SPY Options History — March 2009 In March 2009, SPY traded between $68.11 and $83.11. ATM implied volatility averaged 41.4%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 2.1% (HV 20d: 43.5%). Max pain ranged from $75.00 to $83.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.13.
Notable Days 2009-03-19 : Highest Volume — 7,254,321 contracts2009-03-30 : Largest IV spike — 67.5% change2009-03-30 : Highest IV Rank — 43.3%2009-03-02 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $75.98 $68.11 $83.11 $70.60 $79.52 Max Pain $78.45 $75.00 $83.00 $83.00 $79.00 ATM IV 41.4% 32.4% 54.2% 47.4% 39.4% Expected Move 11.6% 10.4% 13.6% 13.6% 11.3% HV 20d 43.5% 35.8% 49.6% 36.6% 46.4% HV 60d 38.2% 35.3% 41.3% 36.3% 40.8% IV Rank 29.2% 19.3% 43.3% 35.8% 27.1% IV Percentile 66.8% 49.2% 85.7% 79.4% 62.3% Term Structure -0.3% -2.1% 1.4% -1.9% 1.0% VWIV 41.5% 37.7% 50.4% 50.4% 40.1% Skew 25d 9.0% 6.5% 13.0% 13.0% 7.0% Skew 10d 17.1% 12.9% 23.7% 23.7% 14.7% Call IV 25d 36.7% 32.6% 41.8% 41.8% 36.9% Put IV 25d 45.7% 40.5% 54.8% 54.8% 43.9% Bid-Ask Spread % 5.02 3.37 6.34 4.74 3.37 Gamma HHI 0.05 0.03 0.09 0.06 0.04 Net GEX -218.1M -559.8M 87.4M -475.2M -122.6M Net DEX 12.97B -1.58B 26.71B 24.65B 4.91B Net VEX -89.7M -227.3M -65.6M -67.3M -95.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.21 1.50 1.50 1.03 Total Volume 1,942,151.591 942,933 7,254,321 2,271,405 1,071,525 Total OI 12,322,788.955 9,745,104 14,661,387 10,794,500 10,625,817
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 2009-03-02 $70.60 $83.00 47.4% 13.6% 36.6% 35.8% 50.4% 13.0% -1.9% -475.2M 24.65B -67.3M 1.50 4.74 N/A N/A 909,488 1,361,917 4,299,916 6,494,584 2009-03-03 $70.07 $83.00 45.7% 13.1% 36.6% 33.9% 44.7% 12.4% -1.4% -480.8M 26.41B -65.6M 1.46 4.01 N/A N/A 788,255 1,150,941 4,593,947 6,690,215 2009-03-04 $71.73 $83.00 42.5% 12.2% 37.5% 30.4% 46.1% 11.4% -1.1% -488.1M 24.33B -70.8M 0.89 5.18 N/A N/A 738,788 659,939 4,782,245 6,852,447 2009-03-05 $68.80 $83.00 46.7% 13.4% 39.4% 35.0% 45.1% 12.5% -2.1% -453.0M 25.34B -66.4M 1.26 5.11 N/A N/A 1,061,750 1,340,385 4,944,125 6,786,127 2009-03-06 $68.92 $83.00 45.4% 13.0% 38.5% 33.7% 43.6% 11.5% -1.9% -479.2M 25.74B -69.2M 1.07 5.03 N/A N/A 991,450 1,064,032 5,243,133 7,178,094 2009-03-09 $68.11 $81.00 49.9% 13.3% 35.8% 38.5% 47.6% 11.1% -1.7% -459.7M 26.71B -67.0M 0.91 4.47 N/A N/A 780,049 706,136 5,487,314 7,259,200 2009-03-10 $72.17 $81.00 43.5% 11.8% 43.4% 31.5% 42.3% 8.5% -1.3% -340.3M 20.64B -76.3M 0.98 6.07 N/A N/A 849,667 834,369 5,751,486 7,374,012 2009-03-11 $72.64 $75.00 41.7% 11.2% 41.4% 29.5% 39.5% 7.8% 0.2% -322.3M 19.78B -77.8M 0.85 6.15 N/A N/A 830,710 709,899 5,830,130 7,399,335 2009-03-12 $75.50 $75.00 38.0% 10.9% 44.3% 25.4% 38.8% 8.1% -0.3% -164.2M 13.43B -81.6M 0.99 5.78 N/A N/A 1,096,307 1,080,310 5,861,177 7,390,300 2009-03-13 $76.09 $75.00 38.3% 11.0% 44.5% 25.9% 39.5% 8.1% 0.2% -136.4M 12.63B -86.0M 0.92 5.60 N/A N/A 807,937 745,474 6,002,696 7,665,111 2009-03-16 $75.86 $75.00 39.3% 11.3% 44.4% 26.9% 40.7% 9.4% -0.0% -138.7M 12.57B -82.9M 1.31 5.86 N/A N/A 790,069 1,032,950 6,026,169 7,708,291 2009-03-17 $78.18 $75.00 36.9% 10.6% 43.5% 24.2% 38.9% 7.8% 0.3% -29.2M 8.30B -85.7M 1.35 5.76 N/A N/A 673,449 907,632 6,154,239 7,958,240 2009-03-18 $79.93 $75.00 36.2% 10.4% 44.2% 23.5% 38.4% 8.2% 0.3% 56.8M 4.45B -88.4M 1.18 5.50 N/A N/A 1,056,793 1,251,674 6,234,754 8,172,613 2009-03-19 $78.94 $76.00 38.9% 11.1% 44.3% 26.4% 39.6% 8.8% 0.5% 19.3M 7.94B -89.8M 0.21 6.34 N/A N/A 5,995,167 1,259,154 6,296,412 8,364,975 2009-03-20 $76.71 $76.00 40.6% 11.6% 45.3% 28.3% 41.6% 9.4% 0.6% -559.8M 18.02B -88.7M 1.35 6.18 N/A N/A 781,375 1,055,107 5,710,268 8,545,284 2009-03-23 $82.22 $77.00 39.1% 11.2% 49.6% 26.7% 40.7% 8.4% -0.8% -45.5M 973.6M -227.3M 1.14 4.62 N/A N/A 797,782 911,995 5,784,690 8,578,390 2009-03-24 $80.70 $77.00 38.6% 11.1% 48.7% 26.1% 39.4% 7.1% 0.2% -38.3M 2.27B -96.6M 1.08 4.32 N/A N/A 605,602 652,085 3,971,671 5,773,433 2009-03-25 $81.45 $78.00 38.3% 11.0% 48.6% 25.8% 39.0% 7.0% -0.1% -60.3K 1.27B -96.7M 1.43 4.17 N/A N/A 656,306 939,359 4,095,971 5,818,774 2009-03-26 $83.11 $78.00 37.0% 10.6% 48.4% 24.4% 38.2% 6.6% 0.2% 87.4M -1.58B -99.0M 1.38 5.07 N/A N/A 637,778 879,625 4,199,306 6,136,666 2009-03-27 $81.61 $79.00 32.4% 10.6% 48.1% 19.3% 37.7% 6.5% 1.4% 7.5M 398.8M -98.5M 1.29 3.66 N/A N/A 412,653 530,280 4,238,499 6,241,870 2009-03-30 $78.79 $79.00 54.2% 11.6% 46.7% 43.3% 40.9% 7.2% 1.0% -235.3M 6.13B -96.4M 1.26 3.52 N/A N/A 584,616 736,556 4,297,534 6,281,897 2009-03-31 $79.52 $79.00 39.4% 11.3% 46.4% 27.1% 40.1% 7.0% 1.0% -122.6M 4.91B -95.4M 1.03 3.37 N/A N/A 527,243 544,282 4,330,899 6,294,918
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