SPY Options History — October 2007 In October 2007, SPY traded between $149.67 and $156.48. ATM implied volatility averaged 16.9%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.6% (HV 20d: 13.3%). Max pain ranged from $152.00 to $155.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.83.
Notable Days 2007-10-19 : Highest Volume — 1,389,089 contracts2007-10-11 : Largest IV spike — 26.6% change2007-10-19 : Highest IV Rank — 64.0%2007-10-19 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $153.87 $149.67 $156.48 $154.30 $154.65 Max Pain $153.91 $152.00 $155.00 $152.00 $154.00 ATM IV 16.9% 13.0% 20.7% 15.3% 16.1% Expected Move 4.9% 4.3% 5.9% 4.4% 4.6% HV 20d 13.3% 9.5% 14.7% 14.7% 14.5% HV 60d 18.3% 16.8% 19.0% 19.0% 16.8% IV Rank 44.4% 24.9% 64.0% 36.6% 40.4% IV Percentile 73.3% 52.9% 87.1% 69.5% 68.9% Term Structure 0.5% -0.9% 1.9% 1.1% 0.6% VWIV 17.8% 15.3% 21.0% 16.1% 17.0% Skew 25d 5.7% 4.8% 6.8% 5.3% 5.4% Skew 10d 11.0% 9.5% 12.5% 10.6% 9.9% Call IV 25d 14.3% 12.3% 17.4% 12.5% 13.8% Put IV 25d 20.1% 17.5% 24.2% 17.8% 19.2% Bid-Ask Spread % 3.52 2.06 5.77 3.05 2.41 Gamma HHI 0.05 0.04 0.29 0.04 0.04 Net GEX -483.2M -2.10B 210.8M -208.1M -510.1M Net DEX -7.54B -16.49B 7.61B -10.86B -9.05B Net VEX -190.0M -207.6M -169.9M -169.9M -201.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.83 1.09 2.45 1.81 2.17 Total Volume 621,110.435 257,122 1,389,089 523,824 852,730 Total OI 8,963,337.478 7,978,281 9,926,290 7,978,281 9,438,406
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 2007-10-01 $154.30 $152.00 15.3% 4.4% 14.7% 36.6% 16.1% 5.3% 1.1% -208.1M -10.86B -169.9M 1.81 3.05 N/A N/A 186,139 337,685 2,787,524 5,190,757 2007-10-02 $154.09 $152.00 15.5% 4.4% 14.5% 37.4% 15.5% 5.3% 1.5% -256.1M -10.12B -175.8M 1.20 3.77 N/A N/A 216,933 261,229 2,846,790 5,287,272 2007-10-03 $153.78 $152.00 15.0% 4.3% 14.1% 35.1% 15.3% 5.2% 1.9% -280.4M -9.17B -179.0M 1.27 3.39 N/A N/A 211,042 267,949 2,929,525 5,360,893 2007-10-04 $154.02 $152.00 15.2% 4.4% 14.1% 36.1% 15.7% 4.8% 1.7% -275.4M -9.68B -179.9M 1.67 3.69 N/A N/A 121,177 202,808 2,962,970 5,440,883 2007-10-05 $155.85 $153.00 13.0% 4.4% 13.1% 24.9% 16.7% 5.5% 0.5% 94.3M -14.76B -174.8M 1.91 4.61 N/A N/A 252,279 481,475 3,013,289 5,494,951 2007-10-08 $155.02 $154.00 14.4% 4.6% 13.4% 31.9% 16.9% 5.7% 0.2% -158.2M -12.34B -180.6M 2.19 2.95 N/A N/A 80,655 176,467 3,110,534 5,776,893 2007-10-09 $156.48 $154.00 13.6% 4.3% 13.2% 27.6% 16.0% 5.2% 0.7% 210.8M -16.49B -173.8M 2.04 4.00 N/A N/A 128,606 262,649 3,124,633 5,817,305 2007-10-10 $156.22 $154.00 13.7% 4.4% 13.3% 28.4% 15.8% 5.3% 0.8% 72.6M -15.12B -177.9M 2.45 3.70 N/A N/A 93,707 229,505 3,154,601 5,917,472 2007-10-11 $155.47 $155.00 17.4% 5.0% 13.4% 47.0% 17.4% 5.7% 0.4% -221.5M -12.14B -186.2M 1.79 5.77 N/A N/A 269,518 482,118 3,162,168 5,973,204 2007-10-12 $156.33 $155.00 16.0% 4.6% 13.5% 40.1% 17.0% 5.3% 0.6% 94.4M -15.02B -183.2M 1.69 3.10 N/A N/A 155,468 262,378 3,235,021 6,148,647 2007-10-15 $155.01 $155.00 17.9% 5.1% 13.8% 49.6% 17.6% 5.7% 0.4% -271.6M -10.49B -188.7M 1.09 3.28 N/A N/A 339,782 369,737 3,283,078 6,194,136 2007-10-16 $153.78 $155.00 18.2% 5.2% 10.0% 51.4% 18.7% 5.9% 0.5% -679.1M -6.73B -192.9M 1.66 3.87 N/A N/A 241,455 401,951 3,392,608 6,282,044 2007-10-17 $154.25 $155.00 16.7% 4.8% 9.8% 43.5% 16.8% 5.5% 1.1% -627.0M -8.33B -192.4M 1.50 3.26 N/A N/A 336,755 503,486 3,450,618 6,329,606 2007-10-18 $153.69 $155.00 16.7% 4.8% 9.5% 43.4% 17.3% 5.6% 1.2% -831.6M -6.83B -193.0M 2.25 3.34 N/A N/A 157,235 353,169 3,501,618 6,386,109 2007-10-19 $149.67 $155.00 20.7% 5.9% 13.5% 64.0% 20.2% 6.8% -0.6% -2.10B 7.61B -195.8M 2.22 4.97 N/A N/A 431,522 957,567 3,509,885 6,416,405 2007-10-22 $150.54 $155.00 19.6% 5.6% 13.7% 58.3% 20.2% 6.5% 0.1% -841.2M 2.51B -198.6M 2.10 3.22 N/A N/A 263,796 552,984 2,985,169 5,108,734 2007-10-23 $151.76 $154.00 18.1% 5.2% 14.0% 50.8% 18.4% 6.3% 0.5% -860.0M 51.1M -201.5M 1.94 2.86 N/A N/A 186,156 361,301 3,078,553 5,320,942 2007-10-24 $151.48 $154.00 19.2% 5.5% 13.9% 56.6% 20.1% 6.5% 0.1% -824.1M 432.6M -203.4M 2.03 3.70 N/A N/A 333,881 676,656 3,146,763 5,404,419 2007-10-25 $151.84 $154.00 19.4% 5.6% 13.7% 57.6% 21.0% 6.4% -0.1% -794.8M -338.7M -207.6M 2.19 4.38 N/A N/A 225,361 493,621 3,230,443 5,557,208 2007-10-26 $153.62 $154.00 17.5% 5.0% 14.3% 47.5% 18.8% 6.0% 0.6% -620.0M -5.31B -205.7M 1.16 3.16 N/A N/A 282,865 328,326 3,298,796 5,697,482 2007-10-29 $154.13 $153.00 18.4% 5.3% 13.8% 52.1% 19.4% 5.8% -0.2% -521.4M -7.20B -202.3M 1.37 2.06 N/A N/A 176,936 242,134 3,378,272 5,764,413 2007-10-30 $153.06 $154.00 20.1% 5.8% 14.0% 60.8% 21.0% 6.3% -0.9% -700.6M -3.98B -206.1M 2.37 2.42 N/A N/A 159,213 377,134 3,416,688 5,849,035 2007-10-31 $154.65 $154.00 16.1% 4.6% 14.5% 40.4% 17.0% 5.4% 0.6% -510.1M -9.05B -201.4M 2.17 2.41 N/A N/A 269,243 583,487 3,464,906 5,973,500
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