SPY Options History — February 2009 In February 2009, SPY traded between $73.93 and $87.10. ATM implied volatility averaged 40.4%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.2% (HV 20d: 37.2%). Max pain ranged from $84.00 to $92.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.40.
Notable Days 2009-02-20 : Highest Volume — 2,311,506 contracts2009-02-17 : Largest IV spike — 15.7% change2009-02-23 : Highest IV Rank — 35.6%2009-02-23 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $80.73 $73.93 $87.10 $82.58 $73.93 Max Pain $88.79 $84.00 $92.00 $87.00 $84.00 ATM IV 40.4% 36.8% 47.2% 39.8% 41.8% Expected Move 11.6% 10.6% 13.8% 11.4% 12.0% HV 20d 37.2% 33.1% 41.5% 36.8% 34.2% HV 60d 46.2% 36.1% 52.4% 52.4% 36.1% IV Rank 28.1% 24.2% 35.6% 27.5% 29.7% IV Percentile 71.4% 66.7% 79.0% 71.0% 72.6% Term Structure -0.5% -1.5% 0.9% -0.5% -0.6% VWIV 41.1% 36.8% 47.6% 40.6% 39.3% Skew 25d 11.3% 9.8% 13.7% 10.7% 10.8% Skew 10d 21.2% 17.4% 25.4% 21.9% 19.2% Call IV 25d 35.2% 31.7% 41.4% 35.1% 37.0% Put IV 25d 46.6% 42.2% 55.1% 45.8% 47.8% Bid-Ask Spread % 4.81 3.59 7.64 4.67 5.62 Gamma HHI 0.05 0.04 0.08 0.04 0.06 Net GEX -490.0M -798.9M -241.7M -408.9M -470.9M Net DEX 17.81B 9.05B 24.94B 15.94B 22.21B Net VEX -81.2M -93.3M -70.6M -85.0M -72.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.96 2.12 1.02 1.55 Total Volume 1,335,053.211 810,926 2,311,506 940,359 1,592,875 Total OI 10,622,740.368 9,091,139 12,008,025 9,826,892 10,475,421
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 2009-02-02 $82.58 $87.00 39.8% 11.4% 36.8% 27.5% 40.6% 10.7% -0.5% -408.9M 15.94B -85.0M 1.02 4.67 N/A N/A 465,786 474,573 3,751,767 6,075,125 2009-02-03 $83.74 $86.00 36.8% 10.6% 37.4% 24.2% 38.8% 10.4% 0.4% -388.1M 14.38B -86.1M 1.34 3.92 N/A N/A 346,150 464,776 3,823,878 6,163,744 2009-02-04 $83.33 $86.00 37.4% 10.7% 37.2% 24.8% 36.8% 9.8% 0.9% -414.0M 14.62B -85.9M 2.12 4.98 N/A N/A 313,907 666,915 3,856,832 6,236,928 2009-02-05 $84.57 $86.00 37.2% 10.7% 36.6% 24.6% 38.8% 9.8% 0.6% -367.7M 13.55B -88.6M 1.76 5.14 N/A N/A 439,657 772,443 3,884,648 6,355,820 2009-02-06 $86.98 $92.00 37.9% 11.0% 38.3% 25.3% 38.5% 11.5% -0.6% -241.7M 9.05B -93.2M 1.11 6.94 N/A N/A 770,393 855,304 3,927,465 6,542,327 2009-02-09 $87.10 $92.00 38.5% 11.1% 37.6% 26.0% 38.0% 11.1% -1.3% -248.1M 9.45B -93.3M 1.01 4.87 N/A N/A 464,721 467,138 4,145,517 6,728,181 2009-02-10 $83.11 $92.00 42.5% 12.0% 40.2% 30.4% 43.4% 11.9% -0.4% -497.6M 16.44B -89.7M 1.83 4.96 N/A N/A 562,127 1,026,061 4,194,508 6,786,882 2009-02-11 $83.60 $91.00 38.0% 11.1% 40.3% 25.5% 40.8% 11.2% -0.6% -504.5M 16.03B -87.3M 1.29 4.27 N/A N/A 449,210 581,405 4,194,379 6,923,092 2009-02-12 $83.66 $91.00 37.2% 10.7% 38.7% 24.6% 39.2% 11.6% -0.2% -477.4M 14.96B -85.7M 1.34 4.40 N/A N/A 745,384 1,000,664 4,262,545 6,923,129 2009-02-13 $82.76 $91.00 37.8% 10.8% 38.9% 25.2% 38.3% 11.0% -0.5% -595.9M 17.76B -83.7M 1.46 4.13 N/A N/A 394,038 576,873 4,318,197 6,977,517 2009-02-17 $79.22 $91.00 43.7% 12.5% 41.5% 31.7% 43.5% 12.3% -1.4% -746.7M 23.71B -75.9M 1.55 4.27 N/A N/A 655,193 1,018,393 4,327,564 7,037,745 2009-02-18 $79.03 $90.00 42.5% 12.2% 37.0% 30.5% 43.0% 11.5% -0.9% -798.9M 24.62B -74.4M 1.10 7.64 N/A N/A 675,184 742,255 4,407,021 7,171,480 2009-02-19 $78.18 $90.00 42.3% 12.1% 33.4% 30.2% 43.1% 12.5% -0.7% -742.9M 23.98B -73.1M 1.58 5.17 N/A N/A 577,025 913,601 4,604,160 7,133,028 2009-02-20 $77.42 $89.00 44.2% 12.7% 33.1% 32.3% 44.8% 13.1% -0.8% -735.1M 24.94B -73.1M 1.56 5.35 N/A N/A 901,542 1,409,964 4,748,816 7,259,209 2009-02-23 $74.65 $88.00 47.2% 13.8% 35.0% 35.6% 47.6% 13.7% -1.5% -408.2M 20.11B -70.6M 1.26 3.72 N/A N/A 565,571 714,228 3,401,842 5,689,297 2009-02-24 $77.48 $86.00 41.7% 12.2% 37.9% 29.6% 42.8% 10.8% -1.2% -407.7M 18.14B -75.1M 1.18 3.86 N/A N/A 623,602 736,000 3,613,969 5,896,150 2009-02-25 $76.87 $91.00 40.7% 11.6% 37.6% 28.4% 42.5% 10.9% -0.6% -414.1M 18.82B -75.4M 1.56 3.82 N/A N/A 557,018 866,500 3,789,373 6,026,973 2009-02-26 $75.62 $84.00 40.5% 11.5% 35.0% 28.3% 41.1% 10.8% -0.7% -441.9M 19.74B -74.5M 0.96 3.59 N/A N/A 500,235 479,300 3,936,839 6,240,699 2009-02-27 $73.93 $84.00 41.8% 12.0% 34.2% 29.7% 39.3% 10.8% -0.6% -470.9M 22.21B -72.3M 1.55 5.62 N/A N/A 625,394 967,481 4,146,661 6,328,760
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