SPY Options History — April 2007

In April 2007, SPY traded between $142.16 and $149.65. ATM implied volatility averaged 10.9%. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.7% (HV 20d: 9.2%). Max pain ranged from $142.00 to $147.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.61.

Notable Days

  • 2007-04-20: Highest Volume — 755,432 contracts
  • 2007-04-30: Largest IV spike — 24.3% change
  • 2007-04-02: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.35$142.16$149.65$142.16$148.29
Max Pain$144.00$142.00$147.00$142.00$147.00
ATM IV10.9%9.6%12.8%12.8%12.5%
Expected Move3.2%2.9%3.7%3.7%3.6%
HV 20d9.2%6.4%13.1%13.1%7.7%
HV 60d13.2%13.1%13.3%13.2%13.2%
Term Structure0.5%-0.2%1.7%0.7%-0.1%
VWIV11.9%10.1%13.4%13.4%12.8%
Skew 25d3.6%2.9%4.5%4.4%3.7%
Skew 10d7.6%5.7%9.4%8.4%8.5%
Call IV 25d9.3%8.5%10.6%10.4%10.6%
Put IV 25d13.0%11.7%14.8%14.8%14.4%
Bid-Ask Spread %8.185.2510.646.309.19
Gamma HHI0.060.040.110.060.04
Net GEX-421.7M-892.2M403.8M-892.2M-834.6M
Net DEX-8.17B-16.09B-1.28B-1.28B-6.33B
Net VEX-103.1M-111.5M-96.5M-111.5M-111.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.611.104.252.582.80
Total Volume326,534.3198,420755,432207,660293,614
Total OI5,881,135.15,141,5466,933,8265,380,3115,747,812

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$142.16$142.0012.8%3.7%13.1%0.0%13.4%4.4%0.7%-892.2M-1.28B-111.5M2.586.30N/AN/A57,995149,6651,822,6163,557,695
2007-04-03$143.69$142.0010.8%3.1%12.3%0.0%12.1%4.0%1.3%-586.6M-4.56B-107.8M2.675.25N/AN/A69,889186,2841,849,7733,603,134
2007-04-04$143.85$142.0010.4%3.0%12.3%0.0%11.3%3.2%1.7%-605.3M-4.90B-107.9M4.245.59N/AN/A37,836160,5841,880,1233,676,837
2007-04-05$144.24$142.0010.3%2.9%12.0%0.0%10.1%3.1%1.6%-458.0M-6.22B-105.7M1.755.28N/AN/A76,508133,6771,891,5033,764,758
2007-04-09$144.44$142.0010.7%3.5%12.0%0.0%12.9%4.5%-0.1%-436.1M-6.48B-103.8M1.669.26N/AN/A77,164128,0691,926,7403,818,044
2007-04-10$144.61$142.009.6%3.2%12.0%0.0%12.4%4.3%0.5%-350.4M-7.33B-102.5M4.087.38N/AN/A49,142200,2881,952,6013,860,648
2007-04-11$144.02$143.0010.3%3.4%9.4%0.0%13.3%4.4%0.4%-796.9M-4.51B-106.9M4.259.43N/AN/A67,839288,0971,968,9503,966,336
2007-04-12$144.66$143.0011.2%3.2%9.2%0.0%12.7%4.3%0.4%-449.0M-6.81B-104.3M2.018.26N/AN/A88,449177,3761,990,4024,038,753
2007-04-13$145.32$143.0011.1%3.2%9.3%0.0%12.6%3.7%0.5%-223.7M-8.26B-104.4M3.747.32N/AN/A57,903216,6912,021,4254,092,581
2007-04-16$146.70$143.0010.3%3.0%9.0%0.0%11.7%3.5%0.7%294.4M-12.65B-96.6M2.997.56N/AN/A143,301428,1202,036,1424,211,702
2007-04-17$147.09$144.0010.6%3.0%8.4%0.0%11.0%3.2%0.5%-186.0M-12.14B-99.4M1.159.45N/AN/A224,340258,5842,062,9754,449,827
2007-04-18$147.27$144.0010.8%3.1%8.3%0.0%11.7%3.2%0.4%-229.1M-12.55B-99.8M1.109.84N/AN/A206,791227,0272,162,4214,589,776
2007-04-19$147.23$144.0011.1%3.2%6.4%0.0%11.6%3.8%0.4%-471.5M-11.56B-100.4M2.599.86N/AN/A87,357226,0522,195,9884,663,038
2007-04-20$148.62$145.0010.1%2.9%7.0%0.0%11.1%3.4%0.5%403.8M-16.09B-96.5M1.558.44N/AN/A296,742458,6902,205,8944,727,932
2007-04-23$148.06$146.0011.3%3.2%7.2%0.0%11.6%3.5%-0.1%-557.7M-7.18B-98.9M3.518.47N/AN/A67,620237,2991,590,0733,551,473
2007-04-24$148.12$146.0011.2%3.2%7.2%0.0%11.8%3.3%0.4%-628.8M-6.75B-103.1M2.4310.07N/AN/A71,239173,1141,627,1083,674,790
2007-04-25$149.48$146.0011.7%3.4%7.5%0.0%12.1%2.9%-0.2%-454.9M-8.95B-100.3M2.0510.64N/AN/A114,182234,1931,664,1603,679,218
2007-04-26$149.65$147.0010.6%3.0%6.6%0.0%11.4%3.1%0.5%-433.4M-9.61B-98.5M3.067.61N/AN/A76,807235,4101,707,4833,762,219
2007-04-27$149.53$147.0010.0%2.9%6.7%0.0%11.0%3.3%0.7%-538.4M-9.28B-101.8M2.038.46N/AN/A81,393165,3551,742,9383,886,814
2007-04-30$148.29$147.0012.5%3.6%7.7%0.0%12.8%3.7%-0.1%-834.6M-6.33B-111.1M2.809.19N/AN/A77,321216,2931,784,9763,962,836