SPY Options History — August 2007 In August 2007, SPY traded between $141.04 and $149.83. ATM implied volatility averaged 22.6%, placing in the 79.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.4% (HV 20d: 22.3%). Max pain ranged from $146.00 to $152.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.17.
Notable Days 2007-08-16 : Highest Volume — 2,078,523 contracts2007-08-09 : Largest IV spike — 38.8% change2007-08-03 : Highest IV Rank — 100.0%2007-08-15 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $145.65 $141.04 $149.83 $146.47 $147.59 Max Pain $148.87 $146.00 $152.00 $152.00 $146.00 ATM IV 22.6% 18.4% 27.7% 22.2% 21.2% Expected Move 6.4% 5.3% 7.9% 6.4% 6.1% HV 20d 22.3% 17.3% 24.7% 17.3% 22.0% HV 60d 17.0% 14.0% 18.9% 14.0% 18.6% IV Rank 79.8% 52.8% 100.0% 95.6% 66.6% IV Percentile 95.3% 86.4% 100.0% 98.6% 91.0% Term Structure -0.3% -1.3% 0.3% -1.0% -0.4% VWIV 23.5% 19.8% 28.5% 23.0% 21.3% Skew 25d 9.3% 6.4% 11.5% 7.8% 8.7% Skew 10d 16.6% 12.5% 20.4% 13.8% 15.5% Call IV 25d 18.0% 14.3% 22.0% 18.4% 17.5% Put IV 25d 27.4% 22.4% 33.3% 26.2% 26.2% Bid-Ask Spread % 12.71 7.18 44.35 11.08 13.61 Gamma HHI 0.05 0.03 0.10 0.04 0.04 Net GEX -1.53B -2.31B -970.9M -1.57B -1.12B Net DEX 12.62B -278.3M 30.50B 14.68B 1.86B Net VEX -201.2M -213.4M -186.1M -186.1M -211.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.17 1.23 4.22 2.35 2.14 Total Volume 883,982.522 371,919 2,078,523 1,313,192 378,029 Total OI 9,685,883.696 8,313,890 11,038,895 8,313,890 10,375,169
Daily Data (23 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 2007-08-01 $146.47 $152.00 22.2% 6.4% 17.3% 95.6% 23.0% 7.8% -1.0% -1.57B 14.68B -186.1M 2.35 11.08 N/A N/A 391,734 921,458 2,780,084 5,533,806 2007-08-02 $147.60 $151.00 18.4% 5.3% 17.6% 69.8% 19.8% 6.4% 0.3% -1.60B 11.42B -188.0M 2.00 8.47 N/A N/A 247,273 493,844 2,883,338 5,724,162 2007-08-03 $143.80 $151.00 23.2% 6.6% 19.4% 100.0% 22.8% 7.5% -0.9% -1.79B 23.29B -190.8M 1.98 9.63 N/A N/A 363,792 721,164 2,961,235 5,925,006 2007-08-06 $146.21 $150.00 20.6% 5.9% 20.6% 82.7% 21.8% 8.7% 0.1% -1.73B 14.71B -191.7M 1.83 12.41 N/A N/A 318,641 581,620 3,110,767 6,012,621 2007-08-07 $147.77 $150.00 19.3% 5.5% 20.7% 74.2% 21.4% 8.1% -0.3% -1.62B 9.54B -193.9M 1.85 12.25 N/A N/A 288,606 533,365 3,206,178 6,158,166 2007-08-08 $149.83 $150.00 19.5% 5.5% 21.1% 75.1% 20.4% 8.1% -0.2% -1.21B 2.22B -195.5M 2.01 13.53 N/A N/A 266,280 536,401 3,270,372 6,236,083 2007-08-09 $145.39 $150.00 27.0% 7.0% 22.6% 100.0% 24.2% 10.2% -0.7% -1.73B 17.75B -204.1M 2.93 13.64 N/A N/A 240,283 702,910 3,330,644 6,404,239 2007-08-10 $144.71 $150.00 26.6% 7.2% 22.5% 97.9% 27.3% 11.1% -0.4% -1.72B 17.07B -205.2M 2.43 12.77 N/A N/A 389,869 947,932 3,391,151 6,530,965 2007-08-13 $145.23 $150.00 25.4% 6.7% 22.6% 91.3% 24.4% 9.8% -0.3% -2.01B 19.11B -202.8M 1.88 11.24 N/A N/A 289,009 544,475 3,542,366 6,791,371 2007-08-14 $143.01 $150.00 25.2% 7.1% 23.0% 90.2% 24.7% 10.6% -0.2% -2.26B 26.08B -200.3M 2.47 10.44 N/A N/A 369,286 910,577 3,600,308 6,891,745 2007-08-15 $141.04 $150.00 27.7% 7.9% 23.3% 100.0% 28.5% 11.1% -0.3% -2.31B 30.50B -197.0M 1.52 10.92 N/A N/A 521,382 790,513 3,671,404 6,817,036 2007-08-16 $142.10 $150.00 27.0% 7.7% 23.5% 96.1% 27.9% 11.4% -1.3% -2.22B 27.64B -202.0M 1.82 44.35 N/A N/A 736,783 1,341,740 3,775,355 6,826,171 2007-08-17 $144.71 $148.00 25.5% 7.3% 24.7% 88.4% 28.1% 11.5% -1.0% -1.81B 15.75B -211.3M 1.66 22.36 N/A N/A 667,260 1,108,224 4,026,816 7,012,079 2007-08-20 $144.64 $148.00 23.6% 6.8% 24.6% 78.7% 24.4% 10.6% -0.1% -1.08B 10.18B -203.5M 1.54 9.15 N/A N/A 215,000 331,787 3,032,056 5,735,953 2007-08-21 $144.93 $148.00 22.8% 6.5% 24.0% 74.7% 22.5% 9.8% 0.2% -1.17B 10.28B -202.1M 1.23 7.91 N/A N/A 224,404 275,266 3,061,906 5,848,048 2007-08-22 $146.65 $148.00 20.2% 5.8% 24.5% 61.3% 21.9% 9.2% -0.2% -1.04B 5.16B -199.6M 1.26 7.51 N/A N/A 281,898 356,572 3,162,595 5,917,367 2007-08-23 $146.52 $147.00 19.8% 5.7% 23.0% 59.3% 23.4% 9.1% 0.3% -1.11B 4.24B -203.8M 4.22 7.18 N/A N/A 112,330 473,741 3,345,560 6,088,523 2007-08-24 $148.33 $147.00 18.5% 5.3% 22.3% 52.8% 20.1% 8.5% 0.3% -970.9M -278.3M -203.4M 2.41 7.89 N/A N/A 163,821 395,600 3,368,610 6,247,690 2007-08-27 $146.95 $147.00 20.1% 5.8% 21.9% 61.2% 20.3% 8.6% 0.3% -1.18B 4.15B -204.7M 3.79 12.67 N/A N/A 77,625 294,294 3,431,452 6,396,458 2007-08-28 $143.72 $147.00 23.7% 6.8% 22.9% 79.3% 25.2% 10.0% -0.2% -1.48B 13.30B -207.2M 2.32 11.00 N/A N/A 201,335 466,646 3,443,604 6,470,742 2007-08-29 $146.54 $147.00 20.9% 6.0% 24.0% 65.0% 23.7% 8.9% 0.0% -1.26B 5.28B -210.8M 2.23 10.55 N/A N/A 142,233 317,134 3,536,508 6,619,977 2007-08-30 $146.15 $147.00 22.8% 6.5% 23.8% 74.7% 23.7% 9.4% -0.3% -1.27B 6.23B -213.4M 2.11 11.71 N/A N/A 128,321 271,141 3,593,217 6,686,422 2007-08-31 $147.59 $146.00 21.2% 6.1% 22.0% 66.6% 21.3% 8.7% -0.4% -1.12B 1.86B -211.2M 2.14 13.61 N/A N/A 120,393 257,636 3,641,356 6,733,813
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