SPY Options History — August 2008 In August 2008, SPY traded between $124.99 and $130.71. ATM implied volatility averaged 19.5%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.2% (HV 20d: 21.7%). Max pain ranged from $127.00 to $133.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.44.
Notable Days 2008-08-14 : Highest Volume — 1,312,644 contracts2008-08-05 : Largest IV drop — 12.1% change2008-08-04 : Highest IV Rank — 56.2%2008-08-04 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $128.36 $124.99 $130.71 $126.16 $128.79 Max Pain $131.24 $127.00 $133.00 $128.00 $127.00 ATM IV 19.5% 17.9% 22.5% 20.6% 19.4% Expected Move 5.7% 5.2% 6.5% 5.9% 5.5% HV 20d 21.7% 19.7% 23.4% 22.3% 20.0% HV 60d 20.1% 18.8% 20.8% 18.8% 20.5% IV Rank 38.5% 29.1% 56.2% 44.9% 37.7% IV Percentile 33.7% 19.8% 60.3% 40.1% 33.7% Term Structure 0.1% -0.4% 1.5% 1.5% 0.8% VWIV 20.5% 18.7% 23.3% 20.3% 19.8% Skew 25d 4.7% 3.9% 5.5% 3.9% 4.6% Skew 10d 8.5% 7.2% 9.7% 7.5% 8.2% Call IV 25d 17.5% 16.0% 19.8% 18.6% 17.2% Put IV 25d 22.3% 20.0% 25.3% 22.5% 21.8% Bid-Ask Spread % 2.48 1.62 4.39 2.05 4.24 Gamma HHI 0.06 0.05 0.08 0.07 0.05 Net GEX -774.5M -1.41B -132.2M -1.24B -877.2M Net DEX 13.22B 4.23B 23.42B 20.16B 13.85B Net VEX -156.3M -162.7M -151.8M -157.3M -162.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.44 0.78 1.99 1.99 1.86 Total Volume 792,038.238 551,586 1,312,644 791,231 604,427 Total OI 10,348,387.095 8,681,218 11,720,934 10,549,233 10,286,053
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 2008-08-01 $126.16 $128.00 20.6% 5.9% 22.3% 44.9% 20.3% 3.9% 1.5% -1.24B 20.16B -157.3M 1.99 2.05 N/A N/A 264,228 527,003 3,974,224 6,575,009 2008-08-04 $124.99 $133.00 22.5% 6.5% 22.2% 56.2% 23.3% 5.5% -0.4% -1.41B 23.42B -151.8M 1.49 2.95 N/A N/A 250,210 373,379 4,030,711 6,630,052 2008-08-05 $128.36 $133.00 19.8% 5.9% 23.4% 40.2% 21.7% 5.3% -0.3% -871.3M 12.89B -156.7M 1.74 2.83 N/A N/A 306,377 531,682 4,075,844 6,717,522 2008-08-06 $128.93 $133.00 18.1% 5.7% 22.2% 30.7% 19.8% 5.1% -0.1% -749.7M 11.06B -153.8M 0.78 1.98 N/A N/A 589,781 460,719 4,088,438 6,721,538 2008-08-07 $127.01 $133.00 18.8% 6.0% 22.9% 34.2% 21.1% 5.0% -0.1% -996.9M 17.29B -153.0M 1.94 3.06 N/A N/A 268,090 519,372 4,229,176 6,697,143 2008-08-08 $129.37 $132.00 17.9% 5.8% 23.2% 29.1% 20.9% 5.2% -0.0% -527.3M 8.34B -158.8M 1.25 2.62 N/A N/A 516,020 646,700 4,265,191 6,806,097 2008-08-11 $130.71 $132.00 18.8% 5.7% 23.0% 34.5% 20.4% 5.0% -0.2% -132.2M 4.23B -157.3M 0.99 2.70 N/A N/A 505,277 497,818 4,358,006 6,933,563 2008-08-12 $129.35 $132.00 19.3% 6.0% 22.7% 37.6% 21.4% 5.3% -0.3% -442.7M 9.63B -157.1M 1.53 1.94 N/A N/A 371,638 569,705 4,375,103 7,006,995 2008-08-13 $128.57 $132.00 20.0% 6.0% 21.5% 41.3% 21.7% 5.2% -0.2% -698.7M 12.10B -156.2M 1.83 2.29 N/A N/A 369,178 674,069 4,387,147 7,056,046 2008-08-14 $129.54 $132.00 19.8% 5.7% 21.4% 40.6% 20.8% 5.0% -0.2% -404.0M 9.15B -154.8M 1.33 2.08 N/A N/A 563,094 749,550 4,395,123 7,155,860 2008-08-15 $130.17 $132.00 19.2% 5.5% 21.3% 36.8% 19.5% 4.6% 0.1% -244.8M 6.41B -156.0M 1.01 2.13 N/A N/A 428,102 430,275 4,427,762 7,293,172 2008-08-18 $128.39 $132.00 20.7% 5.9% 22.0% 45.8% 20.6% 5.0% -0.2% -743.6M 13.43B -153.3M 1.25 1.62 N/A N/A 291,719 364,152 3,340,898 5,340,320 2008-08-19 $126.99 $132.00 20.7% 5.9% 22.1% 45.6% 21.0% 4.8% -0.0% -891.4M 16.88B -153.3M 1.22 1.70 N/A N/A 295,431 359,033 3,430,409 5,503,188 2008-08-20 $127.58 $132.00 19.7% 5.6% 22.0% 39.7% 20.3% 4.5% -0.1% -883.2M 15.59B -155.0M 1.09 2.01 N/A N/A 307,442 334,703 3,505,481 5,626,073 2008-08-21 $127.80 $131.00 19.2% 5.5% 20.6% 36.6% 19.7% 4.3% 0.1% -851.4M 15.00B -156.4M 1.38 2.13 N/A N/A 263,172 362,369 3,591,137 5,712,437 2008-08-22 $129.65 $131.00 18.0% 5.2% 21.2% 30.0% 18.7% 4.0% 0.2% -724.8M 10.99B -160.2M 1.78 2.00 N/A N/A 198,222 353,364 3,632,176 5,827,733 2008-08-25 $127.02 $131.00 20.2% 5.8% 21.8% 42.7% 20.2% 4.3% -0.2% -1.04B 17.97B -155.5M 1.22 1.97 N/A N/A 255,982 313,100 3,694,615 5,928,797 2008-08-26 $127.39 $131.00 19.8% 5.7% 20.6% 40.2% 19.9% 4.2% -0.1% -992.5M 16.52B -155.1M 1.48 1.79 N/A N/A 232,151 344,175 3,750,122 5,984,123 2008-08-27 $128.63 $130.00 18.6% 5.4% 19.9% 33.5% 19.6% 4.5% 0.8% -870.5M 13.62B -157.6M 1.24 3.69 N/A N/A 262,371 325,860 3,804,525 6,065,989 2008-08-28 $130.19 $127.00 18.3% 5.2% 19.7% 31.5% 20.0% 4.2% 1.1% -667.5M 9.12B -161.1M 1.75 4.39 N/A N/A 274,152 478,711 3,904,465 6,187,866 2008-08-29 $128.79 $127.00 19.4% 5.5% 20.0% 37.7% 19.8% 4.6% 0.8% -877.2M 13.85B -162.7M 1.86 4.24 N/A N/A 210,989 393,438 3,983,692 6,302,361
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