SPX Options History — March 2024

In March 2024, SPX traded between $5064.84 and $5258.38. ATM implied volatility averaged 11.3%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.4% (HV 20d: 12.7%). Max pain ranged from $4795.00 to $5000.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.41.

Notable Days

2024-03-08: Highest Volume — 3,972,203 contracts
2024-03-05: Largest IV spike — 10.9% change
2024-03-11: Highest IV Rank — 19.7%
2024-03-11: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5170.99	$5064.84	$5258.38	$5137.06	$5258.38
Max Pain	$4947.25	$4795.00	$5000.00	$4795.00	$5000.00
ATM IV	11.3%	10.3%	12.5%	10.4%	10.3%
Expected Move	3.3%	2.9%	3.6%	3.1%	2.9%
HV 20d	12.7%	10.4%	14.8%	13.6%	10.5%
HV 60d	11.5%	11.0%	11.7%	11.0%	11.4%
IV Rank	11.9%	4.6%	19.7%	4.6%	6.2%
IV Percentile	32.2%	6.3%	56.0%	8.3%	6.3%
Term Structure	-0.0%	-0.3%	0.2%	0.1%	-0.2%
VWIV	12.2%	10.5%	13.7%	11.1%	10.5%
Skew 25d	2.2%	1.8%	2.8%	1.8%	2.1%
Skew 10d	5.3%	3.8%	7.2%	4.1%	4.7%
Call IV 25d	10.4%	9.6%	11.4%	9.6%	9.7%
Put IV 25d	12.6%	11.4%	14.1%	11.4%	11.8%
Bid-Ask Spread %	5.82	4.35	7.74	7.74	7.31
Gamma HHI	0.03	0.02	0.05	0.03	0.03
Net GEX	43.04B	-4.27B	78.70B	76.41B	57.67B
Net DEX	-1799.29B	-2284.76B	-1122.64B	-2140.97B	-1768.79B
Net VEX	-8.65B	-9.37B	-7.83B	-7.83B	-8.74B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	1.27	1.52	1.29	1.36
Total Volume	2,822,067.5	2,026,564	3,972,203	3,262,295	2,588,857
Total OI	20,290,385.8	18,077,697	22,931,577	20,648,529	19,811,947

Daily Data (20 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
2024-03-01	$5137.06	$4795.00	10.4%	3.1%	13.6%	4.6%	11.1%	1.8%	0.1%	76.41B	-2140.97B	-7.83B	1.29	7.74	1,425,107	1,837,188	6,940,215	13,708,314
2024-03-04	$5134.25	$4875.00	10.9%	3.2%	13.0%	7.8%	12.6%	2.0%	0.1%	59.70B	-2080.12B	-8.12B	1.45	4.35	970,218	1,408,578	7,033,162	13,770,393
2024-03-05	$5064.84	$4890.00	12.1%	3.5%	14.0%	16.4%	13.4%	2.8%	0.1%	-1.20B	-1575.97B	-9.07B	1.33	4.77	1,479,200	1,962,167	7,077,384	13,976,897
2024-03-06	$5105.73	$4900.00	12.0%	3.5%	14.2%	15.7%	12.7%	2.5%	-0.3%	44.13B	-1916.36B	-8.53B	1.27	4.62	1,257,669	1,592,150	7,190,399	14,215,505
2024-03-07	$5160.13	$4900.00	11.9%	3.5%	14.2%	15.2%	12.6%	2.0%	-0.2%	72.14B	-2202.40B	-8.36B	1.32	4.61	1,301,686	1,715,683	7,249,306	14,333,274
2024-03-08	$5129.13	$4910.00	11.9%	3.5%	14.5%	15.5%	13.1%	2.5%	0.1%	28.61B	-1998.07B	-8.76B	1.36	4.80	1,686,115	2,286,088	7,346,684	14,574,563
2024-03-11	$5121.05	$4925.00	12.5%	3.6%	14.4%	19.7%	13.1%	2.7%	0.1%	18.96B	-1929.67B	-8.73B	1.51	4.76	1,073,610	1,621,211	7,403,479	14,618,918
2024-03-12	$5174.36	$4950.00	11.5%	3.3%	14.8%	12.4%	12.4%	2.1%	-0.0%	63.05B	-2284.76B	-8.24B	1.43	4.65	1,361,034	1,944,724	7,473,809	14,774,645
2024-03-13	$5164.27	$4950.00	11.3%	3.3%	13.2%	11.1%	12.1%	2.1%	-0.2%	48.63B	-2236.43B	-8.57B	1.41	5.73	1,057,863	1,489,968	7,620,015	15,068,154
2024-03-14	$5137.73	$4950.00	11.9%	3.4%	13.0%	16.0%	12.8%	2.7%	-0.3%	21.91B	-2017.57B	-8.91B	1.41	5.58	1,456,656	2,056,448	7,718,385	15,213,192
2024-03-15	$5115.80	$4960.00	12.1%	3.5%	13.1%	17.6%	13.7%	2.7%	0.1%	-4.27B	-1122.64B	-9.37B	1.36	5.49	1,305,033	1,775,780	5,913,452	12,337,484
2024-03-18	$5159.11	$4975.00	12.0%	3.5%	13.2%	17.4%	13.4%	2.4%	0.1%	34.37B	-1364.24B	-8.90B	1.52	5.47	936,259	1,422,365	5,870,440	12,207,257
2024-03-19	$5171.99	$4975.00	11.8%	3.4%	12.8%	15.8%	12.2%	2.3%	-0.0%	44.82B	-1427.37B	-8.75B	1.37	5.69	1,151,462	1,576,821	5,925,662	12,284,754
2024-03-20	$5216.71	$4990.00	11.1%	3.2%	13.0%	11.5%	11.6%	1.9%	-0.2%	67.23B	-1662.38B	-8.41B	1.51	6.90	966,754	1,458,277	5,990,341	12,390,138
2024-03-21	$5248.55	$5000.00	10.5%	3.0%	10.4%	6.9%	11.2%	1.8%	-0.1%	78.70B	-1761.74B	-8.37B	1.34	5.77	1,222,809	1,633,998	6,087,452	12,674,937
2024-03-22	$5238.15	$5000.00	10.3%	3.0%	10.5%	5.1%	11.3%	1.9%	0.2%	65.43B	-1685.27B	-8.85B	1.51	6.87	1,027,745	1,547,961	6,221,268	12,903,664
2024-03-25	$5225.19	$5000.00	10.7%	3.1%	10.4%	7.9%	11.5%	2.1%	0.1%	20.41B	-1590.71B	-8.85B	1.50	6.52	811,053	1,215,511	6,211,205	12,844,122
2024-03-26	$5213.53	$5000.00	10.6%	3.0%	10.5%	8.6%	11.3%	2.1%	0.1%	16.11B	-1555.95B	-8.79B	1.51	7.12	836,184	1,261,627	6,265,526	13,011,145
2024-03-27	$5243.81	$5000.00	10.4%	2.9%	10.5%	6.6%	10.7%	2.0%	-0.1%	47.92B	-1664.32B	-8.90B	1.41	7.70	1,126,649	1,592,842	6,338,015	13,212,214
2024-03-28	$5258.38	$5000.00	10.3%	2.9%	10.5%	6.2%	10.5%	2.1%	-0.2%	57.67B	-1768.79B	-8.74B	1.36	7.31	1,095,041	1,493,816	6,451,057	13,360,890