SPY Options History — March 2007 In March 2007, SPY traded between $137.35 and $143.39. ATM implied volatility averaged 13.7%. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 4.3% (HV 20d: 18.0%). Max pain ranged from $140.00 to $142.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.12.
Notable Days 2007-03-15 : Highest Volume — 1,349,029 contracts2007-03-13 : Largest IV spike — 33.7% change2007-03-05 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $140.76 $137.35 $143.39 $140.51 $142.00 Max Pain $141.27 $140.00 $142.00 $141.00 $142.00 ATM IV 13.7% 10.7% 18.8% 14.1% 12.7% Expected Move 3.8% 3.1% 5.4% 4.0% 3.7% HV 20d 18.0% 13.7% 20.8% 16.0% 13.7% HV 60d 13.5% 13.1% 13.9% 13.3% 13.2% Term Structure 0.2% -1.4% 1.0% -0.8% 0.6% VWIV 13.9% 11.2% 19.0% 14.7% 13.3% Skew 25d 5.0% 3.8% 7.3% 5.5% 4.4% Skew 10d 10.0% 8.0% 13.7% 10.7% 8.1% Call IV 25d 11.1% 8.6% 15.4% 12.0% 10.6% Put IV 25d 16.0% 12.8% 22.6% 17.5% 15.1% Bid-Ask Spread % 9.70 5.39 19.13 19.13 5.40 Gamma HHI 0.07 0.05 0.14 0.07 0.06 Net GEX -1.00B -1.65B -365.4M -992.5M -826.7M Net DEX 1.83B -5.52B 10.83B 2.37B -1.13B Net VEX -103.7M -115.0M -94.5M -94.5M -110.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.12 0.25 3.07 1.81 3.07 Total Volume 485,686.136 213,781 1,349,029 743,063 336,985 Total OI 5,629,980.727 4,737,079 6,673,516 4,737,079 5,207,481
Daily Data (22 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 2007-03-01 $140.51 $141.00 14.1% 4.0% 16.0% 0.0% 14.7% 5.5% -0.8% -992.5M 2.37B -94.5M 1.81 19.13 N/A N/A 264,588 478,475 1,716,012 3,021,067 2007-03-02 $138.67 $141.00 16.4% 4.7% 16.3% 0.0% 16.5% 6.7% -0.9% -1.02B 6.34B -99.0M 2.71 16.97 N/A N/A 124,132 336,289 1,807,647 3,156,259 2007-03-05 $137.35 $141.00 18.8% 5.4% 16.4% 0.0% 19.0% 7.3% -1.4% -1.07B 9.21B -98.4M 1.92 12.83 N/A N/A 211,876 407,017 1,861,690 3,291,459 2007-03-06 $139.70 $141.00 14.4% 4.1% 17.8% 0.0% 14.9% 5.4% -0.6% -1.10B 4.30B -97.7M 1.32 16.24 N/A N/A 210,766 277,685 1,950,476 3,409,377 2007-03-07 $139.56 $140.00 13.6% 3.9% 17.8% 0.0% 17.3% 5.0% -0.4% -1.15B 4.87B -98.4M 2.49 13.70 N/A N/A 141,486 352,557 2,012,660 3,519,742 2007-03-08 $140.74 $140.00 13.9% 3.7% 18.1% 0.0% 13.1% 4.3% -0.4% -1.17B 1.98B -101.9M 1.94 16.75 N/A N/A 145,681 283,119 2,040,723 3,789,079 2007-03-09 $140.78 $141.00 12.8% 3.6% 18.2% 0.0% 12.9% 4.4% -0.3% -1.24B 2.25B -102.6M 1.75 16.32 N/A N/A 121,300 211,792 2,077,553 3,888,156 2007-03-12 $140.99 $142.00 14.0% 3.5% 18.0% 0.0% 12.4% 4.6% 0.4% -1.21B 1.51B -99.2M 1.39 7.40 N/A N/A 95,326 132,843 2,063,346 3,876,608 2007-03-13 $138.25 $142.00 18.7% 4.4% 19.2% 0.0% 15.0% 5.9% -0.1% -1.56B 9.90B -102.6M 2.64 9.21 N/A N/A 200,136 528,079 2,101,866 3,949,046 2007-03-14 $139.28 $142.00 15.8% 4.1% 19.1% 0.0% 15.1% 5.6% 0.2% -1.59B 7.43B -106.3M 2.41 8.96 N/A N/A 300,967 726,619 2,172,918 4,138,867 2007-03-15 $139.47 $141.00 13.7% 3.9% 18.9% 0.0% 13.5% 5.5% 0.5% -1.43B 5.79B -105.9M 0.25 6.22 N/A N/A 1,076,798 272,231 2,281,180 4,392,336 2007-03-16 $138.53 $141.00 14.1% 4.1% 18.9% 0.0% 14.7% 5.8% 0.6% -1.65B 10.83B -106.7M 2.66 7.64 N/A N/A 130,750 348,242 2,033,994 4,379,662 2007-03-19 $140.20 $141.00 13.2% 3.8% 19.6% 0.0% 13.6% 5.2% 0.5% -934.9M 2.18B -105.1M 2.25 7.52 N/A N/A 118,086 266,057 1,625,803 3,387,891 2007-03-20 $140.97 $141.00 11.8% 3.4% 19.8% 0.0% 12.4% 4.7% 0.9% -819.9M -177.6M -104.2M 1.51 5.62 N/A N/A 129,279 195,477 1,687,287 3,487,609 2007-03-21 $143.29 $141.00 10.7% 3.1% 20.8% 0.0% 11.7% 4.2% 1.0% -365.4M -5.30B -101.0M 2.53 6.45 N/A N/A 162,735 411,844 1,764,173 3,576,147 2007-03-22 $143.18 $141.00 11.2% 3.2% 20.8% 0.0% 11.2% 4.1% 0.7% -478.5M -5.36B -102.9M 1.70 5.92 N/A N/A 122,169 208,049 1,812,741 3,704,165 2007-03-23 $143.39 $141.00 11.4% 3.3% 20.8% 0.0% 12.1% 4.0% 0.9% -427.2M -5.52B -105.2M 2.91 5.85 N/A N/A 61,751 179,751 1,850,456 3,707,635 2007-03-26 $143.20 $142.00 11.6% 3.3% 20.8% 0.0% 12.3% 3.8% 0.5% -530.9M -5.22B -104.0M 1.96 5.64 N/A N/A 82,931 162,411 1,864,211 3,795,900 2007-03-27 $142.86 $142.00 11.6% 3.3% 14.8% 0.0% 12.8% 4.0% 0.8% -651.7M -3.75B -107.6M 2.24 5.39 N/A N/A 66,011 147,770 1,883,236 3,853,899 2007-03-28 $141.82 $142.00 13.1% 3.8% 14.7% 0.0% 13.9% 4.5% 0.4% -890.2M -703.9M -111.6M 2.18 7.34 N/A N/A 126,831 276,464 1,910,690 3,888,818 2007-03-29 $141.97 $142.00 13.4% 3.8% 14.6% 0.0% 14.0% 4.5% 0.2% -888.6M -1.55B -115.0M 2.88 6.79 N/A N/A 64,815 186,925 1,945,371 3,974,340 2007-03-30 $142.00 $142.00 12.7% 3.7% 13.7% 0.0% 13.3% 4.4% 0.6% -826.7M -1.13B -110.9M 3.07 5.40 N/A N/A 82,764 254,221 1,779,757 3,427,724
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