SPY Options History — February 2007 In February 2007, SPY traded between $139.50 and $146.04. ATM implied volatility averaged 9.8%. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.3% (HV 20d: 8.5%). Max pain ranged from $140.00 to $143.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.39.
Notable Days 2007-02-27 : Highest Volume — 1,190,049 contracts2007-02-27 : Largest IV spike — 63.8% change2007-02-27 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $144.60 $139.50 $146.04 $144.61 $140.93 Max Pain $140.68 $140.00 $143.00 $143.00 $141.00 ATM IV 9.8% 8.2% 16.4% 8.5% 14.1% Expected Move 2.9% 2.4% 4.7% 2.4% 4.0% HV 20d 8.5% 6.3% 16.2% 8.2% 16.2% Term Structure 0.2% -1.0% 0.8% 0.8% -0.5% VWIV 10.5% 8.8% 15.4% 9.3% 14.1% Skew 25d 3.4% 2.1% 5.1% 2.1% 4.6% Skew 10d 6.5% 5.2% 9.4% 5.2% 9.4% Call IV 25d 8.5% 7.5% 13.9% 7.9% 12.3% Put IV 25d 11.8% 10.0% 18.9% 10.0% 16.9% Bid-Ask Spread % 9.15 4.86 27.57 4.86 18.80 Gamma HHI 0.09 0.07 0.21 0.07 0.08 Net GEX -284.9M -1.03B 442.2M -220.5M -1.03B Net DEX -7.57B -11.22B 3.36B -8.99B 1.66B Net VEX -71.3M -90.7M -66.7M -66.8M -90.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.39 1.05 3.88 1.59 2.50 Total Volume 266,372.947 103,274 1,190,049 145,601 735,546 Total OI 4,108,128.895 3,776,632 4,585,864 3,803,345 4,534,035
Daily Data (19 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $144.61 $143.00 8.5% 2.4% 8.2% 0.0% 9.3% 2.1% 0.8% -220.5M -8.99B -66.8M 1.59 4.86 N/A N/A 56,164 89,437 1,448,831 2,354,514 2007-02-02 $144.81 $140.00 8.2% 2.7% 8.2% 0.0% 10.6% 3.3% 0.3% -186.9M -9.19B -67.3M 2.12 6.95 N/A N/A 50,819 107,829 1,453,792 2,379,258 2007-02-05 $144.85 $140.00 8.7% 2.7% 7.4% 0.0% 10.0% 3.6% 0.4% -231.1M -9.12B -67.5M 1.05 8.77 N/A N/A 50,476 52,798 1,477,692 2,442,766 2007-02-06 $144.89 $140.00 8.4% 2.7% 7.3% 0.0% 10.4% 3.4% 0.4% -237.3M -9.22B -68.0M 1.97 6.33 N/A N/A 52,614 103,454 1,500,745 2,473,262 2007-02-07 $145.21 $140.00 8.4% 2.8% 7.3% 0.0% 9.8% 3.3% 0.1% -183.6M -9.72B -67.3M 1.89 7.35 N/A N/A 60,247 114,017 1,525,086 2,506,986 2007-02-08 $145.02 $140.00 9.4% 2.7% 7.3% 0.0% 10.5% 3.4% 0.3% -149.1M -9.40B -68.3M 1.95 7.02 N/A N/A 47,142 91,700 1,555,209 2,525,378 2007-02-09 $143.94 $140.00 10.0% 2.9% 7.8% 0.0% 10.1% 3.5% 0.2% -429.0M -7.20B -70.0M 2.37 7.69 N/A N/A 69,334 164,620 1,570,854 2,536,235 2007-02-12 $143.45 $140.00 10.9% 3.1% 7.5% 0.0% 11.5% 3.8% 0.2% -657.3M -5.94B -69.8M 3.19 7.26 N/A N/A 74,134 236,362 1,596,443 2,587,880 2007-02-13 $144.66 $141.00 9.1% 2.6% 8.0% 0.0% 10.0% 3.5% 0.5% -196.2M -9.10B -67.2M 2.30 5.69 N/A N/A 67,562 155,198 1,621,906 2,674,774 2007-02-14 $145.61 $141.00 9.0% 2.6% 8.3% 0.0% 10.0% 3.3% 0.2% 164.4M -11.20B -66.7M 2.02 6.55 N/A N/A 112,596 227,409 1,636,907 2,707,010 2007-02-15 $145.80 $141.00 9.2% 2.6% 8.1% 0.0% 9.3% 3.4% -0.0% 343.5M -11.22B -69.1M 2.29 6.26 N/A N/A 56,384 129,213 1,677,320 2,839,064 2007-02-16 $145.73 $141.00 8.9% 2.5% 8.2% 0.0% 9.9% 3.1% 0.2% 442.2M -10.73B -70.4M 1.59 5.95 N/A N/A 56,529 89,638 1,680,850 2,905,014 2007-02-20 $146.04 $141.00 9.1% 2.6% 8.0% 0.0% 10.2% 3.1% 0.4% -235.8M -8.24B -69.0M 2.76 4.91 N/A N/A 50,709 139,880 1,361,601 2,415,031 2007-02-21 $145.98 $142.00 9.2% 2.7% 8.0% 0.0% 10.1% 2.7% 0.1% -316.4M -7.89B -70.4M 3.87 5.43 N/A N/A 23,113 89,378 1,381,906 2,502,113 2007-02-22 $145.87 $140.00 9.2% 2.6% 7.6% 0.0% 9.4% 2.8% 0.5% -362.9M -7.88B -71.2M 2.43 13.70 N/A N/A 49,935 121,449 1,395,803 2,552,955 2007-02-23 $145.30 $140.00 9.8% 2.8% 6.3% 0.0% 10.9% 2.8% 0.3% -464.6M -7.01B -74.0M 3.88 10.99 N/A N/A 31,154 120,871 1,420,370 2,583,590 2007-02-26 $145.17 $141.00 10.0% 2.9% 6.3% 0.0% 8.8% 3.2% 0.4% -539.8M -6.77B -72.9M 2.88 11.74 N/A N/A 49,854 143,472 1,435,619 2,630,418 2007-02-27 $139.50 $141.00 16.4% 4.7% 15.8% 0.0% 15.4% 5.1% -1.0% -922.6M 3.36B -88.9M 2.72 27.57 N/A N/A 319,794 870,255 1,459,643 2,703,589 2007-02-28 $140.93 $141.00 14.1% 4.0% 16.2% 0.0% 14.1% 4.6% -0.5% -1.03B 1.66B -90.7M 2.50 18.80 N/A N/A 210,336 525,210 1,612,802 2,921,233
« Jan 2007 | All History | Mar 2007 » Home SPY History February 2007