SPY Options History — November 2009 In November 2009, SPY traded between $104.32 and $111.38. ATM implied volatility averaged 20.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.3% (HV 20d: 20.2%). Max pain ranged from $105.00 to $108.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.59.
Notable Days 2009-11-02 : Highest Volume — 1,835,850 contracts2009-11-12 : Largest IV spike — 21.1% change2009-11-02 : Highest IV Rank — 14.9%2009-11-02 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $109.08 $104.32 $111.38 $104.32 $109.94 Max Pain $105.95 $105.00 $108.00 $107.00 $108.00 ATM IV 20.5% 17.8% 25.9% 25.9% 20.8% Expected Move 6.0% 5.0% 7.4% 7.4% 6.0% HV 20d 20.2% 15.2% 21.5% 19.8% 15.2% HV 60d 17.3% 16.6% 18.0% 17.6% 16.9% IV Rank 5.9% 1.1% 14.9% 14.9% 7.6% IV Percentile 11.3% 0.4% 38.5% 38.5% 12.3% Term Structure 0.3% -0.1% 1.6% -0.1% 0.1% VWIV 22.3% 18.3% 26.5% 26.5% 25.9% Skew 25d 5.4% 3.5% 8.3% 8.3% 5.7% Skew 10d 10.9% 6.7% 18.5% 18.5% 13.0% Call IV 25d 18.9% 16.5% 22.3% 22.3% 19.0% Put IV 25d 24.3% 20.0% 30.6% 30.6% 24.7% Bid-Ask Spread % 2.99 2.10 5.59 3.15 5.25 Gamma HHI 0.05 0.04 0.07 0.05 0.04 Net GEX -338.9M -1.14B 537.7M -1.13B -636.7M Net DEX -2.23B -12.38B 13.20B 13.20B 1.01B Net VEX -135.7M -156.3M -119.8M -154.5M -134.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 1.19 2.26 1.59 1.89 Total Volume 1,262,991.45 861,172 1,835,850 1,835,850 1,122,791 Total OI 15,128,474.15 12,932,798 16,644,687 14,178,466 14,490,365
Daily Data (20 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 2009-11-02 $104.32 $107.00 25.9% 7.4% 19.8% 14.9% 26.5% 8.3% -0.1% -1.13B 13.20B -154.5M 1.59 3.15 N/A N/A 709,782 1,126,068 4,286,113 9,892,353 2009-11-03 $104.65 $107.00 24.3% 7.0% 19.2% 12.1% 25.8% 7.3% 0.9% -1.14B 12.51B -156.3M 1.43 3.06 N/A N/A 475,616 678,477 4,419,216 10,139,421 2009-11-04 $104.92 $107.00 24.1% 6.9% 19.2% 11.8% 24.9% 6.8% 0.9% -1.07B 10.51B -154.3M 2.26 3.63 N/A N/A 416,747 940,521 4,457,779 10,256,448 2009-11-05 $106.85 $107.00 21.5% 6.2% 20.1% 7.3% 22.8% 5.8% 1.6% -799.5M 4.69B -149.3M 2.01 2.59 N/A N/A 332,735 668,313 4,502,773 10,447,622 2009-11-06 $107.13 $105.00 19.6% 6.3% 20.0% 4.0% 23.7% 6.1% -0.0% -816.2M 3.43B -145.9M 1.69 2.52 N/A N/A 507,566 857,631 4,523,699 10,531,626 2009-11-09 $109.57 $105.00 18.9% 5.9% 21.5% 2.9% 22.7% 5.7% 0.2% -108.4M -6.52B -134.6M 1.79 3.47 N/A N/A 596,716 1,070,044 4,581,293 10,651,965 2009-11-10 $109.59 $105.00 18.0% 5.9% 21.5% 1.3% 22.1% 5.1% 0.3% -10.7M -6.84B -134.3M 1.19 2.75 N/A N/A 494,882 590,961 4,633,051 10,900,172 2009-11-11 $110.15 $105.00 18.1% 6.0% 20.7% 1.5% 21.6% 4.7% 0.0% 79.9M -8.46B -133.6M 1.24 2.82 N/A N/A 651,503 809,994 4,670,541 10,961,420 2009-11-12 $109.03 $105.00 22.0% 6.3% 21.0% 8.1% 22.7% 5.4% -0.1% -296.1M -3.48B -140.0M 1.29 2.29 N/A N/A 592,737 764,739 4,709,510 11,107,284 2009-11-13 $109.62 $105.00 21.0% 6.0% 20.9% 6.5% 23.2% 5.3% 0.3% -17.3M -5.62B -136.9M 1.85 2.50 N/A N/A 421,440 781,216 4,855,178 11,203,927 2009-11-16 $111.21 $105.00 21.1% 6.0% 21.4% 6.5% 21.8% 4.7% -0.1% 414.2M -11.87B -129.8M 1.36 2.81 N/A N/A 599,926 817,593 4,896,540 11,302,016 2009-11-17 $111.34 $105.00 20.5% 5.9% 21.2% 5.6% 21.4% 4.6% 0.3% 466.0M -12.23B -128.1M 1.28 2.63 N/A N/A 454,876 582,680 4,922,421 11,436,602 2009-11-18 $111.27 $105.00 20.3% 5.8% 20.9% 5.2% 21.3% 4.8% 0.1% 537.7M -12.38B -127.0M 1.50 2.10 N/A N/A 386,074 579,839 4,935,519 11,517,327 2009-11-19 $109.82 $106.00 20.3% 5.8% 21.3% 5.2% 21.0% 5.3% 0.1% -507.1M -4.51B -130.1M 1.37 2.36 N/A N/A 652,572 893,868 4,900,984 11,595,863 2009-11-20 $109.43 $106.00 19.6% 5.6% 20.9% 4.0% 20.2% 5.3% 0.3% -416.8M -4.09B -125.6M 1.35 3.23 N/A N/A 576,389 779,428 5,001,351 11,643,336 2009-11-23 $110.82 $106.00 18.3% 5.2% 20.8% 2.1% 19.4% 4.2% 0.3% -237.1M -5.00B -119.8M 1.68 2.53 N/A N/A 495,044 831,016 3,807,878 9,124,920 2009-11-24 $110.99 $106.00 17.8% 5.0% 20.7% 1.1% 18.4% 3.6% 0.2% -254.1M -4.87B -120.9M 1.66 2.15 N/A N/A 324,344 536,828 3,948,217 9,461,789 2009-11-25 $111.38 $106.00 18.0% 5.1% 19.1% 1.7% 18.3% 3.5% 0.4% -238.1M -5.66B -122.8M 1.48 2.43 N/A N/A 407,498 604,506 4,023,854 9,635,084 2009-11-27 $109.57 $108.00 21.0% 6.0% 19.1% 8.0% 21.3% 5.6% 0.2% -597.9M 1.58B -135.0M 1.97 5.59 N/A N/A 379,922 746,947 4,189,923 10,004,103 2009-11-30 $109.94 $108.00 20.8% 6.0% 15.2% 7.6% 25.9% 5.7% 0.1% -636.7M 1.01B -134.4M 1.89 5.25 N/A N/A 388,976 733,815 4,287,803 10,202,562
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