77.71B	-188.80B
Net VEX	-2.02B	-2.21B	-1.91B	-2.00B	-2.21B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	1.29	2.09	1.53	2.09
Total Volume	1,217,741.091	833,448	1,857,891	1,290,356	1,251,152
Total OI	12,465,547.818	10,267,896	14,648,184	12,368,470	11,657,509

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
2016-03-01	$1974.92	$1925.00	15.8%	4.6%	19.1%	28.1%	17.1%	5.4%	0.2%	4.68B	-77.71B	-2.00B	1.53	25.92	509,987	780,369	4,291,796	8,076,674
2016-03-02	$1984.63	$1925.00	15.1%	4.3%	17.5%	24.7%	15.9%	5.2%	0.3%	8.82B	-123.70B	-1.98B	2.06	24.72	370,705	764,151	4,435,493	8,223,854
2016-03-03	$1993.42	$1925.00	14.8%	4.3%	17.5%	23.6%	18.1%	4.8%	0.2%	10.25B	-159.91B	-1.98B	1.58	33.87	482,571	761,580	4,484,194	8,366,456
2016-03-04	$2000.45	$1925.00	14.8%	4.4%	17.5%	23.7%	16.7%	4.9%	0.2%	22.86B	-187.92B	-2.00B	1.49	42.93	622,321	929,175	4,589,785	8,568,142
2016-03-07	$1997.37	$1925.00	15.5%	4.5%	15.5%	26.7%	17.7%	5.4%	0.2%	8.23B	-156.67B	-1.96B	1.98	36.15	323,004	639,393	4,451,645	8,242,239
2016-03-08	$1978.40	$1930.00	16.6%	4.8%	15.1%	31.9%	18.9%	5.8%	0.1%	957.9M	-72.61B	-2.00B	1.88	33.53	352,383	660,825	4,535,760	8,437,440
2016-03-09	$1985.71	$1940.00	16.5%	4.8%	15.0%	31.6%	17.9%	6.0%	0.1%	3.15B	-101.81B	-2.01B	1.65	29.36	427,604	705,096	4,595,008	8,630,604
2016-03-10	$1986.37	$1950.00	16.1%	4.7%	15.0%	29.7%	18.0%	5.7%	0.1%	4.51B	-108.85B	-1.99B	1.93	33.74	408,593	789,010	4,649,068	8,699,410
2016-03-11	$2020.42	$1950.00	14.4%	4.2%	14.9%	21.6%	16.8%	5.2%	0.3%	16.66B	-263.16B	-1.96B	1.41	36.49	631,448	889,001	4,740,168	8,989,777
2016-03-14	$2020.47	$1950.00	14.4%	4.2%	14.3%	21.8%	17.4%	5.5%	0.4%	12.51B	-247.55B	-1.93B	1.98	37.51	280,078	553,370	4,638,917	8,604,654
2016-03-15	$2014.46	$1950.00	14.6%	4.2%	14.0%	22.6%	16.1%	5.3%	0.4%	11.22B	-226.32B	-1.93B	1.51	32.43	426,504	642,393	4,712,671	8,776,152
2016-03-16	$2026.89	$1950.00	13.2%	3.8%	12.9%	15.9%	15.0%	4.8%	0.5%	20.11B	-287.47B	-1.91B	1.75	18.75	516,651	903,703	4,808,792	8,976,013
2016-03-17	$2038.53	$1950.00	12.3%	3.5%	12.6%	11.7%	13.6%	4.4%	0.5%	18.82B	-337.98B	-1.92B	1.65	23.53	446,670	738,159	4,886,870	9,239,866
2016-03-18	$2049.06	$1975.00	12.0%	3.4%	12.6%	10.4%	13.1%	4.0%	0.5%	21.98B	-391.26B	-1.98B	1.29	22.55	809,792	1,048,099	5,106,338	9,541,846
2016-03-21	$2052.54	$1975.00	11.9%	3.3%	12.0%	9.9%	13.1%	4.4%	0.5%	17.08B	-168.53B	-2.01B	1.83	25.11	341,982	624,406	3,409,905	6,857,991
2016-03-22	$2050.07	$1975.00	12.2%	3.4%	11.0%	11.3%	13.9%	4.6%	0.4%	15.33B	-160.08B	-2.05B	1.81	30.57	381,387	690,906	3,523,191	7,098,778
2016-03-23	$2038.68	$1975.00	12.8%	3.5%	11.4%	14.2%	14.0%	4.6%	0.5%	11.09B	-120.27B	-2.09B	1.74	27.19	434,366	756,013	3,626,559	7,288,614
2016-03-24	$2034.79	$1980.00	13.0%	3.6%	11.1%	15.0%	14.3%	4.5%	0.5%	11.59B	-109.32B	-2.15B	2.07	29.51	417,789	862,881	3,715,199	7,454,654
2016-03-28	$2035.97	$1980.00	13.5%	3.6%	11.1%	17.3%	14.7%	5.0%	0.2%	9.54B	-102.71B	-2.12B	1.78	30.32	333,292	591,772	3,629,371	7,247,618
2016-03-29	$2053.91	$1980.00	12.0%	3.2%	10.8%	10.3%	13.1%	4.5%	0.4%	20.54B	-168.69B	-2.09B	1.70	27.30	374,250	635,846	3,723,521	7,371,109
2016-03-30	$2064.48	$1985.00	11.5%	3.0%	8.9%	8.1%	11.5%	4.2%	0.4%	26.48B	-208.66B	-2.12B	1.29	28.40	732,736	948,891	3,811,589	7,526,812
2016-03-31	$2061.44	$1990.00	12.1%	3.2%	9.0%	10.6%	12.1%	4.5%	0.2%	20.48B	-188.80B	-2.21B	2.09	46.44	404,655	846,497	3,946,213	7,711,296