SPY Options History — February 2008 In February 2008, SPY traded between $133.05 and $139.58. ATM implied volatility averaged 24.2%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.9% (HV 20d: 21.2%). Max pain ranged from $137.00 to $142.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.81.
Notable Days 2008-02-07 : Highest Volume — 1,332,175 contracts2008-02-13 : Largest IV drop — 15.9% change2008-02-06 : Highest IV Rank — 93.3%2008-02-06 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $135.67 $133.05 $139.58 $139.58 $133.82 Max Pain $140.75 $137.00 $142.00 $137.00 $141.00 ATM IV 24.2% 20.6% 28.5% 22.0% 24.4% Expected Move 6.9% 5.9% 7.8% 6.3% 7.0% HV 20d 21.2% 17.5% 24.6% 24.0% 18.2% HV 60d 21.0% 19.0% 22.4% 22.4% 19.5% IV Rank 72.2% 54.1% 93.3% 63.3% 72.6% IV Percentile 82.6% 63.1% 99.6% 74.6% 86.5% Term Structure -0.1% -0.6% 0.9% 0.5% 0.4% VWIV 24.6% 21.0% 27.5% 23.0% 24.7% Skew 25d 7.0% 5.7% 8.2% 6.2% 6.4% Skew 10d 11.9% 8.8% 14.2% 11.6% 8.8% Call IV 25d 20.4% 17.4% 22.9% 19.3% 21.2% Put IV 25d 27.4% 23.2% 31.1% 25.5% 27.6% Bid-Ask Spread % 3.51 2.04 5.61 2.04 4.30 Gamma HHI 0.06 0.04 0.24 0.04 0.05 Net GEX -1.06B -1.66B -641.5M -641.5M -1.18B Net DEX 16.43B 5.51B 24.05B 5.51B 22.32B Net VEX -180.7M -185.6M -178.1M -185.6M -180.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 1.22 2.88 1.22 1.40 Total Volume 888,208.9 547,374 1,332,175 1,006,468 928,474 Total OI 10,156,958.5 8,958,503 11,512,910 9,783,770 10,118,489
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 2008-02-01 $139.58 $137.00 22.0% 6.3% 24.0% 63.3% 23.0% 6.2% 0.5% -641.5M 5.51B -185.6M 1.22 2.04 N/A N/A 453,432 553,036 3,891,193 5,892,577 2008-02-04 $137.82 $142.00 24.9% 7.0% 22.8% 76.8% 24.5% 7.8% -0.3% -841.7M 10.64B -183.0M 1.92 3.48 N/A N/A 247,056 474,333 3,932,282 6,012,812 2008-02-05 $134.13 $142.00 28.1% 7.7% 24.6% 91.3% 26.6% 8.0% -0.5% -1.13B 20.51B -178.8M 1.94 3.40 N/A N/A 428,052 829,561 3,996,708 6,111,939 2008-02-06 $133.05 $142.00 28.5% 7.8% 24.2% 93.3% 27.5% 8.2% -0.6% -1.21B 23.90B -178.6M 1.85 2.97 N/A N/A 375,709 694,270 4,080,013 6,207,963 2008-02-07 $133.93 $142.00 26.7% 7.5% 23.9% 84.7% 26.8% 8.1% -0.4% -1.20B 21.35B -181.9M 1.76 3.70 N/A N/A 482,061 850,114 4,132,647 6,331,773 2008-02-08 $133.07 $142.00 26.6% 7.7% 23.7% 83.8% 26.7% 7.8% -0.5% -1.32B 24.05B -180.3M 1.68 5.51 N/A N/A 348,789 584,526 4,216,431 6,468,892 2008-02-11 $133.75 $141.00 26.5% 7.5% 23.8% 83.5% 26.7% 8.0% -0.3% -1.30B 21.99B -178.1M 1.60 3.36 N/A N/A 306,733 490,506 4,311,152 6,573,632 2008-02-12 $134.99 $140.00 25.7% 7.2% 23.9% 79.8% 25.6% 7.9% -0.4% -1.16B 18.08B -179.7M 1.86 3.37 N/A N/A 437,763 812,808 4,368,686 6,629,795 2008-02-13 $136.37 $140.00 21.6% 6.9% 23.0% 60.4% 24.9% 7.4% -0.3% -1.00B 13.72B -183.0M 1.65 2.81 N/A N/A 291,520 481,222 4,452,514 6,821,019 2008-02-14 $135.17 $140.00 24.7% 7.1% 23.1% 74.8% 24.6% 7.2% -0.2% -1.11B 17.83B -180.8M 1.25 3.56 N/A N/A 461,483 578,502 4,503,607 6,835,633 2008-02-15 $135.14 $140.00 24.3% 7.0% 21.0% 73.2% 25.2% 7.0% -0.3% -1.66B 17.61B -179.4M 1.84 3.33 N/A N/A 348,492 640,328 4,589,917 6,922,993 2008-02-19 $135.52 $140.00 24.1% 6.9% 20.6% 72.0% 24.9% 6.8% -0.2% -944.8M 15.37B -179.4M 2.11 3.02 N/A N/A 202,678 427,722 3,438,193 5,520,310 2008-02-20 $135.92 $140.00 23.4% 6.7% 20.1% 68.7% 24.2% 6.5% -0.4% -931.3M 14.74B -179.7M 1.93 2.69 N/A N/A 241,297 465,611 3,509,530 5,590,612 2008-02-21 $134.79 $140.00 23.9% 6.8% 18.7% 70.7% 23.8% 6.6% -0.4% -1.05B 17.93B -178.3M 2.02 2.79 N/A N/A 187,748 378,931 3,549,893 5,709,382 2008-02-22 $135.62 $140.00 22.7% 6.5% 18.6% 65.0% 23.6% 6.4% -0.3% -994.5M 15.81B -178.8M 1.95 2.94 N/A N/A 271,396 528,076 3,598,031 5,743,347 2008-02-25 $137.33 $140.00 21.6% 6.2% 18.2% 58.8% 22.5% 6.1% -0.3% -930.2M 12.70B -179.7M 1.69 2.73 N/A N/A 312,495 527,403 3,625,674 5,916,183 2008-02-26 $138.36 $142.00 20.6% 5.9% 17.5% 54.1% 21.6% 5.8% 0.9% -819.2M 9.75B -181.1M 1.84 5.61 N/A N/A 307,981 565,457 3,708,834 5,988,660 2008-02-27 $138.22 $142.00 21.1% 6.0% 17.5% 56.7% 21.0% 5.9% 0.5% -796.6M 10.42B -182.9M 1.86 4.16 N/A N/A 245,582 455,657 3,812,237 6,039,772 2008-02-28 $136.87 $142.00 21.8% 6.2% 17.6% 59.9% 24.2% 5.7% 0.6% -932.8M 14.38B -183.9M 2.88 4.42 N/A N/A 141,246 406,128 3,878,210 6,107,635 2008-02-29 $133.82 $141.00 24.4% 7.0% 18.2% 72.6% 24.7% 6.4% 0.4% -1.18B 22.32B -180.9M 1.40 4.30 N/A N/A 387,195 541,279 3,897,978 6,220,511
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