SPX Options History — March 2017

In March 2017, SPX traded between $2344.04 and $2399.22. ATM implied volatility averaged 9.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.1% (HV 20d: 8.1%). Max pain ranged from $2265.00 to $2350.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.92.

Notable Days

2017-03-01: Highest Volume — 2,269,758 contracts
2017-03-21: Largest IV spike — 17.1% change
2017-03-23: Highest IV Rank — 23.0%
2017-03-23: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2367.61	$2344.04	$2399.22	$2399.22	$2367.66
Max Pain	$2337.17	$2265.00	$2350.00	$2265.00	$2350.00
ATM IV	9.3%	8.0%	10.7%	9.9%	9.1%
Expected Move	2.6%	2.2%	3.0%	2.9%	2.2%
HV 20d	8.1%	7.1%	9.4%	7.1%	7.1%
HV 60d	7.3%	6.9%	7.6%	7.3%	7.0%
IV Rank	11.0%	0.6%	23.0%	16.1%	9.4%
IV Percentile	16.9%	0.4%	45.6%	26.6%	13.1%
Term Structure	0.2%	-0.0%	0.5%	0.1%	0.4%
VWIV	10.3%	8.3%	12.2%	10.5%	10.0%
Skew 25d	3.1%	2.1%	4.0%	2.3%	3.3%
Skew 10d	6.5%	4.1%	8.9%	4.5%	6.3%
Call IV 25d	8.2%	7.1%	9.2%	9.2%	8.0%
Put IV 25d	11.3%	9.9%	13.1%	11.4%	11.2%
Bid-Ask Spread %	37.80	27.22	49.62	27.22	35.74
Gamma HHI	0.05	0.03	0.11	0.11	0.03
Net GEX	17.56B	-22.34B	61.22B	61.22B	7.79B
Net DEX	-335.17B	-684.70B	-30.79B	-684.70B	-190.75B
Net VEX	-2.81B	-2.98B	-2.59B	-2.59B	-2.88B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	1.32	2.78	1.32	2.20
Total Volume	1,411,468.391	1,082,783	2,269,758	2,269,758	1,538,051
Total OI	14,411,027.261	12,087,532	16,745,785	14,479,960	13,600,020

Daily Data (23 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
2017-03-01	$2399.22	$2265.00	9.9%	2.9%	7.1%	16.1%	10.5%	2.3%	0.1%	61.22B	-684.70B	-2.59B	1.32	27.22	976,717	1,293,041	5,153,196	9,326,764
2017-03-02	$2382.08	$2275.00	9.7%	2.6%	7.9%	14.6%	9.3%	2.3%	0.3%	43.50B	-558.60B	-2.80B	1.89	34.01	546,548	1,030,505	5,295,399	9,582,486
2017-03-03	$2381.49	$2275.00	8.8%	2.3%	7.9%	6.6%	8.3%	2.1%	0.4%	43.14B	-575.20B	-2.75B	1.81	43.16	539,045	975,444	5,416,481	9,950,012
2017-03-06	$2378.32	$2325.00	8.7%	2.7%	7.7%	6.2%	10.2%	2.1%	0.5%	34.12B	-524.35B	-2.68B	1.68	31.79	504,523	846,661	5,282,603	9,687,234
2017-03-07	$2366.45	$2330.00	9.1%	2.7%	7.9%	9.4%	9.9%	2.5%	0.2%	23.39B	-440.38B	-2.75B	1.97	36.92	368,647	724,434	5,386,614	9,835,853
2017-03-08	$2363.27	$2335.00	9.2%	2.7%	7.9%	10.5%	10.8%	3.2%	0.2%	19.65B	-411.85B	-2.81B	1.86	32.89	443,814	827,029	5,481,727	10,032,244
2017-03-09	$2366.24	$2350.00	9.6%	2.8%	7.9%	13.9%	11.1%	3.6%	0.2%	24.95B	-428.14B	-2.84B	2.32	34.19	364,459	845,408	5,508,223	10,141,090
2017-03-10	$2371.27	$2350.00	8.9%	2.7%	7.8%	7.9%	10.8%	3.3%	0.4%	38.30B	-425.73B	-2.92B	2.09	36.46	440,386	920,233	5,622,271	10,446,388
2017-03-13	$2374.18	$2350.00	8.8%	2.6%	7.8%	6.9%	10.7%	3.5%	0.2%	32.27B	-471.14B	-2.76B	1.63	36.62	532,500	866,519	5,470,557	10,127,587
2017-03-14	$2365.10	$2350.00	9.4%	2.7%	7.8%	12.3%	10.3%	3.4%	0.1%	16.11B	-390.25B	-2.85B	1.96	37.00	384,076	754,655	5,546,234	10,260,208
2017-03-15	$2387.44	$2350.00	8.8%	2.6%	8.3%	7.3%	9.9%	3.0%	0.2%	51.95B	-599.18B	-2.73B	1.59	36.95	536,282	854,661	5,655,732	10,499,429
2017-03-16	$2380.18	$2350.00	8.4%	2.5%	8.3%	3.8%	9.9%	2.6%	0.2%	37.35B	-539.36B	-2.75B	1.66	39.21	531,957	884,528	5,708,692	10,533,886
2017-03-17	$2379.82	$2350.00	8.0%	2.4%	8.2%	0.6%	10.3%	3.2%	0.4%	35.23B	-548.56B	-2.74B	2.22	42.10	523,439	1,161,869	5,858,416	10,887,369
2017-03-20	$2374.90	$2350.00	8.3%	2.4%	8.3%	2.7%	10.3%	2.8%	0.3%	6.78B	-190.81B	-2.77B	2.09	40.60	406,229	849,340	4,056,664	8,030,868
2017-03-21	$2344.71	$2350.00	9.7%	2.8%	9.1%	14.6%	10.7%	4.0%	-0.0%	-22.34B	-30.79B	-2.85B	1.98	36.73	464,713	921,661	4,096,488	8,125,928
2017-03-22	$2349.01	$2350.00	9.9%	2.8%	9.1%	16.5%	11.5%	3.8%	0.5%	-19.48B	-57.76B	-2.88B	1.96	36.17	573,997	1,123,224	4,215,959	8,369,489
2017-03-23	$2344.53	$2350.00	10.7%	3.0%	9.1%	23.0%	11.4%	4.0%	0.3%	-17.13B	-32.41B	-2.97B	1.90	40.87	463,559	880,782	4,284,057	8,573,502
2017-03-24	$2345.95	$2350.00	10.5%	3.0%	9.1%	21.6%	12.2%	3.8%	0.2%	-19.37B	-44.73B	-2.98B	2.78	44.69	373,651	1,038,054	4,411,511	8,792,479
2017-03-27	$2344.04	$2350.00	10.2%	2.8%	9.1%	18.7%	10.3%	3.8%	0.2%	-18.31B	-49.71B	-2.84B	1.96	49.62	505,713	991,099	4,269,174	8,485,731
2017-03-28	$2359.96	$2350.00	9.4%	2.5%	9.4%	11.9%	9.7%	3.3%	0.1%	2.76B	-149.72B	-2.87B	1.45	38.21	546,129	794,057	4,368,195	8,597,988
2017-03-29	$2361.34	$2350.00	9.2%	2.4%	7.4%	10.3%	9.1%	3.0%	0.1%	7.14B	-165.16B	-2.81B	1.87	36.57	377,455	705,328	4,475,056	8,760,728
2017-03-30	$2367.81	$2350.00	9.0%	2.2%	7.1%	8.7%	9.1%	2.9%	0.2%	14.79B	-199.60B	-2.83B	1.94	41.69	419,514	813,837	4,490,441	8,752,654
2017-03-31	$2367.66	$2350.00	9.1%	2.2%	7.1%	9.4%	10.0%	3.3%	0.4%	7.79B	-190.75B	-2.88B	2.20	35.74	480,104	1,057,947	4,592,224	9,007,796