SPY Options History — June 2007 In June 2007, SPY traded between $148.29 and $154.10. ATM implied volatility averaged 13.7%. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.4% (HV 20d: 12.4%). Max pain ranged from $147.00 to $153.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.09.
Notable Days 2007-06-14 : Highest Volume — 2,045,679 contracts2007-06-07 : Largest IV spike — 25.8% change2007-06-26 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $151.50 $148.29 $154.10 $154.08 $150.43 Max Pain $150.95 $147.00 $153.00 $147.00 $152.00 ATM IV 13.7% 11.2% 17.4% 11.2% 14.7% Expected Move 3.8% 3.2% 5.0% 3.2% 4.2% HV 20d 12.4% 8.2% 14.9% 8.2% 14.8% HV 60d 10.0% 9.3% 10.9% 9.4% 10.7% Term Structure 0.5% -0.8% 1.1% 0.3% 0.8% VWIV 13.8% 11.4% 16.9% 11.4% 14.9% Skew 25d 4.2% 3.5% 5.6% 3.7% 4.5% Skew 10d 8.6% 6.7% 10.7% 7.3% 8.8% Call IV 25d 11.4% 9.8% 14.6% 9.8% 12.1% Put IV 25d 15.7% 13.3% 20.2% 13.4% 16.6% Bid-Ask Spread % 10.36 5.69 21.05 13.96 8.34 Gamma HHI 0.06 0.04 0.07 0.07 0.05 Net GEX -1.13B -1.72B -269.6M -414.7M -1.29B Net DEX -2.58B -11.49B 7.17B -11.26B 1.42B Net VEX -134.9M -202.4M -113.9M -114.1M -149.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.09 0.15 4.00 2.01 2.80 Total Volume 587,035.333 232,647 2,045,679 274,326 446,862 Total OI 6,966,770.143 6,019,502 7,836,551 6,596,945 6,824,714
Daily Data (21 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 2007-06-01 $154.08 $147.00 11.2% 3.2% 8.2% 0.0% 11.4% 3.7% 0.3% -414.7M -11.26B -114.1M 2.01 13.96 N/A N/A 91,217 183,109 2,048,780 4,548,165 2007-06-04 $154.10 $148.00 11.5% 3.3% 8.2% 0.0% 12.5% 3.5% 0.3% -465.3M -11.49B -113.9M 3.40 14.31 N/A N/A 65,401 222,300 2,054,813 4,608,529 2007-06-05 $153.49 $148.00 12.0% 3.4% 8.4% 0.0% 12.4% 3.6% 0.4% -664.3M -9.66B -115.9M 1.68 15.30 N/A N/A 129,033 216,277 2,065,702 4,723,542 2007-06-06 $151.84 $148.00 13.0% 3.7% 9.3% 0.0% 14.0% 3.7% -0.0% -1.17B -4.81B -122.6M 3.22 20.21 N/A N/A 127,448 409,920 2,124,531 4,732,726 2007-06-07 $149.10 $148.00 16.4% 4.4% 11.4% 0.0% 15.7% 4.8% -0.8% -1.71B 3.14B -131.7M 4.00 20.45 N/A N/A 239,087 955,187 2,174,027 4,861,652 2007-06-08 $151.04 $148.00 13.1% 3.7% 11.7% 0.0% 13.7% 3.8% 0.2% -1.57B -2.18B -129.2M 1.78 21.05 N/A N/A 235,038 417,480 2,269,720 5,137,536 2007-06-11 $151.30 $152.00 14.6% 3.8% 11.3% 0.0% 13.4% 4.5% 0.3% -1.40B -3.78B -128.5M 1.35 7.37 N/A N/A 185,760 251,245 2,344,576 5,212,741 2007-06-12 $149.65 $152.00 17.2% 4.1% 12.0% 0.0% 15.2% 4.9% 0.2% -1.72B 1.92B -133.7M 1.94 7.58 N/A N/A 216,986 421,981 2,377,683 5,179,959 2007-06-13 $151.89 $152.00 15.1% 3.7% 13.1% 0.0% 13.7% 4.3% 0.6% -1.11B -6.13B -128.6M 1.44 7.78 N/A N/A 209,204 300,874 2,451,299 5,326,217 2007-06-14 $152.86 $152.00 12.1% 3.5% 13.1% 0.0% 12.7% 4.2% 0.8% -663.7M -9.48B -128.6M 0.15 8.15 N/A N/A 1,776,212 269,467 2,472,696 5,363,855 2007-06-15 $153.07 $152.00 12.5% 3.6% 13.1% 0.0% 13.0% 4.2% 0.8% -269.6M -5.17B -125.4M 1.41 7.78 N/A N/A 213,826 301,318 2,054,959 5,407,946 2007-06-18 $152.89 $152.00 12.1% 3.5% 12.7% 0.0% 13.1% 3.9% 1.0% -957.8M -2.99B -202.4M 1.35 6.41 N/A N/A 146,477 198,207 2,101,993 5,471,438 2007-06-19 $153.27 $153.00 11.6% 3.3% 12.8% 0.0% 12.1% 3.5% 1.1% -722.1M -5.08B -126.5M 1.16 6.78 N/A N/A 107,611 125,036 1,842,634 4,176,868 2007-06-20 $151.14 $153.00 13.5% 3.9% 13.7% 0.0% 13.2% 4.3% 0.7% -1.10B -361.3M -131.4M 1.99 9.07 N/A N/A 156,959 312,416 1,865,089 4,223,912 2007-06-21 $151.98 $153.00 12.8% 3.7% 13.9% 0.0% 13.2% 4.0% 1.0% -964.6M -2.51B -132.9M 1.94 8.86 N/A N/A 152,864 296,217 1,930,232 4,314,674 2007-06-22 $150.55 $152.00 14.1% 4.0% 13.9% 0.0% 14.7% 4.4% 0.6% -1.24B 1.32B -140.3M 3.21 8.42 N/A N/A 141,966 455,794 1,991,223 4,398,210 2007-06-25 $149.83 $152.00 15.1% 4.3% 13.9% 0.0% 15.2% 4.6% 0.4% -1.48B 3.21B -142.9M 2.48 7.03 N/A N/A 133,438 330,623 2,061,390 4,570,250 2007-06-26 $148.29 $152.00 17.4% 5.0% 14.2% 0.0% 16.9% 5.6% -0.1% -1.64B 7.17B -147.0M 2.65 7.03 N/A N/A 135,142 358,032 2,116,464 4,647,411 2007-06-27 $150.40 $152.00 14.2% 4.1% 14.9% 0.0% 15.0% 4.5% 0.8% -1.49B 1.16B -142.1M 2.29 5.69 N/A N/A 272,639 623,837 2,191,292 4,760,096 2007-06-28 $150.38 $152.00 14.1% 4.1% 14.9% 0.0% 14.0% 4.4% 0.7% -1.58B 1.44B -145.9M 1.61 5.92 N/A N/A 189,528 305,724 2,301,201 4,971,428 2007-06-29 $150.43 $152.00 14.7% 4.2% 14.8% 0.0% 14.9% 4.5% 0.8% -1.29B 1.42B -149.0M 2.80 8.34 N/A N/A 117,573 329,289 2,213,119 4,611,595
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