SPY Options History — September 2010 In September 2010, SPY traded between $108.46 and $114.82. ATM implied volatility averaged 19.2%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.2% (HV 20d: 18.0%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.87.
Notable Days 2010-09-16 : Highest Volume — 7,720,831 contracts2010-09-27 : Largest IV spike — 19.1% change2010-09-01 : Highest IV Rank — 33.4%2010-09-01 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $112.46 $108.46 $114.82 $108.46 $114.13 Max Pain $111.48 $110.00 $113.00 $111.00 $113.00 ATM IV 19.2% 17.4% 21.8% 21.8% 19.2% Expected Move 5.5% 5.0% 6.3% 6.3% 5.5% HV 20d 18.0% 13.1% 21.0% 19.6% 13.1% HV 60d 19.3% 17.4% 20.6% 20.6% 17.4% IV Rank 24.9% 18.9% 33.4% 33.4% 24.6% IV Percentile 42.5% 26.6% 68.3% 68.3% 43.3% Term Structure 1.6% 0.5% 2.3% 0.5% 2.3% VWIV 20.6% 19.4% 24.7% 24.7% 19.5% Skew 25d 5.6% 4.7% 6.4% 6.4% 4.9% Skew 10d 10.9% 8.6% 14.9% 11.6% 9.9% Call IV 25d 16.7% 15.5% 18.8% 18.8% 17.1% Put IV 25d 22.3% 20.8% 25.2% 25.2% 21.9% Bid-Ask Spread % 2.90 1.63 6.66 6.66 2.56 Gamma HHI 0.06 0.04 0.13 0.06 0.05 Net GEX -945.6M -1.55B -37.6M -1.32B -1.55B Net DEX 3.89B -3.17B 15.19B 15.19B 4.09B Net VEX -175.0M -186.7M -159.3M -186.7M -186.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.87 0.21 2.57 1.81 1.38 Total Volume 1,911,143.333 1,084,478 7,720,831 1,911,266 2,564,698 Total OI 16,791,580.048 13,712,905 19,030,326 16,904,948 16,491,319
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 2010-09-01 $108.46 $111.00 21.8% 6.3% 19.6% 33.4% 24.7% 6.4% 0.5% -1.32B 15.19B -186.7M 1.81 6.66 N/A N/A 680,383 1,230,883 5,367,986 11,536,962 2010-09-02 $109.47 $111.00 20.5% 5.9% 20.0% 29.1% 23.1% 5.5% 0.6% -1.17B 10.22B -181.8M 1.82 5.22 N/A N/A 582,820 1,059,247 5,491,288 11,745,964 2010-09-03 $110.89 $111.00 17.7% 5.1% 20.6% 19.9% 20.5% 4.7% 1.5% -37.6M 2.38B -173.8M 1.29 4.24 N/A N/A 931,957 1,203,278 5,540,822 11,935,769 2010-09-07 $109.64 $111.00 19.6% 5.6% 20.8% 26.2% 20.4% 5.4% 1.1% -1.53B 11.96B -173.8M 2.57 4.49 N/A N/A 399,989 1,029,351 5,387,785 11,690,597 2010-09-08 $110.41 $111.00 19.4% 5.6% 21.0% 25.3% 21.2% 5.4% 1.3% -1.34B 8.55B -173.8M 2.53 3.62 N/A N/A 307,455 777,023 5,437,349 12,066,697 2010-09-09 $110.92 $110.00 19.6% 5.6% 18.5% 26.2% 21.0% 6.1% 1.7% -1.46B 5.88B -168.7M 1.93 2.88 N/A N/A 452,527 875,200 5,464,373 12,382,152 2010-09-10 $111.48 $110.00 19.3% 5.5% 18.4% 25.1% 21.1% 6.2% 1.9% -777.0M 3.45B -171.2M 2.57 2.84 N/A N/A 365,709 939,325 5,527,839 12,612,975 2010-09-13 $112.72 $110.00 17.8% 5.1% 18.6% 20.3% 19.4% 5.4% 2.0% -534.9M -3.17B -159.3M 1.46 2.41 N/A N/A 609,216 887,923 5,441,138 12,746,476 2010-09-14 $112.65 $110.00 18.2% 5.2% 18.6% 21.4% 20.7% 5.4% 1.7% -525.5M -2.26B -159.3M 2.11 2.30 N/A N/A 410,697 866,929 5,511,155 12,839,751 2010-09-15 $113.08 $111.00 18.7% 5.4% 18.2% 23.2% 20.3% 5.9% 1.6% -593.2M -2.72B -164.6M 1.89 2.07 N/A N/A 519,847 982,320 5,589,967 13,191,538 2010-09-16 $113.05 $111.00 18.4% 5.3% 18.2% 22.2% 20.8% 5.9% 1.7% -555.5M -1.93B -169.0M 0.21 3.52 N/A N/A 6,385,405 1,335,426 5,627,295 13,403,031 2010-09-17 $112.49 $112.00 18.9% 5.4% 17.0% 23.9% 20.3% 6.3% 1.9% -1.34B 10.43B -173.3M 2.48 2.58 N/A N/A 597,557 1,482,577 4,824,992 13,705,756 2010-09-20 $114.21 $112.00 18.0% 5.2% 17.5% 20.8% 19.5% 5.5% 2.0% -656.8M 573.5M -170.3M 2.03 2.19 N/A N/A 677,136 1,372,279 3,770,296 9,942,609 2010-09-21 $113.98 $112.00 18.8% 5.4% 17.4% 23.3% 20.2% 5.8% 1.5% -784.2M 1.54B -173.8M 2.04 2.09 N/A N/A 537,014 1,093,629 3,961,288 10,383,186 2010-09-22 $113.42 $112.00 19.2% 5.5% 16.3% 24.8% 19.4% 5.6% 1.6% -1.21B 5.08B -181.3M 2.08 1.63 N/A N/A 520,693 1,081,207 4,085,129 10,800,680 2010-09-23 $112.50 $112.00 20.7% 5.9% 16.9% 29.6% 22.3% 6.2% 1.2% -1.45B 9.46B -186.5M 2.07 2.60 N/A N/A 422,131 873,199 4,190,071 10,901,657 2010-09-24 $114.82 $112.00 17.4% 5.0% 17.5% 18.9% 19.4% 5.3% 2.2% -299.4M -1.91B -175.5M 1.48 1.75 N/A N/A 757,079 1,121,732 4,261,469 11,052,686 2010-09-27 $114.27 $113.00 20.7% 5.4% 17.3% 29.8% 19.9% 5.1% 1.7% -885.7M 1.94B -179.4M 1.70 1.70 N/A N/A 491,116 832,459 4,277,579 11,226,009 2010-09-28 $114.67 $113.00 19.5% 5.2% 16.0% 25.7% 19.6% 5.2% 2.1% -858.8M 1.07B -181.2M 2.21 1.72 N/A N/A 454,582 1,004,188 4,467,108 11,476,347 2010-09-29 $114.47 $113.00 20.3% 5.6% 16.0% 28.4% 20.0% 5.1% 2.0% -965.8M 1.88B -185.8M 1.66 1.79 N/A N/A 533,515 884,309 4,560,913 11,705,178 2010-09-30 $114.13 $113.00 19.2% 5.5% 13.1% 24.6% 19.5% 4.9% 2.3% -1.55B 4.09B -186.1M 1.38 2.56 N/A N/A 1,076,115 1,488,583 4,629,464 11,861,855
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