SPY Options History — January 2010 In January 2010, SPY traded between $107.39 and $115.06. ATM implied volatility averaged 17.1%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.5% (HV 20d: 12.5%). Max pain ranged from $112.00 to $114.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.72.
Notable Days 2010-01-22 : Highest Volume — 2,359,099 contracts2010-01-22 : Largest IV spike — 25.2% change2010-01-22 : Highest IV Rank — 23.7%2010-01-22 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $112.41 $107.39 $115.06 $113.33 $107.39 Max Pain $112.95 $112.00 $114.00 $112.00 $112.00 ATM IV 17.1% 13.3% 23.0% 15.9% 21.7% Expected Move 5.1% 4.3% 6.6% 5.1% 6.2% HV 20d 12.5% 9.8% 16.5% 11.1% 16.5% HV 60d 15.4% 14.2% 16.4% 15.6% 14.4% IV Rank 8.8% 0.0% 23.7% 5.0% 20.4% IV Percentile 12.3% 0.0% 48.0% 2.4% 37.7% Term Structure 1.5% -0.0% 2.3% 1.9% 0.7% VWIV 18.5% 15.5% 23.5% 18.4% 21.4% Skew 25d 5.1% 3.8% 8.5% 5.1% 5.6% Skew 10d 10.8% 7.6% 18.1% 11.1% 11.7% Call IV 25d 15.9% 13.4% 19.5% 15.6% 18.9% Put IV 25d 21.0% 17.6% 28.1% 20.6% 24.5% Bid-Ask Spread % 2.49 1.60 4.46 2.43 2.77 Gamma HHI 0.06 0.04 0.08 0.06 0.06 Net GEX -498.6M -1.68B 428.2M 33.1M -1.68B Net DEX 3.52B -6.81B 21.48B -3.17B 21.48B Net VEX -123.6M -151.0M -100.8M -102.9M -150.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.72 1.09 2.47 1.15 1.47 Total Volume 1,266,164.579 586,332 2,359,099 774,944 1,462,180 Total OI 10,796,549.947 9,046,179 12,101,558 9,695,275 11,752,953
Daily Data (19 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 2010-01-04 $113.33 $112.00 15.9% 5.1% 11.1% 5.0% 18.4% 5.1% 1.9% 33.1M -3.17B -102.9M 1.15 2.43 N/A N/A 361,028 413,916 2,670,129 7,025,146 2010-01-05 $113.63 $112.00 14.5% 4.8% 11.0% 1.8% 17.3% 4.7% 2.1% 150.8M -4.23B -103.0M 1.09 2.42 N/A N/A 281,066 305,266 2,795,262 7,161,859 2010-01-06 $113.71 $112.00 14.9% 4.8% 10.9% 2.6% 18.2% 4.5% 1.8% 201.4M -4.63B -100.8M 1.90 2.55 N/A N/A 343,918 653,684 2,863,046 7,233,474 2010-01-07 $114.19 $113.00 15.5% 4.8% 9.9% 4.1% 17.2% 4.4% 1.8% 245.9M -5.50B -106.4M 1.86 2.26 N/A N/A 303,105 564,070 2,992,407 7,593,981 2010-01-08 $114.57 $113.00 13.3% 4.6% 9.9% 0.0% 16.4% 3.8% 1.8% 360.8M -6.81B -105.1M 1.45 2.19 N/A N/A 364,894 530,881 3,038,238 7,770,954 2010-01-11 $114.73 $113.00 14.6% 4.7% 9.8% 3.0% 17.5% 3.9% 1.7% 312.3M -6.73B -105.1M 2.11 2.04 N/A N/A 309,662 654,544 3,147,066 7,929,929 2010-01-12 $113.66 $113.00 14.6% 4.7% 10.6% 3.2% 17.4% 3.9% 1.9% -296.8M -2.39B -109.2M 1.63 2.37 N/A N/A 439,840 717,330 3,132,817 8,116,119 2010-01-13 $114.62 $113.00 13.8% 4.5% 10.7% 1.2% 16.7% 4.2% 1.9% 428.2M -6.51B -107.6M 1.86 2.26 N/A N/A 469,580 871,913 3,248,540 8,247,549 2010-01-14 $114.93 $113.00 15.3% 4.4% 10.5% 4.9% 16.1% 4.1% 2.1% 287.3M -6.32B -110.2M 1.78 2.51 N/A N/A 459,969 819,666 3,294,164 8,542,557 2010-01-15 $113.64 $113.00 15.4% 4.4% 11.4% 5.0% 16.6% 4.3% 2.3% -548.2M -954.9M -117.2M 1.35 2.63 N/A N/A 645,596 869,491 3,355,922 8,745,636 2010-01-19 $115.06 $113.00 15.0% 4.3% 11.0% 4.0% 15.5% 4.2% 2.2% -313.9M -993.1M -112.3M 2.47 1.98 N/A N/A 397,117 980,314 2,497,792 6,548,387 2010-01-20 $113.89 $114.00 15.5% 4.4% 11.9% 5.2% 16.2% 4.4% 2.1% -645.9M 3.34B -130.3M 1.66 2.05 N/A N/A 417,745 693,876 2,624,340 7,229,696 2010-01-21 $111.70 $114.00 18.4% 5.3% 13.6% 12.3% 18.7% 6.1% 1.2% -996.9M 9.60B -139.3M 1.79 2.04 N/A N/A 611,123 1,093,142 2,688,604 7,394,171 2010-01-22 $109.21 $114.00 23.0% 6.6% 15.7% 23.7% 23.5% 8.5% -0.0% -1.21B 15.25B -149.6M 2.25 4.46 N/A N/A 726,054 1,633,045 2,766,746 7,609,766 2010-01-25 $109.77 $113.00 21.1% 6.1% 15.8% 19.1% 22.5% 7.9% 0.3% -1.39B 15.72B -151.0M 1.79 3.30 N/A N/A 378,520 679,270 2,963,506 8,120,596 2010-01-26 $109.31 $113.00 21.5% 6.2% 15.7% 19.9% 21.5% 6.1% 0.7% -1.46B 16.58B -149.7M 2.26 2.80 N/A N/A 521,552 1,181,175 2,998,265 8,204,453 2010-01-27 $109.83 $113.00 19.7% 5.7% 15.8% 15.6% 20.7% 5.6% 1.2% -1.33B 14.13B -147.5M 1.63 1.60 N/A N/A 532,327 868,578 3,176,616 8,073,995 2010-01-28 $108.57 $113.00 20.3% 5.8% 16.2% 17.1% 20.3% 5.5% 1.2% -1.62B 18.97B -150.1M 1.14 2.60 N/A N/A 703,214 798,476 3,248,204 8,331,564 2010-01-29 $107.39 $112.00 21.7% 6.2% 16.5% 20.4% 21.4% 5.6% 0.7% -1.68B 21.48B -150.8M 1.47 2.77 N/A N/A 592,607 869,573 3,370,982 8,381,971
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