SPY Options History — May 2007 In May 2007, SPY traded between $148.67 and $153.48. ATM implied volatility averaged 11.5%. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.5% (HV 20d: 8.0%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.35.
Notable Days 2007-05-21 : Highest Volume — 481,784 contracts2007-05-18 : Largest IV drop — 12.3% change2007-05-24 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $151.30 $148.67 $153.48 $148.67 $153.32 Max Pain $147.09 $145.00 $150.00 $147.00 $147.00 ATM IV 11.5% 10.5% 12.5% 11.2% 11.4% Expected Move 3.3% 3.1% 3.6% 3.2% 3.3% HV 20d 8.0% 7.0% 8.7% 7.7% 8.3% HV 60d 12.4% 9.4% 13.5% 13.2% 9.4% Term Structure 0.3% 0.1% 0.6% 0.5% 0.4% VWIV 12.7% 11.6% 15.2% 12.3% 15.2% Skew 25d 4.1% 3.1% 4.5% 3.8% 3.8% Skew 10d 8.3% 6.9% 9.2% 8.1% 6.9% Call IV 25d 9.8% 9.1% 10.6% 9.7% 9.7% Put IV 25d 13.9% 12.7% 14.9% 13.5% 13.5% Bid-Ask Spread % 9.61 5.99 18.72 7.92 14.54 Gamma HHI 0.05 0.04 0.08 0.05 0.06 Net GEX -690.6M -1.11B 55.7M -856.8M -543.3M Net DEX -9.65B -15.66B -4.27B -6.72B -10.04B Net VEX -111.8M -121.5M -106.2M -109.3M -114.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.35 1.48 4.14 2.55 3.88 Total Volume 313,203.864 168,317 481,784 433,071 317,449 Total OI 6,453,608.636 5,656,022 7,228,274 5,849,799 6,449,418
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 2007-05-01 $148.67 $147.00 11.2% 3.2% 7.7% 0.0% 12.3% 3.8% 0.5% -856.8M -6.72B -109.3M 2.55 7.92 N/A N/A 122,156 310,915 1,804,398 4,045,401 2007-05-02 $149.54 $147.00 10.7% 3.1% 7.1% 0.0% 11.7% 3.2% 0.4% -753.2M -8.71B -108.3M 2.48 8.78 N/A N/A 110,505 274,562 1,847,662 4,171,938 2007-05-03 $150.35 $147.00 11.2% 3.2% 7.2% 0.0% 12.1% 3.1% 0.6% -637.0M -10.13B -108.4M 2.22 6.29 N/A N/A 81,265 180,169 1,912,631 4,277,693 2007-05-04 $150.92 $146.00 10.5% 3.4% 7.3% 0.0% 11.9% 4.3% 0.5% -567.0M -11.16B -106.2M 2.19 5.99 N/A N/A 95,641 209,558 1,932,983 4,358,907 2007-05-07 $150.95 $146.00 11.0% 3.4% 7.3% 0.0% 13.4% 4.3% 0.5% -655.8M -11.04B -106.9M 4.14 6.24 N/A N/A 50,899 210,595 1,958,973 4,481,049 2007-05-08 $150.75 $146.00 11.3% 3.4% 7.4% 0.0% 12.7% 4.2% 0.3% -783.2M -10.42B -110.1M 2.55 8.25 N/A N/A 68,360 174,648 1,967,681 4,563,873 2007-05-09 $151.16 $147.00 11.0% 3.3% 7.0% 0.0% 11.6% 4.0% 0.3% -666.7M -11.56B -108.1M 1.76 8.56 N/A N/A 82,937 146,234 1,995,774 4,616,836 2007-05-10 $149.58 $147.00 12.3% 3.5% 8.3% 0.0% 13.3% 4.3% 0.1% -1.11B -7.23B -114.8M 3.91 8.34 N/A N/A 74,730 292,482 2,032,092 4,661,243 2007-05-11 $150.86 $147.00 11.7% 3.3% 8.6% 0.0% 12.8% 4.1% 0.2% -723.2M -11.00B -110.8M 2.15 6.37 N/A N/A 80,777 173,626 2,051,745 4,758,312 2007-05-14 $150.53 $147.00 12.3% 3.5% 8.3% 0.0% 13.1% 4.5% 0.1% -954.8M -9.64B -111.5M 1.72 7.77 N/A N/A 97,620 168,241 2,079,942 4,818,427 2007-05-15 $150.57 $147.00 12.3% 3.5% 8.2% 0.0% 12.6% 4.4% 0.4% -932.4M -9.76B -113.5M 1.48 8.11 N/A N/A 152,524 225,272 2,122,446 4,889,893 2007-05-16 $151.60 $148.00 11.7% 3.4% 8.5% 0.0% 12.8% 4.4% 0.4% -521.8M -13.04B -108.8M 1.60 6.59 N/A N/A 107,966 173,168 2,159,229 4,926,313 2007-05-17 $151.30 $148.00 12.3% 3.5% 8.6% 0.0% 12.8% 4.3% 0.1% -592.5M -12.52B -111.2M 1.69 8.53 N/A N/A 110,917 186,890 2,195,668 4,971,381 2007-05-18 $152.62 $148.00 10.8% 3.1% 8.5% 0.0% 12.6% 4.1% 0.4% 55.7M -15.66B -107.4M 1.56 6.95 N/A N/A 150,822 234,758 2,222,699 5,005,575 2007-05-21 $152.54 $149.00 11.1% 3.2% 8.3% 0.0% 12.8% 4.5% 0.4% -509.9M -8.92B -107.8M 2.20 6.86 N/A N/A 150,389 331,395 1,760,915 3,895,107 2007-05-22 $152.42 $149.00 11.6% 3.3% 8.3% 0.0% 12.3% 4.0% 0.2% -625.7M -8.20B -111.1M 3.32 8.02 N/A N/A 70,122 232,616 1,808,342 4,045,521 2007-05-23 $152.44 $150.00 11.8% 3.4% 7.8% 0.0% 12.2% 3.9% 0.3% -676.6M -7.85B -115.6M 2.50 7.38 N/A N/A 86,051 214,920 1,836,408 4,159,884 2007-05-24 $151.06 $145.00 12.5% 3.6% 8.6% 0.0% 12.3% 4.3% 0.2% -980.2M -4.27B -121.5M 1.71 18.26 N/A N/A 166,397 284,968 1,871,268 4,269,038 2007-05-25 $151.69 $146.00 11.7% 3.3% 8.7% 0.0% 12.2% 4.2% 0.2% -834.5M -6.22B -119.9M 1.83 16.86 N/A N/A 101,041 184,817 1,951,625 4,301,815 2007-05-29 $152.24 $146.00 11.8% 3.4% 8.0% 0.0% 14.4% 4.0% 0.3% -782.3M -7.81B -118.2M 2.10 16.11 N/A N/A 54,356 113,961 1,996,729 4,377,425 2007-05-30 $153.48 $146.00 11.4% 3.3% 8.4% 0.0% 12.8% 4.0% 0.4% -547.3M -10.31B -115.0M 2.11 18.72 N/A N/A 75,270 158,496 1,996,319 4,428,812 2007-05-31 $153.32 $147.00 11.4% 3.3% 8.3% 0.0% 15.2% 3.8% 0.4% -543.3M -10.04B -114.4M 3.88 14.54 N/A N/A 65,106 252,343 2,014,161 4,435,257
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