SPX Options History — March 2018

In March 2018, SPX traded between $2592.56 and $2787.13. ATM implied volatility averaged 14.4%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.6% (HV 20d: 18.0%). Max pain ranged from $2700.00 to $2750.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.74.

Notable Days

2018-03-09: Highest Volume — 2,219,951 contracts
2018-03-22: Largest IV spike — 32.5% change
2018-03-23: Highest IV Rank — 68.8%
2018-03-23: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2704.20	$2592.56	$2787.13	$2679.33	$2644.03
Max Pain	$2740.24	$2700.00	$2750.00	$2700.00	$2720.00
ATM IV	14.4%	10.7%	19.8%	15.9%	16.8%
Expected Move	4.2%	3.2%	5.8%	4.9%	5.0%
HV 20d	18.0%	13.9%	24.3%	24.2%	20.2%
HV 60d	16.3%	15.2%	18.7%	15.2%	18.7%
IV Rank	41.3%	22.4%	68.8%	49.0%	53.4%
IV Percentile	92.5%	81.7%	98.4%	97.2%	96.0%
Term Structure	-0.0%	-0.5%	0.4%	-0.5%	-0.4%
VWIV	16.6%	12.4%	21.8%	18.3%	18.7%
Skew 25d	5.7%	3.3%	8.5%	7.3%	4.8%
Skew 10d	11.0%	6.6%	18.6%	13.8%	8.6%
Call IV 25d	12.3%	9.2%	16.4%	13.6%	14.9%
Put IV 25d	18.0%	13.1%	24.8%	20.9%	19.8%
Bid-Ask Spread %	16.98	8.40	32.91	19.13	32.91
Gamma HHI	0.02	0.02	0.03	0.02	0.02
Net GEX	-10.75B	-52.98B	38.66B	-29.83B	-28.13B
Net DEX	-9.62B	-570.80B	539.24B	221.04B	225.36B
Net VEX	-3.76B	-4.06B	-3.53B	-4.06B	-3.83B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	1.16	2.65	2.02	1.46
Total Volume	1,715,427.857	988,351	2,219,951	1,936,610	2,059,008
Total OI	15,333,537.238	12,847,372	17,633,490	16,026,711	14,074,520

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
2018-03-01	$2679.33	$2700.00	15.9%	4.9%	24.2%	49.0%	18.3%	7.3%	-0.5%	-29.83B	221.04B	-4.06B	2.02	19.13	640,479	1,296,131	5,498,846	10,527,865
2018-03-02	$2694.20	$2700.00	14.4%	4.3%	24.3%	41.3%	17.5%	6.6%	0.2%	-26.31B	125.64B	-3.97B	2.10	20.32	595,393	1,249,196	5,627,376	10,885,235
2018-03-05	$2723.53	$2750.00	13.5%	4.0%	23.7%	36.9%	15.6%	5.4%	0.2%	-6.49B	-97.20B	-3.86B	1.71	11.07	621,375	1,060,583	5,547,429	10,712,585
2018-03-06	$2724.86	$2750.00	13.6%	4.1%	19.9%	37.3%	16.8%	5.3%	0.2%	-3.26B	-101.71B	-3.88B	1.55	10.66	472,991	734,426	5,608,857	10,728,239
2018-03-07	$2727.67	$2750.00	13.3%	3.9%	19.6%	35.4%	16.0%	5.8%	-0.2%	-1.22B	-120.68B	-3.86B	1.94	11.00	449,654	872,263	5,692,601	10,857,803
2018-03-08	$2734.12	$2750.00	12.7%	3.8%	19.6%	32.5%	14.5%	4.8%	-0.3%	4.79B	-181.85B	-3.76B	1.55	9.13	387,290	601,061	5,707,586	10,887,480
2018-03-09	$2784.22	$2750.00	10.8%	3.3%	14.9%	22.8%	13.1%	3.3%	0.3%	38.24B	-570.80B	-3.53B	1.16	8.44	1,027,130	1,192,821	5,821,916	11,037,730
2018-03-12	$2787.13	$2750.00	11.6%	3.4%	14.7%	26.7%	14.6%	3.3%	0.2%	38.66B	-558.30B	-3.60B	1.56	8.40	646,260	1,010,301	5,882,180	10,738,733
2018-03-13	$2764.68	$2750.00	12.2%	3.6%	14.7%	30.1%	13.7%	3.8%	0.2%	21.78B	-374.55B	-3.67B	1.52	10.51	606,717	924,200	5,933,015	10,811,977
2018-03-14	$2749.53	$2750.00	12.6%	3.7%	14.9%	31.8%	15.6%	4.7%	-0.1%	7.52B	-245.66B	-3.73B	1.46	11.73	631,110	922,899	6,028,397	11,060,022
2018-03-15	$2748.91	$2750.00	11.7%	3.5%	14.3%	27.5%	13.6%	4.4%	-0.2%	14.26B	-271.48B	-3.66B	1.38	10.80	603,206	833,111	6,121,837	11,167,329
2018-03-16	$2756.91	$2750.00	10.7%	3.2%	13.9%	22.4%	12.4%	4.7%	0.4%	19.02B	-321.61B	-3.62B	1.65	11.73	689,271	1,139,837	6,222,070	11,411,420
2018-03-19	$2715.09	$2750.00	13.8%	4.0%	14.9%	38.2%	16.0%	6.2%	-0.0%	-17.12B	63.70B	-3.69B	1.93	16.96	660,260	1,270,997	4,333,286	8,514,086
2018-03-20	$2717.70	$2750.00	13.6%	3.9%	14.7%	36.9%	17.3%	6.6%	-0.1%	-15.47B	57.86B	-3.79B	1.38	14.04	626,883	866,207	4,414,521	8,718,925
2018-03-21	$2713.29	$2750.00	13.4%	3.9%	14.6%	36.3%	16.6%	6.1%	-0.1%	-20.59B	73.76B	-3.67B	2.24	17.67	484,660	1,087,473	4,514,500	8,805,173
2018-03-22	$2647.38	$2750.00	17.8%	5.1%	17.1%	58.4%	18.4%	8.0%	-0.4%	-46.82B	338.91B	-3.69B	1.91	29.47	693,827	1,324,440	4,497,567	8,919,972
2018-03-23	$2592.56	$2750.00	19.8%	5.8%	17.3%	68.8%	21.8%	8.5%	0.1%	-52.98B	539.24B	-3.70B	2.65	27.78	575,651	1,524,162	4,695,159	9,186,183
2018-03-26	$2661.36	$2725.00	16.6%	4.8%	19.6%	52.2%	18.6%	6.1%	0.0%	-33.34B	213.18B	-3.76B	1.98	22.10	654,572	1,297,383	4,444,762	8,896,727
2018-03-27	$2613.81	$2725.00	19.0%	5.5%	20.3%	64.5%	19.2%	7.8%	0.3%	-42.09B	379.85B	-3.80B	1.64	27.83	649,565	1,066,211	4,540,958	8,986,043
2018-03-28	$2607.94	$2725.00	18.9%	5.6%	20.0%	64.0%	20.9%	6.1%	-0.5%	-46.45B	403.27B	-3.86B	1.83	24.99	698,108	1,276,873	4,730,867	9,212,505
2018-03-29	$2644.03	$2720.00	16.8%	5.0%	20.2%	53.4%	18.7%	4.8%	-0.4%	-28.13B	225.36B	-3.83B	1.46	32.91	835,610	1,223,398	4,834,186	9,240,334