SPX Options History — March 2023 In March 2023, SPX traded between $3863.00 and $4105.54. ATM implied volatility averaged 19.4%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.6% (HV 20d: 15.8%). Max pain ranged from $4000.00 to $4045.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.38.
Notable Days 2023-03-10 : Highest Volume — 3,829,619 contracts2023-03-09 : Largest IV spike — 14.4% change2023-03-13 : Highest IV Rank — 53.2%2023-03-13 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $3968.02 $3863.00 $4105.54 $3946.82 $4105.54 Max Pain $4010.43 $4000.00 $4045.00 $4000.00 $4000.00 ATM IV 19.4% 15.7% 23.6% 19.4% 15.7% Expected Move 5.6% 4.6% 6.5% 5.8% 4.6% HV 20d 15.8% 14.0% 17.9% 15.3% 17.6% HV 60d 16.3% 15.9% 16.7% 16.5% 16.5% IV Rank 27.9% 5.5% 53.2% 28.1% 5.5% IV Percentile 29.6% 0.4% 63.1% 27.4% 0.4% Term Structure -0.1% -0.7% 0.7% -0.6% 0.1% VWIV 20.6% 17.5% 24.1% 19.8% 17.5% Skew 25d 5.7% 3.8% 8.0% 4.7% 4.7% Skew 10d 10.6% 6.9% 15.6% 8.1% 9.1% Call IV 25d 16.6% 13.7% 19.9% 16.8% 13.7% Put IV 25d 22.3% 18.4% 27.1% 21.5% 18.4% Bid-Ask Spread % 5.33 3.67 12.40 7.80 5.16 Gamma HHI 0.02 0.01 0.03 0.02 0.02 Net GEX -9.03B -46.92B 40.25B -27.21B 40.25B Net DEX 154.49B -386.69B 754.85B 212.53B -386.69B Net VEX -6.90B -7.21B -6.34B -6.68B -7.02B Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 1.19 1.85 1.33 1.26 Total Volume 2,597,093.522 2,032,274 3,829,619 2,468,619 2,709,462 Total OI 17,181,210.304 15,371,785 19,230,054 17,179,637 16,925,535
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 2023-03-01 $3946.82 $4000.00 19.4% 5.8% 15.3% 28.1% 19.8% 4.7% -0.6% -27.21B 212.53B -6.68B 1.33 7.80 1,057,857 1,410,762 6,118,956 11,060,681 2023-03-02 $3980.06 $4000.00 18.6% 5.5% 14.0% 22.7% 19.7% 4.6% -0.5% -10.76B 74.94B -6.68B 1.24 8.82 1,122,859 1,391,666 6,202,152 11,210,303 2023-03-03 $4042.96 $4000.00 16.8% 5.0% 14.8% 12.1% 18.6% 4.0% 0.2% 18.15B -194.26B -6.74B 1.28 12.40 1,126,978 1,439,816 6,260,444 11,371,602 2023-03-06 $4050.61 $4045.00 17.2% 5.0% 14.7% 14.5% 18.7% 3.8% -0.0% 10.35B -214.46B -6.34B 1.36 3.82 1,153,886 1,564,002 6,282,265 11,362,642 2023-03-07 $3986.78 $4045.00 18.1% 5.2% 15.4% 19.6% 18.8% 4.2% 0.2% -19.63B 81.89B -6.59B 1.27 3.87 1,122,267 1,429,337 6,343,294 11,519,268 2023-03-08 $3976.33 $4045.00 17.9% 5.1% 14.3% 18.9% 18.7% 4.1% 0.1% -16.23B 65.47B -6.60B 1.27 3.86 916,529 1,162,538 6,396,382 11,683,090 2023-03-09 $3917.44 $4045.00 20.5% 5.8% 14.8% 34.5% 20.7% 5.2% -0.7% -46.92B 423.58B -7.08B 1.45 4.40 1,292,833 1,875,662 6,466,615 11,779,870 2023-03-10 $3867.72 $4035.00 22.1% 6.3% 15.1% 44.3% 23.5% 6.3% -0.1% -42.13B 754.85B -6.80B 1.85 5.01 1,341,611 2,488,008 6,525,018 11,966,210 2023-03-13 $3863.00 $4025.00 23.6% 6.5% 15.0% 53.2% 24.1% 6.6% -0.1% -40.10B 659.52B -6.82B 1.47 5.79 1,186,140 1,745,839 6,486,133 12,012,220 2023-03-14 $3884.25 $4000.00 22.2% 6.2% 14.4% 44.5% 22.0% 6.5% -0.1% -33.16B 545.68B -6.81B 1.42 4.41 1,235,394 1,748,272 6,540,580 12,109,670 2023-03-15 $3891.08 $4000.00 22.8% 6.4% 14.4% 48.1% 23.9% 8.0% -0.6% -37.18B 651.61B -6.96B 1.36 5.02 1,208,383 1,645,335 6,657,830 12,330,160 2023-03-16 $3959.57 $4000.00 20.0% 5.7% 16.1% 31.2% 21.5% 6.7% -0.6% -6.13B 214.78B -6.99B 1.19 4.28 1,406,528 1,669,104 6,752,764 12,477,290 2023-03-17 $3919.56 $4000.00 22.3% 6.4% 16.2% 45.2% 23.5% 7.6% 0.1% -18.95B 274.94B -7.21B 1.42 4.28 1,117,266 1,584,026 5,235,539 10,242,276 2023-03-20 $3945.35 $4000.00 21.0% 6.2% 16.4% 37.5% 22.4% 7.3% 0.4% -9.83B 168.99B -7.09B 1.44 3.67 954,577 1,377,543 5,227,166 10,144,619 2023-03-21 $3998.45 $4000.00 19.1% 5.5% 16.2% 26.0% 20.3% 5.5% 0.1% 9.83B -49.97B -7.02B 1.37 3.76 1,010,403 1,383,475 5,301,212 10,279,704 2023-03-22 $4002.83 $4000.00 18.6% 5.3% 16.0% 22.6% 21.2% 5.6% -0.1% -4.39B 87.89B -7.06B 1.48 5.73 874,971 1,297,847 5,379,011 10,451,408 2023-03-23 $3930.60 $4000.00 20.8% 6.0% 16.9% 36.1% 21.6% 6.9% -0.6% -18.68B 195.75B -7.21B 1.47 6.00 1,142,109 1,673,576 5,399,978 10,620,376 2023-03-24 $3970.50 $4000.00 19.4% 5.7% 16.8% 27.9% 20.6% 6.6% 0.1% -8.91B 120.30B -7.16B 1.47 4.69 998,013 1,468,813 5,471,676 10,831,703 2023-03-27 $3990.90 $4000.00 18.1% 5.3% 16.9% 20.0% 19.5% 5.8% 0.3% 295.2M 49.04B -6.98B 1.33 4.70 878,934 1,169,908 5,444,667 10,701,884 2023-03-28 $3959.24 $4000.00 18.4% 5.4% 17.1% 21.9% 19.2% 5.4% 0.3% -12.66B 121.84B -6.95B 1.38 4.99 854,209 1,178,065 5,518,962 10,800,920 2023-03-29 $4025.35 $4000.00 17.5% 5.0% 17.9% 16.0% 18.7% 5.2% 0.7% 29.36B -117.64B -6.99B 1.20 5.01 976,221 1,169,747 5,596,239 10,958,214 2023-03-30 $4049.41 $4000.00 16.6% 4.8% 17.8% 10.6% 18.7% 5.1% -0.3% 36.84B -187.27B -7.03B 1.34 5.22 928,962 1,243,418 5,682,718 11,038,591 2023-03-31 $4105.54 $4000.00 15.7% 4.6% 17.6% 5.5% 17.5% 4.7% 0.1% 40.25B -386.69B -7.02B 1.26 5.16 1,197,829 1,511,633 5,748,224 11,177,311
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