SPY Options History — December 2007

In December 2007, SPY traded between $145.07 and $152.08. ATM implied volatility averaged 20.0%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 3.2% (HV 20d: 23.2%). Max pain ranged from $148.00 to $150.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.78.

Notable Days

2007-12-20: Highest Volume — 3,428,887 contracts
2007-12-31: Largest IV spike — 61.8% change
2007-12-17: Highest IV Rank — 77.6%
2007-12-17: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$148.10	$145.07	$152.08	$147.68	$146.21
Max Pain	$148.60	$148.00	$150.00	$150.00	$148.00
ATM IV	20.0%	12.9%	23.6%	21.8%	20.9%
Expected Move	5.7%	4.7%	6.8%	6.3%	6.0%
HV 20d	23.2%	17.6%	26.4%	26.1%	17.6%
HV 60d	19.9%	19.3%	20.5%	19.3%	20.2%
IV Rank	59.3%	23.8%	77.6%	68.5%	63.8%
IV Percentile	75.0%	40.2%	90.5%	82.7%	79.2%
Term Structure	1.1%	0.6%	2.0%	0.6%	0.8%
VWIV	20.5%	16.7%	24.2%	24.0%	20.7%
Skew 25d	5.8%	4.9%	6.8%	6.5%	5.1%
Skew 10d	10.2%	8.9%	12.1%	11.1%	9.1%
Call IV 25d	17.2%	14.1%	20.5%	18.7%	17.8%
Put IV 25d	23.0%	19.0%	27.1%	25.2%	22.9%
Bid-Ask Spread %	4.91	3.08	7.95	7.95	3.80
Gamma HHI	0.06	0.04	0.22	0.04	0.06
Net GEX	-1.29B	-2.28B	-448.6M	-1.08B	-884.0M
Net DEX	5.12B	-9.62B	19.22B	5.17B	6.57B
Net VEX	-192.8M	-209.9M	-142.0M	-209.9M	-182.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.22	2.50	1.83	2.40
Total Volume	807,434.95	297,191	3,428,887	479,172	478,069
Total OI	10,601,588.8	7,355,582	12,167,868	10,754,042	7,904,003

Daily Data (20 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
2007-12-03	$147.68	$150.00	21.8%	6.3%	26.1%	68.5%	24.0%	6.5%	0.6%	-1.08B	5.17B	-209.9M	1.83	7.95	N/A	N/A	169,388	309,784	3,964,166	6,789,876
2007-12-04	$146.36	$150.00	22.4%	6.4%	26.2%	71.0%	22.3%	6.4%	0.6%	-1.25B	8.84B	-208.6M	1.24	6.71	N/A	N/A	132,609	164,582	4,035,697	6,860,091
2007-12-05	$148.81	$150.00	20.5%	5.9%	26.4%	62.0%	22.0%	5.9%	0.7%	-944.3M	1.16B	-207.2M	2.50	6.00	N/A	N/A	175,133	438,180	4,029,843	6,831,331
2007-12-06	$150.94	$149.00	18.9%	5.4%	25.0%	53.7%	19.9%	5.8%	0.6%	-623.2M	-5.63B	-203.7M	1.69	7.16	N/A	N/A	261,438	441,337	4,068,120	6,888,969
2007-12-07	$150.91	$150.00	18.7%	5.4%	24.9%	52.6%	19.1%	5.4%	0.9%	-680.8M	-5.41B	-203.9M	1.39	7.12	N/A	N/A	198,612	276,181	4,122,357	6,997,047
2007-12-10	$152.08	$150.00	20.7%	5.4%	24.3%	62.9%	19.6%	5.6%	0.6%	-448.6M	-9.62B	-198.3M	1.79	6.47	N/A	N/A	192,902	344,920	4,160,541	6,999,960
2007-12-11	$147.91	$148.00	23.4%	6.3%	26.2%	76.5%	21.6%	6.8%	0.6%	-1.26B	5.22B	-199.6M	1.62	6.76	N/A	N/A	547,527	885,646	4,150,195	7,035,598
2007-12-12	$149.37	$148.00	22.9%	6.1%	24.2%	73.7%	21.7%	6.7%	0.6%	-1.12B	1.46B	-202.1M	2.21	4.32	N/A	N/A	316,283	697,465	4,269,984	7,197,840
2007-12-13	$149.06	$148.00	21.2%	6.1%	24.2%	65.1%	21.9%	6.5%	1.0%	-1.32B	2.62B	-201.2M	2.41	4.64	N/A	N/A	211,510	509,410	4,274,675	7,303,896
2007-12-14	$147.17	$149.00	22.0%	6.3%	24.1%	69.5%	22.5%	6.6%	0.8%	-1.82B	11.13B	-199.7M	2.04	3.27	N/A	N/A	192,029	392,138	4,333,549	7,431,704
2007-12-17	$145.07	$148.00	23.6%	6.8%	24.6%	77.6%	24.2%	6.6%	0.6%	-2.18B	19.22B	-192.9M	1.86	3.13	N/A	N/A	320,373	597,235	4,324,857	7,457,447
2007-12-18	$145.88	$148.00	21.9%	6.3%	24.2%	68.7%	22.3%	6.1%	1.1%	-2.20B	15.42B	-193.0M	1.50	3.08	N/A	N/A	445,347	667,543	4,417,133	7,595,593
2007-12-19	$145.88	$148.00	20.5%	5.9%	24.1%	61.7%	21.1%	5.7%	1.3%	-2.27B	16.12B	-192.1M	2.26	3.56	N/A	N/A	266,899	604,359	4,502,936	7,664,932
2007-12-20	$146.80	$148.00	19.2%	5.5%	22.8%	55.4%	19.7%	5.2%	1.5%	-2.28B	12.11B	-187.0M	0.22	4.55	N/A	N/A	2,811,825	617,062	4,462,215	7,541,499
2007-12-21	$148.13	$148.00	17.3%	5.0%	22.3%	46.0%	17.4%	5.1%	1.9%	-2.02B	9.03B	-183.0M	2.02	4.57	N/A	N/A	304,360	614,313	4,038,163	7,646,417
2007-12-24	$149.23	$148.00	16.9%	4.8%	20.5%	43.7%	16.7%	5.1%	2.0%	-775.0M	590.2M	-182.5M	1.38	3.77	N/A	N/A	130,919	181,256	2,963,942	5,312,978
2007-12-26	$149.55	$148.00	16.4%	4.7%	20.3%	41.1%	17.2%	4.9%	1.9%	-566.2M	-1.36B	-142.0M	1.69	3.88	N/A	N/A	128,714	218,121	2,727,100	4,628,482
2007-12-27	$147.67	$148.00	18.0%	5.2%	17.8%	49.1%	18.0%	5.2%	1.8%	-1.08B	4.83B	-182.9M	1.66	3.58	N/A	N/A	177,312	294,068	3,083,108	5,413,051
2007-12-28	$147.30	$148.00	12.9%	5.4%	17.8%	23.8%	18.7%	5.3%	1.8%	-1.08B	4.91B	-184.0M	1.86	3.81	N/A	N/A	151,828	282,022	3,162,086	5,440,395
2007-12-31	$146.21	$148.00	20.9%	6.0%	17.6%	63.8%	20.7%	5.1%	0.8%	-884.0M	6.57B	-182.3M	2.40	3.80	N/A	N/A	140,648	337,421	2,919,329	4,984,674