SPY Options History — October 2008 In October 2008, SPY traded between $83.95 and $116.06. ATM implied volatility averaged 63.0%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 11.0% (HV 20d: 74.0%). Max pain ranged from $101.00 to $122.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.63.
Notable Days 2008-10-06 : Highest Volume — 3,544,434 contracts2008-10-16 : Largest IV drop — 36.0% change2008-10-10 : Highest IV Rank — 87.2%2008-10-27 : Largest Expected Move — 21.1%Monthly Statistics Metric Avg Min Max Open Close Price $96.78 $83.95 $116.06 $116.06 $96.83 Max Pain $111.00 $101.00 $122.00 $122.00 $101.00 ATM IV 63.0% 42.2% 93.9% 42.2% 52.5% Expected Move 15.9% 12.1% 21.1% 12.1% 15.1% HV 20d 74.0% 49.4% 94.0% 49.4% 94.0% HV 60d 48.5% 32.7% 61.5% 32.7% 61.5% IV Rank 53.9% 31.6% 87.2% 31.6% 42.7% IV Percentile 97.4% 92.9% 99.6% 99.2% 92.9% Term Structure -6.3% -10.2% -1.8% -7.1% -1.8% VWIV 56.1% 42.4% 71.9% 42.4% 56.0% Skew 25d 16.4% 8.1% 23.4% 8.1% 17.2% Skew 10d 30.8% 14.6% 43.7% 14.6% 33.0% Call IV 25d 47.3% 37.9% 61.6% 38.1% 45.0% Put IV 25d 63.7% 46.2% 85.0% 46.2% 62.3% Bid-Ask Spread % 9.74 4.79 46.83 5.39 6.80 Gamma HHI 0.04 0.03 0.05 0.05 0.04 Net GEX -589.6M -1.08B -369.2M -938.9M -386.1M Net DEX 35.91B 21.38B 52.04B 26.83B 21.38B Net VEX -118.0M -162.2M -91.8M -162.2M -128.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.94 2.45 2.09 1.47 Total Volume 1,846,279.87 808,762 3,544,434 1,028,511 914,661 Total OI 12,922,282.435 10,998,978 15,524,121 11,022,176 13,320,822
Daily Data (23 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 2008-10-01 $116.06 $122.00 42.2% 12.1% 49.4% 31.6% 42.4% 8.1% -7.1% -938.9M 26.83B -162.2M 2.09 5.39 N/A N/A 332,927 695,584 4,315,797 6,706,379 2008-10-02 $111.85 $122.00 49.5% 14.2% 49.9% 39.4% 49.6% 11.0% -10.1% -923.8M 34.11B -148.5M 2.45 6.19 N/A N/A 531,404 1,301,652 4,372,201 6,708,417 2008-10-03 $110.34 $121.00 47.6% 13.7% 49.8% 37.4% 46.2% 11.0% -7.5% -1.08B 39.03B -144.0M 1.76 9.43 N/A N/A 632,370 1,111,701 4,532,463 7,166,237 2008-10-06 $104.72 $122.00 61.7% 12.9% 51.4% 52.5% 44.6% 12.2% -5.0% -954.9M 46.57B -120.7M 1.97 11.78 N/A N/A 1,192,785 2,351,649 4,668,837 7,430,947 2008-10-07 $100.03 $121.00 63.6% 13.9% 52.5% 54.6% 44.4% 12.0% -5.3% -874.3M 51.34B -113.6M 1.16 8.78 N/A N/A 1,155,482 1,343,244 4,955,208 8,000,627 2008-10-08 $97.51 $117.00 69.0% 14.9% 52.5% 60.4% 51.9% 13.6% -6.1% -701.2M 48.58B -106.8M 1.96 8.13 N/A N/A 994,642 1,951,805 5,320,985 7,656,888 2008-10-09 $90.70 $116.00 78.5% 16.9% 55.7% 70.6% 56.9% 13.9% -8.1% -574.5M 52.04B -91.8M 1.28 12.13 N/A N/A 1,095,787 1,401,917 5,573,489 8,006,368 2008-10-10 $88.50 $115.00 93.9% 19.2% 55.2% 87.2% 65.7% 17.1% -9.4% -502.7M 48.69B -93.6M 1.68 46.83 N/A N/A 1,166,000 1,955,931 5,828,952 7,903,647 2008-10-13 $101.35 $114.00 72.8% 14.0% 76.2% 64.5% 51.9% 13.2% -4.5% -713.4M 35.80B -140.4M 1.35 9.17 N/A N/A 691,887 932,367 6,345,660 8,556,873 2008-10-14 $99.85 $113.00 70.5% 14.0% 75.6% 62.0% 49.6% 13.8% -4.7% -644.8M 37.39B -125.1M 0.94 8.66 N/A N/A 1,020,950 963,159 6,478,399 8,425,072 2008-10-15 $90.02 $112.00 91.1% 17.1% 81.8% 84.2% 56.8% 15.8% -6.6% -566.4M 47.90B -99.8M 1.36 7.49 N/A N/A 950,968 1,294,145 6,570,103 8,405,811 2008-10-16 $93.77 $111.00 58.3% 16.7% 82.7% 48.9% 61.6% 19.7% -7.2% -545.0M 41.55B -109.4M 1.56 8.08 N/A N/A 1,110,319 1,733,410 6,687,896 8,220,796 2008-10-17 $93.21 $110.00 60.4% 17.3% 81.0% 51.1% 58.8% 18.7% -6.5% -467.3M 41.26B -111.2M 1.47 8.03 N/A N/A 702,375 1,034,692 7,002,578 8,521,543 2008-10-20 $98.81 $109.00 45.3% 13.0% 84.9% 34.8% 48.3% 16.1% -2.1% -458.5M 24.39B -117.1M 1.09 7.64 N/A N/A 459,928 501,788 4,540,237 6,458,741 2008-10-21 $95.86 $107.00 47.0% 13.5% 85.1% 36.7% 47.4% 14.6% -3.2% -432.9M 26.78B -109.0M 1.60 6.45 N/A N/A 358,414 573,440 4,747,870 6,503,162 2008-10-22 $90.64 $106.00 61.2% 17.6% 86.4% 52.0% 62.1% 20.2% -8.1% -405.1M 30.79B -103.1M 1.95 5.67 N/A N/A 584,204 1,141,680 4,829,381 6,584,078 2008-10-23 $91.69 $105.00 58.6% 16.8% 86.2% 49.2% 61.6% 20.9% -5.9% -414.1M 29.86B -106.8M 2.00 6.52 N/A N/A 711,790 1,423,267 4,973,330 6,761,634 2008-10-24 $87.04 $104.00 70.6% 20.2% 87.1% 62.1% 71.9% 22.0% -8.6% -390.1M 32.66B -106.8M 1.94 10.50 N/A N/A 534,549 1,038,370 5,179,511 7,135,326 2008-10-27 $83.95 $102.00 73.7% 21.1% 84.0% 65.4% 71.4% 23.4% -10.2% -407.3M 35.55B -99.1M 2.29 4.79 N/A N/A 380,733 873,301 5,305,180 7,436,579 2008-10-28 $93.76 $101.00 59.4% 17.0% 93.2% 50.1% 66.5% 21.3% -6.0% -409.3M 25.74B -122.8M 1.52 10.10 N/A N/A 476,987 726,924 5,376,975 7,466,471 2008-10-29 $93.08 $101.00 63.2% 18.1% 93.1% 54.2% 64.3% 20.7% -7.0% -406.3M 25.95B -124.8M 1.24 9.21 N/A N/A 583,715 722,772 5,473,476 7,601,269 2008-10-30 $96.30 $101.00 58.0% 16.6% 93.9% 48.6% 60.6% 19.6% -4.8% -369.2M 21.71B -129.1M 1.44 6.29 N/A N/A 331,066 477,696 5,573,671 7,582,610 2008-10-31 $96.83 $101.00 52.5% 15.1% 94.0% 42.7% 56.0% 17.2% -1.8% -386.1M 21.38B -128.3M 1.47 6.80 N/A N/A 370,837 543,824 5,604,250 7,716,572
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