SPY Options History — June 2009 In June 2009, SPY traded between $89.28 and $95.08. ATM implied volatility averaged 24.7%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.1% (HV 20d: 22.6%). Max pain ranged from $89.00 to $92.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.50.
Notable Days 2009-06-18 : Highest Volume — 9,615,012 contracts2009-06-29 : Largest IV spike — 25.2% change2009-06-22 : Highest IV Rank — 11.3%2009-06-22 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $92.87 $89.28 $95.08 $94.77 $91.95 Max Pain $90.41 $89.00 $92.00 $89.00 $91.00 ATM IV 24.7% 19.9% 27.8% 25.6% 22.3% Expected Move 7.1% 6.2% 8.0% 7.3% 6.4% HV 20d 22.6% 18.7% 28.5% 28.5% 18.9% HV 60d 29.3% 25.3% 33.9% 33.8% 25.4% IV Rank 8.1% 2.3% 11.3% 10.5% 5.1% IV Percentile 24.2% 7.5% 32.1% 28.2% 14.3% Term Structure 1.3% 0.2% 2.4% 0.2% 1.8% VWIV 26.1% 22.7% 28.3% 28.0% 23.1% Skew 25d 6.6% 4.8% 8.2% 6.8% 5.0% Skew 10d 12.8% 9.3% 16.6% 13.3% 9.5% Call IV 25d 22.4% 19.8% 24.8% 23.2% 20.3% Put IV 25d 29.0% 24.6% 32.3% 30.0% 25.3% Bid-Ask Spread % 3.98 2.20 7.03 6.28 2.36 Gamma HHI 0.05 0.04 0.10 0.05 0.05 Net GEX -62.4M -541.2M 387.8M 232.3M -285.6M Net DEX -1.49B -9.66B 12.19B -7.91B 3.10B Net VEX -107.9M -213.8M -98.1M -101.6M -103.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.09 2.42 1.48 1.85 Total Volume 1,551,198.727 738,284 9,615,012 1,570,722 1,220,483 Total OI 11,452,610.318 9,177,496 13,308,680 10,953,954 10,022,463
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 2009-06-01 $94.77 $89.00 25.6% 7.3% 28.5% 10.5% 28.0% 6.8% 0.2% 232.3M -7.91B -101.6M 1.48 6.28 N/A N/A 632,742 937,980 4,324,982 6,628,972 2009-06-02 $94.85 $89.00 25.1% 7.2% 26.2% 9.7% 28.3% 6.7% 0.5% 201.6M -8.10B -101.4M 1.41 4.12 N/A N/A 425,401 599,567 4,335,270 6,823,989 2009-06-03 $93.65 $89.00 25.9% 7.4% 26.7% 10.6% 26.5% 7.0% 1.0% 116.3M -5.74B -100.2M 1.54 5.99 N/A N/A 337,813 518,837 4,421,771 6,955,189 2009-06-04 $94.53 $89.00 25.7% 7.4% 26.2% 10.4% 26.2% 6.5% 0.6% 198.1M -7.95B -103.4M 1.14 5.79 N/A N/A 444,893 508,923 4,450,198 6,962,648 2009-06-05 $94.55 $89.00 25.1% 7.2% 25.6% 9.7% 26.9% 6.1% 1.0% 229.0M -8.17B -103.9M 1.43 7.03 N/A N/A 547,725 781,029 4,606,043 7,086,095 2009-06-08 $94.16 $89.00 24.1% 7.2% 24.4% 7.1% 25.6% 7.4% 1.8% 247.3M -7.90B -100.7M 2.01 5.88 N/A N/A 314,535 631,619 4,647,787 7,189,452 2009-06-09 $94.64 $89.00 22.7% 6.8% 23.3% 5.5% 27.0% 5.3% 0.9% 256.4M -7.77B -101.1M 1.49 4.46 N/A N/A 341,468 508,484 4,679,046 7,356,603 2009-06-10 $94.40 $90.00 21.6% 7.1% 23.3% 4.3% 25.9% 7.5% 2.1% 325.2M -8.27B -98.5M 1.15 4.42 N/A N/A 480,326 551,936 4,725,307 7,323,700 2009-06-11 $94.82 $90.00 24.3% 7.0% 21.0% 7.3% 25.5% 6.7% 1.6% 367.4M -8.68B -98.1M 1.56 3.55 N/A N/A 493,941 768,548 4,759,093 7,363,028 2009-06-12 $95.08 $91.00 23.9% 6.8% 20.9% 6.8% 25.2% 6.8% 1.4% 387.8M -9.66B -104.3M 1.43 4.27 N/A N/A 408,688 582,594 4,805,549 7,509,534 2009-06-15 $92.90 $92.00 26.1% 7.5% 22.6% 9.4% 28.1% 8.1% 1.2% -88.1M -2.25B -99.1M 2.42 3.69 N/A N/A 568,737 1,378,077 4,829,394 7,603,735 2009-06-16 $91.64 $92.00 27.1% 7.8% 21.1% 10.5% 27.7% 8.2% 1.0% -373.7M 1.89B -104.4M 1.35 4.14 N/A N/A 656,031 887,396 4,867,892 8,178,588 2009-06-17 $91.55 $91.00 26.0% 7.5% 21.1% 9.2% 27.5% 7.6% 1.5% -481.5M 3.04B -102.8M 1.36 4.02 N/A N/A 645,714 877,564 4,877,139 8,248,499 2009-06-18 $92.22 $91.00 25.0% 7.2% 21.0% 8.1% 25.9% 7.9% 2.4% -265.2M 11.0M -102.5M 0.09 3.93 N/A N/A 8,799,288 815,724 4,941,736 8,366,944 2009-06-19 $92.04 $92.00 24.0% 6.9% 20.3% 6.9% 24.7% 6.5% 2.0% -487.2M 6.35B -105.2M 1.35 3.41 N/A N/A 661,739 893,878 4,290,824 8,560,127 2009-06-22 $89.28 $91.00 27.8% 8.0% 23.2% 11.3% 27.7% 6.6% 0.8% -541.2M 12.19B -213.8M 1.99 2.74 N/A N/A 409,508 813,352 4,331,721 8,223,029 2009-06-23 $89.35 $91.00 27.4% 7.9% 21.3% 10.8% 27.5% 6.3% 0.9% -452.1M 8.23B -108.0M 1.81 2.30 N/A N/A 335,260 606,045 3,420,305 5,757,191 2009-06-24 $90.12 $91.00 25.8% 7.4% 20.5% 9.0% 26.1% 5.9% 1.3% -409.3M 6.83B -106.8M 1.41 2.20 N/A N/A 458,962 648,586 3,465,847 5,869,342 2009-06-25 $92.08 $91.00 23.1% 6.6% 21.4% 6.0% 24.4% 5.3% 1.5% -148.9M 2.63B -105.7M 1.82 2.31 N/A N/A 379,355 690,206 3,553,602 5,956,247 2009-06-26 $91.84 $91.00 19.9% 6.4% 20.4% 2.3% 22.9% 5.2% 2.0% -272.1M 3.69B -106.1M 1.37 2.28 N/A N/A 311,646 426,638 3,610,576 6,162,000 2009-06-29 $92.70 $91.00 24.9% 6.2% 18.7% 8.0% 22.7% 4.8% 1.4% -128.5M 1.71B -102.2M 1.59 2.31 N/A N/A 317,985 507,149 3,650,251 6,215,719 2009-06-30 $91.95 $91.00 22.3% 6.4% 18.9% 5.1% 23.1% 5.0% 1.8% -285.6M 3.10B -103.5M 1.85 2.36 N/A N/A 428,022 792,461 3,718,753 6,303,710
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