SPX Options History — March 2021 In March 2021, SPX traded between $3766.25 and $3980.97. ATM implied volatility averaged 16.9%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.1% (HV 20d: 15.8%). Max pain ranged from $3750.00 to $3860.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.46.
Notable Days 2021-03-05 : Highest Volume — 1,203,587 contracts2021-03-05 : Largest IV drop — 19.5% change2021-03-04 : Highest IV Rank — 12.8%2021-03-04 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $3913.81 $3766.25 $3980.97 $3903.11 $3980.97 Max Pain $3792.83 $3750.00 $3860.00 $3790.00 $3860.00 ATM IV 16.9% 14.4% 23.2% 17.5% 14.9% Expected Move 4.9% 4.0% 6.5% 5.2% 4.0% HV 20d 15.8% 12.6% 17.6% 13.5% 13.9% HV 60d 15.0% 13.7% 15.4% 13.7% 15.2% IV Rank 3.2% 0.0% 12.8% 3.5% 1.2% IV Percentile 13.3% 0.0% 58.7% 18.3% 0.8% Term Structure 0.3% -0.8% 1.0% 0.2% 0.1% VWIV 19.4% 15.1% 24.5% 21.7% 15.1% Skew 25d 7.2% 5.0% 11.2% 8.1% 6.0% Skew 10d 14.7% 11.0% 21.5% 16.8% 12.7% Call IV 25d 14.3% 12.5% 18.6% 14.8% 12.9% Put IV 25d 21.5% 18.3% 29.8% 22.8% 18.9% Bid-Ask Spread % 5.35 3.51 8.82 7.21 7.09 Gamma HHI 0.03 0.02 0.04 0.02 0.03 Net GEX 6.83B -13.49B 22.70B 7.40B 19.88B Net DEX -193.99B -296.78B 11.95B -176.63B -296.78B Net VEX -3.01B -3.07B -2.92B -2.95B -3.03B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 1.17 1.90 1.50 1.17 Total Volume 781,141.13 510,407 1,203,587 937,348 1,025,086 Total OI 6,168,861 5,712,895 6,739,784 5,712,895 6,739,784
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 2021-03-01 $3903.11 $3790.00 17.5% 5.2% 13.5% 3.5% 21.7% 8.1% 0.2% 7.40B -176.63B -2.95B 1.50 7.21 375,617 561,731 1,857,052 3,855,843 2021-03-02 $3885.90 $3800.00 18.2% 5.3% 12.8% 4.6% 20.3% 8.7% -0.0% 460.7M -146.92B -2.98B 1.90 7.16 193,249 367,516 1,874,103 3,921,081 2021-03-03 $3839.10 $3800.00 20.1% 6.0% 12.6% 7.7% 21.1% 9.4% -0.2% -10.09B -75.07B -3.01B 1.33 8.82 347,058 463,160 1,928,759 4,055,161 2021-03-04 $3766.25 $3750.00 23.2% 6.5% 14.3% 12.8% 24.5% 11.2% -0.8% -13.49B 11.95B -3.05B 1.38 5.19 349,821 481,090 1,913,880 3,990,913 2021-03-05 $3845.42 $3750.00 18.7% 5.5% 16.1% 5.4% 21.8% 9.2% 0.5% -5.16B -108.60B -3.01B 1.37 4.28 507,109 696,478 2,001,874 4,136,515 2021-03-08 $3841.48 $3750.00 19.8% 5.8% 16.0% 7.3% 19.9% 9.4% 0.4% 1.64B -112.84B -3.01B 1.55 3.66 342,356 529,812 1,910,723 3,896,127 2021-03-09 $3883.35 $3750.00 18.6% 5.4% 16.3% 5.3% 19.5% 8.3% 0.1% 5.37B -165.74B -3.01B 1.68 3.70 211,528 356,106 1,904,593 3,938,794 2021-03-10 $3903.75 $3750.00 17.6% 5.2% 16.4% 3.7% 20.2% 7.5% 0.4% 12.18B -197.74B -3.00B 1.53 3.59 285,653 437,889 1,971,283 4,100,885 2021-03-11 $3942.20 $3750.00 17.0% 5.0% 16.7% 2.7% 21.0% 6.9% 0.5% 17.32B -250.43B -3.00B 1.33 3.51 278,209 370,409 1,960,753 4,077,342 2021-03-12 $3942.18 $3750.00 16.1% 4.8% 16.7% 1.2% 22.4% 6.0% 0.8% 17.31B -250.58B -3.03B 1.46 3.85 284,429 415,164 2,038,069 4,245,616 2021-03-15 $3956.57 $3760.00 15.3% 4.5% 16.7% 0.0% 17.8% 5.4% 1.0% 15.39B -257.95B -2.96B 1.42 3.82 335,501 475,995 1,953,616 3,998,447 2021-03-16 $3966.47 $3770.00 15.4% 4.5% 16.7% 0.2% 19.5% 6.0% 0.6% 15.79B -269.32B -2.98B 1.57 3.92 212,383 334,461 1,998,576 4,052,448 2021-03-17 $3970.54 $3780.00 15.1% 4.3% 16.7% 0.0% 18.4% 5.0% 0.4% 17.82B -274.54B -3.00B 1.29 4.58 307,188 396,871 2,069,989 4,224,102 2021-03-18 $3915.10 $3790.00 17.4% 5.0% 17.5% 3.7% 21.9% 7.1% 0.2% 1.37B -178.70B -3.02B 1.43 4.53 229,221 328,716 2,045,280 4,087,474 2021-03-19 $3926.17 $3800.00 15.5% 4.5% 17.5% 0.8% 18.5% 6.3% 0.6% 7.9M -200.07B -2.99B 1.40 4.62 377,670 528,908 2,103,140 4,239,944 2021-03-22 $3941.10 $3800.00 14.7% 4.2% 17.3% 0.0% 16.5% 5.6% 0.5% 5.39B -224.28B -2.92B 1.28 5.77 359,487 461,825 2,029,978 4,094,970 2021-03-23 $3906.45 $3825.00 16.3% 4.7% 17.6% 3.7% 19.2% 7.0% 0.2% 784.8M -165.64B -3.01B 1.81 5.94 225,075 406,492 2,053,789 4,104,948 2021-03-24 $3903.67 $3830.00 16.1% 4.6% 17.4% 3.3% 19.2% 6.9% 0.4% -5.86B -153.49B -3.06B 1.34 5.52 361,743 483,858 2,112,610 4,326,431 2021-03-25 $3914.20 $3840.00 15.4% 4.3% 15.2% 1.6% 18.3% 6.3% 0.5% 120.9M -178.89B -3.07B 1.36 6.04 292,723 398,814 2,088,770 4,304,806 2021-03-26 $3949.88 $3840.00 14.4% 4.0% 15.4% 0.0% 15.9% 6.2% 0.6% 22.70B -257.78B -3.06B 1.67 6.34 421,322 704,355 2,173,984 4,469,819 2021-03-29 $3973.31 $3850.00 15.8% 4.5% 14.7% 3.2% 17.7% 6.5% 0.6% 19.74B -275.40B -3.07B 1.33 5.64 400,736 533,025 2,105,905 4,388,737 2021-03-30 $3960.36 $3850.00 15.3% 4.2% 14.7% 2.2% 15.7% 6.3% 0.2% 11.06B -256.36B -3.04B 1.40 8.19 212,991 297,416 2,113,315 4,423,575 2021-03-31 $3980.97 $3860.00 14.9% 4.0% 13.9% 1.2% 15.1% 6.0% 0.1% 19.88B -296.78B -3.03B 1.17 7.09 471,348 553,738 2,177,043 4,562,741
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