SPY Options History — December 2008 In December 2008, SPY traded between $82.11 and $91.88. ATM implied volatility averaged 48.5%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 14.6% (HV 20d: 63.1%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.16.
Notable Days 2008-12-18 : Highest Volume — 5,156,764 contracts2008-12-29 : Largest IV spike — 27.3% change2008-12-01 : Highest IV Rank — 55.1%2008-12-01 : Largest Expected Move — 18.4%Monthly Statistics Metric Avg Min Max Open Close Price $88.03 $82.11 $91.88 $82.11 $90.24 Max Pain $93.14 $90.00 $100.00 $100.00 $90.00 ATM IV 48.5% 34.4% 64.1% 64.1% 34.4% Expected Move 13.7% 9.9% 18.4% 18.4% 9.9% HV 20d 63.1% 32.8% 77.4% 75.7% 32.8% HV 60d 73.7% 71.2% 75.3% 74.1% 71.2% IV Rank 38.2% 21.6% 55.1% 55.1% 21.6% IV Percentile 82.1% 73.8% 94.8% 94.8% 73.8% Term Structure -0.4% -3.8% 1.7% -3.8% 1.7% VWIV 48.6% 35.6% 65.7% 62.5% 35.6% Skew 25d 11.5% 7.0% 16.9% 16.9% 7.0% Skew 10d 21.6% 12.1% 28.4% 28.2% 12.1% Call IV 25d 42.5% 31.8% 56.3% 56.3% 31.8% Put IV 25d 54.0% 38.8% 73.2% 73.2% 38.8% Bid-Ask Spread % 5.79 3.25 7.71 5.91 3.90 Gamma HHI 0.05 0.03 0.20 0.04 0.05 Net GEX -188.1M -474.0M 10.9M -320.6M -126.6M Net DEX 17.76B 8.10B 26.11B 26.11B 8.10B Net VEX -93.9M -109.0M -76.1M -93.8M -76.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.18 1.87 1.35 1.22 Total Volume 1,224,049.045 177,287 5,156,764 1,229,831 743,941 Total OI 12,157,223.864 8,625,100 14,683,173 12,341,012 9,125,875
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 2008-12-01 $82.11 $100.00 64.1% 18.4% 75.7% 55.1% 62.5% 16.9% -3.8% -320.6M 26.11B -93.8M 1.35 5.91 N/A N/A 522,995 706,836 5,262,919 7,078,093 2008-12-02 $85.27 $100.00 60.0% 17.2% 77.4% 50.7% 62.8% 15.5% -3.4% -262.2M 23.97B -98.9M 1.27 6.23 N/A N/A 470,797 598,467 5,386,460 7,251,144 2008-12-03 $87.32 $100.00 57.7% 16.5% 76.8% 48.2% 60.2% 14.2% -2.7% -233.9M 21.96B -102.0M 1.43 4.87 N/A N/A 571,755 820,367 5,413,720 7,308,084 2008-12-04 $85.30 $100.00 60.2% 17.2% 75.9% 50.9% 65.7% 15.1% -2.9% -272.3M 24.44B -101.3M 1.01 6.01 N/A N/A 618,241 623,746 5,498,435 7,499,499 2008-12-05 $87.93 $100.00 55.4% 15.9% 74.5% 45.7% 55.7% 13.2% -1.9% -208.5M 21.24B -107.1M 1.33 7.40 N/A N/A 679,808 905,512 5,719,494 7,624,775 2008-12-08 $91.00 $100.00 53.3% 15.3% 74.6% 43.4% 52.9% 13.2% -1.2% -157.0M 16.86B -109.0M 1.03 6.64 N/A N/A 808,039 832,991 5,707,491 7,745,954 2008-12-09 $89.50 $99.00 55.9% 15.3% 74.7% 46.3% 49.3% 13.3% -0.3% -163.8M 18.96B -107.5M 0.76 5.16 N/A N/A 1,023,288 773,106 5,842,077 7,818,156 2008-12-10 $90.11 $90.00 50.5% 14.3% 73.9% 40.5% 53.4% 13.0% 0.3% -146.5M 18.22B -107.1M 1.26 5.98 N/A N/A 456,161 573,467 5,955,097 7,890,098 2008-12-11 $87.94 $90.00 49.6% 14.2% 72.5% 39.5% 49.2% 12.2% -0.0% -217.4M 21.93B -100.1M 1.09 7.30 N/A N/A 587,083 642,644 5,938,776 7,948,753 2008-12-12 $88.99 $90.00 48.6% 13.9% 69.3% 38.4% 48.5% 11.8% 0.3% -178.2M 20.28B -101.4M 1.22 7.15 N/A N/A 546,374 664,141 6,005,962 8,047,311 2008-12-15 $87.75 $90.00 51.0% 14.6% 66.9% 41.1% 54.2% 12.2% -0.9% -234.1M 22.50B -96.6M 1.87 7.31 N/A N/A 361,460 674,783 6,082,935 8,112,413 2008-12-16 $91.88 $90.00 46.9% 13.4% 68.6% 36.6% 49.2% 11.9% -0.2% 10.9M 15.14B -100.3M 1.25 7.71 N/A N/A 532,886 667,752 6,164,486 8,257,120 2008-12-17 $90.99 $90.00 45.2% 13.0% 68.5% 34.8% 45.8% 10.5% 1.1% 10.1M 16.72B -98.9M 0.98 6.08 N/A N/A 687,013 671,092 6,263,890 8,419,283 2008-12-18 $89.29 $90.00 42.7% 12.2% 64.1% 32.1% 42.3% 10.1% 1.6% -41.2M 19.01B -91.6M 0.18 6.29 N/A N/A 4,384,313 772,451 6,285,958 8,361,258 2008-12-19 $88.19 $90.00 40.7% 11.7% 56.9% 29.9% 40.1% 9.1% 0.6% -474.0M 25.26B -86.5M 0.96 7.52 N/A N/A 649,840 621,800 5,901,227 8,416,548 2008-12-22 $87.06 $90.00 40.4% 11.6% 54.8% 29.6% 39.9% 9.0% 0.5% -182.5M 11.91B -83.2M 0.94 4.74 N/A N/A 353,482 331,184 3,707,520 4,917,580 2008-12-23 $86.16 $90.00 41.7% 12.0% 49.7% 31.0% 40.7% 9.1% 0.2% -213.5M 12.97B -81.8M 0.96 4.96 N/A N/A 338,475 325,268 3,758,252 4,941,913 2008-12-24 $86.66 $90.00 40.6% 11.6% 49.7% 29.8% 40.5% 9.0% 0.2% -211.1M 12.28B -82.7M 0.97 4.37 N/A N/A 104,321 100,893 3,837,416 5,025,860 2008-12-26 $87.16 $90.00 39.3% 11.4% 47.8% 28.4% 40.2% 9.3% 0.6% -200.8M 11.82B -81.4M 1.53 4.70 N/A N/A 70,159 107,128 3,852,000 5,056,585 2008-12-29 $86.91 $90.00 50.0% 11.5% 47.6% 39.9% 42.2% 9.3% 0.5% -206.8M 11.68B -78.2M 1.82 3.90 N/A N/A 174,279 316,366 3,860,877 5,097,838 2008-12-30 $88.97 $90.00 38.7% 10.7% 34.9% 26.3% 37.9% 8.5% 0.9% -107.4M 9.29B -79.8M 1.03 3.25 N/A N/A 253,126 261,249 3,889,069 5,180,724 2008-12-31 $90.24 $90.00 34.4% 9.9% 32.8% 21.6% 35.6% 7.0% 1.7% -126.6M 8.10B -76.1M 1.22 3.90 N/A N/A 334,725 409,216 3,921,044 5,204,831
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