SPY Options History — February 2010 In February 2010, SPY traded between $105.89 and $111.16. ATM implied volatility averaged 19.6%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.5% (HV 20d: 19.1%). Max pain ranged from $109.00 to $112.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.60.
Notable Days 2010-02-05 : Highest Volume — 2,879,912 contracts2010-02-04 : Largest IV spike — 34.2% change2010-02-04 : Highest IV Rank — 26.2%2010-02-04 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $109.15 $105.89 $111.16 $109.06 $110.74 Max Pain $109.89 $109.00 $112.00 $112.00 $109.00 ATM IV 19.6% 16.9% 24.1% 19.5% 16.9% Expected Move 5.7% 4.9% 6.9% 5.6% 4.9% HV 20d 19.1% 16.8% 21.1% 17.4% 17.7% HV 60d 15.2% 14.4% 15.8% 14.7% 14.9% IV Rank 15.3% 8.8% 26.2% 15.0% 8.8% IV Percentile 23.0% 7.5% 54.8% 18.3% 7.5% Term Structure 0.3% -0.3% 1.8% 0.9% 0.3% VWIV 20.9% 17.8% 24.6% 20.3% 17.8% Skew 25d 6.0% 4.6% 7.4% 5.2% 5.3% Skew 10d 11.7% 8.9% 14.7% 11.2% 10.5% Call IV 25d 17.4% 15.1% 20.9% 17.2% 15.1% Put IV 25d 23.4% 20.4% 28.1% 22.4% 20.4% Bid-Ask Spread % 2.61 0.93 5.89 1.49 5.89 Gamma HHI 0.06 0.05 0.07 0.06 0.05 Net GEX -1.37B -2.09B -685.3M -1.55B -895.7M Net DEX 11.94B 8.7M 25.78B 15.81B 3.33B Net VEX -151.5M -159.3M -142.7M -145.8M -153.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.60 1.23 2.36 1.23 1.52 Total Volume 1,460,332.684 826,517 2,879,912 1,254,736 1,050,188 Total OI 13,403,527.211 11,535,089 15,406,430 12,005,915 12,848,125
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 2010-02-01 $109.06 $112.00 19.5% 5.6% 17.4% 15.0% 20.3% 5.2% 0.9% -1.55B 15.81B -145.8M 1.23 1.49 N/A N/A 561,747 692,989 3,462,083 8,543,832 2010-02-02 $110.38 $112.00 18.1% 5.2% 16.9% 11.6% 18.5% 4.6% 1.6% -1.33B 11.10B -148.0M 1.27 1.38 N/A N/A 502,874 636,794 3,645,501 8,679,277 2010-02-03 $109.83 $112.00 17.9% 5.1% 16.8% 11.2% 19.1% 5.1% 1.8% -1.34B 11.62B -148.7M 2.36 1.71 N/A N/A 246,057 580,460 3,729,942 8,719,486 2010-02-04 $106.44 $112.00 24.1% 6.9% 19.8% 26.2% 23.1% 5.8% 0.1% -1.88B 24.39B -151.7M 1.64 1.51 N/A N/A 830,847 1,361,834 3,761,503 8,913,992 2010-02-05 $106.66 $110.00 21.8% 6.7% 19.7% 20.7% 24.6% 7.4% -0.3% -1.94B 25.07B -155.1M 2.27 3.87 N/A N/A 880,543 1,999,369 3,980,852 9,211,078 2010-02-08 $105.89 $110.00 23.0% 6.9% 19.6% 23.6% 24.4% 7.4% -0.2% -2.01B 25.78B -156.6M 1.36 2.89 N/A N/A 583,126 793,448 4,214,355 9,489,469 2010-02-09 $107.22 $110.00 21.8% 6.7% 20.4% 20.8% 24.1% 7.4% -0.3% -1.89B 21.67B -158.4M 1.51 2.13 N/A N/A 711,798 1,077,485 4,293,239 9,577,671 2010-02-10 $107.01 $109.00 20.7% 6.5% 20.3% 18.0% 23.8% 7.1% -0.2% -2.09B 22.96B -159.3M 1.60 2.21 N/A N/A 530,654 846,713 4,429,792 9,754,762 2010-02-11 $108.13 $109.00 21.6% 6.2% 20.4% 20.2% 22.4% 6.6% 0.1% -1.82B 17.55B -159.2M 1.66 2.34 N/A N/A 547,055 905,436 4,479,199 9,838,536 2010-02-12 $108.04 $109.00 21.2% 6.1% 20.3% 19.3% 22.2% 6.8% 0.1% -1.79B 15.96B -157.5M 1.68 2.70 N/A N/A 549,963 922,415 4,619,897 10,026,904 2010-02-16 $109.74 $109.00 19.9% 5.7% 21.1% 16.0% 21.2% 6.5% 0.2% -1.44B 9.07B -150.4M 1.30 2.51 N/A N/A 615,799 799,881 4,675,576 10,122,816 2010-02-17 $110.26 $109.00 19.6% 5.6% 20.6% 15.3% 20.5% 6.1% 0.3% -945.5M 4.86B -150.6M 1.72 2.31 N/A N/A 500,905 862,447 4,862,161 10,178,948 2010-02-18 $110.91 $109.00 17.8% 5.1% 20.6% 11.0% 19.6% 5.7% 0.6% -784.9M 1.93B -142.7M 1.49 1.88 N/A N/A 666,050 991,706 4,883,306 10,213,168 2010-02-19 $111.14 $109.00 17.6% 5.0% 19.4% 10.3% 18.6% 5.1% 0.2% -775.4M 8.7M -142.8M 1.66 1.90 N/A N/A 677,219 1,121,430 5,037,843 10,368,587 2010-02-22 $111.16 $110.00 17.5% 5.0% 17.6% 10.1% 18.0% 5.0% 0.0% -685.3M 1.94B -143.3M 1.23 1.73 N/A N/A 434,847 533,109 3,425,918 8,109,171 2010-02-23 $109.81 $110.00 18.7% 5.3% 18.1% 13.0% 19.7% 5.5% 0.1% -986.0M 5.92B -149.7M 1.26 0.93 N/A N/A 605,809 762,953 3,547,883 8,308,164 2010-02-24 $110.82 $109.00 17.6% 5.1% 18.3% 10.5% 20.3% 5.4% 0.2% -840.4M 3.50B -152.1M 2.00 5.07 N/A N/A 347,485 693,623 3,715,821 8,498,315 2010-02-25 $110.67 $109.00 17.4% 5.0% 18.2% 9.9% 18.4% 5.6% 0.2% -943.1M 4.42B -153.7M 1.66 5.17 N/A N/A 496,503 824,760 3,768,727 8,731,118 2010-02-26 $110.74 $109.00 16.9% 4.9% 17.7% 8.8% 17.8% 5.3% 0.3% -895.7M 3.33B -153.1M 1.52 5.89 N/A N/A 417,342 632,846 3,878,823 8,969,302
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