SPY Options History — April 2008 In April 2008, SPY traded between $132.93 and $139.63. ATM implied volatility averaged 19.8%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.0% (HV 20d: 22.8%). Max pain ranged from $133.00 to $138.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.53.
Notable Days 2008-04-18 : Highest Volume — 1,525,486 contracts2008-04-16 : Largest IV drop — 12.8% change2008-04-14 : Highest IV Rank — 65.0%2008-04-14 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $137.00 $132.93 $139.63 $136.61 $138.26 Max Pain $135.91 $133.00 $138.00 $133.00 $138.00 ATM IV 19.8% 17.5% 23.0% 20.7% 18.9% Expected Move 5.8% 5.0% 6.6% 5.9% 5.4% HV 20d 22.8% 13.7% 29.9% 29.9% 13.9% HV 60d 22.5% 21.0% 23.9% 23.9% 21.0% IV Rank 49.4% 37.3% 65.0% 54.7% 42.9% IV Percentile 48.3% 34.5% 69.4% 55.2% 40.9% Term Structure 0.9% 0.3% 1.4% 0.8% 0.9% VWIV 20.6% 18.2% 23.5% 22.3% 18.2% Skew 25d 5.1% 4.0% 5.8% 5.4% 4.1% Skew 10d 9.1% 7.6% 10.5% 10.3% 8.1% Call IV 25d 17.6% 15.7% 20.1% 18.2% 16.7% Put IV 25d 22.7% 19.7% 25.8% 23.7% 20.8% Bid-Ask Spread % 2.61 1.75 3.43 2.26 2.12 Gamma HHI 0.05 0.05 0.07 0.05 0.05 Net GEX -496.8M -1.17B 224.8M -388.8M -575.6M Net DEX 3.79B -4.51B 15.09B 3.21B 3.16B Net VEX -180.5M -184.5M -174.0M -174.0M -183.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 0.92 2.40 1.83 1.20 Total Volume 779,479.909 411,463 1,525,486 1,026,862 740,519 Total OI 9,688,298.5 8,725,775 10,823,806 8,725,775 9,782,753
Daily Data (22 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 2008-04-01 $136.61 $133.00 20.7% 5.9% 29.9% 54.7% 22.3% 5.4% 0.8% -388.8M 3.21B -174.0M 1.83 2.26 N/A N/A 362,894 663,968 3,332,011 5,393,764 2008-04-02 $136.70 $134.00 21.2% 6.1% 29.9% 57.2% 22.2% 5.3% 1.2% -453.6M 3.28B -178.4M 1.90 2.30 N/A N/A 246,352 469,253 3,425,250 5,557,456 2008-04-03 $137.04 $135.00 21.1% 6.1% 29.8% 56.5% 21.7% 4.7% 1.3% -428.8M 2.70B -179.4M 1.59 1.75 N/A N/A 268,110 426,635 3,464,518 5,626,456 2008-04-04 $136.89 $135.00 20.4% 6.4% 28.7% 53.2% 23.2% 5.8% 0.6% -429.1M 3.58B -177.9M 1.48 2.92 N/A N/A 323,231 477,108 3,536,260 5,690,033 2008-04-07 $136.96 $135.00 20.0% 6.2% 28.3% 51.0% 21.9% 5.6% 0.3% -462.0M 2.84B -180.1M 1.84 3.03 N/A N/A 305,801 563,101 3,639,919 5,845,153 2008-04-08 $136.82 $136.00 19.4% 6.1% 27.7% 48.0% 22.2% 5.7% 0.6% -459.2M 3.24B -182.9M 1.53 3.02 N/A N/A 219,597 336,964 3,727,326 5,966,879 2008-04-09 $135.83 $136.00 19.8% 6.3% 25.2% 50.2% 22.5% 5.6% 0.3% -696.7M 6.55B -183.8M 1.02 2.99 N/A N/A 347,681 354,376 3,781,267 6,062,238 2008-04-10 $136.02 $136.00 21.2% 6.1% 24.9% 56.0% 21.9% 5.6% 0.7% -486.6M 4.94B -183.2M 1.58 2.68 N/A N/A 336,976 533,589 3,896,714 6,076,376 2008-04-11 $133.38 $136.00 22.9% 6.6% 26.0% 64.5% 21.9% 5.7% 0.4% -1.10B 14.01B -182.1M 1.29 2.47 N/A N/A 542,650 699,410 3,972,341 6,263,761 2008-04-14 $132.93 $135.00 23.0% 6.6% 25.4% 65.0% 23.5% 5.7% 0.3% -1.17B 15.09B -178.2M 1.18 2.60 N/A N/A 378,171 447,404 4,057,831 6,342,377 2008-04-15 $133.24 $135.00 22.3% 6.4% 25.0% 61.3% 21.9% 5.5% 0.4% -1.12B 13.50B -177.5M 0.92 2.84 N/A N/A 418,398 383,629 4,083,410 6,444,916 2008-04-16 $136.85 $135.00 19.4% 5.6% 22.5% 47.0% 20.2% 5.2% 1.0% -53.7M 471.1M -177.8M 1.08 2.75 N/A N/A 544,216 588,709 4,158,054 6,463,206 2008-04-17 $137.05 $135.00 19.3% 5.5% 20.2% 46.6% 19.9% 5.2% 1.0% -143.3M 647.2M -178.1M 1.82 2.34 N/A N/A 292,261 532,346 4,177,202 6,570,042 2008-04-18 $138.48 $136.00 18.8% 5.4% 20.0% 43.8% 19.2% 5.4% 1.1% 224.8M -4.51B -177.5M 1.32 3.40 N/A N/A 656,242 869,244 4,210,814 6,612,992 2008-04-21 $138.55 $137.00 18.5% 5.3% 19.0% 42.2% 19.4% 5.1% 1.2% -424.9M 1.66B -181.4M 1.64 2.16 N/A N/A 155,607 255,856 3,455,006 5,461,408 2008-04-22 $137.94 $137.00 18.9% 5.4% 19.1% 44.7% 19.7% 5.0% 1.1% -501.2M 3.36B -180.5M 2.40 1.94 N/A N/A 188,731 453,458 3,451,611 5,435,211 2008-04-23 $137.72 $137.00 18.6% 5.3% 18.4% 43.0% 18.7% 4.5% 1.4% -611.0M 4.11B -183.8M 1.54 2.44 N/A N/A 179,432 275,698 3,553,462 5,601,077 2008-04-24 $138.32 $137.00 18.3% 5.2% 18.4% 41.3% 18.3% 4.3% 1.2% -506.4M 2.14B -183.1M 1.35 3.43 N/A N/A 314,157 423,886 3,610,364 5,681,893 2008-04-25 $139.60 $137.00 17.5% 5.0% 18.0% 37.4% 18.2% 4.0% 1.1% -363.8M -766.0M -183.8M 1.68 3.22 N/A N/A 204,192 343,263 3,683,541 5,754,215 2008-04-28 $139.63 $137.00 17.5% 5.0% 18.0% 37.3% 18.3% 4.0% 1.1% -334.0M -983.5M -181.1M 1.92 2.55 N/A N/A 191,629 367,027 3,749,565 5,836,538 2008-04-29 $139.08 $138.00 18.6% 5.3% 13.7% 41.8% 18.6% 4.0% 0.6% -441.3M 1.05B -184.5M 1.44 2.28 N/A N/A 191,137 275,650 3,802,964 5,904,393 2008-04-30 $138.26 $138.00 18.9% 5.4% 13.9% 42.9% 18.2% 4.1% 0.9% -575.6M 3.16B -183.0M 1.20 2.12 N/A N/A 337,176 403,343 3,813,819 5,968,934
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