SPX Options History — March 2019

In March 2019, SPX traded between $2738.61 and $2857.21. ATM implied volatility averaged 12.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.1%). Max pain ranged from $2685.00 to $2775.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.85.

Notable Days

2019-03-08: Highest Volume — 1,103,872 contracts
2019-03-22: Largest IV spike — 23.3% change
2019-03-25: Highest IV Rank — 30.6%
2019-03-07: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2804.77	$2738.61	$2857.21	$2806.21	$2833.24
Max Pain	$2750.48	$2685.00	$2775.00	$2685.00	$2775.00
ATM IV	12.1%	10.3%	14.5%	10.4%	11.5%
Expected Move	3.6%	2.8%	4.2%	2.8%	3.5%
HV 20d	10.1%	8.1%	11.9%	8.1%	11.7%
HV 60d	16.5%	12.8%	19.8%	19.8%	12.8%
IV Rank	19.9%	12.0%	30.6%	12.2%	17.1%
IV Percentile	46.9%	34.1%	66.7%	34.5%	40.5%
Term Structure	0.1%	-0.1%	0.4%	0.4%	0.2%
VWIV	13.6%	11.2%	16.3%	11.2%	13.7%
Skew 25d	4.4%	3.4%	5.9%	4.3%	4.1%
Skew 10d	8.9%	6.8%	12.0%	9.6%	8.1%
Call IV 25d	10.1%	8.5%	12.0%	8.5%	9.6%
Put IV 25d	14.5%	12.2%	17.4%	12.9%	13.7%
Bid-Ask Spread %	6.95	4.49	11.49	11.43	6.19
Gamma HHI	0.03	0.02	0.08	0.04	0.08
Net GEX	15.02B	-7.35B	31.82B	24.53B	30.77B
Net DEX	-151.27B	-266.88B	-12.15B	-209.96B	-187.67B
Net VEX	-2.89B	-3.09B	-2.71B	-2.71B	-3.01B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.85	1.52	2.35	2.08	1.93
Total Volume	806,780.619	495,096	1,103,872	923,400	893,647
Total OI	8,317,994.905	7,616,466	8,900,274	7,845,265	8,900,274

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
2019-03-01	$2806.21	$2685.00	10.4%	2.8%	8.1%	12.2%	11.2%	4.3%	0.4%	24.53B	-209.96B	-2.71B	2.08	11.43	299,572	623,828	2,680,054	5,165,211
2019-03-04	$2790.90	$2690.00	11.6%	3.3%	8.6%	17.8%	11.7%	5.0%	0.3%	12.49B	-146.14B	-2.73B	1.73	10.48	335,580	579,035	2,601,247	5,015,219
2019-03-05	$2795.20	$2700.00	11.5%	3.1%	8.4%	17.1%	13.1%	4.8%	0.2%	15.39B	-157.98B	-2.76B	1.86	11.17	220,029	408,860	2,666,785	5,114,109
2019-03-06	$2772.84	$2700.00	12.7%	3.6%	9.0%	22.5%	14.7%	5.5%	0.0%	3.96B	-98.12B	-2.79B	2.11	9.64	228,376	481,471	2,713,361	5,227,796
2019-03-07	$2747.73	$2700.00	14.0%	4.2%	9.6%	28.4%	16.3%	5.9%	-0.1%	-1.83B	-37.34B	-2.83B	1.66	11.49	363,351	602,135	2,708,191	5,246,514
2019-03-08	$2738.61	$2700.00	13.7%	3.8%	8.8%	26.9%	14.9%	5.7%	0.4%	-7.35B	-12.15B	-2.83B	1.68	11.08	412,177	691,695	2,777,655	5,472,697
2019-03-11	$2782.87	$2750.00	11.6%	3.6%	10.3%	17.6%	13.3%	4.6%	0.4%	12.50B	-120.65B	-2.78B	1.52	5.38	278,419	423,733	2,613,317	5,219,269
2019-03-12	$2794.88	$2765.00	11.1%	3.4%	10.3%	15.3%	13.2%	4.3%	0.2%	16.25B	-148.08B	-2.77B	1.96	4.82	167,097	327,999	2,653,830	5,234,326
2019-03-13	$2814.86	$2770.00	10.8%	3.3%	9.8%	14.1%	12.0%	3.9%	0.0%	25.23B	-200.56B	-2.77B	2.09	4.49	318,697	664,667	2,712,032	5,378,344
2019-03-14	$2811.01	$2775.00	10.8%	3.3%	9.8%	14.4%	13.2%	4.0%	0.1%	21.46B	-182.39B	-2.84B	2.29	5.32	213,266	489,433	2,782,323	5,489,181
2019-03-15	$2821.92	$2775.00	10.3%	3.3%	9.8%	12.0%	12.6%	3.4%	0.3%	31.82B	-220.73B	-2.86B	1.62	4.62	410,525	665,136	2,870,998	5,732,298
2019-03-18	$2833.98	$2775.00	10.8%	3.3%	9.5%	14.0%	13.0%	3.6%	0.0%	25.25B	-221.63B	-2.91B	1.55	4.62	259,587	401,127	2,798,836	5,642,138
2019-03-19	$2826.18	$2775.00	11.7%	3.5%	9.6%	18.0%	13.6%	3.7%	-0.0%	18.29B	-192.22B	-2.96B	1.66	4.90	269,179	446,745	2,819,525	5,669,532
2019-03-20	$2829.01	$2775.00	11.5%	3.4%	9.6%	17.2%	13.0%	3.7%	0.1%	18.07B	-195.00B	-2.99B	1.95	5.74	270,429	527,840	2,906,042	5,807,264
2019-03-21	$2857.21	$2775.00	11.7%	3.4%	9.9%	18.1%	13.1%	3.4%	-0.0%	27.71B	-266.88B	-2.98B	1.68	5.41	244,901	411,104	2,899,881	5,802,451
2019-03-22	$2805.92	$2775.00	14.4%	4.1%	11.9%	30.3%	14.6%	4.9%	0.3%	4.55B	-110.67B	-3.09B	1.72	5.46	387,670	666,654	2,955,821	5,921,784
2019-03-25	$2801.27	$2775.00	14.5%	4.2%	11.8%	30.6%	14.8%	4.7%	0.4%	4.08B	-92.45B	-3.07B	1.67	5.32	282,824	471,500	2,855,513	5,661,426
2019-03-26	$2809.26	$2775.00	13.4%	3.9%	11.9%	25.8%	15.1%	4.4%	0.2%	9.22B	-121.89B	-3.01B	2.35	5.74	202,921	475,850	2,854,453	5,654,956
2019-03-27	$2810.81	$2775.00	13.3%	3.9%	11.8%	25.2%	14.3%	4.5%	-0.1%	9.66B	-119.99B	-3.02B	1.92	6.70	300,135	576,586	2,901,841	5,804,564
2019-03-28	$2816.25	$2775.00	12.8%	3.8%	11.8%	22.8%	14.4%	4.5%	-0.1%	13.45B	-134.08B	-3.02B	1.86	5.98	227,147	421,466	2,918,866	5,827,969
2019-03-29	$2833.24	$2775.00	11.5%	3.5%	11.7%	17.1%	13.7%	4.1%	0.2%	30.77B	-187.67B	-3.01B	1.93	6.19	305,454	588,193	2,952,605	5,947,669