SPY Options History — September 2009 In September 2009, SPY traded between $99.82 and $107.32. ATM implied volatility averaged 21.6%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.7% (HV 20d: 15.9%). Max pain ranged from $99.00 to $106.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.66.
Notable Days 2009-09-17 : Highest Volume — 5,022,545 contracts2009-09-30 : Largest IV drop — 9.4% change2009-09-01 : Highest IV Rank — 6.6%2009-09-01 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $104.68 $99.82 $107.32 $100.20 $105.59 Max Pain $102.90 $99.00 $106.00 $99.00 $106.00 ATM IV 21.6% 19.5% 25.5% 25.5% 21.9% Expected Move 6.2% 5.8% 7.3% 7.3% 6.3% HV 20d 15.9% 12.9% 18.4% 17.9% 12.9% HV 60d 17.9% 15.8% 19.4% 19.1% 15.8% IV Rank 2.3% 0.0% 6.6% 6.6% 3.2% IV Percentile 7.0% 0.0% 23.8% 23.4% 12.3% Term Structure 1.3% 0.8% 2.1% 0.8% 0.8% VWIV 22.6% 20.7% 27.8% 27.8% 23.0% Skew 25d 4.8% 4.0% 5.8% 5.7% 5.1% Skew 10d 9.6% 7.5% 12.0% 10.5% 10.7% Call IV 25d 19.7% 18.5% 23.2% 23.2% 20.0% Put IV 25d 24.6% 22.6% 28.9% 28.9% 25.1% Bid-Ask Spread % 2.53 1.61 4.91 4.91 1.87 Gamma HHI 0.06 0.04 0.08 0.04 0.06 Net GEX -205.0M -890.3M 581.7M -501.3M -890.3M Net DEX -4.07B -18.25B 4.71B 2.86B 1.41B Net VEX -126.2M -227.4M -107.5M -127.0M -128.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 0.30 2.34 1.31 1.65 Total Volume 1,399,044.714 667,889 5,022,545 1,824,045 1,407,799 Total OI 13,140,647 11,377,190 15,034,946 12,415,100 12,451,044
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 2009-09-01 $100.20 $99.00 25.5% 7.3% 17.9% 6.6% 27.8% 5.7% 0.8% -501.3M 2.86B -127.0M 1.31 4.91 N/A N/A 790,146 1,033,899 4,202,454 8,212,646 2009-09-02 $99.82 $99.00 25.1% 7.2% 18.0% 6.0% 25.4% 5.8% 0.9% -557.6M 3.91B -130.3M 1.51 3.80 N/A N/A 396,749 599,409 4,358,478 8,417,118 2009-09-03 $100.65 $99.00 23.0% 6.6% 18.1% 3.7% 24.1% 5.4% 1.1% -458.4M 1.32B -125.2M 1.88 3.52 N/A N/A 341,181 641,939 4,351,952 8,480,787 2009-09-04 $102.06 $99.00 21.3% 6.1% 18.2% 1.6% 23.6% 5.2% 1.2% -287.1M -2.28B -121.8M 2.07 4.27 N/A N/A 370,400 767,119 4,393,248 8,664,773 2009-09-08 $102.94 $99.00 20.9% 6.0% 18.4% 1.2% 21.8% 4.9% 1.5% -95.1M -5.69B -115.2M 1.95 3.61 N/A N/A 290,239 566,714 4,411,409 8,909,806 2009-09-09 $103.73 $101.00 19.5% 6.1% 17.8% 0.0% 22.4% 5.5% 1.9% 77.1M -8.03B -114.2M 1.51 1.71 N/A N/A 556,001 838,434 4,451,706 9,007,863 2009-09-10 $104.79 $102.00 20.4% 5.9% 17.8% 1.0% 22.1% 5.3% 2.1% 248.5M -10.91B -108.9M 1.37 2.08 N/A N/A 578,740 790,894 4,501,542 9,216,136 2009-09-11 $104.77 $102.00 20.9% 6.0% 17.7% 1.6% 22.4% 5.2% 1.6% 227.3M -10.83B -110.8M 1.48 2.25 N/A N/A 525,637 777,703 4,585,333 9,356,969 2009-09-14 $105.28 $103.00 21.0% 6.0% 17.3% 1.7% 22.1% 5.3% 1.3% 362.8M -12.62B -107.5M 1.63 2.00 N/A N/A 374,824 610,562 4,714,679 9,523,480 2009-09-15 $105.72 $103.00 20.3% 5.8% 14.1% 0.8% 21.8% 5.1% 1.6% 360.7M -12.80B -113.7M 1.59 1.82 N/A N/A 560,793 889,039 4,740,962 9,642,753 2009-09-16 $107.32 $103.00 20.9% 6.0% 14.6% 1.6% 21.8% 4.5% 1.0% 581.7M -18.25B -107.6M 1.09 2.31 N/A N/A 1,056,562 1,151,446 4,778,402 9,747,856 2009-09-17 $107.16 $104.00 20.8% 6.0% 14.6% 1.4% 22.1% 4.4% 1.3% 469.6M -16.89B -111.9M 0.30 2.37 N/A N/A 3,869,250 1,153,295 4,956,677 10,078,269 2009-09-18 $106.72 $105.00 20.9% 6.0% 14.6% 1.5% 22.0% 4.1% 1.4% -174.3M -3.07B -122.5M 2.26 2.47 N/A N/A 613,224 1,385,947 3,876,612 10,265,186 2009-09-21 $106.45 $105.00 21.1% 6.1% 13.3% 1.8% 21.8% 4.3% 1.4% -544.8M 4.07B -227.4M 2.16 2.02 N/A N/A 211,234 456,655 3,864,952 10,524,813 2009-09-22 $107.07 $105.00 20.2% 5.8% 13.4% 0.8% 20.8% 4.0% 1.6% -183.8M -3.82B -124.5M 1.27 1.61 N/A N/A 310,724 395,562 3,583,186 7,794,004 2009-09-23 $106.18 $105.00 20.3% 5.8% 13.9% 0.9% 20.7% 4.0% 2.0% -360.4M -1.57B -127.5M 2.34 2.41 N/A N/A 337,892 791,925 3,654,541 7,901,183 2009-09-24 $105.01 $105.00 21.5% 6.2% 14.6% 2.3% 22.2% 4.1% 1.4% -695.5M 3.27B -134.1M 1.95 2.06 N/A N/A 423,390 823,631 3,715,866 8,080,936 2009-09-25 $104.45 $106.00 20.8% 6.4% 14.7% 1.4% 23.0% 4.5% 1.0% -782.5M 4.71B -135.0M 1.84 2.30 N/A N/A 356,046 654,051 3,774,962 8,240,296 2009-09-28 $106.32 $105.00 22.2% 6.2% 15.9% 3.1% 22.4% 4.7% 1.0% -418.3M -1.09B -127.8M 2.01 2.06 N/A N/A 274,910 551,889 3,817,203 8,363,565 2009-09-29 $106.00 $106.00 24.2% 6.2% 15.5% 5.4% 22.2% 4.7% 1.1% -682.5M 800.6M -128.7M 1.70 1.74 N/A N/A 315,814 538,271 3,817,992 8,521,948 2009-09-30 $105.59 $106.00 21.9% 6.3% 12.9% 3.2% 23.0% 5.1% 0.8% -890.3M 1.41B -128.9M 1.65 1.87 N/A N/A 530,539 877,260 3,865,739 8,585,305
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