SPY Options History — May 2009

In May 2009, SPY traded between $87.89 and $92.98. ATM implied volatility averaged 28.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.0% (HV 20d: 27.7%). Max pain ranged from $85.00 to $89.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2009-05-08: Highest Volume — 1,866,221 contracts
  • 2009-05-11: Largest IV spike — 15.3% change
  • 2009-05-11: Highest IV Rank — 20.0%
  • 2009-05-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.49$87.89$92.98$87.89$92.53
Max Pain$87.55$85.00$89.00$85.00$89.00
ATM IV28.7%24.4%33.0%31.6%24.4%
Expected Move8.2%7.0%9.1%9.1%7.0%
HV 20d27.7%25.2%30.2%28.3%27.5%
HV 60d37.5%35.0%39.5%39.0%35.0%
IV Rank14.7%9.1%20.0%18.5%9.1%
IV Percentile34.6%27.4%41.7%39.3%27.4%
Term Structure0.2%-0.6%0.7%0.0%0.7%
VWIV30.1%26.5%34.7%33.1%27.2%
Skew 25d7.8%5.8%9.0%5.8%8.4%
Skew 10d14.2%11.1%17.3%12.4%16.0%
Call IV 25d25.1%21.2%28.9%28.9%21.2%
Put IV 25d32.9%29.6%35.4%34.7%29.6%
Bid-Ask Spread %3.791.669.222.849.22
Gamma HHI0.050.040.160.040.05
Net GEX52.7M-438.1M327.6M16.1M82.1M
Net DEX-3.83B-11.48B2.57B-2.87B-4.17B
Net VEX-98.9M-104.3M-94.1M-104.3M-100.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.491.122.232.231.25
Total Volume1,238,592.8903,2161,866,2211,015,9631,007,217
Total OI10,955,087.658,926,95212,580,07210,926,88610,717,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$87.89$85.0031.6%9.1%28.3%18.5%33.1%5.8%0.0%16.1M-2.87B-104.3M2.232.84N/AN/A314,801701,1624,328,5246,598,362
2009-05-04$90.88$85.0031.7%8.9%30.2%18.6%32.7%8.1%-0.1%192.3M-7.53B-99.7M1.364.42N/AN/A522,860709,7194,302,2486,729,851
2009-05-05$90.57$85.0029.9%8.8%30.1%16.6%31.5%9.0%0.3%280.6M-8.42B-98.0M1.253.96N/AN/A401,824501,3924,372,2356,830,862
2009-05-06$92.14$86.0029.6%8.6%28.5%16.2%31.7%8.0%-0.1%292.4M-10.28B-97.4M1.223.52N/AN/A677,832826,3604,377,9346,933,021
2009-05-07$90.86$86.0030.6%8.8%29.3%17.3%31.3%8.7%0.2%248.8M-8.55B-98.2M1.393.99N/AN/A756,2491,051,7784,450,8777,051,380
2009-05-08$92.98$87.0028.6%8.4%27.4%15.2%30.5%7.3%0.1%327.6M-11.48B-97.3M1.733.99N/AN/A682,8781,183,3434,512,7257,172,211
2009-05-11$91.24$87.0033.0%8.7%28.5%20.0%31.0%7.9%0.0%161.8M-7.57B-99.4M1.792.79N/AN/A453,220810,5824,578,7917,556,629
2009-05-12$90.97$88.0028.4%8.4%27.6%14.9%30.5%7.9%-0.3%120.9M-7.02B-97.4M1.553.27N/AN/A532,239826,2804,572,1117,656,347
2009-05-13$88.68$88.0031.3%8.8%29.3%18.1%31.2%8.2%-0.6%-137.6M-1.48B-98.9M1.302.52N/AN/A676,787877,3864,596,4617,756,263
2009-05-14$89.44$88.0028.9%8.3%29.1%15.5%29.6%6.9%-0.1%-44.4M-2.84B-96.8M1.972.52N/AN/A420,091825,6554,643,5447,785,736
2009-05-15$88.71$88.0029.1%8.4%29.2%15.1%30.3%7.3%0.4%-438.1M-794.2M-95.4M1.243.15N/AN/A589,117730,0734,673,0457,907,027
2009-05-18$91.23$88.0027.1%7.8%25.7%12.8%28.2%6.9%0.3%42.4M-1.93B-94.1M1.121.66N/AN/A523,223587,5223,611,4255,315,527
2009-05-19$91.12$88.0026.0%7.5%25.2%11.2%26.5%6.8%0.3%80.9M-2.51B-96.5M1.313.08N/AN/A392,233514,8313,848,0175,501,325
2009-05-20$90.51$88.0026.0%7.5%25.2%11.0%26.8%6.4%0.3%66.1M-1.36B-97.2M1.562.40N/AN/A488,076760,5763,925,8905,649,472
2009-05-21$89.21$89.0028.0%8.0%25.9%13.2%28.5%7.5%0.1%-35.4M1.09B-100.6M1.482.52N/AN/A568,716842,6144,023,1865,832,135
2009-05-22$89.02$89.0028.3%8.1%25.5%13.5%29.2%8.6%0.6%-111.1M2.57B-102.9M1.382.97N/AN/A427,799589,4944,014,0836,003,333
2009-05-26$91.30$89.0026.7%7.6%26.5%11.7%28.1%8.8%0.7%45.9M-1.97B-99.3M1.562.38N/AN/A395,436616,3134,086,9676,166,029
2009-05-27$89.67$89.0027.7%7.9%27.4%12.8%34.7%8.6%0.2%-101.1M1.42B-101.3M1.677.52N/AN/A369,197614,7864,130,7096,322,918
2009-05-28$90.92$89.0027.1%7.8%26.9%12.2%29.1%8.8%0.1%-35.4M-816.9M-102.6M1.397.08N/AN/A419,488582,7074,185,2306,382,217
2009-05-29$92.53$89.0024.4%7.0%27.5%9.1%27.2%8.4%0.7%82.1M-4.17B-100.9M1.259.22N/AN/A446,979560,2384,218,5266,498,580