SPY Options History — March 2008

In March 2008, SPY traded between $128.00 and $134.85. ATM implied volatility averaged 25.0%, placing in the 75.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.7% (HV 20d: 22.3%). Max pain ranged from $133.00 to $140.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.55.

Notable Days

2008-03-19: Highest Volume — 3,725,008 contracts
2008-03-31: Largest IV spike — 39.2% change
2008-03-17: Highest IV Rank — 99.4%
2008-03-17: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$131.88	$128.00	$134.85	$133.50	$131.97
Max Pain	$136.05	$133.00	$140.00	$140.00	$133.00
ATM IV	25.0%	17.5%	29.9%	24.6%	24.4%
Expected Move	7.3%	6.6%	8.6%	7.1%	7.0%
HV 20d	22.3%	13.8%	28.5%	17.0%	27.2%
HV 60d	20.9%	18.6%	22.8%	19.4%	22.8%
IV Rank	75.7%	39.1%	99.4%	73.8%	72.8%
IV Percentile	84.5%	42.9%	99.6%	86.5%	82.1%
Term Structure	0.2%	-1.2%	0.9%	0.3%	0.1%
VWIV	25.7%	22.3%	30.5%	24.5%	24.5%
Skew 25d	6.7%	5.7%	8.0%	6.3%	5.7%
Skew 10d	11.5%	8.2%	14.2%	8.5%	10.2%
Call IV 25d	22.1%	20.0%	26.0%	21.3%	21.5%
Put IV 25d	28.8%	25.8%	34.0%	27.6%	27.2%
Bid-Ask Spread %	4.06	2.13	8.38	4.09	2.13
Gamma HHI	0.06	0.05	0.17	0.05	0.11
Net GEX	-1.28B	-1.87B	-516.2M	-1.23B	-1.34B
Net DEX	23.29B	8.74B	37.24B	22.94B	15.14B
Net VEX	-169.3M	-178.5M	-153.7M	-178.5M	-170.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.44	2.39	1.84	1.58
Total Volume	1,219,221.55	551,005	3,725,008	636,465	635,932
Total OI	10,537,177.1	8,332,202	12,464,253	10,315,912	9,269,142

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
2008-03-03	$133.50	$140.00	24.6%	7.1%	17.0%	73.8%	24.5%	6.3%	0.3%	-1.23B	22.94B	-178.5M	1.84	4.09	N/A	N/A	223,865	412,600	3,987,985	6,327,927
2008-03-04	$132.99	$139.00	24.1%	6.9%	16.6%	71.4%	24.8%	6.1%	0.3%	-1.30B	24.29B	-174.7M	1.43	3.88	N/A	N/A	361,702	517,250	4,044,853	6,385,692
2008-03-05	$133.83	$139.00	22.9%	6.6%	13.8%	65.5%	22.3%	5.8%	0.4%	-1.28B	21.81B	-174.6M	2.39	3.33	N/A	N/A	257,596	615,141	4,081,358	6,442,229
2008-03-06	$131.06	$140.00	25.7%	7.4%	15.5%	78.8%	26.5%	6.3%	0.5%	-1.43B	28.58B	-166.0M	1.57	3.29	N/A	N/A	357,629	561,805	4,026,182	6,410,363
2008-03-07	$129.71	$140.00	25.3%	7.3%	15.6%	77.1%	25.3%	5.8%	0.7%	-1.54B	32.42B	-160.2M	1.80	6.43	N/A	N/A	489,938	883,789	4,095,631	6,508,305
2008-03-10	$128.00	$140.00	28.8%	7.9%	16.0%	94.3%	27.8%	6.7%	0.4%	-1.59B	36.48B	-153.7M	2.02	4.19	N/A	N/A	358,357	722,273	4,209,280	6,665,020
2008-03-11	$132.60	$136.00	23.6%	7.0%	20.7%	68.7%	25.5%	7.1%	0.2%	-1.43B	23.92B	-166.6M	1.33	3.92	N/A	N/A	563,174	751,636	4,264,557	6,724,180
2008-03-12	$131.36	$136.00	25.4%	7.4%	20.6%	77.8%	25.7%	6.9%	0.2%	-1.57B	27.93B	-166.8M	1.42	3.34	N/A	N/A	381,182	540,560	4,333,663	6,885,221
2008-03-13	$131.65	$136.00	25.5%	7.3%	20.2%	77.9%	26.7%	6.9%	0.4%	-1.46B	26.20B	-167.7M	2.18	4.19	N/A	N/A	459,133	998,793	4,408,640	6,863,824
2008-03-14	$129.61	$135.00	28.7%	8.2%	20.7%	93.7%	29.6%	7.9%	-0.6%	-1.53B	33.06B	-169.3M	1.83	8.38	N/A	N/A	829,144	1,518,701	4,488,014	7,078,437
2008-03-17	$128.30	$135.00	29.9%	8.6%	20.8%	99.4%	30.5%	8.0%	-1.2%	-1.69B	37.24B	-164.4M	1.38	5.41	N/A	N/A	707,553	974,264	4,738,853	7,360,494
2008-03-18	$133.63	$134.00	23.7%	6.8%	25.9%	69.4%	25.3%	6.9%	0.4%	-1.22B	19.50B	-173.9M	1.24	4.27	N/A	N/A	621,031	767,613	4,867,762	7,590,696
2008-03-19	$130.32	$134.00	28.2%	8.1%	27.2%	91.2%	27.8%	7.6%	-0.8%	-1.87B	31.86B	-168.7M	0.44	4.14	N/A	N/A	2,587,050	1,137,958	4,876,670	7,579,231
2008-03-20	$132.08	$134.00	25.4%	7.3%	27.7%	77.7%	26.5%	7.5%	0.3%	-1.48B	25.59B	-170.5M	1.57	5.09	N/A	N/A	567,351	890,268	4,776,005	7,688,248
2008-03-24	$134.72	$133.00	23.6%	6.8%	28.5%	68.8%	24.6%	7.2%	0.9%	-656.2M	9.63B	-168.9M	1.27	3.48	N/A	N/A	501,094	633,988	3,068,304	5,263,898
2008-03-25	$134.85	$134.00	23.9%	6.9%	28.1%	70.3%	24.2%	6.9%	0.4%	-516.2M	8.74B	-173.4M	1.54	3.45	N/A	N/A	253,647	391,034	3,276,505	5,339,964
2008-03-26	$133.20	$135.00	24.7%	7.1%	28.2%	74.2%	24.2%	6.9%	0.5%	-638.5M	10.48B	-172.9M	1.81	2.42	N/A	N/A	219,966	398,246	3,338,407	5,411,147
2008-03-27	$132.78	$134.00	24.4%	7.0%	28.2%	72.6%	23.9%	6.3%	0.4%	-849.3M	13.72B	-172.9M	1.10	2.88	N/A	N/A	353,784	388,379	3,419,554	5,499,951
2008-03-28	$131.51	$134.00	17.5%	7.0%	28.2%	39.1%	24.0%	5.7%	0.5%	-1.04B	16.25B	-172.6M	1.25	2.80	N/A	N/A	244,924	306,081	3,523,976	5,623,374
2008-03-31	$131.97	$133.00	24.4%	7.0%	27.2%	72.8%	24.5%	5.7%	0.1%	-1.34B	15.14B	-170.3M	1.58	2.13	N/A	N/A	246,210	389,722	3,588,333	5,680,809