SPY Options History — January 2009

In January 2009, SPY traded between $80.57 and $93.47. ATM implied volatility averaged 39.3%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.3% (HV 20d: 33.0%). Max pain ranged from $88.00 to $92.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.57.

Notable Days

2009-01-15: Highest Volume — 2,069,844 contracts
2009-01-20: Largest IV spike — 23.9% change
2009-01-20: Highest IV Rank — 38.3%
2009-01-20: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.57	$80.57	$93.47	$92.96	$82.83
Max Pain	$89.70	$88.00	$92.00	$90.00	$88.00
ATM IV	39.3%	33.5%	49.7%	33.5%	39.6%
Expected Move	11.2%	9.6%	14.2%	9.6%	11.4%
HV 20d	33.0%	26.5%	38.9%	33.4%	38.9%
HV 60d	59.8%	52.4%	70.9%	70.9%	53.0%
IV Rank	26.9%	20.5%	38.3%	20.5%	27.3%
IV Percentile	73.7%	67.5%	82.5%	72.2%	71.0%
Term Structure	1.1%	-0.6%	2.2%	0.8%	0.1%
VWIV	40.2%	35.3%	49.2%	35.3%	38.6%
Skew 25d	11.6%	7.1%	14.9%	7.1%	10.8%
Skew 10d	23.6%	14.2%	31.3%	14.2%	21.3%
Call IV 25d	33.7%	29.3%	42.8%	30.7%	34.5%
Put IV 25d	45.3%	37.8%	57.7%	37.8%	45.2%
Bid-Ask Spread %	6.47	3.63	9.49	3.63	6.81
Gamma HHI	0.05	0.03	0.12	0.05	0.04
Net GEX	-318.2M	-590.7M	-23.6M	-23.6M	-378.3M
Net DEX	12.47B	2.96B	19.61B	3.31B	15.38B
Net VEX	-87.5M	-93.3M	-82.0M	-82.0M	-86.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	1.08	2.45	1.69	2.45
Total Volume	1,253,597.2	654,078	2,069,844	1,492,033	1,232,347
Total OI	9,427,856.6	7,919,534	10,885,696	8,423,872	9,619,643

Daily Data (20 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
2009-01-02	$92.96	$90.00	33.5%	9.6%	33.4%	20.5%	35.3%	7.1%	0.8%	-23.6M	3.31B	-82.0M	1.69	3.63	N/A	N/A	553,749	938,284	3,507,662	4,916,210
2009-01-05	$92.85	$90.00	35.4%	9.9%	31.9%	22.6%	36.4%	9.9%	0.6%	-38.4M	3.51B	-88.1M	1.39	6.18	N/A	N/A	498,169	693,972	3,597,152	5,477,584
2009-01-06	$93.47	$90.00	35.2%	10.0%	30.5%	22.4%	37.4%	9.9%	0.5%	-32.2M	2.96B	-89.0M	2.15	5.80	N/A	N/A	456,439	979,087	3,657,413	5,643,040
2009-01-07	$90.67	$90.00	38.1%	11.0%	30.3%	25.6%	38.8%	11.3%	0.3%	-201.5M	7.59B	-91.8M	2.35	6.13	N/A	N/A	403,877	947,881	3,767,436	5,890,298
2009-01-08	$91.04	$92.00	35.9%	10.7%	29.7%	23.2%	39.0%	11.3%	0.9%	-240.6M	8.16B	-93.3M	1.17	7.26	N/A	N/A	404,289	473,216	3,759,673	6,043,822
2009-01-09	$89.09	$92.00	35.2%	10.9%	30.6%	22.4%	38.1%	11.2%	1.3%	-318.6M	11.64B	-90.1M	1.31	7.83	N/A	N/A	480,107	630,510	3,865,665	6,054,087
2009-01-12	$86.95	$92.00	42.8%	11.9%	30.6%	30.8%	40.9%	12.7%	0.6%	-433.7M	14.70B	-86.5M	1.50	5.53	N/A	N/A	527,618	790,030	3,865,417	6,110,505
2009-01-13	$87.11	$91.00	40.9%	11.5%	30.3%	28.7%	41.6%	12.2%	1.4%	-494.4M	15.03B	-86.2M	1.08	7.49	N/A	N/A	576,129	621,997	3,911,176	6,234,637
2009-01-14	$84.37	$91.00	47.3%	12.5%	31.9%	35.7%	43.9%	13.1%	1.5%	-589.5M	19.61B	-83.9M	1.84	9.49	N/A	N/A	701,832	1,293,180	4,015,292	6,315,966
2009-01-15	$84.40	$90.00	43.3%	12.4%	26.5%	31.3%	44.9%	13.9%	1.3%	-590.7M	19.13B	-84.3M	1.23	8.91	N/A	N/A	928,080	1,141,764	4,213,195	6,449,796
2009-01-16	$85.06	$90.00	40.1%	11.5%	26.8%	27.8%	40.3%	13.0%	2.2%	-471.3M	17.16B	-87.1M	1.27	8.10	N/A	N/A	732,411	932,360	4,367,799	6,517,897
2009-01-20	$80.57	$90.00	49.7%	14.2%	31.9%	38.3%	49.2%	14.9%	-0.6%	-283.2M	15.53B	-82.8M	1.46	7.36	N/A	N/A	438,858	640,328	2,949,537	4,969,997
2009-01-21	$84.05	$89.00	41.2%	11.8%	35.9%	29.0%	43.0%	13.0%	1.4%	-305.4M	13.94B	-87.0M	1.59	6.84	N/A	N/A	386,440	613,457	3,069,565	5,180,510
2009-01-22	$82.75	$89.00	41.0%	11.7%	36.0%	28.7%	42.4%	13.1%	1.8%	-334.6M	15.03B	-86.3M	1.73	6.30	N/A	N/A	480,015	829,023	3,175,684	5,382,164
2009-01-23	$83.11	$88.00	40.6%	11.6%	36.0%	28.4%	42.1%	12.6%	1.8%	-356.5M	15.55B	-88.0M	1.22	6.30	N/A	N/A	448,247	548,225	3,278,255	5,582,502
2009-01-26	$83.68	$88.00	38.7%	11.1%	36.0%	26.3%	41.4%	11.9%	1.8%	-350.9M	14.71B	-87.8M	1.95	5.46	N/A	N/A	354,882	690,632	3,392,056	5,691,690
2009-01-27	$84.53	$88.00	36.1%	10.4%	36.2%	23.4%	37.5%	10.8%	2.0%	-338.0M	13.79B	-87.7M	1.47	4.52	N/A	N/A	265,312	388,766	3,443,649	5,760,780
2009-01-28	$87.39	$88.00	34.5%	9.9%	38.2%	21.7%	35.5%	9.7%	1.4%	-238.1M	9.35B	-90.9M	1.11	4.89	N/A	N/A	554,090	616,472	3,503,861	5,858,769
2009-01-29	$84.55	$88.00	36.7%	10.5%	38.9%	24.0%	36.8%	10.0%	1.2%	-344.0M	13.31B	-89.5M	1.37	4.62	N/A	N/A	371,275	508,594	3,578,780	5,937,968
2009-01-30	$82.83	$88.00	39.6%	11.4%	38.9%	27.3%	38.6%	10.8%	0.1%	-378.3M	15.38B	-86.9M	2.45	6.81	N/A	N/A	357,385	874,962	3,643,421	5,976,222