SPY Options History — April 2010 In April 2010, SPY traded between $117.80 and $121.81. ATM implied volatility averaged 14.0%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.3% (HV 20d: 9.8%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.86.
Notable Days 2010-04-16 : Highest Volume — 3,145,533 contracts2010-04-27 : Largest IV spike — 30.9% change2010-04-27 : Highest IV Rank — 33.0%2010-04-27 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $119.85 $117.80 $121.81 $117.80 $118.81 Max Pain $118.76 $116.00 $120.00 $116.00 $120.00 ATM IV 14.0% 11.6% 19.3% 13.5% 18.3% Expected Move 4.2% 3.7% 5.5% 3.9% 5.3% HV 20d 9.8% 7.4% 15.4% 8.4% 15.4% HV 60d 13.6% 12.5% 14.4% 14.3% 13.5% IV Rank 9.3% 0.0% 33.0% 2.7% 31.4% IV Percentile 7.9% 0.0% 37.3% 0.8% 31.3% Term Structure 1.5% 0.1% 2.2% 2.1% 1.0% VWIV 15.6% 13.8% 19.4% 14.1% 19.4% Skew 25d 4.4% 3.1% 6.3% 3.1% 6.1% Skew 10d 9.0% 5.9% 14.0% 5.9% 14.0% Call IV 25d 13.0% 11.3% 16.4% 12.5% 15.8% Put IV 25d 17.4% 15.5% 22.8% 15.6% 21.9% Bid-Ask Spread % 2.55 1.44 3.68 1.94 3.10 Gamma HHI 0.06 0.05 0.09 0.05 0.05 Net GEX -672.0M -2.02B 684.5M -526.0M -2.02B Net DEX -2.26B -13.39B 12.21B -1.31B 11.40B Net VEX -178.5M -219.4M -158.6M -167.4M -219.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.86 1.28 3.07 1.36 2.24 Total Volume 1,396,617.619 871,004 3,145,533 1,245,334 1,893,770 Total OI 13,691,724.143 12,138,070 15,139,598 12,337,605 15,112,211
Daily Data (21 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 2010-04-01 $117.80 $116.00 13.5% 3.9% 8.4% 2.7% 14.1% 3.1% 2.1% -526.0M -1.31B -167.4M 1.36 1.94 N/A N/A 528,726 716,608 3,396,374 8,941,231 2010-04-05 $118.76 $117.00 13.0% 4.3% 7.4% 0.7% 15.6% 4.2% 1.5% -77.4M -5.47B -160.1M 1.59 2.47 N/A N/A 392,017 623,738 3,552,318 9,162,180 2010-04-06 $119.04 $117.00 12.5% 4.1% 7.4% 0.0% 15.2% 4.1% 1.5% 90.5M -6.71B -159.6M 1.78 2.39 N/A N/A 313,623 557,381 3,674,937 9,315,574 2010-04-07 $118.36 $117.00 13.3% 4.3% 7.9% 3.5% 15.5% 4.2% 1.4% -307.3M -3.36B -162.7M 2.00 2.17 N/A N/A 390,817 782,673 3,703,722 9,393,181 2010-04-08 $118.77 $117.00 12.0% 4.1% 7.9% 0.0% 15.3% 4.2% 1.6% 54.1M -5.73B -158.6M 1.68 2.57 N/A N/A 430,936 723,433 3,703,722 9,393,181 2010-04-09 $119.55 $118.00 11.9% 4.0% 8.0% 0.0% 15.4% 4.1% 1.4% 133.5M -8.01B -163.9M 2.05 3.22 N/A N/A 349,146 716,392 3,812,654 9,830,290 2010-04-12 $119.74 $118.00 13.4% 4.1% 8.0% 5.9% 15.6% 4.3% 1.3% -89.9M -7.02B -161.4M 1.84 2.16 N/A N/A 335,823 617,230 3,837,057 10,026,695 2010-04-13 $119.83 $118.00 13.0% 4.1% 8.0% 4.4% 15.8% 4.4% 1.3% -167.4M -7.23B -162.7M 3.07 2.76 N/A N/A 335,835 1,030,979 3,882,269 10,275,433 2010-04-14 $121.19 $118.00 11.6% 4.0% 8.4% 0.0% 15.1% 4.2% 1.5% 460.3M -13.07B -161.3M 1.28 1.83 N/A N/A 827,341 1,063,042 3,931,022 10,573,420 2010-04-15 $121.29 $119.00 14.0% 4.0% 8.3% 9.6% 14.8% 4.0% 1.6% 684.5M -13.39B -167.0M 1.46 2.91 N/A N/A 533,216 779,166 4,125,340 10,785,816 2010-04-16 $119.36 $119.00 15.4% 4.4% 10.4% 15.3% 16.2% 4.9% 1.3% -806.1M -1.35B -180.9M 2.06 3.53 N/A N/A 1,029,547 2,115,986 4,157,270 10,982,328 2010-04-19 $119.81 $120.00 14.0% 4.0% 9.7% 9.7% 15.0% 5.0% 1.8% -1.13B 1.83B -181.8M 1.56 2.37 N/A N/A 547,640 851,721 3,276,714 8,861,356 2010-04-20 $120.88 $120.00 12.8% 3.7% 10.0% 4.9% 14.3% 4.2% 2.2% -841.1M -2.24B -178.5M 2.07 2.40 N/A N/A 372,831 770,640 3,458,389 9,152,801 2010-04-21 $120.66 $120.00 13.0% 3.7% 9.9% 6.0% 13.8% 3.7% 2.1% -1.17B -78.1M -181.5M 2.22 2.18 N/A N/A 378,653 841,133 3,428,427 9,369,402 2010-04-22 $121.02 $120.00 13.4% 3.8% 9.6% 7.4% 14.3% 3.5% 1.9% -1.43B -753.3M -183.8M 1.42 2.54 N/A N/A 589,987 837,870 3,523,688 9,719,883 2010-04-23 $121.81 $120.00 13.4% 3.9% 9.6% 7.8% 14.8% 3.6% 2.0% -851.8M -3.88B -187.3M 1.62 2.23 N/A N/A 483,680 782,588 3,699,571 9,970,565 2010-04-26 $121.35 $120.00 14.8% 4.2% 9.8% 13.4% 15.0% 3.5% 1.3% -1.18B -1.85B -188.2M 1.45 1.44 N/A N/A 359,087 522,188 3,774,722 10,224,681 2010-04-27 $118.48 $120.00 19.3% 5.5% 13.3% 33.0% 19.1% 6.3% 0.1% -1.89B 12.21B -211.0M 1.99 3.68 N/A N/A 604,334 1,204,452 3,826,036 10,346,946 2010-04-28 $119.38 $120.00 17.3% 5.0% 13.5% 25.3% 17.9% 5.8% 1.1% -1.77B 8.09B -208.8M 1.78 3.38 N/A N/A 641,798 1,144,555 3,946,313 10,535,333 2010-04-29 $120.86 $120.00 14.6% 4.2% 14.0% 14.1% 15.8% 4.8% 1.8% -1.28B 350.7M -202.0M 2.44 2.22 N/A N/A 379,965 928,423 4,063,060 10,780,095 2010-04-30 $118.81 $120.00 18.3% 5.3% 15.4% 31.4% 19.4% 6.1% 1.0% -2.02B 11.40B -219.4M 2.24 3.10 N/A N/A 584,054 1,309,716 4,124,884 10,987,327
« Mar 2010 | All History | May 2010 » Home SPY History April 2010