SPY Options History — December 2009 In December 2009, SPY traded between $109.61 and $112.72. ATM implied volatility averaged 17.6%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.8% (HV 20d: 12.8%). Max pain ranged from $108.00 to $111.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.54.
Notable Days 2009-12-17 : Highest Volume — 5,166,283 contracts2009-12-31 : Largest IV spike — 25.2% change2009-12-31 : Highest IV Rank — 8.6%2009-12-08 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $111.27 $109.61 $112.72 $111.30 $111.44 Max Pain $109.73 $108.00 $111.00 $108.00 $111.00 ATM IV 17.6% 13.8% 19.9% 19.1% 17.3% Expected Move 5.1% 4.4% 5.7% 5.5% 5.0% HV 20d 12.8% 9.2% 16.0% 15.5% 9.9% HV 60d 16.5% 15.3% 17.0% 16.9% 15.3% IV Rank 2.8% 0.0% 8.6% 4.0% 8.6% IV Percentile 2.8% 0.0% 8.7% 4.0% 3.2% Term Structure 1.8% 0.3% 2.8% 0.3% 2.2% VWIV 18.7% 16.0% 21.5% 20.3% 17.6% Skew 25d 4.7% 3.7% 5.6% 5.1% 4.5% Skew 10d 9.8% 7.4% 12.5% 10.6% 9.1% Call IV 25d 16.0% 13.9% 18.4% 17.0% 15.2% Put IV 25d 20.7% 17.8% 23.5% 22.0% 19.8% Bid-Ask Spread % 3.36 2.39 4.70 4.64 2.70 Gamma HHI 0.05 0.05 0.07 0.05 0.06 Net GEX -356.1M -1.20B 215.5M -229.0M -223.1M Net DEX -1.73B -7.27B 10.72B -5.24B 607.2M Net VEX -117.1M -130.6M -105.0M -124.9M -109.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.54 0.36 2.47 1.43 1.59 Total Volume 1,145,123.091 333,271 5,166,283 994,233 811,644 Total OI 14,079,049.227 10,200,753 16,888,377 14,729,119 11,445,734
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 2009-12-01 $111.30 $108.00 19.1% 5.5% 15.5% 4.0% 20.3% 5.1% 0.3% -229.0M -5.24B -124.9M 1.43 4.64 N/A N/A 408,723 585,510 4,359,112 10,370,007 2009-12-02 $111.25 $108.00 18.6% 5.3% 15.6% 3.1% 19.1% 4.8% 0.7% -228.2M -5.08B -125.0M 2.47 4.11 N/A N/A 327,797 810,778 4,422,779 10,463,348 2009-12-03 $110.38 $108.00 19.6% 5.6% 16.0% 5.4% 21.0% 4.7% 0.7% -502.6M -937.9M -130.6M 1.62 4.21 N/A N/A 397,077 643,592 4,488,704 10,720,338 2009-12-04 $111.01 $109.00 18.6% 5.3% 15.0% 3.1% 19.8% 4.5% 0.8% -199.8M -5.21B -125.1M 1.35 4.67 N/A N/A 680,619 919,732 4,560,158 10,817,531 2009-12-07 $110.84 $109.00 18.6% 5.3% 15.0% 3.6% 20.0% 4.4% 1.1% -424.2M -2.81B -126.1M 1.48 4.11 N/A N/A 310,915 460,947 4,648,146 11,025,769 2009-12-08 $109.61 $109.00 19.9% 5.7% 13.5% 6.8% 21.5% 5.1% 0.7% -833.1M 2.97B -129.9M 1.21 4.68 N/A N/A 531,253 642,462 4,692,701 11,083,663 2009-12-09 $110.02 $109.00 19.1% 5.4% 13.6% 4.9% 19.3% 5.0% 1.0% -667.4M 605.3M -126.7M 1.63 4.70 N/A N/A 447,224 731,030 4,719,602 11,135,977 2009-12-10 $110.64 $110.00 18.9% 5.4% 13.6% 4.4% 20.5% 5.4% 2.0% -485.0M -2.27B -123.9M 1.57 2.99 N/A N/A 391,776 613,613 4,722,622 11,241,667 2009-12-11 $111.11 $110.00 18.6% 5.3% 13.1% 3.6% 19.3% 5.0% 2.2% -309.7M -4.61B -121.6M 1.60 2.90 N/A N/A 338,026 541,030 4,785,120 11,327,223 2009-12-14 $111.87 $110.00 17.9% 5.1% 13.2% 1.8% 19.2% 5.0% 2.2% -107.8M -7.27B -112.7M 1.76 2.41 N/A N/A 368,473 647,474 4,805,501 11,438,025 2009-12-15 $111.35 $110.00 18.4% 5.3% 12.3% 3.2% 19.7% 5.3% 2.3% -356.1M -5.03B -113.6M 1.29 2.93 N/A N/A 420,570 541,476 4,865,798 11,552,579 2009-12-16 $111.52 $110.00 17.4% 5.0% 12.3% 0.5% 18.1% 4.8% 2.1% -421.6M -4.85B -112.1M 0.91 3.13 N/A N/A 661,724 600,505 4,906,577 11,655,089 2009-12-17 $110.18 $110.00 18.9% 5.4% 13.1% 4.6% 20.3% 5.6% 1.6% -984.3M 485.3M -115.8M 0.36 3.34 N/A N/A 3,796,396 1,369,887 5,100,669 11,787,708 2009-12-18 $110.21 $110.00 18.3% 5.2% 12.2% 2.8% 20.5% 5.5% 2.0% -1.20B 10.72B -118.4M 2.07 3.51 N/A N/A 518,629 1,074,930 4,129,519 12,128,556 2009-12-21 $111.33 $110.00 16.7% 4.8% 12.6% 0.0% 17.1% 4.8% 2.7% -624.0M 1.87B -110.4M 2.08 2.42 N/A N/A 356,716 740,247 2,634,183 7,566,570 2009-12-22 $111.73 $110.00 15.3% 4.4% 11.8% 0.0% 16.8% 4.5% 2.8% -341.8M 319.2M -110.8M 1.66 2.67 N/A N/A 280,120 465,234 2,758,240 7,861,459 2009-12-23 $111.95 $110.00 15.7% 4.5% 11.9% 1.0% 16.3% 4.4% 2.6% -180.9M -592.3M -112.5M 1.30 2.39 N/A N/A 297,548 386,209 2,884,592 7,989,673 2009-12-24 $112.48 $110.00 15.7% 4.5% 11.9% 1.1% 16.0% 3.9% 2.4% 99.3M -2.80B -109.7M 1.72 3.23 N/A N/A 122,665 210,606 2,975,458 8,038,918 2009-12-28 $112.72 $111.00 15.3% 4.4% 10.1% 0.0% 16.9% 4.1% 2.3% 49.2M -2.90B -105.0M 1.82 3.01 N/A N/A 216,273 394,516 2,980,004 8,116,008 2009-12-29 $112.56 $111.00 15.3% 4.4% 10.1% 0.2% 16.5% 3.7% 2.4% 118.8M -2.79B -105.9M 1.89 2.50 N/A N/A 186,456 353,252 3,020,804 8,188,467 2009-12-30 $112.52 $111.00 13.8% 4.4% 9.2% 0.0% 16.3% 3.7% 2.5% 215.5M -3.27B -105.9M 1.14 2.66 N/A N/A 275,445 313,609 3,077,288 8,247,197 2009-12-31 $111.44 $111.00 17.3% 5.0% 9.9% 8.6% 17.6% 4.5% 2.2% -223.1M 607.2M -109.3M 1.59 2.70 N/A N/A 313,207 498,437 3,120,343 8,325,391
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