SPY Options History — June 2010 In June 2010, SPY traded between $103.22 and $112.14. ATM implied volatility averaged 27.1%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 1.9% (HV 20d: 29.0%). Max pain ranged from $111.00 to $116.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.63.
Notable Days 2010-06-17 : Highest Volume — 5,382,753 contracts2010-06-29 : Largest IV spike — 53.7% change2010-06-29 : Highest IV Rank — 100.0%2010-06-07 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $108.64 $103.22 $112.14 $107.53 $103.22 Max Pain $112.86 $111.00 $116.00 $116.00 $111.00 ATM IV 27.1% 19.9% 42.2% 30.2% 41.7% Expected Move 7.4% 5.7% 9.4% 8.7% 9.0% HV 20d 29.0% 24.2% 33.0% 31.6% 24.2% HV 60d 23.8% 21.2% 25.3% 21.2% 25.3% IV Rank 58.1% 31.7% 100.0% 71.5% 98.3% IV Percentile 83.4% 43.7% 100.0% 98.4% 99.6% Term Structure -0.0% -1.7% 1.3% -1.4% -1.1% VWIV 26.9% 21.2% 32.8% 32.8% 30.5% Skew 25d 8.8% 6.9% 11.4% 11.1% 9.2% Skew 10d 17.5% 13.3% 23.2% 20.5% 16.5% Call IV 25d 22.1% 17.3% 28.3% 26.2% 27.3% Put IV 25d 30.9% 24.6% 39.2% 37.2% 36.5% Bid-Ask Spread % 4.45 2.06 9.35 8.50 3.41 Gamma HHI 0.06 0.04 0.07 0.05 0.07 Net GEX -1.92B -2.35B -1.19B -1.95B -2.30B Net DEX 30.89B 14.74B 48.69B 39.27B 45.72B Net VEX -215.9M -229.2M -205.7M -223.9M -207.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.29 2.59 1.34 1.35 Total Volume 1,899,929.545 930,811 5,382,753 1,331,363 1,735,429 Total OI 17,597,556.273 14,118,696 20,164,927 17,123,456 16,544,483
Daily Data (22 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 2010-06-01 $107.53 $116.00 30.2% 8.7% 31.6% 71.5% 32.8% 11.1% -1.4% -1.95B 39.27B -223.9M 1.34 8.50 N/A N/A 569,197 762,166 5,206,029 11,917,427 2010-06-02 $110.33 $116.00 25.6% 7.4% 32.7% 53.9% 28.2% 9.0% -0.7% -1.87B 28.71B -222.4M 1.84 7.30 N/A N/A 496,836 916,554 5,252,697 12,014,175 2010-06-03 $110.71 $116.00 24.9% 7.1% 32.8% 51.2% 28.4% 9.1% -0.6% -1.76B 26.54B -226.7M 2.59 6.66 N/A N/A 537,219 1,391,934 5,347,075 12,204,852 2010-06-04 $106.82 $115.00 30.4% 8.7% 33.0% 72.3% 31.4% 11.4% -1.2% -2.07B 42.51B -229.2M 1.72 9.35 N/A N/A 775,486 1,332,998 5,453,620 12,502,129 2010-06-07 $105.49 $115.00 32.7% 9.4% 32.9% 81.1% 31.9% 11.0% -1.4% -2.34B 48.69B -217.8M 1.53 7.32 N/A N/A 797,457 1,217,728 5,633,624 12,717,439 2010-06-08 $106.62 $115.00 32.8% 8.3% 28.7% 81.3% 28.8% 9.3% -1.0% -2.35B 44.51B -219.4M 1.74 5.76 N/A N/A 854,225 1,485,503 5,818,849 12,877,098 2010-06-09 $106.05 $112.00 31.1% 8.2% 28.7% 75.0% 29.7% 10.4% -0.2% -2.35B 46.24B -221.5M 1.96 5.25 N/A N/A 500,629 982,998 5,989,019 13,195,191 2010-06-10 $109.15 $112.00 25.7% 7.4% 30.4% 54.0% 28.1% 9.0% 0.4% -1.86B 31.37B -220.2M 1.87 3.76 N/A N/A 701,955 1,314,180 6,010,035 13,115,321 2010-06-11 $109.68 $112.00 23.6% 6.8% 30.3% 46.1% 26.2% 8.3% 0.8% -2.13B 29.24B -216.9M 1.70 4.35 N/A N/A 600,766 1,021,122 6,060,069 13,383,073 2010-06-14 $109.51 $112.00 24.2% 6.9% 29.8% 48.4% 25.4% 8.6% 0.7% -1.91B 29.80B -215.2M 1.80 4.03 N/A N/A 517,185 929,548 6,135,471 13,313,689 2010-06-15 $112.00 $112.00 21.7% 6.2% 31.0% 38.9% 24.7% 7.3% 0.8% -1.19B 16.05B -205.7M 1.73 3.17 N/A N/A 765,586 1,324,544 6,136,111 13,332,373 2010-06-16 $111.96 $112.00 21.9% 6.3% 30.6% 39.7% 24.6% 7.2% 0.8% -1.43B 17.63B -210.6M 1.82 2.77 N/A N/A 657,454 1,197,547 6,177,936 13,775,289 2010-06-17 $112.14 $112.00 20.9% 6.0% 30.6% 35.7% 22.2% 6.9% 1.0% -1.34B 16.18B -208.3M 0.29 4.04 N/A N/A 4,173,921 1,208,832 6,252,535 13,912,392 2010-06-18 $111.73 $112.00 19.9% 5.7% 27.0% 31.7% 21.6% 7.3% 1.3% -1.87B 24.40B -210.6M 1.44 4.26 N/A N/A 558,242 804,418 5,790,196 13,936,671 2010-06-21 $111.41 $112.00 21.5% 6.2% 26.6% 38.1% 21.2% 7.2% 0.8% -1.41B 14.74B -207.1M 1.30 2.36 N/A N/A 601,027 782,129 4,028,369 10,090,327 2010-06-22 $109.57 $112.00 23.1% 6.6% 26.9% 44.1% 24.1% 7.8% 0.3% -1.71B 22.36B -211.7M 1.90 2.42 N/A N/A 564,483 1,075,126 4,244,546 10,311,851 2010-06-23 $109.23 $112.00 23.4% 6.7% 27.0% 45.3% 23.8% 7.5% 0.5% -1.86B 23.96B -215.2M 1.64 2.45 N/A N/A 559,717 916,991 4,437,017 10,696,175 2010-06-24 $107.42 $112.00 26.4% 7.6% 27.6% 56.7% 26.0% 8.6% 0.0% -1.91B 30.11B -217.4M 1.82 2.26 N/A N/A 546,507 996,301 4,608,001 10,768,109 2010-06-25 $107.87 $112.00 25.4% 6.9% 24.8% 53.1% 25.0% 8.6% 0.8% -2.18B 28.97B -218.0M 1.60 3.59 N/A N/A 676,128 1,084,603 4,734,196 11,068,077 2010-06-28 $107.53 $112.00 27.5% 6.9% 24.4% 61.0% 25.0% 8.2% 0.6% -2.10B 30.18B -216.7M 1.04 2.72 N/A N/A 455,735 475,076 4,779,837 11,279,404 2010-06-29 $104.21 $111.00 42.2% 9.0% 26.2% 100.0% 31.1% 10.5% -1.7% -2.23B 42.46B -208.4M 1.82 2.06 N/A N/A 1,041,878 1,891,090 4,886,939 11,208,522 2010-06-30 $103.22 $111.00 41.7% 9.0% 24.2% 98.3% 30.5% 9.2% -1.1% -2.30B 45.72B -207.2M 1.35 3.41 N/A N/A 738,761 996,668 5,056,236 11,488,247
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