SPY Options History — May 2008 In May 2008, SPY traded between $137.64 and $143.05. ATM implied volatility averaged 16.4%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.5% (HV 20d: 14.9%). Max pain ranged from $138.00 to $140.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.74.
Notable Days 2008-05-16 : Highest Volume — 1,009,370 contracts2008-05-02 : Largest IV drop — 11.9% change2008-05-23 : Highest IV Rank — 38.9%2008-05-08 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $140.47 $137.64 $143.05 $141.12 $140.35 Max Pain $139.62 $138.00 $140.00 $138.00 $140.00 ATM IV 16.4% 14.8% 18.5% 16.8% 16.2% Expected Move 4.9% 4.3% 5.3% 4.8% 4.6% HV 20d 14.9% 12.8% 17.2% 15.6% 13.5% HV 60d 20.8% 20.6% 21.1% 20.7% 20.6% IV Rank 28.9% 20.9% 38.9% 32.4% 26.6% IV Percentile 27.1% 17.9% 38.5% 30.2% 23.0% Term Structure 0.4% -0.2% 2.3% 1.3% 0.9% VWIV 17.7% 15.3% 19.5% 17.5% 16.2% Skew 25d 4.9% 3.3% 5.5% 3.8% 4.5% Skew 10d 9.1% 6.1% 10.1% 7.6% 8.2% Call IV 25d 14.7% 13.3% 16.2% 14.8% 14.0% Put IV 25d 19.6% 16.8% 21.3% 18.5% 18.5% Bid-Ask Spread % 3.18 1.66 5.94 2.15 5.54 Gamma HHI 0.05 0.04 0.07 0.05 0.05 Net GEX -441.4M -1.02B 344.5M -104.8M -713.5M Net DEX 699.5M -9.80B 12.88B -4.73B 4.11B Net VEX -180.5M -186.2M -172.5M -182.6M -183.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 0.81 2.77 1.62 1.33 Total Volume 717,603 415,709 1,009,370 825,600 415,709 Total OI 10,161,641.714 8,799,563 11,209,815 9,946,702 10,097,926
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 2008-05-01 $141.12 $138.00 16.8% 4.8% 15.6% 32.4% 17.5% 3.8% 1.3% -104.8M -4.73B -182.6M 1.62 2.15 N/A N/A 314,726 510,874 3,889,758 6,056,944 2008-05-02 $141.51 $138.00 14.8% 4.3% 15.6% 22.1% 15.3% 3.3% 2.3% 57.2M -6.26B -179.9M 1.82 1.66 N/A N/A 299,050 545,106 3,931,078 6,195,271 2008-05-05 $140.83 $139.00 16.1% 5.1% 15.7% 28.7% 19.1% 5.3% -0.1% -66.7M -3.85B -180.6M 2.77 2.74 N/A N/A 163,919 454,665 4,036,478 6,256,761 2008-05-06 $142.05 $139.00 15.5% 5.0% 15.9% 24.6% 18.2% 5.1% 0.1% 33.8M -7.46B -178.4M 1.58 2.67 N/A N/A 352,047 556,896 4,016,673 6,351,681 2008-05-07 $139.52 $139.00 16.7% 5.3% 17.1% 31.0% 18.9% 5.4% 0.0% -592.7M 1.89B -184.1M 1.93 3.71 N/A N/A 265,560 513,069 4,114,923 6,467,176 2008-05-08 $139.16 $139.00 16.7% 5.3% 17.2% 30.9% 18.3% 5.5% -0.0% -734.8M 3.42B -183.5M 2.14 2.97 N/A N/A 231,996 497,192 4,136,050 6,554,618 2008-05-09 $138.90 $140.00 16.0% 5.3% 15.4% 26.8% 18.7% 5.3% 0.0% -836.2M 4.77B -181.7M 2.29 3.45 N/A N/A 204,208 468,625 4,165,627 6,667,059 2008-05-12 $140.46 $140.00 15.8% 5.1% 15.6% 25.8% 18.3% 5.5% 0.1% -404.4M -1.49B -176.7M 1.64 2.38 N/A N/A 236,378 386,850 4,178,107 6,707,284 2008-05-13 $140.48 $140.00 15.9% 5.1% 15.6% 26.5% 18.2% 5.3% -0.1% -302.4M -1.76B -175.4M 1.75 2.56 N/A N/A 199,328 349,016 4,183,406 6,750,566 2008-05-14 $140.77 $140.00 14.8% 4.9% 12.8% 20.9% 18.3% 5.3% -0.2% -139.1M -3.17B -173.9M 1.21 3.26 N/A N/A 377,560 456,418 4,207,447 6,739,114 2008-05-15 $142.53 $140.00 15.6% 4.5% 13.4% 24.8% 17.6% 5.2% 0.3% 328.7M -9.47B -172.5M 1.84 2.69 N/A N/A 302,972 558,466 4,243,716 6,762,933 2008-05-16 $142.66 $140.00 15.6% 4.5% 13.0% 24.9% 16.8% 4.7% 0.2% 344.5M -9.80B -174.9M 1.61 2.63 N/A N/A 386,237 623,133 4,287,897 6,921,918 2008-05-19 $143.05 $140.00 16.0% 4.6% 13.0% 27.0% 16.6% 4.8% -0.2% -304.0M -3.19B -176.6M 1.88 2.93 N/A N/A 269,434 505,407 3,470,319 5,329,244 2008-05-20 $141.89 $140.00 16.5% 4.7% 13.3% 28.6% 17.2% 4.8% 0.4% -541.9M 776.5M -183.6M 2.04 2.35 N/A N/A 234,003 478,355 3,579,308 5,531,593 2008-05-21 $139.49 $140.00 17.9% 5.1% 14.8% 35.5% 17.5% 4.7% 0.3% -793.1M 7.30B -185.4M 1.73 2.71 N/A N/A 282,868 488,235 3,647,015 5,599,001 2008-05-22 $139.51 $140.00 16.8% 4.8% 14.7% 29.9% 16.9% 4.8% 0.3% -831.9M 7.32B -186.2M 1.57 2.06 N/A N/A 185,260 290,108 3,702,699 5,727,425 2008-05-23 $137.64 $140.00 18.5% 5.3% 15.1% 38.9% 18.3% 4.8% -0.1% -1.02B 12.88B -185.2M 1.50 2.74 N/A N/A 305,611 459,908 3,756,767 5,793,891 2008-05-27 $138.66 $140.00 18.0% 5.2% 15.4% 36.4% 19.5% 5.2% 0.8% -932.7M 9.52B -183.4M 2.08 4.60 N/A N/A 193,796 403,544 3,831,894 5,891,046 2008-05-28 $139.30 $140.00 17.8% 5.1% 15.4% 34.9% 18.0% 4.8% 0.7% -892.4M 7.72B -182.4M 1.41 4.98 N/A N/A 226,509 318,643 3,836,876 5,936,108 2008-05-29 $140.00 $140.00 16.8% 4.8% 15.4% 29.9% 16.7% 4.5% 1.1% -819.6M 6.15B -179.2M 0.81 5.94 N/A N/A 418,744 339,238 3,868,481 5,972,398 2008-05-30 $140.35 $140.00 16.2% 4.6% 13.5% 26.6% 16.2% 4.5% 0.9% -713.5M 4.11B -183.2M 1.33 5.54 N/A N/A 178,286 237,423 4,034,470 6,063,456
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