SPX Options History — March 2022

In March 2022, SPX traded between $4171.64 and $4633.00. ATM implied volatility averaged 22.7%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.2% (HV 20d: 23.9%). Max pain ranged from $4400.00 to $4450.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.53.

Notable Days

2022-03-16: Highest Volume — 2,079,797 contracts
2022-03-02: Largest IV drop — 12.8% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-08: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4389.41	$4171.64	$4633.00	$4293.47	$4561.14
Max Pain	$4417.17	$4400.00	$4450.00	$4450.00	$4440.00
ATM IV	22.7%	14.9%	30.1%	29.1%	17.2%
Expected Move	7.0%	4.7%	10.0%	9.2%	5.2%
HV 20d	23.9%	21.6%	26.0%	22.3%	21.6%
HV 60d	20.3%	18.8%	21.2%	19.0%	21.2%
IV Rank	63.3%	23.1%	100.0%	100.0%	34.3%
IV Percentile	86.8%	58.7%	100.0%	100.0%	73.4%
Term Structure	0.0%	-0.9%	0.7%	0.0%	0.7%
VWIV	26.7%	19.7%	35.4%	32.6%	21.2%
Skew 25d	8.7%	5.8%	11.3%	11.3%	6.8%
Skew 10d	16.7%	11.6%	21.1%	21.1%	12.9%
Call IV 25d	18.8%	12.8%	24.8%	23.7%	14.1%
Put IV 25d	27.5%	18.5%	35.1%	35.0%	20.9%
Bid-Ask Spread %	6.36	3.56	12.05	12.05	5.07
Gamma HHI	0.02	0.01	0.02	0.01	0.02
Net GEX	-10.91B	-41.24B	28.03B	-27.06B	4.47B
Net DEX	121.24B	-650.89B	817.71B	478.21B	-416.50B
Net VEX	-7.10B	-18.15B	-6.35B	-6.82B	-6.77B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	1.25	1.82	1.46	1.59
Total Volume	1,763,896.174	1,300,134	2,079,797	1,546,191	1,871,240
Total OI	14,595,938.783	12,680,258	16,456,433	14,430,326	14,330,095

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
2022-03-01	$4293.47	$4450.00	29.1%	9.2%	22.3%	100.0%	32.6%	11.3%	0.0%	-27.06B	478.21B	-6.82B	1.46	12.05	629,766	916,425	5,300,382	9,129,944
2022-03-02	$4395.78	$4445.00	25.4%	7.7%	23.7%	80.2%	28.7%	10.7%	-0.6%	-10.65B	162.24B	-6.92B	1.51	9.24	708,786	1,066,842	5,419,113	9,403,884
2022-03-03	$4348.66	$4445.00	26.7%	8.2%	23.5%	87.3%	28.8%	11.1%	-0.7%	-22.62B	328.58B	-6.85B	1.40	10.31	568,619	798,456	5,399,457	9,491,532
2022-03-04	$4313.98	$4440.00	27.2%	8.5%	22.3%	89.6%	30.4%	10.6%	0.1%	-31.41B	444.30B	-6.78B	1.71	10.72	701,776	1,202,681	5,495,421	9,720,146
2022-03-07	$4212.81	$4435.00	30.1%	10.0%	23.2%	100.0%	35.3%	10.3%	0.2%	-38.65B	714.70B	-6.56B	1.59	10.31	733,867	1,166,675	5,439,289	9,564,843
2022-03-08	$4182.36	$4425.00	29.9%	10.0%	23.2%	99.0%	35.4%	10.3%	0.1%	-39.85B	795.69B	-6.44B	1.54	10.94	636,345	980,148	5,451,880	9,694,272
2022-03-09	$4291.77	$4425.00	27.0%	8.9%	25.3%	84.2%	33.3%	10.3%	-0.3%	-22.30B	466.02B	-6.67B	1.43	7.82	774,785	1,104,393	5,613,626	9,971,889
2022-03-10	$4253.07	$4415.00	26.8%	8.5%	24.5%	83.0%	29.7%	9.7%	-0.3%	-31.23B	589.66B	-6.56B	1.25	8.91	717,104	895,067	5,634,450	9,991,463
2022-03-11	$4213.92	$4415.00	26.7%	8.7%	23.9%	82.8%	30.7%	9.2%	0.3%	-39.57B	714.28B	-6.48B	1.56	7.53	757,338	1,182,504	5,706,045	10,216,863
2022-03-14	$4171.64	$4410.00	28.4%	7.9%	23.5%	91.4%	28.8%	9.9%	-0.9%	-41.24B	817.71B	-6.35B	1.53	4.88	741,405	1,133,277	5,646,487	10,108,873
2022-03-15	$4258.43	$4400.00	26.0%	7.3%	24.9%	79.4%	29.6%	9.5%	-0.7%	-28.60B	540.46B	-6.49B	1.62	4.34	592,562	957,894	5,713,113	10,188,995
2022-03-16	$4332.50	$4400.00	22.9%	6.6%	25.3%	63.7%	26.0%	8.8%	-0.5%	-13.56B	271.66B	-6.46B	1.43	5.23	855,063	1,224,734	5,887,090	10,512,947
2022-03-17	$4406.14	$4400.00	21.1%	6.1%	26.0%	54.5%	24.3%	7.9%	-0.4%	-1.56B	-24.28B	-6.56B	1.33	3.71	693,391	923,891	5,876,546	10,579,887
2022-03-18	$4461.19	$4400.00	19.3%	5.8%	25.4%	45.2%	23.1%	7.6%	0.5%	5.62B	-183.91B	-6.58B	1.28	3.91	841,464	1,075,476	4,306,092	8,522,126
2022-03-21	$4444.33	$4400.00	19.9%	5.9%	25.3%	48.5%	23.2%	7.8%	0.5%	-1.58B	-131.16B	-6.55B	1.50	3.67	770,831	1,153,238	4,283,880	8,396,378
2022-03-22	$4514.82	$4400.00	18.3%	5.5%	25.3%	39.9%	22.0%	7.4%	0.1%	6.65B	-308.00B	-6.55B	1.61	4.02	613,888	990,679	4,362,857	8,531,477
2022-03-23	$4472.54	$4400.00	18.9%	5.6%	24.5%	43.0%	23.7%	7.7%	0.1%	-2.91B	-183.74B	-18.15B	1.55	3.82	640,333	993,085	4,495,437	8,872,231
2022-03-24	$4510.16	$4400.00	17.6%	5.3%	24.4%	36.7%	22.2%	7.2%	0.2%	5.77B	-298.15B	-6.58B	1.59	3.87	502,758	797,376	4,485,688	8,876,476
2022-03-25	$4527.20	$4400.00	16.8%	5.2%	23.2%	32.6%	21.4%	7.2%	0.7%	15.15B	-360.20B	-6.61B	1.69	4.13	758,959	1,283,361	4,610,601	9,094,804
2022-03-28	$4564.70	$4405.00	15.8%	5.0%	23.1%	27.7%	21.9%	6.5%	0.7%	18.65B	-452.70B	-6.51B	1.82	3.96	671,382	1,224,860	4,557,427	8,939,822
2022-03-29	$4633.00	$4420.00	14.9%	4.7%	22.7%	23.1%	19.7%	5.8%	0.2%	28.03B	-650.89B	-6.51B	1.61	3.56	712,721	1,146,918	4,602,974	9,086,227
2022-03-30	$4592.79	$4425.00	16.2%	5.0%	21.8%	29.6%	22.2%	6.5%	0.7%	17.47B	-525.54B	-6.65B	1.58	4.29	718,802	1,138,447	4,758,772	9,434,791
2022-03-31	$4561.14	$4440.00	17.2%	5.2%	21.6%	34.3%	21.2%	6.8%	0.7%	4.47B	-416.50B	-6.77B	1.59	5.07	723,787	1,147,453	4,781,911	9,548,184