SPY Options History — November 2007 In November 2007, SPY traded between $140.95 and $152.07. ATM implied volatility averaged 23.8%, placing in the 78.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.5% (HV 20d: 21.4%). Max pain ranged from $148.00 to $154.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.00.
Notable Days 2007-11-08 : Highest Volume — 1,926,355 contracts2007-11-07 : Largest IV spike — 35.3% change2007-11-12 : Highest IV Rank — 100.0%2007-11-26 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $146.48 $140.95 $152.07 $151.03 $148.66 Max Pain $149.86 $148.00 $154.00 $154.00 $150.00 ATM IV 23.8% 19.0% 28.1% 21.5% 21.0% Expected Move 6.8% 5.7% 8.2% 6.2% 6.0% HV 20d 21.4% 16.1% 27.3% 16.8% 26.0% HV 60d 17.7% 16.1% 19.4% 17.3% 19.4% IV Rank 78.9% 55.2% 100.0% 68.3% 64.2% IV Percentile 92.1% 79.8% 100.0% 88.6% 81.3% Term Structure -0.4% -1.6% 1.0% -0.7% 0.6% VWIV 23.9% 20.0% 27.5% 21.2% 20.7% Skew 25d 8.5% 5.9% 11.0% 6.5% 7.1% Skew 10d 14.8% 10.7% 19.8% 11.8% 11.5% Call IV 25d 19.5% 15.7% 24.5% 18.2% 17.8% Put IV 25d 27.9% 22.7% 32.6% 24.7% 24.9% Bid-Ask Spread % 5.33 2.00 11.68 2.00 11.68 Gamma HHI 0.05 0.04 0.26 0.04 0.04 Net GEX -1.44B -2.75B -926.0M -1.15B -926.0M Net DEX 12.63B -641.4M 24.57B 3.29B 2.25B Net VEX -213.1M -217.2M -206.5M -213.1M -213.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.00 1.52 2.54 1.94 2.11 Total Volume 960,663.905 300,531 1,926,355 1,171,348 856,155 Total OI 10,304,075.905 9,441,703 11,224,069 9,611,797 10,602,677
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 2007-11-01 $151.03 $154.00 21.5% 6.2% 16.8% 68.3% 21.2% 6.5% -0.7% -1.15B 3.29B -213.1M 1.94 2.00 N/A N/A 398,269 773,079 3,502,903 6,108,894 2007-11-02 $151.20 $154.00 19.8% 5.7% 16.1% 59.6% 20.4% 5.9% 1.0% -1.18B 2.76B -213.4M 1.61 3.55 N/A N/A 379,033 610,771 3,589,966 6,184,846 2007-11-05 $150.05 $150.00 22.1% 6.4% 16.2% 71.0% 22.9% 9.2% -0.4% -1.27B 6.11B -213.9M 1.64 3.74 N/A N/A 311,275 510,685 3,691,943 6,226,345 2007-11-06 $152.07 $150.00 19.0% 5.7% 16.6% 55.2% 20.0% 8.2% 0.1% -1.04B -641.4M -210.8M 2.13 3.13 N/A N/A 267,526 569,453 3,765,060 6,312,663 2007-11-07 $147.91 $150.00 25.7% 6.8% 19.1% 89.5% 23.4% 9.5% -0.5% -1.52B 13.37B -214.1M 2.12 5.35 N/A N/A 359,525 763,842 3,800,516 6,419,849 2007-11-08 $147.16 $150.00 24.2% 6.9% 19.1% 81.8% 23.9% 9.7% -0.4% -1.63B 15.70B -213.4M 2.06 3.95 N/A N/A 629,807 1,296,548 3,857,644 6,478,876 2007-11-09 $145.14 $150.00 24.9% 7.6% 19.2% 85.6% 25.5% 10.4% -0.9% -1.76B 21.03B -213.9M 2.11 4.56 N/A N/A 336,694 710,146 3,973,642 6,624,913 2007-11-12 $143.70 $150.00 28.1% 7.7% 19.3% 100.0% 25.7% 11.0% -0.9% -1.84B 24.57B -206.5M 1.78 4.55 N/A N/A 383,680 683,701 4,046,823 6,678,277 2007-11-13 $148.08 $150.00 24.1% 6.4% 22.6% 79.6% 23.8% 9.9% -0.4% -1.69B 9.80B -213.8M 2.24 4.77 N/A N/A 401,311 897,127 4,124,246 6,672,223 2007-11-14 $147.67 $149.00 23.4% 6.7% 22.5% 76.5% 23.5% 10.0% -0.4% -1.85B 11.87B -216.6M 1.52 4.80 N/A N/A 349,744 531,901 4,204,965 6,831,635 2007-11-15 $145.54 $149.00 25.1% 7.2% 22.9% 84.9% 26.5% 10.6% -0.6% -2.03B 18.55B -214.2M 2.28 5.55 N/A N/A 401,452 916,322 4,199,717 6,789,080 2007-11-16 $145.79 $149.00 23.4% 6.7% 21.2% 76.2% 24.3% 10.0% -0.3% -2.75B 17.68B -214.3M 2.07 5.23 N/A N/A 395,750 820,758 4,271,328 6,952,741 2007-11-19 $143.76 $149.00 24.3% 7.0% 21.5% 80.9% 24.5% 9.0% -0.4% -1.17B 15.96B -210.1M 2.08 3.80 N/A N/A 247,525 515,695 3,474,480 5,967,223 2007-11-20 $144.64 $149.00 23.4% 6.7% 21.4% 76.4% 24.3% 8.3% -0.5% -1.20B 14.34B -216.5M 2.25 5.05 N/A N/A 281,272 631,926 3,568,108 6,165,584 2007-11-21 $141.68 $148.00 25.9% 7.4% 22.3% 88.8% 25.6% 7.8% -0.8% -1.28B 20.18B -210.2M 1.78 5.29 N/A N/A 280,890 499,505 3,626,933 6,247,119 2007-11-23 $144.13 $148.00 25.5% 7.3% 23.4% 86.9% 25.5% 7.4% -1.4% -1.20B 14.56B -217.2M 2.17 4.47 N/A N/A 94,903 205,628 3,717,712 6,339,454 2007-11-26 $140.95 $148.00 27.7% 8.2% 23.8% 98.1% 27.5% 7.2% -1.6% -1.31B 22.21B -208.2M 1.63 3.42 N/A N/A 241,845 394,838 3,740,387 6,398,290 2007-11-27 $142.57 $150.00 25.3% 7.2% 24.3% 86.1% 26.0% 7.0% -0.2% -1.33B 18.28B -210.2M 2.54 9.24 N/A N/A 221,112 561,490 3,793,503 6,466,852 2007-11-28 $147.13 $150.00 23.0% 6.5% 27.3% 74.2% 22.9% 6.8% -0.1% -1.08B 6.78B -215.5M 2.04 9.94 N/A N/A 282,877 577,740 3,813,311 6,626,882 2007-11-29 $147.18 $150.00 22.8% 6.5% 26.9% 73.3% 23.8% 6.4% 0.3% -1.06B 6.55B -214.5M 1.92 7.92 N/A N/A 199,099 383,043 3,855,770 6,672,214 2007-11-30 $148.66 $150.00 21.0% 6.0% 26.0% 64.2% 20.7% 7.1% 0.6% -926.0M 2.25B -213.8M 2.11 11.68 N/A N/A 275,563 580,592 3,892,851 6,709,826
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