SPY Options History — September 2008 In September 2008, SPY traded between $111.38 and $127.99. ATM implied volatility averaged 32.5%, placing in the 76.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.5% (HV 20d: 30.0%). Max pain ranged from $122.00 to $128.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.53.
Notable Days 2008-09-17 : Highest Volume — 3,308,900 contracts2008-09-29 : Largest IV spike — 147.1% change2008-09-17 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $121.94 $111.38 $127.99 $127.99 $115.99 Max Pain $125.86 $122.00 $128.00 $127.00 $122.00 ATM IV 32.5% 20.0% 105.8% 20.8% 40.8% Expected Move 8.4% 5.7% 14.4% 6.0% 11.7% HV 20d 30.0% 17.4% 49.4% 19.8% 49.4% HV 60d 24.4% 19.5% 33.0% 19.5% 33.0% IV Rank 76.4% 30.0% 100.0% 46.0% 30.0% IV Percentile 86.0% 41.7% 100.0% 47.2% 99.2% Term Structure -2.2% -10.5% 0.6% 0.3% -6.3% VWIV 29.3% 21.2% 47.9% 21.2% 41.5% Skew 25d 6.6% 4.4% 10.7% 4.7% 8.5% Skew 10d 12.2% 7.8% 19.4% 8.4% 16.2% Call IV 25d 26.0% 17.9% 45.0% 18.4% 36.8% Put IV 25d 32.6% 22.4% 55.7% 23.0% 45.3% Bid-Ask Spread % 6.53 3.71 14.90 4.68 7.48 Gamma HHI 0.06 0.04 0.09 0.05 0.07 Net GEX -1.29B -1.75B -873.8M -1.00B -1.34B Net DEX 27.50B 15.96B 50.00B 15.96B 30.61B Net VEX -168.5M -365.4M -141.4M -158.7M -160.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 1.08 2.05 1.23 1.68 Total Volume 1,610,196.286 640,902 3,308,900 640,902 1,429,598 Total OI 11,948,654.857 10,428,560 14,786,913 10,428,560 12,221,847
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 2008-09-02 $127.99 $127.00 20.8% 6.0% 19.8% 46.0% 21.2% 4.7% 0.3% -1.00B 15.96B -158.7M 1.23 4.68 N/A N/A 287,302 353,600 4,032,412 6,396,148 2008-09-03 $127.88 $127.00 20.0% 5.7% 17.4% 41.5% 21.6% 4.5% 0.6% -1.05B 16.57B -157.8M 1.57 4.30 N/A N/A 387,375 607,433 4,082,603 6,463,714 2008-09-04 $124.03 $127.00 22.6% 6.5% 20.3% 56.7% 21.2% 4.8% 0.3% -1.46B 28.09B -150.2M 1.18 4.07 N/A N/A 714,591 843,097 4,156,830 6,508,586 2008-09-05 $124.42 $127.00 21.9% 6.3% 19.8% 52.5% 22.3% 4.4% 0.3% -1.50B 27.03B -151.0M 1.74 4.75 N/A N/A 467,825 812,844 4,274,506 6,652,776 2008-09-08 $126.99 $127.00 23.5% 6.2% 20.1% 61.8% 21.9% 4.4% -0.2% -1.13B 18.39B -157.8M 1.69 5.10 N/A N/A 437,487 739,160 4,373,839 6,821,607 2008-09-09 $123.22 $127.00 27.2% 7.1% 22.1% 84.0% 24.1% 4.9% -0.4% -1.58B 31.25B -153.0M 1.22 4.91 N/A N/A 563,577 689,598 4,455,271 6,929,827 2008-09-10 $123.72 $128.00 25.4% 6.7% 22.1% 73.1% 23.4% 4.8% -0.2% -1.68B 30.75B -156.4M 1.19 3.71 N/A N/A 454,038 540,661 4,611,045 7,247,172 2008-09-11 $125.51 $128.00 22.7% 6.5% 22.8% 57.4% 24.0% 5.2% 0.2% -1.40B 23.71B -162.0M 2.02 5.01 N/A N/A 474,641 956,690 4,693,815 7,256,951 2008-09-12 $126.09 $127.00 24.1% 6.9% 22.6% 65.5% 25.0% 5.5% -0.2% -1.24B 20.39B -168.2M 1.22 5.24 N/A N/A 434,446 531,539 4,849,157 7,436,732 2008-09-15 $120.09 $127.00 29.6% 8.5% 28.0% 97.8% 29.0% 6.2% -2.1% -1.75B 41.54B -147.0M 2.05 4.79 N/A N/A 696,569 1,428,260 4,946,451 7,521,393 2008-09-16 $122.10 $127.00 28.2% 8.1% 28.7% 89.4% 28.4% 6.5% -1.8% -1.74B 35.08B -154.0M 1.65 8.44 N/A N/A 1,042,566 1,723,570 5,097,663 7,628,968 2008-09-17 $116.61 $126.00 33.6% 9.6% 32.5% 100.0% 32.7% 8.6% -3.8% -1.64B 50.00B -141.4M 1.51 9.87 N/A N/A 1,319,199 1,989,701 5,447,081 7,951,299 2008-09-18 $120.07 $125.00 30.4% 8.7% 34.5% 84.6% 32.2% 9.5% -3.2% -1.69B 39.95B -157.9M 1.37 14.10 N/A N/A 1,061,554 1,452,816 5,717,426 8,412,234 2008-09-19 $124.12 $125.00 29.6% 8.5% 36.8% 80.6% 30.5% 8.6% -2.8% -1.08B 19.22B -177.9M 1.08 14.90 N/A N/A 1,325,573 1,429,434 5,954,247 8,832,666 2008-09-22 $121.31 $125.00 32.1% 9.2% 37.1% 93.0% 31.4% 7.8% -2.9% -873.8M 22.45B -365.4M 1.64 6.11 N/A N/A 372,943 610,277 5,895,092 8,829,614 2008-09-23 $118.55 $125.00 34.2% 9.8% 37.2% 100.0% 34.0% 7.7% -3.3% -963.2M 25.13B -165.9M 1.63 3.81 N/A N/A 535,552 870,352 4,126,834 6,345,720 2008-09-24 $118.93 $125.00 34.4% 9.9% 37.3% 100.0% 34.4% 7.3% -3.4% -1.03B 24.77B -166.2M 1.68 5.39 N/A N/A 453,902 761,973 4,230,256 6,557,898 2008-09-25 $120.79 $124.00 32.3% 9.3% 37.6% 90.2% 32.3% 6.9% -3.1% -913.4M 19.30B -169.6M 1.41 5.49 N/A N/A 507,401 716,173 4,370,745 6,641,466 2008-09-26 $120.85 $124.00 42.8% 10.0% 37.2% 100.0% 35.6% 7.4% -4.5% -889.8M 18.75B -173.5M 1.42 5.15 N/A N/A 483,067 685,002 4,519,615 6,798,523 2008-09-29 $111.38 $123.00 105.8% 14.4% 46.3% 100.0% 47.9% 10.7% -10.5% -1.04B 38.67B -144.7M 1.97 9.91 N/A N/A 883,458 1,739,278 4,725,209 6,906,514 2008-09-30 $115.99 $122.00 40.8% 11.7% 49.4% 30.0% 41.5% 8.5% -6.3% -1.34B 30.61B -160.8M 1.68 7.48 N/A N/A 534,263 895,335 4,938,567 7,283,280
« Aug 2008 | All History | Oct 2008 » Home SPY History September 2008