SPY Options History — September 2007

In September 2007, SPY traded between $145.79 and $153.36. ATM implied volatility averaged 19.9%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.8% (HV 20d: 18.1%). Max pain ranged from $146.00 to $151.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.11.

Notable Days

  • 2007-09-20: Highest Volume — 2,164,371 contracts
  • 2007-09-18: Largest IV drop — 21.2% change
  • 2007-09-10: Highest IV Rank — 85.6%
  • 2007-09-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$149.95$145.79$153.36$149.08$152.58
Max Pain$148.11$146.00$151.00$146.00$151.00
ATM IV19.9%15.0%24.9%20.3%15.4%
Expected Move5.7%4.3%7.2%5.8%4.4%
HV 20d18.1%14.6%21.5%21.5%14.6%
HV 60d18.7%18.3%19.2%18.5%18.9%
IV Rank60.0%35.1%85.6%62.0%37.1%
IV Percentile83.7%68.1%95.9%89.3%69.9%
Term Structure0.4%-0.7%1.4%-0.1%1.1%
VWIV21.8%15.5%27.6%25.1%16.3%
Skew 25d7.8%5.3%9.9%7.7%5.5%
Skew 10d14.5%10.4%17.8%15.0%10.4%
Call IV 25d16.4%12.3%20.3%17.2%13.0%
Put IV 25d24.1%17.7%30.2%24.9%18.5%
Bid-Ask Spread %10.154.4915.8412.584.49
Gamma HHI0.040.040.050.040.04
Net GEX-701.2M-1.51B499.1M-945.6M-407.0M
Net DEX-4.09B-21.27B8.33B-3.24B-7.17B
Net VEX-189.8M-207.0M-172.7M-201.7M-173.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.254.371.801.79
Total Volume561,870.632224,8482,164,371410,204487,077
Total OI10,202,972.2637,807,35611,555,42510,434,7827,807,356

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$149.08$146.0020.3%5.8%21.5%62.0%25.1%7.7%-0.1%-945.6M-3.24B-201.7M1.8012.58N/AN/A146,643263,5613,639,4636,795,319
2007-09-05$147.79$147.0022.3%6.4%21.5%72.0%26.3%8.3%-0.3%-1.16B1.56B-204.5M3.1311.63N/AN/A102,541320,7813,663,6846,842,554
2007-09-06$148.13$147.0021.6%6.2%20.9%68.9%23.2%8.3%0.1%-1.12B163.7M-204.5M2.0313.18N/AN/A74,123150,7253,697,4406,907,174
2007-09-07$146.07$147.0024.1%6.9%18.5%81.3%27.6%9.1%0.2%-1.43B7.27B-207.0M2.8515.84N/AN/A146,914418,9403,725,2866,905,609
2007-09-10$145.79$146.0024.9%7.2%18.4%85.6%27.3%9.9%-0.7%-1.51B8.33B-203.9M2.419.31N/AN/A148,363357,5623,780,3846,952,529
2007-09-11$147.49$146.0023.7%6.7%18.8%79.3%24.4%9.5%-0.5%-1.23B1.89B-199.4M2.4211.31N/AN/A115,643279,4993,819,4317,054,867
2007-09-12$147.87$146.0023.2%6.5%17.9%76.7%25.0%9.7%0.0%-1.22B816.9M-199.6M2.0811.02N/AN/A120,457250,1003,843,3877,137,602
2007-09-13$148.91$146.0022.1%6.3%17.0%71.3%24.1%9.5%-0.0%-1.03B-2.57B-200.1M2.7310.20N/AN/A141,530386,6923,888,4317,213,110
2007-09-14$148.90$147.0022.0%6.3%16.9%70.7%23.8%9.2%0.1%-1.07B-2.64B-197.9M2.5412.19N/AN/A100,534255,1863,901,3697,300,891
2007-09-17$148.10$147.0023.7%6.8%16.0%79.4%25.5%9.4%-0.6%-1.32B657.8M-195.9M4.3710.01N/AN/A118,158515,7973,926,4387,382,092
2007-09-18$152.46$147.0018.7%5.4%18.8%53.7%20.8%7.8%0.6%43.8M-16.77B-182.6M1.6211.01N/AN/A358,863580,9663,938,5297,444,220
2007-09-19$153.36$148.0017.5%5.0%18.8%47.5%19.2%7.1%0.7%499.1M-21.27B-178.9M1.6210.20N/AN/A297,086482,5704,046,0567,509,369
2007-09-20$152.28$149.0018.0%5.2%18.8%50.2%19.8%7.3%0.9%118.3M-14.93B-181.5M0.2510.51N/AN/A1,730,678433,6933,907,9387,627,843
2007-09-21$151.97$150.0016.7%4.8%18.8%43.4%18.0%6.6%1.2%-224.1M-5.21B-175.7M1.948.85N/AN/A224,265435,0013,241,3817,760,775
2007-09-24$151.69$151.0016.8%4.8%18.5%44.0%17.6%6.4%0.7%-337.3M-5.04B-175.5M1.337.30N/AN/A138,529184,8982,700,1305,181,812
2007-09-25$151.39$151.0016.6%4.8%18.1%43.0%17.9%5.8%1.4%-481.7M-4.52B-176.2M2.738.73N/AN/A92,537252,2852,732,1045,252,408
2007-09-26$152.19$151.0015.8%4.5%15.8%39.0%16.6%5.3%1.2%-350.1M-6.38B-174.7M1.248.34N/AN/A116,844144,8592,763,1975,373,853
2007-09-27$153.09$151.0015.0%4.3%14.6%35.1%15.5%5.3%1.2%-144.7M-8.64B-172.7M1.266.09N/AN/A133,449168,1932,802,5185,389,924
2007-09-28$152.58$151.0015.4%4.4%14.6%37.1%16.3%5.5%1.1%-407.0M-7.17B-173.9M1.794.49N/AN/A174,862312,2152,719,6575,087,699