SPY Options History — April 2009 In April 2009, SPY traded between $81.06 and $87.42. ATM implied volatility averaged 34.4%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 3.6% (HV 20d: 38.0%). Max pain ranged from $79.00 to $85.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.42.
Notable Days 2009-04-02 : Highest Volume — 1,928,639 contracts2009-04-20 : Largest IV spike — 16.6% change2009-04-02 : Highest IV Rank — 26.1%2009-04-02 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $84.89 $81.06 $87.42 $81.06 $87.42 Max Pain $82.43 $79.00 $85.00 $79.00 $85.00 ATM IV 34.4% 31.1% 38.6% 38.3% 32.6% Expected Move 10.0% 8.9% 11.1% 11.0% 9.3% HV 20d 38.0% 29.7% 46.3% 46.3% 29.8% HV 60d 40.4% 38.9% 41.8% 41.1% 39.0% IV Rank 21.5% 17.9% 26.1% 25.8% 19.5% IV Percentile 47.8% 41.3% 59.1% 58.3% 41.3% Term Structure 0.4% -1.0% 1.6% 0.7% 0.7% VWIV 36.0% 32.2% 39.4% 39.4% 33.1% Skew 25d 6.3% 5.3% 7.4% 6.3% 5.6% Skew 10d 12.5% 10.4% 14.9% 12.7% 10.4% Call IV 25d 32.1% 28.5% 35.6% 35.3% 30.3% Put IV 25d 38.5% 34.3% 41.7% 41.6% 35.9% Bid-Ask Spread % 4.16 2.37 6.35 2.93 2.37 Gamma HHI 0.06 0.04 0.25 0.04 0.05 Net GEX 100.1M -159.6M 684.4M -41.2M -69.0M Net DEX -2.19B -10.08B 3.30B 1.75B -1.28B Net VEX -99.5M -112.9M -94.0M -112.9M -101.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.42 1.12 2.03 1.40 1.39 Total Volume 1,213,814.095 835,530 1,928,639 1,166,068 1,109,783 Total OI 10,625,735.571 8,780,467 12,183,113 10,469,954 10,706,590
Daily Data (21 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 2009-04-01 $81.06 $79.00 38.3% 11.0% 46.3% 25.8% 39.4% 6.3% 0.7% -41.2M 1.75B -112.9M 1.40 2.93 N/A N/A 486,512 679,556 4,211,274 6,258,680 2009-04-02 $83.43 $79.00 38.6% 11.1% 43.3% 26.1% 39.0% 5.9% 1.3% 127.2M -3.41B -102.1M 1.12 4.10 N/A N/A 910,758 1,017,881 4,090,783 5,969,951 2009-04-03 $84.26 $80.00 35.6% 10.9% 43.2% 22.9% 39.2% 7.4% 0.0% 162.5M -3.91B -101.6M 1.15 6.35 N/A N/A 588,989 674,693 4,326,214 6,185,854 2009-04-06 $83.60 $80.00 34.7% 10.8% 42.9% 21.9% 39.2% 7.2% 0.3% 132.8M -2.50B -98.9M 1.59 5.50 N/A N/A 357,618 568,314 4,455,622 6,377,261 2009-04-07 $81.65 $80.00 33.9% 10.7% 40.6% 21.0% 37.9% 7.0% 0.7% 15.2M 642.8M -97.6M 1.23 4.87 N/A N/A 523,957 644,143 4,521,998 6,456,282 2009-04-08 $82.53 $81.00 31.8% 10.3% 40.6% 18.7% 37.7% 6.5% 0.9% 86.9M -972.1M -97.9M 1.46 4.39 N/A N/A 431,361 629,945 4,591,101 6,575,915 2009-04-09 $85.81 $81.00 34.7% 9.9% 40.7% 21.8% 36.0% 5.3% 1.0% 403.3M -7.73B -96.8M 1.27 5.20 N/A N/A 591,381 753,928 4,640,658 6,657,173 2009-04-13 $85.83 $81.00 35.4% 10.1% 40.7% 22.6% 36.2% 5.7% 0.2% 354.7M -7.74B -94.4M 1.14 5.29 N/A N/A 538,608 614,233 4,678,907 6,770,413 2009-04-14 $84.35 $82.00 35.6% 10.2% 41.5% 22.9% 36.0% 5.5% 0.4% 240.0M -4.67B -95.4M 1.35 5.66 N/A N/A 551,612 744,764 4,777,600 6,909,020 2009-04-15 $85.25 $82.00 34.2% 9.8% 40.5% 21.3% 35.1% 5.5% 1.2% 285.0M -6.20B -95.5M 1.33 4.28 N/A N/A 591,969 788,052 4,747,458 6,993,001 2009-04-16 $86.50 $83.00 33.0% 9.5% 40.1% 20.0% 33.9% 5.8% 1.0% 445.9M -8.80B -94.9M 1.20 4.59 N/A N/A 721,742 867,708 4,793,844 7,165,104 2009-04-17 $87.08 $83.00 31.1% 8.9% 39.7% 17.9% 32.2% 5.8% 1.6% 684.4M -10.08B -94.0M 1.14 4.09 N/A N/A 773,364 878,773 4,824,792 7,358,321 2009-04-20 $83.43 $84.00 36.3% 10.4% 41.5% 23.6% 36.1% 6.5% -0.5% -89.0M 2.68B -99.8M 1.47 3.77 N/A N/A 495,761 728,077 3,571,445 5,209,022 2009-04-21 $85.06 $84.00 34.1% 9.8% 34.3% 21.2% 35.8% 6.8% -0.4% -52.5M 1.44B -96.5M 1.74 3.25 N/A N/A 484,244 844,404 3,685,519 5,422,528 2009-04-22 $84.54 $84.00 34.0% 9.8% 33.6% 21.1% 34.7% 6.3% 0.7% -159.6M 3.30B -99.3M 1.41 3.82 N/A N/A 464,314 654,169 3,805,107 5,727,867 2009-04-23 $85.37 $84.00 34.1% 9.8% 33.6% 21.2% 35.2% 6.7% 0.1% -117.2M 1.74B -102.0M 1.74 3.55 N/A N/A 315,075 547,208 3,897,218 5,891,353 2009-04-24 $86.66 $84.00 33.1% 9.5% 33.3% 20.1% 34.8% 7.1% 0.1% -14.3M -1.38B -102.5M 1.78 3.20 N/A N/A 391,596 697,033 3,940,630 6,007,526 2009-04-27 $85.84 $85.00 34.9% 10.0% 32.7% 22.1% 35.9% 7.0% -1.0% -104.7M 739.0M -102.8M 2.03 3.16 N/A N/A 280,871 571,413 4,002,528 6,180,641 2009-04-28 $85.57 $85.00 34.0% 9.7% 29.7% 21.1% 35.4% 6.9% -0.5% -152.4M 1.87B -101.8M 1.75 4.20 N/A N/A 303,417 532,113 4,034,056 6,252,941 2009-04-29 $87.39 $85.00 32.8% 9.4% 30.2% 19.8% 33.9% 6.2% 0.1% -36.0M -1.44B -100.9M 1.22 2.80 N/A N/A 513,570 627,187 4,107,945 6,360,305 2009-04-30 $87.42 $85.00 32.6% 9.3% 29.8% 19.5% 33.1% 5.6% 0.7% -69.0M -1.28B -101.6M 1.39 2.37 N/A N/A 463,969 645,814 4,257,879 6,448,711
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