SPY Options History — January 2008 In January 2008, SPY traded between $130.72 and $144.93. ATM implied volatility averaged 25.0%, placing in the 81.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.4% (HV 20d: 18.6%). Max pain ranged from $137.00 to $148.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.88.
Notable Days 2008-01-17 : Highest Volume — 2,694,527 contracts2008-01-17 : Largest IV spike — 14.5% change2008-01-22 : Highest IV Rank — 100.0%2008-01-22 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $137.67 $130.72 $144.93 $144.93 $137.37 Max Pain $142.90 $137.00 $148.00 $148.00 $137.00 ATM IV 25.0% 20.8% 30.0% 21.4% 26.1% Expected Move 7.2% 6.0% 8.6% 6.1% 7.5% HV 20d 18.6% 15.4% 23.1% 17.7% 23.1% HV 60d 21.2% 20.1% 22.4% 20.1% 22.2% IV Rank 81.2% 63.5% 100.0% 66.2% 82.1% IV Percentile 91.3% 78.2% 100.0% 80.5% 94.0% Term Structure -0.8% -2.8% 1.0% 1.0% -1.4% VWIV 25.1% 21.1% 29.9% 21.1% 27.2% Skew 25d 6.3% 4.1% 8.4% 4.4% 6.8% Skew 10d 11.1% 7.1% 14.5% 8.5% 12.4% Call IV 25d 21.7% 18.7% 25.5% 18.9% 22.7% Put IV 25d 28.1% 22.7% 34.0% 23.4% 29.5% Bid-Ask Spread % 4.03 2.58 5.47 4.06 3.87 Gamma HHI 0.06 0.04 0.12 0.06 0.04 Net GEX -1.30B -2.13B -783.3M -1.11B -783.3M Net DEX 20.11B 10.75B 39.57B 10.82B 11.32B Net VEX -169.9M -180.4M -146.8M -180.4M -179.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.88 1.37 2.82 1.84 1.83 Total Volume 1,301,520.619 666,562 2,694,527 683,892 1,654,252 Total OI 9,010,712.667 7,763,494 10,461,252 8,041,846 9,485,897
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 2008-01-02 $144.93 $148.00 21.4% 6.1% 17.7% 66.2% 21.1% 4.4% 1.0% -1.11B 10.82B -180.4M 1.84 4.06 N/A N/A 241,115 442,777 2,941,534 5,100,312 2008-01-03 $144.86 $148.00 20.8% 6.0% 17.4% 63.5% 21.1% 4.1% 0.9% -1.18B 10.75B -173.9M 2.82 2.58 N/A N/A 174,461 492,101 2,964,146 5,145,039 2008-01-04 $141.31 $148.00 23.2% 6.8% 18.2% 75.5% 23.8% 6.3% 0.0% -1.37B 19.19B -176.0M 2.37 4.71 N/A N/A 387,681 918,100 3,054,334 5,326,237 2008-01-07 $141.19 $147.00 22.7% 6.6% 17.1% 72.8% 22.9% 6.2% -0.0% -1.49B 19.28B -173.3M 1.52 5.47 N/A N/A 308,341 468,295 3,172,418 5,467,569 2008-01-08 $138.91 $147.00 23.6% 7.1% 17.7% 77.2% 23.8% 6.2% -0.3% -1.48B 24.04B -168.9M 2.02 5.33 N/A N/A 405,436 817,001 3,235,392 5,479,637 2008-01-09 $140.37 $146.00 22.2% 6.7% 17.9% 70.3% 23.3% 6.0% 0.2% -1.58B 20.01B -171.9M 2.10 4.27 N/A N/A 455,645 956,155 3,322,283 5,537,890 2008-01-10 $141.29 $145.00 22.9% 6.6% 15.9% 73.9% 23.1% 6.0% -0.2% -1.51B 16.39B -176.4M 1.79 4.75 N/A N/A 468,163 836,347 3,474,218 5,721,715 2008-01-11 $140.15 $145.00 23.3% 6.7% 15.4% 76.0% 23.3% 5.6% -0.1% -1.72B 20.15B -174.9M 2.14 4.42 N/A N/A 315,148 675,879 3,548,755 5,839,596 2008-01-14 $141.28 $145.00 22.5% 6.4% 15.9% 71.6% 22.2% 5.6% -0.1% -1.58B 16.00B -173.8M 1.78 3.20 N/A N/A 274,978 489,653 3,650,892 5,939,405 2008-01-15 $138.17 $145.00 23.1% 6.6% 17.0% 74.7% 22.8% 4.9% 0.1% -2.00B 26.06B -166.6M 2.02 3.12 N/A N/A 500,635 1,012,284 3,677,743 5,957,941 2008-01-16 $136.98 $145.00 24.0% 6.9% 16.6% 79.3% 23.4% 4.8% -0.6% -2.13B 27.67B -165.0M 2.10 2.93 N/A N/A 550,267 1,157,688 3,845,422 6,001,186 2008-01-17 $133.43 $144.00 27.5% 7.9% 18.2% 96.7% 26.3% 5.8% -1.1% -1.85B 36.46B -158.1M 2.01 4.74 N/A N/A 895,496 1,799,031 3,931,543 6,107,188 2008-01-18 $132.06 $142.00 26.8% 7.7% 18.3% 93.2% 26.1% 6.2% -0.8% -1.31B 39.57B -153.4M 2.01 3.47 N/A N/A 732,678 1,473,837 4,217,922 6,243,330 2008-01-22 $130.72 $141.00 30.0% 8.6% 17.8% 100.0% 29.9% 8.4% -2.8% -904.1M 24.55B -146.8M 2.03 3.00 N/A N/A 669,884 1,357,113 3,031,903 4,731,591 2008-01-23 $133.86 $139.00 27.8% 8.0% 20.1% 89.8% 29.5% 7.9% -2.2% -893.4M 18.59B -161.5M 1.39 4.67 N/A N/A 622,712 863,891 3,220,328 4,929,648 2008-01-24 $134.99 $138.00 26.9% 7.7% 20.2% 85.7% 27.2% 7.7% -1.8% -815.8M 15.57B -171.7M 1.55 5.29 N/A N/A 482,498 749,909 3,444,998 5,159,747 2008-01-25 $133.04 $138.00 28.5% 8.2% 20.3% 93.3% 28.6% 7.8% -1.7% -890.6M 19.53B -172.1M 1.93 4.12 N/A N/A 366,447 706,793 3,515,735 5,324,717 2008-01-28 $135.24 $138.00 27.4% 7.8% 21.5% 87.9% 28.0% 7.4% -1.9% -885.4M 15.56B -174.4M 1.37 2.88 N/A N/A 304,950 417,791 3,577,435 5,472,271 2008-01-29 $135.91 $138.00 27.0% 7.7% 21.8% 86.4% 27.2% 7.5% -2.2% -868.1M 14.05B -176.4M 1.49 2.65 N/A N/A 292,199 434,097 3,613,073 5,533,215 2008-01-30 $134.91 $137.00 27.4% 7.9% 21.8% 88.2% 27.0% 7.3% -2.0% -927.3M 16.67B -173.7M 1.47 4.98 N/A N/A 468,909 691,296 3,678,863 5,601,898 2008-01-31 $137.37 $137.00 26.1% 7.5% 23.1% 82.1% 27.2% 6.8% -1.4% -783.3M 11.32B -179.2M 1.83 3.87 N/A N/A 585,182 1,069,070 3,785,511 5,700,386
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