SPY Options History — May 2010

In May 2010, SPY traded between $107.17 and $120.35. ATM implied volatility averaged 26.9%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.4% (HV 20d: 26.5%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.99.

Notable Days

2010-05-20: Highest Volume — 5,436,161 contracts
2010-05-07: Largest IV spike — 35.8% change
2010-05-07: Highest IV Rank — 100.0%
2010-05-20: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.79	$107.17	$120.35	$120.35	$109.37
Max Pain	$117.20	$115.00	$120.00	$120.00	$116.00
ATM IV	26.9%	16.5%	37.6%	16.5%	27.1%
Expected Move	7.6%	4.7%	10.8%	4.7%	7.8%
HV 20d	26.5%	15.8%	32.2%	15.8%	32.0%
HV 60d	17.5%	11.9%	21.1%	11.9%	21.1%
IV Rank	60.2%	22.6%	100.0%	22.6%	59.6%
IV Percentile	83.1%	23.0%	100.0%	23.0%	94.8%
Term Structure	-0.4%	-1.5%	1.4%	1.4%	-0.7%
VWIV	28.6%	18.1%	38.7%	18.1%	30.5%
Skew 25d	10.9%	5.3%	17.8%	5.3%	10.1%
Skew 10d	22.3%	12.0%	33.8%	12.0%	23.2%
Call IV 25d	22.3%	14.1%	30.7%	14.1%	22.9%
Put IV 25d	33.2%	19.4%	48.5%	19.4%	33.0%
Bid-Ask Spread %	5.07	2.30	10.29	2.30	8.34
Gamma HHI	0.06	0.04	0.13	0.05	0.05
Net GEX	-2.53B	-3.28B	-1.63B	-1.69B	-1.84B
Net DEX	34.56B	4.57B	64.16B	4.57B	32.31B
Net VEX	-227.8M	-243.6M	-206.1M	-206.1M	-229.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	1.33	2.88	1.91	2.08
Total Volume	2,776,519.5	1,175,108	5,436,161	1,175,108	1,652,302
Total OI	17,228,590.9	14,883,662	20,312,156	15,289,023	16,771,960

Daily Data (20 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
2010-05-03	$120.35	$120.00	16.5%	4.7%	15.8%	22.6%	18.1%	5.3%	1.4%	-1.69B	4.57B	-206.1M	1.91	2.30	N/A	N/A	403,832	771,276	4,197,158	11,091,865
2010-05-04	$117.52	$120.00	19.7%	5.6%	18.0%	37.7%	21.1%	7.4%	0.3%	-2.51B	18.55B	-218.6M	2.37	2.90	N/A	N/A	904,796	2,144,381	4,232,867	11,249,750
2010-05-05	$116.82	$120.00	21.1%	6.0%	18.0%	44.3%	21.8%	8.1%	0.2%	-2.77B	23.85B	-225.6M	2.12	3.62	N/A	N/A	858,897	1,817,823	4,348,774	11,715,249
2010-05-06	$112.94	$120.00	27.7%	7.9%	21.4%	75.1%	28.1%	10.8%	-1.5%	-2.93B	43.25B	-229.4M	2.88	7.42	N/A	N/A	1,238,186	3,568,686	4,464,311	11,952,177
2010-05-07	$111.26	$118.00	37.6%	9.4%	21.5%	100.0%	33.8%	15.0%	-1.2%	-2.76B	50.40B	-243.6M	2.16	6.35	N/A	N/A	1,560,616	3,373,986	4,659,419	12,652,415
2010-05-10	$116.16	$117.00	25.0%	6.9%	27.2%	51.6%	26.0%	9.7%	-0.2%	-2.78B	25.27B	-239.7M	1.71	5.03	N/A	N/A	1,006,413	1,718,210	4,949,777	12,680,265
2010-05-11	$115.83	$117.00	23.9%	6.9%	27.2%	47.2%	26.1%	8.7%	-0.3%	-2.72B	25.70B	-238.9M	1.91	3.60	N/A	N/A	684,086	1,307,462	5,151,126	12,532,781
2010-05-12	$117.45	$117.00	21.2%	6.4%	27.3%	37.0%	23.6%	8.3%	-0.3%	-2.44B	15.66B	-233.9M	1.92	3.48	N/A	N/A	626,948	1,202,591	5,246,068	12,581,935
2010-05-13	$115.99	$117.00	23.0%	6.6%	27.6%	43.9%	23.1%	8.6%	-0.2%	-2.85B	23.61B	-233.2M	1.57	2.79	N/A	N/A	651,139	1,023,584	5,256,892	12,604,455
2010-05-14	$113.89	$117.00	25.7%	7.4%	27.8%	54.3%	27.6%	10.7%	-0.1%	-3.02B	36.00B	-234.8M	1.95	3.51	N/A	N/A	1,085,485	2,112,844	5,421,859	12,597,039
2010-05-17	$113.95	$117.00	25.4%	7.3%	27.7%	52.9%	26.6%	10.5%	-0.2%	-3.18B	36.17B	-224.3M	1.33	2.66	N/A	N/A	889,200	1,186,200	5,569,949	12,710,755
2010-05-18	$112.40	$117.00	28.4%	8.1%	27.6%	64.7%	29.0%	11.7%	-0.4%	-3.01B	43.59B	-226.2M	1.71	4.27	N/A	N/A	938,947	1,604,421	5,677,488	12,847,995
2010-05-19	$111.76	$117.00	28.9%	8.3%	27.6%	66.7%	32.0%	12.3%	-0.6%	-3.28B	48.07B	-228.3M	2.53	3.20	N/A	N/A	826,275	2,087,186	5,855,487	13,103,802
2010-05-20	$107.54	$116.00	37.6%	10.8%	30.1%	100.0%	38.7%	17.8%	-1.5%	-2.86B	64.16B	-225.2M	2.00	8.18	N/A	N/A	1,812,475	3,623,686	5,980,647	13,362,118
2010-05-21	$109.11	$116.00	33.0%	9.5%	30.6%	82.3%	34.9%	15.2%	-0.6%	-2.99B	58.11B	-228.3M	2.12	7.77	N/A	N/A	1,350,203	2,868,573	6,430,521	13,881,635
2010-05-24	$107.71	$115.00	31.7%	9.2%	30.7%	77.1%	33.2%	14.6%	-0.7%	-1.63B	37.47B	-220.7M	1.43	3.85	N/A	N/A	675,494	966,567	4,507,995	10,375,667
2010-05-25	$107.82	$115.00	29.1%	8.4%	30.1%	67.1%	32.2%	11.8%	-0.4%	-1.74B	37.74B	-222.7M	2.20	2.92	N/A	N/A	894,352	1,969,839	4,727,528	10,771,249
2010-05-26	$107.17	$116.00	29.9%	8.5%	29.7%	70.2%	33.9%	11.5%	-0.7%	-1.89B	40.12B	-219.6M	2.35	10.29	N/A	N/A	673,612	1,585,871	4,861,674	11,155,890
2010-05-27	$110.76	$116.00	24.7%	7.0%	32.2%	50.3%	32.1%	9.6%	-0.5%	-1.71B	26.63B	-227.7M	1.62	9.00	N/A	N/A	712,318	1,151,628	4,986,466	11,406,810
2010-05-28	$109.37	$116.00	27.1%	7.8%	32.0%	59.6%	30.5%	10.1%	-0.7%	-1.84B	32.31B	-229.7M	2.08	8.34	N/A	N/A	535,906	1,116,396	5,103,772	11,668,188