SPY Options History — July 2010 In July 2010, SPY traded between $102.20 and $111.56. ATM implied volatility averaged 22.4%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.3% (HV 20d: 22.1%). Max pain ranged from $108.00 to $110.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.66.
Notable Days 2010-07-01 : Highest Volume — 3,124,200 contracts2010-07-12 : Largest IV spike — 22.2% change2010-07-06 : Highest IV Rank — 55.8%2010-07-01 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $108.09 $102.20 $111.56 $102.76 $110.27 Max Pain $108.90 $108.00 $110.00 $110.00 $110.00 ATM IV 22.4% 19.0% 28.7% 28.5% 20.9% Expected Move 6.5% 5.5% 8.2% 8.2% 5.8% HV 20d 22.1% 20.0% 24.2% 24.1% 20.0% HV 60d 26.4% 25.3% 27.0% 25.3% 26.2% IV Rank 35.3% 24.2% 55.8% 55.2% 30.3% IV Percentile 66.9% 37.3% 94.4% 94.0% 54.4% Term Structure 1.3% 0.6% 1.9% 0.6% 1.7% VWIV 23.9% 20.9% 29.6% 29.6% 21.0% Skew 25d 6.8% 5.2% 8.9% 7.1% 5.2% Skew 10d 13.4% 10.0% 17.2% 14.1% 11.0% Call IV 25d 19.7% 17.1% 25.8% 25.8% 17.3% Put IV 25d 26.5% 22.5% 33.0% 33.0% 22.5% Bid-Ask Spread % 2.72 1.89 3.49 2.86 2.88 Gamma HHI 0.06 0.04 0.12 0.06 0.05 Net GEX -1.53B -2.96B -760.5M -2.03B -1.23B Net DEX 19.74B 6.17B 45.40B 41.98B 10.73B Net VEX -201.6M -208.4M -197.4M -204.4M -201.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 1.21 2.09 1.97 1.21 Total Volume 1,626,718.286 944,533 3,124,200 3,124,200 1,559,822 Total OI 15,742,602.429 13,517,881 17,638,737 15,465,802 15,774,373
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 2010-07-01 $102.76 $110.00 28.5% 8.2% 24.1% 55.2% 29.6% 7.1% 0.6% -2.03B 41.98B -204.4M 1.97 2.86 N/A N/A 1,052,229 2,071,971 4,728,769 10,737,033 2010-07-02 $102.20 $110.00 24.4% 7.4% 20.9% 41.7% 25.3% 5.9% 1.9% -2.36B 45.40B -200.4M 1.46 2.95 N/A N/A 611,793 896,220 4,962,034 11,251,937 2010-07-06 $102.87 $109.00 28.7% 7.6% 20.8% 55.8% 27.5% 8.9% 1.0% -2.27B 41.43B -197.4M 2.01 3.29 N/A N/A 575,617 1,157,637 4,920,478 11,192,640 2010-07-07 $106.11 $108.00 23.9% 6.9% 23.4% 40.2% 25.9% 8.3% 1.4% -1.95B 27.65B -208.4M 1.69 2.44 N/A N/A 765,642 1,290,537 5,015,636 11,474,617 2010-07-08 $107.16 $108.00 21.9% 6.7% 23.6% 33.4% 24.3% 7.7% 1.2% -1.77B 23.32B -205.5M 1.32 2.72 N/A N/A 714,081 945,636 5,105,223 11,474,697 2010-07-09 $107.96 $108.00 19.0% 6.4% 21.3% 24.2% 24.1% 7.3% 1.3% -1.85B 20.45B -201.2M 1.66 3.49 N/A N/A 489,091 814,306 5,136,456 11,531,263 2010-07-12 $108.03 $108.00 23.3% 6.5% 21.2% 38.0% 24.5% 7.5% 1.2% -1.70B 19.62B -199.6M 1.63 2.62 N/A N/A 402,499 656,001 5,105,821 11,497,907 2010-07-13 $109.66 $108.00 21.8% 6.4% 21.9% 33.2% 24.7% 7.4% 1.0% -1.37B 12.79B -198.9M 1.66 2.75 N/A N/A 692,230 1,145,969 5,133,590 11,590,016 2010-07-14 $109.65 $109.00 20.5% 6.5% 20.3% 28.9% 24.0% 7.4% 0.9% -1.39B 13.33B -202.8M 1.42 2.35 N/A N/A 725,912 1,030,307 5,206,648 11,858,980 2010-07-15 $109.68 $109.00 22.8% 6.5% 20.3% 36.6% 25.1% 7.5% 0.9% -1.65B 14.25B -204.7M 1.93 3.40 N/A N/A 633,556 1,221,620 5,301,132 12,114,167 2010-07-16 $106.66 $109.00 23.8% 6.8% 22.4% 39.7% 24.7% 7.5% 1.5% -2.96B 30.37B -204.1M 2.09 3.35 N/A N/A 886,103 1,850,058 5,353,660 12,285,077 2010-07-19 $107.29 $109.00 23.4% 6.7% 22.6% 38.4% 24.7% 7.2% 1.4% -1.36B 20.67B -197.4M 1.99 2.84 N/A N/A 418,737 835,175 4,099,137 9,418,744 2010-07-20 $108.48 $109.00 22.1% 6.3% 23.0% 34.1% 23.7% 6.5% 1.4% -1.19B 16.12B -199.1M 1.57 2.20 N/A N/A 568,911 892,850 4,199,463 9,672,098 2010-07-21 $107.07 $109.00 23.1% 6.6% 22.8% 37.5% 23.7% 6.7% 1.2% -1.51B 21.70B -201.6M 1.80 2.71 N/A N/A 496,071 892,833 4,348,132 9,975,208 2010-07-22 $109.46 $109.00 22.3% 6.4% 24.2% 34.8% 23.2% 6.4% 1.1% -952.1M 12.77B -205.8M 1.78 3.31 N/A N/A 579,803 1,033,943 4,500,491 10,196,799 2010-07-23 $110.41 $109.00 21.1% 6.0% 23.5% 31.0% 22.0% 6.3% 1.2% -760.5M 8.43B -205.8M 1.33 1.89 N/A N/A 647,242 858,792 4,591,718 10,441,303 2010-07-26 $111.56 $109.00 19.3% 5.5% 23.7% 25.1% 20.9% 5.9% 1.5% -826.8M 6.17B -198.8M 1.50 1.95 N/A N/A 421,413 631,072 4,487,243 10,381,286 2010-07-27 $111.55 $109.00 19.5% 5.6% 23.6% 25.8% 21.0% 5.9% 1.5% -813.2M 6.34B -198.7M 1.55 2.10 N/A N/A 370,990 573,543 4,513,955 10,482,120 2010-07-28 $110.83 $109.00 20.4% 5.9% 20.4% 28.7% 21.7% 5.5% 1.4% -1.09B 9.26B -199.3M 1.72 2.22 N/A N/A 414,971 712,769 4,563,608 10,598,072 2010-07-29 $110.29 $109.00 20.7% 5.9% 20.1% 29.5% 21.0% 5.4% 1.7% -1.20B 11.76B -199.2M 1.58 2.71 N/A N/A 628,424 994,708 4,627,055 10,746,065 2010-07-30 $110.27 $110.00 20.9% 5.8% 20.0% 30.3% 21.0% 5.2% 1.7% -1.23B 10.73B -201.0M 1.21 2.88 N/A N/A 706,258 853,564 4,747,541 11,026,832
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