SPX Options History — March 2020

In March 2020, SPX traded between $2224.20 and $3113.45. ATM implied volatility averaged 52.0%, placing in the 77.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 5.0% (HV 20d: 57.0%). Max pain ranged from $2910.00 to $3225.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.64.

Notable Days

2020-03-13: Highest Volume — 1,636,729 contracts
2020-03-05: Largest IV spike — 38.0% change
2020-03-09: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2647.90	$2224.20	$3113.45	$3052.91	$2589.14
Max Pain	$3108.18	$2910.00	$3225.00	$3200.00	$2910.00
ATM IV	52.0%	26.4%	77.2%	28.5%	45.5%
Expected Move	15.2%	8.1%	22.1%	9.0%	13.8%
HV 20d	57.0%	32.7%	79.7%	32.9%	76.5%
HV 60d	35.2%	20.3%	47.9%	20.3%	47.9%
IV Rank	77.6%	50.1%	100.0%	56.4%	53.5%
IV Percentile	98.4%	94.0%	100.0%	99.2%	94.0%
Term Structure	-0.8%	-3.2%	0.4%	0.0%	0.1%
VWIV	53.0%	29.7%	71.0%	35.0%	52.5%
Skew 25d	20.0%	12.7%	26.9%	15.1%	20.6%
Skew 10d	34.9%	22.0%	46.7%	25.5%	38.0%
Call IV 25d	41.6%	21.2%	61.7%	21.5%	36.0%
Put IV 25d	61.6%	33.8%	87.1%	36.6%	56.6%
Bid-Ask Spread %	17.59	8.08	35.53	17.61	21.27
Gamma HHI	0.02	0.01	0.04	0.02	0.04
Net GEX	-14.12B	-26.60B	-7.19B	-21.60B	-7.53B
Net DEX	554.48B	201.23B	797.73B	348.50B	427.39B
Net VEX	-3.42B	-3.84B	-2.51B	-3.53B	-3.53B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	1.09	2.36	1.42	1.58
Total Volume	1,019,488.318	726,288	1,636,729	1,352,140	945,063
Total OI	9,483,615.273	8,235,889	10,195,734	9,091,784	9,350,657

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
2020-03-02	$3052.91	$3200.00	28.5%	9.0%	32.9%	56.4%	35.0%	15.1%	0.0%	-21.60B	348.50B	-3.53B	1.42	17.61	558,772	793,368	2,697,396	6,394,388
2020-03-03	$3027.01	$3185.00	32.3%	10.4%	32.7%	67.5%	38.4%	15.5%	-0.0%	-21.05B	362.41B	-3.60B	1.28	20.10	363,788	466,091	2,683,453	6,363,297
2020-03-04	$3113.45	$3185.00	26.4%	8.1%	34.0%	50.1%	29.7%	12.7%	-0.6%	-12.46B	201.23B	-3.64B	1.27	13.76	504,326	642,469	2,802,319	6,523,089
2020-03-05	$3013.36	$3225.00	36.4%	9.9%	35.2%	79.2%	34.9%	17.6%	-1.2%	-19.50B	361.11B	-3.82B	2.24	8.08	246,309	552,823	2,795,984	6,381,870
2020-03-06	$2954.56	$3220.00	38.2%	10.6%	35.4%	84.6%	38.6%	18.3%	0.2%	-26.60B	468.55B	-3.84B	2.10	14.30	435,597	916,099	2,897,723	6,614,309
2020-03-09	$2780.44	$3215.00	47.6%	13.2%	40.3%	100.0%	49.3%	17.8%	-0.0%	-19.40B	578.44B	-2.80B	2.25	35.53	358,578	808,209	2,495,922	5,739,967
2020-03-10	$2859.05	$3200.00	43.8%	12.2%	42.2%	89.9%	43.2%	18.1%	-1.7%	-17.50B	487.11B	-3.80B	1.99	10.52	335,705	666,941	2,874,830	6,383,953
2020-03-11	$2745.37	$3200.00	49.7%	13.9%	43.4%	100.0%	51.9%	18.2%	-2.1%	-21.92B	634.13B	-3.66B	2.35	14.01	357,260	837,852	3,040,596	6,656,616
2020-03-12	$2514.30	$3200.00	68.0%	18.9%	51.0%	100.0%	64.3%	25.5%	-3.2%	-15.90B	791.21B	-3.27B	1.32	12.40	653,253	860,829	3,032,660	6,534,229
2020-03-13	$2620.18	$3190.00	55.1%	15.7%	54.6%	78.1%	58.2%	21.1%	0.0%	-13.55B	695.84B	-3.44B	1.41	28.24	678,188	958,541	3,488,334	6,707,400
2020-03-16	$2443.59	$3150.00	74.7%	21.3%	57.9%	100.0%	67.4%	25.5%	-0.3%	-11.61B	710.41B	-3.25B	1.75	21.74	346,915	607,988	3,302,233	6,164,699
2020-03-17	$2510.66	$3130.00	69.2%	19.9%	59.8%	91.7%	59.8%	26.9%	0.1%	-10.45B	649.55B	-3.46B	2.36	13.82	283,370	667,527	3,373,832	6,115,667
2020-03-18	$2328.84	$3120.00	77.2%	22.1%	62.9%	100.0%	71.0%	25.4%	-2.1%	-11.97B	766.99B	-3.18B	1.96	20.73	295,062	577,438	3,508,115	6,402,041
2020-03-19	$2435.56	$3090.00	65.1%	18.9%	66.7%	82.3%	64.2%	24.5%	-2.1%	-12.55B	701.34B	-3.25B	1.36	23.06	343,632	466,947	3,454,905	6,260,058
2020-03-20	$2323.23	$3060.00	57.9%	17.0%	67.6%	71.7%	58.5%	20.4%	0.4%	-11.60B	797.73B	-2.86B	1.52	20.37	377,254	571,817	3,642,017	6,381,295
2020-03-23	$2224.20	$3030.00	57.3%	17.2%	68.1%	70.8%	58.2%	16.6%	-0.6%	-10.64B	773.13B	-2.51B	1.50	20.03	349,860	524,627	3,387,341	6,210,341
2020-03-24	$2423.08	$3005.00	54.3%	16.5%	77.3%	66.4%	59.4%	13.3%	-0.5%	-10.51B	618.65B	-3.16B	1.22	17.71	371,775	453,029	3,362,219	5,959,303
2020-03-25	$2525.36	$3000.00	56.5%	17.2%	79.6%	69.7%	57.7%	19.6%	-1.6%	-8.48B	506.97B	-3.58B	1.09	12.56	481,312	523,564	3,566,248	6,132,498
2020-03-26	$2579.23	$2975.00	54.7%	16.7%	79.7%	67.0%	60.7%	23.3%	-2.0%	-8.73B	461.83B	-3.64B	1.30	12.15	316,374	409,914	3,590,571	6,107,955
2020-03-27	$2567.97	$2965.00	56.3%	17.3%	78.9%	69.3%	58.3%	23.8%	-0.4%	-9.84B	472.64B	-3.63B	1.35	18.36	320,990	433,027	3,684,787	6,275,442
2020-03-30	$2622.22	$2925.00	49.1%	15.0%	76.4%	58.7%	54.4%	21.4%	0.1%	-7.19B	383.40B	-3.66B	1.50	10.68	306,432	459,828	3,402,949	5,896,028
2020-03-31	$2589.14	$2910.00	45.5%	13.8%	76.5%	53.5%	52.5%	20.6%	0.1%	-7.53B	427.39B	-3.53B	1.58	21.27	366,493	578,570	3,438,847	5,911,810