SPY Options History — July 2009 In July 2009, SPY traded between $87.96 and $98.81. ATM implied volatility averaged 23.6%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.2% (HV 20d: 21.3%). Max pain ranged from $91.00 to $95.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.67.
Notable Days 2009-07-23 : Highest Volume — 2,517,958 contracts2009-07-07 : Largest IV spike — 11.4% change2009-07-07 : Highest IV Rank — 12.3%2009-07-08 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $93.63 $87.96 $98.81 $92.33 $98.81 Max Pain $92.86 $91.00 $95.00 $91.00 $95.00 ATM IV 23.6% 20.8% 28.7% 22.9% 22.5% Expected Move 6.8% 6.0% 8.1% 6.6% 6.5% HV 20d 21.3% 17.1% 24.1% 18.5% 17.1% HV 60d 23.6% 21.7% 25.5% 25.3% 21.7% IV Rank 6.5% 3.3% 12.3% 5.7% 5.3% IV Percentile 18.1% 9.9% 34.1% 17.1% 15.1% Term Structure 1.3% 0.3% 1.9% 1.4% 1.5% VWIV 24.5% 21.6% 28.6% 23.6% 22.9% Skew 25d 4.8% 2.5% 7.2% 4.9% 2.5% Skew 10d 9.5% 5.1% 13.9% 11.2% 5.1% Call IV 25d 21.6% 19.6% 25.0% 20.7% 21.9% Put IV 25d 26.4% 22.7% 32.1% 25.6% 24.4% Bid-Ask Spread % 2.63 1.88 4.23 2.00 3.04 Gamma HHI 0.06 0.05 0.11 0.05 0.06 Net GEX -254.0M -1.11B 421.4M -265.0M 26.1M Net DEX 1.57B -6.35B 14.67B 2.91B -5.53B Net VEX -106.2M -115.2M -98.4M -105.1M -115.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 1.03 2.25 1.82 1.68 Total Volume 1,264,005.227 747,835 2,517,958 1,101,078 1,034,945 Total OI 10,795,114.5 9,474,902 12,136,796 9,602,652 11,665,955
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 2009-07-01 $92.33 $91.00 22.9% 6.6% 18.5% 5.7% 23.6% 4.9% 1.4% -265.0M 2.91B -105.1M 1.82 2.00 N/A N/A 389,981 711,097 3,563,659 6,038,993 2009-07-02 $89.81 $92.00 24.0% 6.9% 20.4% 7.0% 24.3% 5.0% 1.4% -649.3M 9.40B -107.9M 1.91 1.98 N/A N/A 408,901 782,736 3,645,918 6,274,287 2009-07-06 $89.80 $93.00 25.8% 7.4% 20.4% 9.0% 26.9% 7.0% 1.1% -655.2M 8.75B -104.9M 1.06 3.87 N/A N/A 489,899 521,327 3,708,882 6,421,968 2009-07-07 $88.06 $92.00 28.7% 8.0% 21.3% 12.3% 28.6% 7.2% 0.3% -780.3M 12.55B -105.3M 1.50 4.23 N/A N/A 475,835 713,841 3,777,929 6,531,432 2009-07-08 $88.00 $92.00 28.4% 8.1% 21.1% 12.0% 28.5% 7.0% 0.3% -878.9M 14.01B -105.6M 1.67 3.98 N/A N/A 662,863 1,108,709 3,845,830 6,645,785 2009-07-09 $88.17 $92.00 26.6% 7.8% 21.1% 9.9% 28.5% 6.9% 1.0% -953.2M 12.96B -107.2M 2.05 3.47 N/A N/A 364,568 745,820 3,906,850 6,900,210 2009-07-10 $87.96 $92.00 24.6% 7.6% 20.9% 7.7% 27.1% 6.4% 1.2% -1.11B 14.67B -106.4M 1.41 3.49 N/A N/A 499,694 706,268 3,930,527 7,070,164 2009-07-13 $90.10 $92.00 26.3% 7.2% 23.1% 9.6% 26.2% 6.2% 1.0% -776.4M 8.01B -105.2M 1.44 2.87 N/A N/A 663,472 953,148 4,006,101 7,166,154 2009-07-14 $90.61 $92.00 24.5% 6.9% 21.9% 7.5% 24.1% 6.0% 1.4% -717.9M 6.58B -106.3M 1.03 2.67 N/A N/A 624,749 644,925 4,044,811 7,331,961 2009-07-15 $93.26 $92.00 22.3% 6.9% 23.8% 5.0% 25.1% 5.4% 1.1% 72.0M -1.47B -104.6M 1.32 2.58 N/A N/A 848,336 1,120,267 4,244,254 7,379,244 2009-07-16 $94.15 $92.00 23.5% 6.7% 24.0% 6.3% 25.0% 5.2% 1.3% 421.4M -4.38B -106.3M 1.45 2.79 N/A N/A 668,172 966,750 4,559,886 7,576,910 2009-07-17 $94.13 $92.00 22.7% 6.5% 23.9% 5.5% 23.9% 4.9% 1.7% 248.1M -4.31B -101.1M 1.61 2.44 N/A N/A 526,470 845,384 4,389,796 7,721,099 2009-07-20 $95.13 $92.00 22.5% 6.5% 24.1% 5.3% 23.8% 4.6% 1.6% -53.0M -1.84B -102.3M 1.84 1.90 N/A N/A 318,280 587,021 3,370,970 6,103,932 2009-07-21 $95.57 $93.00 21.7% 6.2% 20.9% 4.3% 22.7% 3.8% 1.7% -11.3M -2.73B -99.6M 1.60 2.09 N/A N/A 310,535 495,710 3,458,203 6,271,238 2009-07-22 $95.55 $93.00 21.4% 6.1% 21.0% 4.0% 22.1% 3.6% 1.8% -30.1M -2.03B -101.4M 1.66 2.08 N/A N/A 387,924 644,172 3,522,437 6,368,695 2009-07-23 $97.66 $93.00 21.2% 6.1% 21.9% 3.7% 22.3% 3.0% 1.6% 110.4M -5.84B -98.4M 2.24 2.25 N/A N/A 776,070 1,741,888 3,627,266 6,557,309 2009-07-24 $97.99 $94.00 20.8% 6.0% 20.9% 3.3% 21.6% 3.1% 1.6% 165.7M -6.35B -105.9M 2.25 2.00 N/A N/A 315,554 710,207 3,819,472 7,140,315 2009-07-27 $98.35 $94.00 21.8% 6.2% 20.8% 4.4% 22.4% 3.1% 1.4% 92.8M -5.73B -109.9M 1.74 1.88 N/A N/A 272,784 475,051 3,861,088 7,188,723 2009-07-28 $97.89 $95.00 21.8% 6.3% 20.9% 4.5% 22.7% 3.2% 1.9% 47.0M -4.80B -111.2M 2.04 2.10 N/A N/A 275,934 564,081 3,897,934 7,262,400 2009-07-29 $97.79 $95.00 22.2% 6.4% 20.5% 4.9% 23.1% 3.5% 1.8% 7.7M -4.23B -114.1M 1.99 2.16 N/A N/A 324,662 646,784 3,946,876 7,323,850 2009-07-30 $98.67 $95.00 22.2% 6.4% 20.6% 4.9% 22.8% 3.0% 1.4% 100.1M -5.95B -113.0M 1.46 1.89 N/A N/A 603,815 879,486 3,999,881 7,423,325 2009-07-31 $98.81 $95.00 22.5% 6.5% 17.1% 5.3% 22.9% 2.5% 1.5% 26.1M -5.53B -115.2M 1.68 3.04 N/A N/A 386,045 648,900 4,071,647 7,594,308
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