SPY Options History — July 2008 In July 2008, SPY traded between $120.99 and $128.53. ATM implied volatility averaged 22.7%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.0% (HV 20d: 19.6%). Max pain ranged from $128.00 to $136.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.56.
Notable Days 2008-07-15 : Highest Volume — 2,443,231 contracts2008-07-08 : Largest IV drop — 12.8% change2008-07-15 : Highest IV Rank — 83.5%2008-07-15 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $125.63 $120.99 $128.53 $128.38 $126.83 Max Pain $131.32 $128.00 $136.00 $135.00 $128.00 ATM IV 22.7% 19.6% 27.2% 21.7% 21.5% Expected Move 6.5% 5.6% 7.8% 6.2% 6.2% HV 20d 19.6% 15.7% 22.5% 20.0% 22.2% HV 60d 17.7% 16.8% 19.0% 16.8% 19.0% IV Rank 57.9% 39.3% 83.5% 55.4% 50.1% IV Percentile 61.9% 33.3% 94.0% 56.7% 49.6% Term Structure 0.3% -1.0% 1.3% 1.1% 0.5% VWIV 22.8% 20.0% 26.8% 21.7% 21.2% Skew 25d 5.4% 3.9% 6.8% 4.3% 4.4% Skew 10d 10.1% 7.3% 12.6% 8.1% 8.5% Call IV 25d 20.1% 17.0% 23.7% 19.3% 19.5% Put IV 25d 25.5% 21.9% 30.3% 23.6% 24.0% Bid-Ask Spread % 2.32 1.43 4.89 1.87 1.95 Gamma HHI 0.07 0.06 0.08 0.06 0.07 Net GEX -1.39B -1.93B -876.8M -1.55B -1.12B Net DEX 25.83B 12.71B 40.83B 26.08B 18.15B Net VEX -153.8M -159.9M -142.2M -159.9M -157.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.85 2.84 2.49 1.09 Total Volume 1,244,274.545 627,364 2,443,231 1,568,851 971,564 Total OI 10,357,844.682 9,187,672 11,974,463 9,364,354 10,291,873
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 2008-07-01 $128.38 $135.00 21.7% 6.2% 20.0% 55.4% 21.7% 4.3% 1.1% -1.55B 26.08B -159.9M 2.49 1.87 N/A N/A 450,126 1,118,725 3,455,679 5,908,675 2008-07-02 $126.18 $135.00 24.4% 7.0% 20.5% 70.3% 22.9% 4.7% 0.2% -1.54B 30.98B -159.0M 1.02 2.17 N/A N/A 653,471 665,912 3,551,111 6,076,018 2008-07-03 $126.31 $133.00 22.4% 6.4% 18.6% 59.5% 22.5% 4.4% 1.3% -1.49B 30.39B -158.8M 1.54 2.43 N/A N/A 339,278 522,333 3,815,903 6,164,475 2008-07-07 $125.02 $136.00 24.2% 7.0% 15.7% 68.7% 23.9% 6.4% -0.3% -1.64B 33.75B -149.6M 1.82 1.89 N/A N/A 521,058 946,536 3,832,202 6,287,916 2008-07-08 $127.24 $135.00 21.1% 6.3% 17.4% 49.9% 22.6% 5.9% 0.3% -1.63B 27.64B -154.8M 2.84 2.15 N/A N/A 560,425 1,591,163 3,934,975 6,371,773 2008-07-09 $124.79 $134.00 23.4% 6.9% 18.3% 61.3% 23.4% 5.9% -0.3% -1.68B 32.78B -151.5M 1.06 2.49 N/A N/A 635,260 671,675 4,057,863 6,437,798 2008-07-10 $125.30 $134.00 24.3% 7.0% 18.1% 67.0% 24.4% 6.0% -0.5% -1.60B 29.95B -156.1M 1.79 2.29 N/A N/A 564,289 1,009,703 4,289,016 6,540,502 2008-07-11 $123.84 $133.00 25.8% 7.4% 18.1% 75.5% 26.1% 6.8% -0.4% -1.66B 34.03B -153.8M 1.66 2.66 N/A N/A 673,697 1,115,834 4,337,545 6,701,375 2008-07-14 $122.72 $133.00 26.7% 7.7% 17.1% 81.0% 26.8% 6.8% -0.9% -1.75B 36.78B -149.3M 1.48 2.84 N/A N/A 407,357 601,829 4,496,959 6,891,719 2008-07-15 $120.99 $132.00 27.2% 7.8% 17.2% 83.5% 26.4% 6.6% -1.0% -1.93B 40.83B -142.2M 1.79 2.69 N/A N/A 877,108 1,566,123 4,537,004 6,971,296 2008-07-16 $123.96 $130.00 23.7% 6.8% 20.3% 63.3% 23.8% 6.2% 0.2% -1.64B 30.24B -151.9M 1.48 2.58 N/A N/A 611,810 903,916 4,771,359 6,959,566 2008-07-17 $125.20 $130.00 23.4% 6.7% 20.8% 61.5% 23.9% 6.4% 0.2% -1.39B 24.81B -155.8M 1.16 4.89 N/A N/A 736,073 855,408 4,838,022 6,915,892 2008-07-18 $125.98 $129.00 22.4% 6.4% 21.0% 55.9% 22.9% 6.2% 0.2% -1.17B 21.32B -158.1M 1.28 2.27 N/A N/A 420,144 538,944 4,935,187 7,039,276 2008-07-21 $126.05 $129.00 21.6% 6.2% 20.0% 51.0% 21.8% 5.8% 0.3% -1.06B 19.20B -152.6M 1.43 1.93 N/A N/A 258,593 368,771 3,406,284 5,781,388 2008-07-22 $127.48 $129.00 19.7% 5.6% 20.5% 39.7% 20.1% 5.0% 1.1% -995.8M 16.09B -154.3M 1.65 2.37 N/A N/A 353,609 584,958 3,484,614 5,890,420 2008-07-23 $128.17 $129.00 19.7% 5.6% 20.7% 39.6% 20.0% 5.0% 1.1% -876.8M 13.75B -155.9M 1.28 2.06 N/A N/A 427,403 547,348 3,545,827 5,911,723 2008-07-24 $125.51 $129.00 21.4% 6.1% 21.7% 49.8% 21.4% 5.0% 0.8% -1.15B 21.28B -153.5M 1.37 1.90 N/A N/A 386,234 528,668 3,587,638 5,999,645 2008-07-25 $125.48 $129.00 21.4% 6.1% 19.6% 49.7% 21.6% 4.7% 0.9% -1.20B 21.52B -153.5M 1.56 2.11 N/A N/A 248,139 387,531 3,645,275 6,089,953 2008-07-28 $123.64 $129.00 22.7% 6.5% 20.1% 57.2% 22.8% 4.4% 0.5% -1.42B 26.44B -146.7M 2.67 1.98 N/A N/A 216,309 577,417 3,683,660 6,215,701 2008-07-29 $126.28 $129.00 20.7% 5.9% 21.6% 45.4% 20.6% 3.9% 0.8% -1.26B 19.63B -151.4M 0.85 2.06 N/A N/A 458,022 390,860 3,706,342 6,336,424 2008-07-30 $128.53 $129.00 19.6% 5.6% 22.5% 39.3% 20.6% 3.9% 0.6% -905.0M 12.71B -157.1M 1.08 1.43 N/A N/A 532,630 577,787 3,803,985 6,372,725 2008-07-31 $126.83 $128.00 21.5% 6.2% 22.2% 50.1% 21.2% 4.4% 0.5% -1.12B 18.15B -157.6M 1.09 1.95 N/A N/A 465,363 506,201 3,857,661 6,434,212
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