SPY Options History — March 2010 In March 2010, SPY traded between $111.89 and $117.41. ATM implied volatility averaged 15.0%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.6% (HV 20d: 10.4%). Max pain ranged from $109.00 to $116.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.72.
Notable Days 2010-03-18 : Highest Volume — 4,844,419 contracts2010-03-29 : Largest IV spike — 22.4% change2010-03-30 : Highest IV Rank — 7.9%2010-03-02 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $115.46 $111.89 $117.41 $111.89 $117.00 Max Pain $112.83 $109.00 $116.00 $109.00 $116.00 ATM IV 15.0% 12.8% 16.5% 16.4% 13.7% Expected Move 4.3% 3.9% 4.7% 4.7% 3.9% HV 20d 10.4% 7.9% 17.4% 17.4% 8.2% HV 60d 14.7% 14.2% 15.0% 14.9% 14.2% IV Rank 4.4% 0.0% 7.9% 7.6% 3.4% IV Percentile 5.0% 0.0% 13.9% 7.1% 1.2% Term Structure 1.5% 0.4% 2.3% 0.4% 2.2% VWIV 15.7% 14.1% 18.5% 18.5% 14.2% Skew 25d 3.6% 2.8% 5.0% 5.0% 3.2% Skew 10d 7.1% 4.9% 10.5% 10.5% 6.3% Call IV 25d 13.6% 12.5% 14.8% 14.6% 12.5% Put IV 25d 17.2% 15.3% 19.6% 19.6% 15.7% Bid-Ask Spread % 2.95 1.53 5.87 5.87 1.65 Gamma HHI 0.07 0.04 0.13 0.05 0.09 Net GEX -231.4M -1.63B 1.13B -577.1M -1.49B Net DEX -6.19B -20.28B 2.60B -814.8M 213.7M Net VEX -149.5M -168.6M -135.2M -145.6M -165.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.72 0.22 2.87 1.90 1.68 Total Volume 1,327,079.739 683,720 4,844,419 1,186,346 1,264,332 Total OI 13,817,080.739 10,547,960 16,512,680 13,155,348 13,010,737
Daily Data (23 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 2010-03-01 $111.89 $109.00 16.4% 4.7% 17.4% 7.6% 18.5% 5.0% 0.4% -577.1M -814.8M -145.6M 1.90 5.87 N/A N/A 408,400 777,946 3,956,015 9,199,333 2010-03-02 $112.20 $109.00 16.5% 4.7% 16.7% 7.7% 15.4% 4.4% 0.5% -551.7M -1.72B -148.3M 1.55 5.27 N/A N/A 447,779 693,153 4,042,651 9,449,434 2010-03-03 $112.30 $109.00 16.2% 4.7% 16.2% 7.1% 17.2% 4.3% 0.5% -487.6M -2.07B -148.7M 1.79 5.42 N/A N/A 319,813 572,720 4,183,647 9,639,211 2010-03-04 $112.64 $109.00 15.6% 4.5% 16.0% 5.5% 17.9% 4.4% 0.6% -358.9M -3.58B -148.4M 2.25 5.09 N/A N/A 210,447 473,273 4,237,538 9,690,520 2010-03-05 $114.25 $109.00 14.9% 4.3% 11.2% 3.9% 14.3% 3.6% 0.5% 115.9M -9.62B -142.4M 1.38 3.91 N/A N/A 634,336 877,296 4,260,047 9,838,975 2010-03-08 $114.27 $109.00 15.1% 4.3% 11.2% 4.3% 16.6% 3.3% 0.7% 114.1M -9.56B -141.5M 1.90 3.35 N/A N/A 324,880 616,662 4,338,671 10,031,484 2010-03-09 $114.46 $109.00 15.2% 4.4% 10.5% 4.4% 15.5% 3.0% 0.7% 279.3M -10.80B -137.1M 1.60 3.17 N/A N/A 443,837 709,344 4,350,897 10,111,664 2010-03-10 $114.97 $112.00 15.3% 4.6% 10.0% 4.7% 17.3% 4.1% 1.1% 326.7M -12.09B -141.0M 1.31 2.82 N/A N/A 565,717 738,946 4,425,188 10,381,216 2010-03-11 $115.45 $113.00 16.1% 4.6% 9.8% 6.8% 16.7% 3.8% 1.6% 558.3M -14.11B -141.7M 1.63 1.74 N/A N/A 421,723 686,175 4,568,734 10,640,452 2010-03-12 $115.46 $113.00 15.8% 4.5% 9.6% 6.0% 16.2% 3.8% 1.7% 438.6M -13.47B -145.2M 1.67 2.67 N/A N/A 485,783 813,346 4,606,036 10,832,856 2010-03-15 $115.49 $113.00 15.9% 4.6% 9.5% 6.4% 16.8% 3.9% 1.8% 170.2M -11.45B -145.0M 1.67 3.04 N/A N/A 402,683 674,042 4,664,279 11,087,682 2010-03-16 $116.41 $113.00 15.3% 4.4% 8.6% 4.7% 16.6% 3.7% 1.8% 485.4M -15.10B -144.4M 1.22 2.14 N/A N/A 533,760 648,588 4,724,327 11,317,317 2010-03-17 $117.10 $114.00 14.2% 4.1% 8.6% 2.2% 15.0% 2.8% 1.9% 1.13B -20.28B -135.2M 1.54 2.56 N/A N/A 782,696 1,203,960 4,711,256 11,429,085 2010-03-18 $117.04 $114.00 14.0% 4.0% 8.6% 1.5% 14.7% 3.0% 1.9% 883.4M -18.03B -140.3M 0.22 2.46 N/A N/A 3,970,335 874,084 4,690,810 11,821,870 2010-03-19 $115.97 $115.00 14.6% 4.2% 9.6% 3.0% 15.3% 3.8% 2.0% -1.63B 2.60B -150.6M 2.32 2.78 N/A N/A 428,306 993,931 3,326,551 12,174,901 2010-03-22 $116.59 $115.00 13.7% 3.9% 9.6% 0.9% 14.8% 3.3% 2.3% -582.0M -436.7M -147.8M 2.87 1.76 N/A N/A 274,842 788,802 2,799,166 7,748,794 2010-03-23 $117.41 $115.00 13.7% 3.9% 8.0% 0.8% 14.1% 2.8% 2.1% -462.3M -2.59B -150.2M 1.57 2.39 N/A N/A 435,364 681,469 2,889,225 8,129,305 2010-03-24 $116.84 $115.00 14.3% 4.1% 8.2% 2.3% 15.0% 3.1% 2.1% -626.9M -330.9M -159.6M 1.49 1.99 N/A N/A 403,773 599,610 3,039,451 8,407,205 2010-03-25 $116.65 $116.00 15.1% 4.3% 8.3% 4.2% 15.6% 3.5% 1.6% -761.6M 1.02B -163.9M 1.66 2.36 N/A N/A 524,298 868,250 3,151,312 8,574,018 2010-03-26 $116.58 $116.00 12.8% 4.0% 8.3% 0.0% 15.0% 3.5% 2.3% -803.2M 1.48B -168.6M 2.34 1.84 N/A N/A 338,514 791,096 3,299,984 8,863,063 2010-03-29 $117.32 $116.00 15.7% 4.0% 7.9% 6.9% 14.7% 3.1% 2.0% -779.9M -635.4M -163.9M 1.99 1.53 N/A N/A 285,490 568,233 3,333,842 9,125,183 2010-03-30 $117.40 $116.00 16.1% 4.0% 7.9% 7.9% 14.5% 3.1% 2.0% -716.1M -1.04B -163.9M 1.94 1.94 N/A N/A 327,753 637,047 3,403,613 9,285,312 2010-03-31 $117.00 $116.00 13.7% 3.9% 8.2% 3.4% 14.2% 3.2% 2.2% -1.49B 213.7M -165.7M 1.68 1.65 N/A N/A 471,401 792,931 3,500,392 9,510,345
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