SPY Options History — August 2010 In August 2010, SPY traded between $105.23 and $112.99. ATM implied volatility averaged 22.4%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.3% (HV 20d: 18.1%). Max pain ranged from $109.00 to $112.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.67.
Notable Days 2010-08-19 : Highest Volume — 2,335,992 contracts2010-08-10 : Largest IV spike — 18.9% change2010-08-26 : Highest IV Rank — 42.7%2010-08-26 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $109.05 $105.23 $112.99 $112.76 $105.31 Max Pain $110.95 $109.00 $112.00 $109.00 $110.00 ATM IV 22.4% 17.3% 24.7% 21.1% 24.5% Expected Move 6.3% 5.2% 7.0% 5.2% 7.0% HV 20d 18.1% 16.0% 21.0% 20.7% 16.1% HV 60d 22.8% 19.8% 25.7% 25.7% 19.8% IV Rank 35.1% 18.7% 42.7% 31.1% 42.1% IV Percentile 70.3% 25.8% 86.1% 59.1% 85.7% Term Structure 0.6% -0.1% 1.6% 1.5% 0.0% VWIV 23.2% 19.5% 27.8% 19.8% 23.9% Skew 25d 6.5% 4.8% 7.7% 4.9% 7.1% Skew 10d 13.1% 8.8% 16.8% 9.7% 12.7% Call IV 25d 19.2% 16.1% 21.7% 16.1% 20.8% Put IV 25d 25.8% 21.0% 28.7% 21.0% 27.9% Bid-Ask Spread % 2.99 1.78 6.31 2.06 5.68 Gamma HHI 0.06 0.04 0.09 0.04 0.07 Net GEX -1.75B -2.80B -556.5M -593.6M -2.18B Net DEX 18.16B 394.7M 32.52B 668.9M 29.93B Net VEX -188.3M -196.1M -177.8M -189.0M -187.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 1.13 2.41 1.86 1.16 Total Volume 1,635,460.955 888,194 2,335,992 1,262,313 1,625,298 Total OI 16,619,480.591 14,423,988 18,469,064 15,630,829 16,545,853
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 2010-08-02 $112.76 $109.00 21.1% 5.2% 20.7% 31.1% 19.8% 4.9% 1.5% -593.6M 668.9M -189.0M 1.86 2.06 N/A N/A 441,650 820,663 4,741,672 10,889,157 2010-08-03 $112.22 $110.00 21.7% 5.4% 21.0% 33.1% 19.9% 4.9% 1.6% -857.5M 3.44B -193.7M 1.91 1.91 N/A N/A 403,558 769,414 4,779,865 11,196,037 2010-08-04 $112.97 $110.00 21.6% 5.2% 18.5% 32.6% 19.5% 4.8% 1.6% -556.5M 394.7M -191.7M 1.55 2.08 N/A N/A 367,862 571,705 4,880,150 11,386,290 2010-08-05 $112.85 $110.00 19.3% 5.3% 18.4% 25.2% 19.5% 4.8% 1.3% -738.8M 1.61B -193.2M 1.73 1.78 N/A N/A 396,241 684,366 4,906,330 11,486,907 2010-08-06 $112.39 $112.00 17.3% 5.8% 18.5% 18.7% 21.3% 6.3% 0.5% -989.8M 3.18B -192.6M 2.06 2.82 N/A N/A 709,582 1,463,378 4,999,987 11,627,028 2010-08-09 $112.99 $112.00 18.7% 5.7% 18.5% 23.0% 21.5% 6.1% 0.5% -674.2M 986.4M -189.4M 1.28 2.19 N/A N/A 389,747 498,447 4,977,752 11,671,724 2010-08-10 $112.38 $112.00 22.2% 5.8% 18.0% 34.6% 21.5% 6.2% 0.7% -925.3M 3.77B -190.1M 1.58 3.54 N/A N/A 552,277 873,875 5,063,010 11,766,828 2010-08-11 $109.30 $112.00 22.9% 6.6% 20.8% 36.7% 23.8% 6.9% 0.3% -2.31B 20.71B -192.5M 2.02 2.19 N/A N/A 756,093 1,527,010 5,144,228 11,934,843 2010-08-12 $108.63 $112.00 23.3% 6.7% 20.9% 38.1% 24.4% 7.2% 0.2% -2.37B 24.13B -195.4M 1.50 2.13 N/A N/A 737,081 1,106,269 5,297,166 12,143,261 2010-08-13 $108.31 $112.00 24.3% 7.0% 18.3% 41.4% 25.4% 7.7% 0.1% -2.31B 25.12B -196.1M 1.94 3.49 N/A N/A 509,036 989,666 5,373,232 12,251,627 2010-08-16 $108.26 $112.00 23.8% 6.8% 18.2% 39.9% 25.2% 7.3% 0.5% -2.29B 23.83B -189.7M 2.41 2.25 N/A N/A 399,185 961,631 5,278,282 12,159,890 2010-08-17 $109.59 $112.00 21.5% 6.2% 18.2% 32.2% 23.5% 6.6% 0.9% -1.91B 16.96B -187.5M 1.78 1.96 N/A N/A 644,473 1,144,570 5,326,579 12,370,866 2010-08-18 $109.79 $111.00 21.2% 6.1% 17.5% 31.4% 22.8% 6.0% 0.7% -2.13B 15.55B -177.8M 1.60 2.53 N/A N/A 525,971 839,968 5,410,943 12,586,113 2010-08-19 $107.88 $111.00 23.4% 6.7% 16.9% 38.6% 24.7% 7.0% 0.2% -2.80B 27.48B -187.1M 1.73 2.80 N/A N/A 856,778 1,479,214 5,470,280 12,712,569 2010-08-20 $107.53 $111.00 22.4% 6.4% 16.6% 35.2% 24.0% 7.2% 0.7% -2.69B 28.79B -187.0M 1.79 1.95 N/A N/A 747,722 1,337,312 5,599,746 12,869,318 2010-08-23 $107.12 $110.00 22.9% 6.6% 16.0% 36.8% 23.5% 7.3% 0.5% -1.88B 24.34B -181.2M 1.51 1.86 N/A N/A 537,264 809,959 4,274,148 10,149,840 2010-08-24 $105.53 $110.00 24.3% 7.0% 16.6% 41.6% 25.3% 7.2% -0.1% -2.14B 30.81B -183.4M 1.97 2.27 N/A N/A 774,297 1,524,798 4,453,758 10,441,699 2010-08-25 $105.94 $110.00 24.3% 7.0% 16.7% 41.3% 25.3% 7.3% 0.1% -2.08B 29.26B -185.9M 1.53 2.67 N/A N/A 759,632 1,162,256 4,674,372 10,724,521 2010-08-26 $105.23 $111.00 24.7% 7.0% 16.8% 42.7% 27.8% 7.0% 0.6% -2.40B 32.52B -184.8M 1.55 6.31 N/A N/A 670,199 1,039,973 4,856,028 10,916,210 2010-08-27 $106.86 $111.00 22.3% 6.4% 17.9% 35.0% 22.0% 6.9% 0.5% -1.15B 24.34B -186.8M 1.25 5.78 N/A N/A 1,031,699 1,287,900 5,043,141 11,129,782 2010-08-30 $105.31 $111.00 24.4% 7.0% 16.1% 41.7% 26.2% 6.9% 0.3% -2.45B 31.66B -179.7M 1.13 5.47 N/A N/A 587,596 664,526 4,989,705 11,127,836 2010-08-31 $105.31 $110.00 24.5% 7.0% 16.1% 42.1% 23.9% 7.1% 0.0% -2.18B 29.93B -187.6M 1.16 5.68 N/A N/A 752,060 873,238 5,199,961 11,345,892
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