SPY Options History — July 2007 In July 2007, SPY traded between $145.11 and $155.07. ATM implied volatility averaged 15.5%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.8% (HV 20d: 13.8%). Max pain ranged from $152.00 to $154.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.20.
Notable Days 2007-07-26 : Highest Volume — 1,619,736 contracts2007-07-10 : Largest IV spike — 29.2% change2007-07-26 : Highest IV Rank — 100.0%2007-07-27 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $151.91 $145.11 $155.07 $151.79 $145.72 Max Pain $152.76 $152.00 $154.00 $152.00 $152.00 ATM IV 15.5% 11.4% 22.9% 12.8% 22.5% Expected Move 4.5% 3.6% 6.6% 3.7% 6.5% HV 20d 13.8% 11.8% 17.3% 15.2% 17.2% HV 60d 11.7% 10.8% 14.0% 10.8% 14.0% IV Rank 66.1% 30.2% 100.0% 42.5% 97.8% IV Percentile 87.6% 52.0% 100.0% 73.0% 99.3% Term Structure 0.1% -2.3% 1.8% 1.5% -1.7% VWIV 16.3% 12.9% 23.1% 13.8% 23.1% Skew 25d 5.3% 4.0% 7.8% 4.0% 7.8% Skew 10d 10.3% 8.2% 14.0% 8.4% 14.0% Call IV 25d 13.1% 10.3% 19.3% 11.1% 19.1% Put IV 25d 18.4% 14.5% 26.9% 15.1% 26.9% Bid-Ask Spread % 7.25 4.79 11.14 5.74 9.58 Gamma HHI 0.06 0.04 0.07 0.05 0.04 Net GEX -960.4M -1.58B -183.6M -1.07B -1.58B Net DEX -1.34B -10.94B 17.37B -2.58B 17.37B Net VEX -151.5M -179.5M -138.3M -143.4M -179.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.20 1.22 3.30 1.93 2.21 Total Volume 626,253.095 250,158 1,619,736 294,364 979,971 Total OI 7,588,571.81 6,617,822 8,420,615 6,985,276 8,104,461
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 2007-07-02 $151.79 $152.00 12.8% 3.7% 15.2% 0.0% 13.8% 4.0% 1.5% -1.07B -2.58B -143.4M 1.93 5.74 N/A N/A 100,400 193,964 2,254,360 4,730,916 2007-07-03 $152.34 $152.00 12.4% 3.6% 15.2% 0.0% 13.5% 4.2% 1.8% -943.6M -4.54B -159.6M 3.15 4.79 N/A N/A 60,237 189,921 2,434,399 5,020,247 2007-07-05 $152.18 $152.00 12.7% 3.6% 14.7% 42.5% 12.9% 4.1% 1.8% -1.03B -3.42B -142.7M 2.44 6.90 N/A N/A 106,193 259,008 2,304,436 4,841,391 2007-07-06 $152.98 $152.00 11.4% 3.9% 13.1% 30.2% 14.9% 5.0% 0.3% -693.1M -6.11B -140.4M 2.67 6.45 N/A N/A 111,011 296,598 2,355,657 4,945,742 2007-07-09 $153.00 $152.00 12.2% 4.0% 12.4% 37.7% 14.5% 5.0% 0.1% -811.2M -5.60B -138.3M 1.59 6.77 N/A N/A 100,265 158,968 2,358,811 4,997,627 2007-07-10 $150.92 $152.00 15.7% 4.6% 13.4% 71.2% 16.1% 5.6% -0.4% -1.53B 1.90B -148.9M 3.30 5.17 N/A N/A 132,327 437,278 2,389,040 5,026,328 2007-07-11 $151.99 $152.00 14.3% 4.3% 12.9% 58.1% 14.8% 5.5% 0.1% -1.25B -1.49B -147.5M 2.08 8.41 N/A N/A 161,704 335,945 2,423,043 5,125,609 2007-07-12 $154.39 $152.00 14.4% 4.1% 13.1% 58.9% 14.9% 5.2% 0.1% -406.1M -9.44B -143.1M 1.76 6.45 N/A N/A 215,097 377,714 2,497,838 5,269,189 2007-07-13 $154.85 $153.00 13.9% 4.0% 12.9% 53.8% 15.2% 4.8% 0.5% -183.6M -10.94B -143.4M 2.35 7.42 N/A N/A 135,847 319,644 2,558,900 5,396,288 2007-07-16 $154.83 $153.00 14.2% 4.1% 12.9% 57.3% 16.4% 4.9% 0.5% -359.7M -10.62B -142.6M 2.09 7.08 N/A N/A 145,304 303,164 2,588,132 5,507,998 2007-07-17 $154.75 $153.00 14.1% 4.0% 12.9% 55.5% 15.6% 5.0% 0.6% -387.4M -10.26B -143.0M 2.92 6.13 N/A N/A 86,794 253,245 2,596,492 5,632,072 2007-07-18 $154.47 $153.00 14.7% 4.2% 12.9% 61.7% 15.1% 5.0% 0.8% -737.1M -8.23B -143.8M 1.56 8.06 N/A N/A 233,617 365,094 2,554,506 5,654,379 2007-07-19 $155.07 $153.00 13.9% 4.0% 11.8% 53.6% 14.2% 4.6% 0.7% -263.8M -10.56B -142.5M 2.13 8.43 N/A N/A 165,593 353,441 2,602,286 5,708,247 2007-07-20 $153.50 $154.00 15.8% 4.5% 12.4% 71.5% 15.8% 5.2% 0.2% -828.2M -3.61B -151.0M 1.22 5.91 N/A N/A 524,951 638,982 2,593,681 5,826,934 2007-07-23 $153.97 $154.00 15.0% 4.3% 11.8% 64.8% 15.4% 5.2% 0.4% -899.3M -3.65B -147.9M 1.73 6.77 N/A N/A 116,660 201,755 2,058,556 4,559,266 2007-07-24 $151.30 $154.00 17.0% 4.9% 13.4% 83.2% 17.1% 5.7% -0.0% -1.25B 2.60B -155.4M 2.50 7.59 N/A N/A 212,543 531,275 2,099,420 4,626,577 2007-07-25 $151.61 $154.00 16.3% 4.7% 12.8% 76.5% 16.7% 5.2% 0.1% -1.29B 2.13B -158.1M 1.79 7.36 N/A N/A 256,437 459,820 2,201,211 4,821,479 2007-07-26 $148.02 $154.00 19.4% 5.6% 14.6% 100.0% 19.4% 6.2% -0.7% -1.56B 11.08B -166.3M 2.44 11.14 N/A N/A 470,925 1,148,811 2,276,925 4,929,844 2007-07-27 $145.11 $153.00 22.9% 6.6% 16.1% 100.0% 22.0% 7.3% -2.3% -1.52B 15.82B -170.9M 2.51 8.91 N/A N/A 308,095 774,114 2,483,141 5,130,333 2007-07-30 $147.38 $152.00 20.3% 5.8% 17.3% 82.3% 20.2% 6.8% -1.7% -1.58B 12.04B -173.0M 1.84 7.12 N/A N/A 327,352 601,251 2,587,024 5,287,223 2007-07-31 $145.72 $152.00 22.5% 6.5% 17.2% 97.8% 23.1% 7.8% -1.7% -1.58B 17.37B -179.5M 2.21 9.58 N/A N/A 304,840 675,131 2,680,325 5,424,136
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