SPY Options History — January 2007

In January 2007, SPY traded between $140.54 and $143.95. ATM implied volatility averaged 9.6%. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.3% (HV 20d: 8.3%). Max pain ranged from $141.00 to $143.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.02.

Notable Days

  • 2007-01-19: Highest Volume — 353,742 contracts
  • 2007-01-25: Largest IV spike — 19.6% change
  • 2007-01-05: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.31$140.54$143.95$141.37$143.75
Max Pain$142.30$141.00$143.00$141.00$143.00
ATM IV9.6%8.4%10.5%10.4%8.6%
Expected Move2.8%2.4%3.2%3.0%2.5%
HV 20d8.3%8.1%8.7%8.7%8.2%
Term Structure0.6%0.1%1.5%1.5%0.9%
VWIV10.1%8.5%12.2%10.2%9.1%
Skew 25d2.9%2.3%3.4%2.5%2.6%
Skew 10d6.0%5.0%7.1%5.3%5.0%
Call IV 25d8.4%7.3%9.6%9.2%7.6%
Put IV 25d11.3%9.6%12.9%11.7%10.1%
Bid-Ask Spread %8.225.2710.445.657.74
Gamma HHI0.080.070.100.070.07
Net GEX-378.9M-589.6M-72.9M-415.9M-327.9M
Net DEX-6.02B-8.93B-2.78B-4.42B-7.60B
Net VEX-67.7M-72.3M-59.5M-67.5M-66.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.933.521.321.52
Total Volume217,668.3108,823353,742194,316205,915
Total OI3,643,170.23,192,3694,056,1433,355,5513,751,718

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$141.37$141.0010.4%3.0%0.0%0.0%10.2%2.5%1.5%-415.9M-4.42B-67.5M1.325.65N/AN/A83,675110,6411,303,4452,052,106
2007-01-04$141.67$141.009.4%2.7%0.0%0.0%9.9%2.3%1.5%-398.8M-5.01B-68.3M3.525.86N/AN/A65,015228,7521,342,7572,121,148
2007-01-05$140.54$142.0010.2%3.2%0.0%0.0%12.2%3.3%0.2%-588.4M-2.78B-72.3M2.0410.27N/AN/A63,374129,4801,363,8512,197,359
2007-01-08$141.19$142.0010.3%3.2%0.0%0.0%11.5%3.2%0.3%-473.3M-4.00B-70.1M1.469.61N/AN/A64,77794,6981,383,5312,203,743
2007-01-09$141.07$142.0010.5%3.2%0.0%0.0%11.5%3.2%0.1%-496.0M-3.80B-70.4M0.9310.44N/AN/A122,671114,6751,407,4892,231,120
2007-01-10$141.54$142.009.2%3.0%0.0%0.0%11.3%3.4%0.3%-378.7M-5.16B-70.4M2.419.85N/AN/A64,254154,9111,474,0732,227,199
2007-01-11$142.16$142.0010.0%2.9%0.0%0.0%10.3%3.1%0.5%-260.3M-6.91B-70.4M2.018.24N/AN/A81,302163,6131,498,1102,322,187
2007-01-12$143.24$142.009.7%2.8%0.0%0.0%10.1%2.9%0.5%-72.9M-8.93B-66.2M2.5010.24N/AN/A62,239155,8581,524,3272,368,759
2007-01-16$142.96$142.009.8%2.8%0.0%0.0%10.5%3.0%0.5%-226.4M-8.37B-65.4M1.618.84N/AN/A97,833157,4581,536,6462,435,934
2007-01-17$143.02$142.009.7%2.8%0.0%0.0%10.1%3.0%0.6%-138.5M-8.46B-65.6M1.7410.03N/AN/A84,316146,8621,584,2022,471,941
2007-01-18$142.54$142.009.4%2.7%0.0%0.0%9.5%3.0%0.5%-465.5M-7.04B-65.8M2.179.12N/AN/A59,282128,6791,553,2652,477,154
2007-01-19$142.82$142.009.1%2.6%0.0%0.0%9.0%2.9%0.6%-438.6M-7.76B-63.3M1.937.76N/AN/A120,820232,9221,552,7082,482,678
2007-01-22$142.38$143.009.8%2.8%0.0%0.0%9.7%3.0%0.6%-372.8M-5.47B-65.9M1.949.37N/AN/A52,010100,6401,235,4391,956,930
2007-01-23$142.80$143.008.8%2.5%0.0%0.0%9.0%2.9%0.7%-317.3M-6.26B-64.8M1.716.33N/AN/A53,68891,7901,260,5661,985,290
2007-01-24$143.95$143.008.4%2.4%0.0%0.0%8.5%2.4%0.7%-177.6M-7.78B-59.5M1.555.27N/AN/A76,073118,1511,283,3462,022,394
2007-01-25$142.26$143.0010.0%2.9%8.7%0.0%10.0%3.0%0.2%-402.7M-5.28B-66.5M2.977.49N/AN/A72,085214,1971,323,6002,062,418
2007-01-26$142.16$143.009.6%2.8%8.4%0.0%9.8%2.7%0.6%-587.5M-4.77B-70.8M2.667.48N/AN/A81,218216,3221,347,4962,190,001
2007-01-29$142.05$143.0010.3%2.9%8.1%0.0%10.4%2.9%0.2%-589.6M-4.61B-72.1M2.167.74N/AN/A55,112119,2351,382,3562,248,073
2007-01-30$142.79$143.009.4%2.7%8.1%0.0%9.5%2.6%0.4%-448.7M-6.07B-71.7M2.217.12N/AN/A33,93774,8861,413,9392,284,106
2007-01-31$143.75$143.008.6%2.5%8.2%0.0%9.1%2.6%0.9%-327.9M-7.60B-66.4M1.527.74N/AN/A81,667124,2481,426,9272,324,791