SPY Options History — October 2009 In October 2009, SPY traded between $102.49 and $109.79. ATM implied volatility averaged 21.1%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.9% (HV 20d: 16.2%). Max pain ranged from $105.00 to $108.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.84.
Notable Days 2009-10-30 : Highest Volume — 2,463,268 contracts2009-10-30 : Largest IV spike — 23.0% change2009-10-30 : Highest IV Rank — 14.9%2009-10-02 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $106.87 $102.49 $109.79 $103.72 $103.56 Max Pain $106.73 $105.00 $108.00 $105.00 $107.00 ATM IV 21.1% 17.2% 26.0% 24.3% 25.9% Expected Move 6.2% 5.3% 7.4% 7.0% 7.4% HV 20d 16.2% 14.7% 20.4% 14.7% 20.4% HV 60d 15.9% 15.2% 17.7% 16.3% 17.7% IV Rank 5.1% 0.0% 14.9% 6.3% 14.9% IV Percentile 10.8% 0.0% 38.5% 24.6% 38.5% Term Structure 0.9% -0.4% 1.7% -0.0% -0.4% VWIV 22.3% 19.4% 26.1% 24.7% 26.1% Skew 25d 5.1% 3.6% 8.4% 4.5% 8.4% Skew 10d 10.9% 7.8% 19.5% 8.6% 19.5% Call IV 25d 19.5% 16.8% 23.1% 23.1% 22.7% Put IV 25d 24.6% 20.4% 31.1% 27.6% 31.1% Bid-Ask Spread % 2.91 2.04 3.99 2.09 3.68 Gamma HHI 0.06 0.04 0.13 0.05 0.05 Net GEX -411.5M -1.13B 885.0M -1.02B -1.13B Net DEX -95.7M -12.99B 14.38B 9.56B 14.38B Net VEX -128.6M -155.1M -112.4M -155.1M -150.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.84 1.14 3.65 2.06 2.33 Total Volume 1,298,014.818 776,655 2,463,268 1,514,557 2,463,268 Total OI 12,793,441 10,929,067 13,873,432 12,487,270 13,579,749
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 2009-10-01 $103.72 $105.00 24.3% 7.0% 14.7% 6.3% 24.7% 4.5% -0.0% -1.02B 9.56B -155.1M 2.06 2.09 N/A N/A 495,325 1,019,232 3,872,777 8,614,493 2009-10-02 $102.49 $105.00 26.0% 7.4% 15.3% 8.6% 26.1% 5.6% -0.3% -1.05B 10.61B -135.1M 2.01 2.04 N/A N/A 528,433 1,060,121 3,807,673 8,326,115 2009-10-05 $104.02 $106.00 22.8% 6.9% 15.4% 4.3% 25.2% 6.9% 0.4% -902.7M 6.18B -130.6M 1.49 3.23 N/A N/A 312,413 464,242 3,930,191 8,535,776 2009-10-06 $105.51 $106.00 21.1% 6.4% 15.9% 2.1% 23.9% 5.9% 0.9% -701.7M 1.73B -126.9M 1.77 3.86 N/A N/A 480,992 849,688 3,950,191 8,536,435 2009-10-07 $105.80 $106.00 20.3% 6.3% 15.7% 1.0% 22.4% 5.6% 1.2% -548.4M 247.6M -126.1M 1.50 2.95 N/A N/A 356,630 535,519 4,033,540 8,678,429 2009-10-08 $106.61 $106.00 19.1% 6.2% 15.5% 0.0% 22.5% 5.4% 1.0% -277.9M -3.18B -124.2M 1.19 3.54 N/A N/A 619,898 735,662 4,102,031 8,813,674 2009-10-09 $107.26 $106.00 17.2% 6.0% 15.6% 0.0% 21.9% 5.0% 1.1% -95.5M -5.07B -121.6M 1.80 2.37 N/A N/A 278,976 502,636 4,269,773 8,971,834 2009-10-12 $107.68 $106.00 20.0% 5.9% 15.6% 3.5% 22.3% 4.9% 1.2% 36.3M -6.36B -118.3M 1.78 2.54 N/A N/A 350,490 624,082 4,308,403 9,038,560 2009-10-13 $107.46 $106.00 21.5% 6.1% 15.6% 5.8% 21.8% 4.9% 1.0% -290.1M -4.85B -119.5M 1.65 2.56 N/A N/A 306,552 506,060 4,350,623 9,159,751 2009-10-14 $109.31 $106.00 22.2% 5.9% 15.9% 6.7% 21.5% 4.7% 1.2% 604.5M -12.16B -114.8M 1.14 2.81 N/A N/A 793,324 907,810 4,398,248 9,196,763 2009-10-15 $109.71 $107.00 19.4% 5.6% 15.9% 2.9% 21.0% 4.2% 1.3% 885.0M -12.99B -112.6M 1.30 2.78 N/A N/A 541,752 701,953 4,440,304 9,297,641 2009-10-16 $108.89 $107.00 19.2% 5.5% 16.1% 3.3% 20.2% 4.2% 1.6% 200.8M -9.36B -115.6M 1.28 3.37 N/A N/A 582,508 745,712 4,405,620 9,467,812 2009-10-19 $109.79 $107.00 18.7% 5.4% 16.2% 2.5% 19.8% 4.3% 1.7% -89.1M -6.07B -112.4M 1.99 3.05 N/A N/A 343,875 684,639 3,438,882 7,490,185 2009-10-20 $109.21 $107.00 18.9% 5.4% 16.3% 2.8% 19.4% 3.7% 1.7% -153.1M -5.30B -113.8M 3.65 2.48 N/A N/A 378,273 1,381,731 3,565,402 7,776,413 2009-10-21 $108.23 $108.00 20.0% 5.7% 16.4% 4.7% 20.7% 4.1% 1.2% -432.8M -762.8M -130.9M 2.23 3.99 N/A N/A 347,732 776,573 3,678,941 8,399,026 2009-10-22 $109.33 $108.00 18.5% 5.3% 16.0% 2.1% 19.7% 3.6% 1.7% -331.7M -3.86B -128.7M 2.05 2.41 N/A N/A 409,126 838,112 3,755,591 8,680,497 2009-10-23 $108.08 $108.00 19.5% 5.6% 16.5% 3.8% 20.0% 4.4% 1.7% -490.0M 226.6M -132.5M 2.08 3.36 N/A N/A 356,127 742,488 3,807,368 8,665,300 2009-10-26 $106.91 $108.00 21.3% 6.1% 16.0% 7.1% 21.4% 4.5% 0.7% -689.1M 3.12B -135.3M 1.92 2.68 N/A N/A 440,138 847,019 3,865,435 8,800,267 2009-10-27 $106.42 $108.00 21.9% 6.3% 16.0% 8.1% 21.9% 4.9% 0.6% -796.0M 5.08B -137.6M 1.77 2.70 N/A N/A 432,080 763,919 3,921,251 8,924,925 2009-10-28 $104.41 $108.00 25.3% 7.3% 17.4% 13.9% 24.9% 6.4% -0.3% -1.02B 11.80B -144.9M 1.59 3.16 N/A N/A 690,846 1,099,133 3,990,759 9,127,765 2009-10-29 $106.65 $107.00 21.1% 6.0% 17.7% 6.6% 23.1% 5.9% 1.0% -750.2M 4.94B -141.9M 1.88 2.32 N/A N/A 438,529 822,708 4,120,519 9,360,770 2009-10-30 $103.56 $107.00 25.9% 7.4% 20.4% 14.9% 26.1% 8.4% -0.4% -1.13B 14.38B -150.4M 2.33 3.68 N/A N/A 738,966 1,724,302 4,175,544 9,404,205
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