SPY Options History — August 2009 In August 2009, SPY traded between $98.31 and $103.40. ATM implied volatility averaged 22.3%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.7% (HV 20d: 15.6%). Max pain ranged from $95.00 to $99.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.69.
Notable Days 2009-08-21 : Highest Volume — 1,854,655 contracts2009-08-17 : Largest IV spike — 15.9% change2009-08-17 : Highest IV Rank — 8.6%2009-08-17 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $101.26 $98.31 $103.40 $100.44 $102.46 Max Pain $96.57 $95.00 $99.00 $95.00 $99.00 ATM IV 22.3% 20.3% 25.6% 23.1% 22.9% Expected Move 6.5% 6.2% 7.3% 6.6% 6.6% HV 20d 15.6% 13.0% 17.5% 17.5% 15.9% HV 60d 19.8% 18.4% 21.7% 21.7% 18.5% IV Rank 4.8% 2.6% 8.6% 5.9% 4.1% IV Percentile 12.0% 5.6% 23.8% 17.1% 15.5% Term Structure 0.5% -0.3% 1.7% 0.6% 1.2% VWIV 23.8% 21.9% 27.5% 23.7% 27.5% Skew 25d 4.6% 2.5% 6.2% 3.0% 5.0% Skew 10d 9.3% 5.0% 13.1% 5.3% 10.6% Call IV 25d 20.7% 19.6% 22.8% 21.9% 20.6% Put IV 25d 25.3% 23.1% 28.5% 24.8% 25.6% Bid-Ask Spread % 2.73 2.03 4.67 2.16 3.96 Gamma HHI 0.07 0.04 0.30 0.06 0.05 Net GEX 53.3M -633.8M 1.00B 217.2M -167.6M Net DEX -7.79B -16.39B 1.19B -9.64B -3.98B Net VEX -113.6M -120.4M -108.9M -111.0M -118.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.69 0.99 2.29 1.65 1.87 Total Volume 1,253,050.714 759,027 1,854,655 1,235,920 989,345 Total OI 12,678,062.429 10,611,807 14,447,478 11,822,826 12,139,028
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 2009-08-03 $100.44 $95.00 23.1% 6.6% 17.5% 5.9% 23.7% 3.0% 0.6% 217.2M -9.64B -111.0M 1.65 2.16 N/A N/A 466,797 769,123 4,137,265 7,685,561 2009-08-04 $100.70 $96.00 22.1% 6.3% 14.8% 4.8% 22.8% 2.8% 0.7% 223.0M -10.35B -110.1M 1.69 2.07 N/A N/A 354,671 601,117 4,194,915 7,932,215 2009-08-05 $100.41 $96.00 21.6% 6.2% 15.0% 4.3% 21.9% 2.5% 1.7% 210.8M -9.52B -109.5M 1.35 2.30 N/A N/A 486,136 655,410 4,239,140 7,979,410 2009-08-06 $99.89 $96.00 22.7% 6.5% 15.5% 5.4% 23.3% 3.0% 1.0% 117.5M -7.60B -117.9M 1.83 2.21 N/A N/A 338,832 621,250 4,334,245 8,080,999 2009-08-07 $101.20 $95.00 21.4% 6.6% 15.3% 4.0% 24.0% 4.6% -0.0% 170.5M -10.45B -112.8M 1.72 2.49 N/A N/A 609,331 1,048,193 4,341,933 8,266,042 2009-08-10 $100.99 $95.00 21.3% 6.6% 14.2% 3.9% 24.5% 5.0% 0.1% 152.1M -10.12B -110.3M 1.67 2.16 N/A N/A 283,977 475,050 4,416,398 8,498,390 2009-08-11 $99.73 $95.00 21.7% 6.8% 15.6% 4.2% 24.3% 5.0% 0.0% -140.6M -5.25B -116.0M 1.43 2.49 N/A N/A 448,515 640,216 4,447,807 8,561,070 2009-08-12 $100.80 $95.00 20.3% 6.6% 13.0% 2.6% 24.0% 5.3% 0.1% 71.2M -8.68B -112.9M 1.70 2.51 N/A N/A 490,045 832,658 4,533,919 8,599,765 2009-08-13 $101.57 $95.00 22.3% 6.4% 13.0% 4.9% 23.6% 5.2% 0.1% 211.9M -11.34B -112.3M 2.11 2.62 N/A N/A 466,929 986,746 4,534,405 8,876,511 2009-08-14 $100.79 $96.00 22.1% 6.3% 13.5% 4.6% 22.9% 5.1% 0.1% 20.9M -9.13B -113.3M 1.11 2.77 N/A N/A 700,255 776,876 4,602,927 9,100,809 2009-08-17 $98.31 $96.00 25.6% 7.3% 16.6% 8.6% 26.0% 5.7% -0.3% -633.8M 1.19B -120.4M 1.62 2.54 N/A N/A 647,974 1,047,003 4,691,126 9,164,850 2009-08-18 $99.09 $96.00 24.1% 6.9% 16.7% 6.9% 24.7% 5.5% -0.1% -315.8M -3.70B -116.7M 2.29 2.44 N/A N/A 433,636 993,172 4,766,135 9,227,294 2009-08-19 $99.96 $96.00 23.5% 6.7% 16.8% 6.2% 25.0% 6.2% 0.3% -228.1M -6.01B -119.0M 1.86 2.11 N/A N/A 503,245 935,719 4,779,106 9,318,157 2009-08-20 $100.99 $97.00 22.0% 6.3% 15.5% 4.5% 23.0% 5.5% 0.3% 155.7M -10.00B -109.5M 1.66 2.37 N/A N/A 530,784 882,774 4,796,764 9,396,566 2009-08-21 $102.97 $97.00 21.8% 6.3% 16.7% 4.3% 22.9% 5.3% 0.3% 1.00B -16.39B -108.9M 0.99 2.68 N/A N/A 931,109 923,546 4,837,377 9,610,101 2009-08-24 $102.96 $98.00 21.9% 6.2% 16.7% 4.4% 22.5% 4.5% 0.3% 19.1M -6.30B -111.8M 1.35 2.03 N/A N/A 474,903 638,783 3,671,711 6,940,096 2009-08-25 $103.16 $98.00 22.1% 6.3% 16.5% 4.4% 22.5% 3.6% 0.3% 54.6M -6.93B -109.5M 1.47 2.70 N/A N/A 474,763 698,349 3,794,987 7,118,198 2009-08-26 $103.17 $99.00 22.0% 6.4% 16.5% 4.3% 23.9% 4.9% 1.1% 26.3M -6.72B -111.9M 2.17 4.67 N/A N/A 293,346 636,955 3,889,494 7,352,156 2009-08-27 $103.40 $99.00 21.9% 6.4% 16.3% 4.2% 23.2% 4.8% 1.1% 9.8M -6.76B -115.6M 2.24 4.18 N/A N/A 356,775 800,878 3,949,340 7,574,822 2009-08-28 $103.38 $99.00 22.0% 6.3% 16.4% 4.3% 24.1% 4.7% 1.2% -59.8M -5.97B -117.9M 1.70 3.93 N/A N/A 395,320 673,559 4,011,518 7,846,759 2009-08-31 $102.46 $99.00 22.9% 6.6% 15.9% 4.1% 27.5% 5.0% 1.2% -167.6M -3.98B -118.8M 1.87 3.96 N/A N/A 345,254 644,091 4,112,490 8,026,538
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