SPY Options History — June 2008 In June 2008, SPY traded between $127.53 and $140.78. ATM implied volatility averaged 20.3%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.7% (HV 20d: 17.7%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.69.
Notable Days 2008-06-19 : Highest Volume — 3,810,789 contracts2008-06-06 : Largest IV spike — 31.5% change2008-06-11 : Highest IV Rank — 63.3%2008-06-26 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $134.26 $127.53 $140.78 $138.90 $127.98 Max Pain $138.48 $135.00 $140.00 $140.00 $135.00 ATM IV 20.3% 16.5% 23.2% 17.5% 22.0% Expected Move 5.8% 4.7% 6.5% 5.0% 6.3% HV 20d 17.7% 13.5% 19.9% 13.9% 19.8% HV 60d 18.2% 15.8% 20.3% 20.3% 16.8% IV Rank 48.1% 27.4% 63.3% 33.6% 57.3% IV Percentile 48.4% 23.0% 69.8% 32.5% 59.9% Term Structure 0.7% -0.0% 1.3% 0.8% 0.8% VWIV 20.5% 17.9% 22.2% 18.2% 21.8% Skew 25d 5.5% 4.5% 6.8% 5.0% 4.6% Skew 10d 10.2% 8.0% 12.6% 9.3% 8.6% Call IV 25d 17.8% 14.4% 20.2% 15.3% 19.7% Put IV 25d 23.3% 19.2% 25.7% 20.3% 24.3% Bid-Ask Spread % 3.63 1.98 5.87 5.00 2.81 Gamma HHI 0.08 0.05 0.17 0.05 0.09 Net GEX -1.65B -2.93B -591.7M -1.02B -1.85B Net DEX 22.14B 1.74B 40.08B 9.60B 31.09B Net VEX -174.1M -189.7M -151.1M -180.2M -156.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.69 0.27 3.08 1.17 3.08 Total Volume 1,255,157.333 681,532 3,810,789 758,469 1,886,552 Total OI 10,834,107.714 8,585,137 12,484,849 10,182,681 9,894,542
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 2008-06-02 $138.90 $140.00 17.5% 5.0% 13.9% 33.6% 18.2% 5.0% 0.8% -1.02B 9.60B -180.2M 1.17 5.00 N/A N/A 349,935 408,534 4,054,540 6,128,141 2008-06-03 $138.09 $140.00 18.1% 5.2% 14.0% 36.4% 17.9% 5.2% 0.9% -1.04B 11.12B -180.1M 1.75 4.77 N/A N/A 328,961 575,096 4,172,394 6,163,652 2008-06-04 $138.02 $140.00 18.8% 5.4% 13.5% 39.6% 18.6% 5.3% 0.5% -1.07B 11.66B -183.0M 1.09 5.29 N/A N/A 327,442 356,066 4,235,473 6,296,544 2008-06-05 $140.78 $140.00 16.5% 4.7% 14.0% 27.4% 18.1% 4.8% 1.0% -591.7M 1.74B -183.6M 2.01 4.86 N/A N/A 345,431 693,341 4,272,471 6,392,710 2008-06-06 $136.29 $140.00 21.6% 6.2% 18.2% 55.2% 21.5% 6.4% 0.3% -1.43B 19.12B -186.9M 1.73 5.23 N/A N/A 656,015 1,135,391 4,329,367 6,626,187 2008-06-09 $136.62 $140.00 21.8% 6.0% 18.3% 55.9% 21.5% 6.4% -0.0% -1.50B 18.39B -189.7M 1.25 5.87 N/A N/A 461,595 576,738 4,530,603 6,948,509 2008-06-10 $135.94 $140.00 21.6% 6.0% 17.8% 55.2% 21.3% 6.8% 0.9% -1.71B 21.21B -186.6M 1.54 3.22 N/A N/A 375,498 576,862 4,548,882 7,036,115 2008-06-11 $133.94 $139.00 23.2% 6.3% 18.3% 63.3% 22.2% 6.7% 0.4% -1.92B 28.04B -181.2M 1.69 3.53 N/A N/A 510,079 864,443 4,598,341 7,121,345 2008-06-12 $134.45 $139.00 21.8% 6.2% 18.4% 55.7% 22.1% 6.2% 0.4% -2.05B 27.04B -184.8M 2.31 4.84 N/A N/A 296,665 686,228 4,687,690 7,319,701 2008-06-13 $136.15 $139.00 19.8% 5.7% 18.4% 45.1% 20.5% 5.8% 0.8% -1.94B 20.88B -185.4M 1.47 4.84 N/A N/A 389,510 574,246 4,736,395 7,390,990 2008-06-16 $136.23 $139.00 19.4% 5.6% 18.4% 43.2% 19.8% 5.6% 0.9% -1.91B 20.57B -178.7M 0.96 2.58 N/A N/A 385,508 368,508 4,774,579 7,425,616 2008-06-17 $135.57 $139.00 19.3% 5.5% 18.3% 42.5% 19.3% 5.5% 0.9% -2.00B 23.34B -175.1M 1.65 2.91 N/A N/A 307,339 508,334 4,831,388 7,404,773 2008-06-18 $134.25 $138.00 20.8% 6.0% 18.4% 50.9% 20.5% 5.8% 0.6% -2.20B 28.97B -171.0M 1.18 2.26 N/A N/A 537,770 636,736 4,890,884 7,430,957 2008-06-19 $134.42 $138.00 19.8% 5.7% 17.7% 45.1% 19.8% 5.5% 0.8% -2.12B 27.96B -168.8M 0.27 3.05 N/A N/A 2,996,066 814,723 4,912,203 7,497,130 2008-06-20 $131.58 $138.00 21.2% 6.1% 18.9% 52.8% 21.4% 5.6% 0.5% -2.93B 40.08B -164.4M 2.50 3.83 N/A N/A 539,438 1,347,140 4,835,252 7,649,597 2008-06-23 $131.45 $138.00 21.4% 6.1% 18.5% 54.1% 20.8% 5.5% 0.4% -1.38B 21.88B -163.6M 1.73 2.72 N/A N/A 249,918 431,614 3,230,335 5,354,802 2008-06-24 $131.19 $137.00 21.3% 6.1% 18.2% 53.1% 21.0% 5.1% 0.5% -1.40B 22.42B -163.6M 1.98 1.98 N/A N/A 387,598 765,873 3,296,177 5,395,056 2008-06-25 $131.81 $137.00 19.7% 5.7% 18.2% 44.9% 19.8% 4.6% 0.9% -1.44B 20.16B -165.8M 1.69 2.30 N/A N/A 321,883 545,255 3,390,004 5,517,649 2008-06-26 $128.23 $136.00 22.7% 6.5% 19.9% 60.7% 22.1% 4.5% 0.7% -1.50B 29.21B -156.3M 2.36 2.21 N/A N/A 468,126 1,104,720 3,476,369 5,621,265 2008-06-27 $127.53 $136.00 18.4% 6.2% 19.8% 38.0% 21.5% 4.5% 1.3% -1.53B 30.54B -151.1M 2.09 2.05 N/A N/A 410,250 856,877 3,476,369 5,621,265 2008-06-30 $127.98 $135.00 22.0% 6.3% 19.8% 57.3% 21.8% 4.6% 0.8% -1.85B 31.09B -156.8M 3.08 2.81 N/A N/A 462,116 1,424,436 3,720,557 6,173,985
« May 2008 | All History | Jul 2008 » Home SPY History June 2008