SPY Options History — October 2010 In October 2010, SPY traded between $113.75 and $118.72. ATM implied volatility averaged 17.6%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.0% (HV 20d: 12.6%). Max pain ranged from $113.00 to $117.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.85.
Notable Days 2010-10-15 : Highest Volume — 2,628,407 contracts2010-10-14 : Largest IV spike — 25.2% change2010-10-29 : Highest IV Rank — 33.6%2010-10-04 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $117.23 $113.75 $118.72 $114.61 $118.49 Max Pain $115.19 $113.00 $117.00 $113.00 $117.00 ATM IV 17.6% 15.0% 21.9% 16.4% 21.9% Expected Move 5.3% 4.8% 6.1% 4.9% 5.5% HV 20d 12.6% 11.1% 13.8% 12.9% 11.1% HV 60d 16.3% 15.1% 17.8% 17.3% 15.1% IV Rank 19.4% 11.0% 33.6% 15.6% 33.6% IV Percentile 32.5% 13.5% 73.4% 22.6% 73.4% Term Structure 1.7% 0.9% 3.3% 3.3% 0.9% VWIV 19.5% 17.5% 22.0% 18.5% 20.1% Skew 25d 5.1% 4.4% 6.4% 4.5% 4.7% Skew 10d 10.2% 8.2% 12.5% 8.2% 9.1% Call IV 25d 16.1% 14.6% 18.3% 15.5% 16.7% Put IV 25d 21.2% 19.2% 24.7% 20.0% 21.3% Bid-Ask Spread % 2.59 1.91 4.05 1.91 2.44 Gamma HHI 0.05 0.04 0.05 0.05 0.04 Net GEX -723.6M -1.43B 169.7M -991.9M -1.16B Net DEX -4.25B -12.37B 5.13B 1.92B -2.87B Net VEX -184.2M -195.6M -172.8M -185.0M -195.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.85 1.38 2.69 1.45 1.58 Total Volume 1,729,277.048 1,144,937 2,628,407 1,780,338 1,861,980 Total OI 15,836,031.429 13,531,832 18,245,521 15,615,983 16,384,035
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 2010-10-01 $114.61 $113.00 16.4% 4.9% 12.9% 15.6% 18.5% 4.5% 3.3% -991.9M 1.92B -185.0M 1.45 1.91 N/A N/A 726,741 1,053,597 4,483,478 11,132,505 2010-10-04 $113.75 $114.00 19.3% 6.1% 12.7% 25.0% 22.0% 6.4% 1.5% -1.43B 5.13B -186.4M 1.94 2.66 N/A N/A 506,455 982,531 4,402,273 11,098,581 2010-10-05 $116.04 $114.00 19.0% 5.7% 13.4% 24.0% 21.0% 5.9% 1.7% -684.0M -4.11B -179.6M 1.77 2.78 N/A N/A 756,948 1,341,318 4,503,016 11,305,667 2010-10-06 $116.03 $114.00 16.5% 5.6% 13.4% 15.8% 20.9% 5.8% 1.8% -501.1M -4.98B -179.9M 2.69 3.27 N/A N/A 441,820 1,187,000 4,676,634 11,611,487 2010-10-07 $115.89 $114.00 17.3% 5.6% 13.4% 18.4% 20.8% 5.8% 1.8% -583.1M -4.88B -181.3M 1.58 2.38 N/A N/A 716,582 1,131,313 4,737,101 11,624,898 2010-10-08 $116.54 $114.00 15.4% 5.3% 13.4% 12.5% 19.9% 5.2% 2.0% -401.8M -7.70B -178.3M 1.38 2.24 N/A N/A 783,201 1,077,572 4,891,107 11,926,674 2010-10-11 $116.65 $115.00 16.1% 5.3% 13.0% 14.7% 20.6% 5.2% 1.9% -201.9M -7.70B -174.4M 2.30 2.31 N/A N/A 346,953 797,984 4,797,501 11,618,197 2010-10-12 $117.01 $115.00 16.7% 5.3% 13.0% 16.5% 20.6% 4.9% 1.8% -264.6M -8.21B -172.8M 2.36 2.32 N/A N/A 563,200 1,330,145 4,848,114 11,824,579 2010-10-13 $117.92 $115.00 15.0% 5.2% 13.1% 11.0% 19.7% 4.8% 1.8% 169.7M -12.37B -173.1M 2.20 2.27 N/A N/A 737,717 1,621,137 4,931,509 12,274,523 2010-10-14 $117.46 $115.00 18.8% 5.4% 13.3% 23.4% 19.5% 5.5% 1.8% -433.9M -8.81B -183.4M 2.16 4.05 N/A N/A 644,683 1,393,241 4,985,385 12,850,400 2010-10-15 $117.70 $115.00 17.6% 5.1% 13.0% 19.6% 18.7% 5.4% 2.0% -806.1M -8.25B -183.2M 1.40 3.52 N/A N/A 1,094,442 1,533,965 5,097,074 13,148,447 2010-10-18 $118.54 $115.00 16.7% 4.8% 12.3% 16.5% 17.9% 5.0% 2.2% -524.6M -5.02B -180.1M 1.74 3.50 N/A N/A 485,318 843,321 4,267,504 9,264,328 2010-10-19 $116.73 $115.00 18.2% 5.2% 13.7% 21.6% 18.9% 5.6% 2.0% -1.01B 1.97B -190.2M 1.86 2.43 N/A N/A 452,386 843,457 4,447,080 9,554,078 2010-10-20 $117.87 $116.00 17.5% 5.0% 13.8% 19.3% 18.3% 5.3% 1.8% -825.5M -2.54B -188.9M 1.53 2.47 N/A N/A 529,983 811,911 4,544,043 9,868,245 2010-10-21 $118.13 $116.00 17.1% 4.9% 13.3% 18.0% 17.8% 4.8% 1.7% -903.8M -3.22B -185.5M 2.13 2.60 N/A N/A 666,070 1,421,337 4,627,130 10,083,648 2010-10-22 $118.35 $116.00 17.0% 4.9% 11.4% 17.6% 17.5% 4.5% 1.7% -1.03B -4.30B -187.9M 1.51 2.18 N/A N/A 511,978 772,397 4,719,838 10,451,925 2010-10-25 $118.70 $116.00 17.4% 5.0% 11.2% 19.1% 18.5% 4.6% 1.3% -731.2M -4.92B -186.2M 2.00 2.13 N/A N/A 478,916 955,632 4,619,601 10,277,477 2010-10-26 $118.72 $116.00 17.7% 5.1% 11.2% 20.0% 19.2% 4.5% 1.3% -790.5M -4.29B -188.2M 1.95 2.15 N/A N/A 435,028 848,327 4,696,589 10,483,239 2010-10-27 $118.38 $117.00 18.5% 5.3% 11.2% 22.5% 19.4% 4.7% 1.2% -1.06B -1.82B -193.2M 1.68 2.33 N/A N/A 636,809 1,072,315 4,799,730 10,785,815 2010-10-28 $118.40 $117.00 18.7% 5.4% 11.1% 23.2% 19.4% 4.4% 0.9% -1.04B -2.30B -194.0M 1.56 2.46 N/A N/A 750,979 1,168,129 4,897,088 11,016,117 2010-10-29 $118.49 $117.00 21.9% 5.5% 11.1% 33.6% 20.1% 4.7% 0.9% -1.16B -2.87B -195.6M 1.58 2.44 N/A N/A 722,135 1,139,845 5,045,016 11,339,019
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