SPY Options History — November 2008

In November 2008, SPY traded between $75.45 and $100.41. ATM implied volatility averaged 57.8%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 20.4% (HV 20d: 78.2%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.44.

Notable Days

2008-11-21: Highest Volume — 3,044,616 contracts
2008-11-06: Largest IV spike — 22.8% change
2008-11-20: Highest IV Rank — 67.4%
2008-11-20: Largest Expected Move — 21.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.58	$75.45	$100.41	$97.11	$89.88
Max Pain	$106.68	$100.00	$115.00	$101.00	$100.00
ATM IV	57.8%	44.6%	75.5%	48.6%	51.5%
Expected Move	16.3%	12.8%	21.6%	13.9%	14.8%
HV 20d	78.2%	68.8%	92.8%	92.4%	69.3%
HV 60d	66.4%	61.4%	72.2%	61.4%	72.1%
IV Rank	48.3%	34.2%	67.4%	38.5%	41.6%
IV Percentile	92.9%	87.3%	98.4%	92.1%	87.3%
Term Structure	-1.9%	-4.9%	0.7%	-1.4%	-1.4%
VWIV	57.7%	47.1%	72.5%	50.5%	55.3%
Skew 25d	16.8%	13.2%	19.3%	15.6%	15.1%
Skew 10d	30.6%	26.2%	34.1%	29.0%	27.0%
Call IV 25d	48.5%	37.5%	65.1%	40.5%	44.4%
Put IV 25d	65.3%	51.4%	84.4%	56.1%	59.6%
Bid-Ask Spread %	6.32	4.31	8.71	4.43	7.17
Gamma HHI	0.06	0.03	0.30	0.04	0.03
Net GEX	-498.7M	-981.2M	-218.3M	-386.2M	-218.3M
Net DEX	29.26B	16.22B	44.16B	21.19B	17.85B
Net VEX	-104.8M	-123.9M	-78.2M	-122.0M	-106.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	1.10	2.22	1.38	1.52
Total Volume	1,567,816.263	362,167	3,044,616	679,803	362,167
Total OI	14,193,197.526	11,757,878	16,338,204	13,525,070	12,308,345

Daily Data (19 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
2008-11-03	$97.11	$101.00	48.6%	13.9%	92.4%	38.5%	50.5%	15.6%	-1.4%	-386.2M	21.19B	-122.0M	1.38	4.43	N/A	N/A	285,521	394,282	5,725,884	7,799,186
2008-11-04	$100.41	$101.00	44.6%	12.8%	91.9%	34.2%	47.1%	13.9%	-2.2%	-341.8M	16.22B	-123.9M	1.60	5.03	N/A	N/A	539,751	861,794	5,733,902	7,836,488
2008-11-05	$96.19	$101.00	48.8%	14.0%	92.8%	38.6%	48.3%	13.2%	-2.8%	-456.2M	24.19B	-118.6M	1.56	4.31	N/A	N/A	416,917	648,740	5,847,639	8,058,875
2008-11-06	$90.86	$101.00	59.9%	17.2%	91.4%	50.6%	58.3%	16.0%	-4.9%	-509.3M	30.41B	-112.2M	2.22	6.58	N/A	N/A	571,091	1,266,272	5,921,246	8,034,849
2008-11-07	$93.86	$115.00	49.6%	14.0%	91.6%	39.6%	50.1%	17.8%	-1.4%	-510.7M	26.83B	-116.7M	1.44	5.88	N/A	N/A	346,774	497,978	6,029,885	8,270,774
2008-11-10	$92.63	$115.00	54.6%	14.6%	77.1%	44.9%	52.6%	18.1%	-1.8%	-525.0M	28.93B	-109.3M	1.19	5.87	N/A	N/A	458,727	547,940	6,053,748	8,235,874
2008-11-11	$89.77	$115.00	58.4%	15.5%	77.6%	48.9%	54.3%	18.8%	-2.0%	-566.6M	32.49B	-102.7M	1.16	6.17	N/A	N/A	612,060	710,671	6,166,941	8,301,147
2008-11-12	$85.82	$114.00	64.7%	16.8%	70.2%	55.8%	58.8%	19.0%	-2.5%	-594.7M	36.75B	-94.2M	2.04	5.71	N/A	N/A	738,587	1,506,826	6,254,882	8,306,807
2008-11-13	$91.17	$113.00	52.4%	15.0%	72.1%	42.5%	55.0%	16.7%	-1.4%	-512.6M	28.10B	-107.3M	1.37	6.51	N/A	N/A	1,030,897	1,415,885	6,361,518	8,302,944
2008-11-14	$86.62	$111.00	59.3%	17.0%	74.2%	49.9%	60.5%	17.4%	-1.9%	-581.9M	34.28B	-104.3M	1.83	6.77	N/A	N/A	835,235	1,529,823	6,535,362	8,590,683
2008-11-17	$85.47	$110.00	64.0%	18.3%	70.5%	55.0%	63.2%	18.3%	-3.2%	-608.6M	35.75B	-102.8M	1.20	6.56	N/A	N/A	666,604	803,187	6,674,071	8,818,152
2008-11-18	$87.08	$110.00	62.0%	17.8%	70.6%	52.9%	64.6%	17.6%	-2.6%	-572.2M	33.11B	-106.1M	1.18	6.98	N/A	N/A	825,539	976,250	6,797,674	8,853,664
2008-11-19	$81.50	$110.00	69.1%	19.8%	71.6%	60.5%	67.9%	18.0%	-2.9%	-659.1M	39.48B	-94.3M	1.10	6.82	N/A	N/A	818,307	896,854	6,903,949	8,882,133
2008-11-20	$75.45	$106.00	75.5%	21.6%	75.7%	67.4%	72.5%	19.3%	-3.2%	-591.6M	44.16B	-78.2M	1.61	7.82	N/A	N/A	1,009,167	1,626,057	7,114,034	8,848,239
2008-11-21	$79.52	$103.00	67.6%	19.4%	77.0%	58.9%	68.5%	17.8%	-1.4%	-981.2M	40.69B	-87.8M	1.41	8.71	N/A	N/A	1,261,130	1,783,486	7,283,406	9,054,798
2008-11-24	$85.03	$100.00	60.0%	17.1%	80.0%	50.7%	62.0%	16.2%	0.7%	-305.0M	23.32B	-99.2M	1.29	6.45	N/A	N/A	647,207	833,527	4,947,537	6,810,341
2008-11-25	$85.66	$100.00	56.6%	16.2%	68.8%	47.0%	56.9%	15.2%	0.4%	-294.8M	22.88B	-100.5M	1.13	5.06	N/A	N/A	479,749	543,691	5,033,619	6,927,581
2008-11-26	$88.97	$101.00	51.1%	14.5%	70.5%	41.1%	50.0%	14.3%	-0.5%	-258.8M	19.37B	-104.8M	1.20	7.21	N/A	N/A	472,295	567,521	5,081,908	6,962,668
2008-11-28	$89.88	$100.00	51.5%	14.8%	69.3%	41.6%	55.3%	15.1%	-1.4%	-218.3M	17.85B	-106.7M	1.52	7.17	N/A	N/A	143,531	218,636	5,242,954	7,065,391