SPY Options History — November 2010 In November 2010, SPY traded between $118.16 and $122.72. ATM implied volatility averaged 18.5%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.6% (HV 20d: 11.9%). Max pain ranged from $115.00 to $119.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.68.
Notable Days 2010-11-12 : Highest Volume — 3,060,713 contracts2010-11-04 : Largest IV drop — 24.2% change2010-11-02 : Highest IV Rank — 54.0%2010-11-30 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $120.14 $118.16 $122.72 $118.53 $118.49 Max Pain $117.29 $115.00 $119.00 $117.00 $118.00 ATM IV 18.5% 13.7% 28.1% 24.0% 20.5% Expected Move 5.2% 4.6% 6.5% 5.5% 6.5% HV 20d 11.9% 8.5% 15.3% 10.6% 15.3% HV 60d 14.1% 12.8% 15.2% 15.1% 12.8% IV Rank 22.4% 6.6% 54.0% 40.3% 29.0% IV Percentile 42.6% 6.0% 93.3% 83.3% 62.7% Term Structure 0.0% -1.3% 1.2% 0.8% 0.1% VWIV 19.3% 17.1% 22.9% 19.9% 22.9% Skew 25d 4.9% 2.8% 6.4% 4.8% 5.9% Skew 10d 10.4% 4.7% 15.5% 9.6% 15.5% Call IV 25d 16.0% 14.4% 18.2% 17.1% 18.2% Put IV 25d 20.9% 17.8% 24.1% 22.0% 24.1% Bid-Ask Spread % 2.09 1.26 3.89 2.21 2.07 Gamma HHI 0.06 0.04 0.09 0.04 0.05 Net GEX -784.9M -2.54B 814.1M -1.04B -1.45B Net DEX -8.80B -26.80B 6.44B -3.59B 3.92B Net VEX -175.7M -192.4M -146.6M -192.4M -176.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.68 1.24 2.05 1.72 1.56 Total Volume 1,842,990.905 871,463 3,060,713 1,901,046 1,413,724 Total OI 17,104,367 12,751,858 19,408,858 16,168,425 15,997,082
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 2010-11-01 $118.53 $117.00 24.0% 5.5% 10.6% 40.3% 19.9% 4.8% 0.8% -1.04B -3.59B -192.4M 1.72 2.21 N/A N/A 698,995 1,202,051 5,026,833 11,141,592 2010-11-02 $119.47 $117.00 28.1% 5.7% 8.5% 54.0% 20.3% 4.6% 0.3% -720.8M -8.53B -190.3M 1.56 2.16 N/A N/A 675,409 1,056,370 5,180,055 11,341,757 2010-11-03 $119.95 $117.00 22.0% 4.9% 8.6% 34.0% 18.0% 3.7% 1.2% -471.2M -12.08B -183.9M 1.68 2.17 N/A N/A 870,643 1,462,077 5,374,948 11,622,836 2010-11-04 $122.26 $118.00 16.7% 4.6% 10.5% 16.6% 17.3% 2.8% 1.1% 728.0M -24.28B -169.6M 1.35 2.23 N/A N/A 1,121,351 1,513,432 5,546,006 11,931,130 2010-11-05 $122.72 $115.00 13.7% 4.8% 10.4% 6.6% 18.2% 3.9% -0.0% 814.1M -26.80B -165.9M 1.24 3.89 N/A N/A 971,563 1,208,707 5,703,238 12,105,990 2010-11-08 $122.49 $116.00 16.3% 4.9% 10.5% 15.3% 17.9% 3.8% 0.1% 371.9M -23.08B -165.6M 1.60 2.10 N/A N/A 517,266 828,057 5,545,803 11,765,060 2010-11-09 $121.61 $117.00 16.3% 4.9% 11.1% 15.3% 18.0% 4.0% 0.0% -234.2M -17.23B -173.9M 1.65 2.17 N/A N/A 681,392 1,127,133 5,631,151 12,031,688 2010-11-10 $122.10 $117.00 14.1% 4.7% 10.9% 7.9% 18.1% 4.0% 0.2% -201.4M -19.81B -172.8M 2.02 2.17 N/A N/A 597,318 1,209,259 5,737,730 12,295,145 2010-11-11 $121.64 $117.00 16.5% 4.7% 10.9% 15.9% 17.8% 4.6% 0.2% -804.5M -16.01B -180.5M 1.58 1.76 N/A N/A 645,005 1,018,774 5,841,060 12,476,313 2010-11-12 $120.20 $117.00 18.4% 5.3% 11.9% 22.1% 19.1% 5.2% -0.0% -2.25B -7.45B -182.3M 1.73 2.25 N/A N/A 1,120,109 1,940,604 5,907,064 12,527,478 2010-11-15 $120.03 $117.00 18.4% 5.3% 11.7% 22.2% 19.0% 5.0% -0.1% -1.06B -7.84B -184.2M 2.05 1.76 N/A N/A 494,004 1,011,613 5,811,903 12,552,930 2010-11-16 $118.16 $117.00 19.9% 5.7% 11.8% 27.1% 21.3% 6.2% -0.4% -2.54B 6.44B -188.5M 1.71 2.12 N/A N/A 1,093,579 1,867,277 5,872,478 12,671,007 2010-11-17 $118.22 $117.00 19.8% 5.7% 11.3% 26.6% 21.6% 6.4% -0.4% -1.92B 3.68B -187.9M 1.97 2.14 N/A N/A 594,941 1,173,150 6,155,944 12,791,755 2010-11-18 $119.96 $117.00 17.0% 4.9% 12.4% 17.5% 18.3% 5.6% 0.0% -468.7M -11.53B -178.0M 1.89 2.19 N/A N/A 734,461 1,386,608 6,205,344 12,934,659 2010-11-19 $120.29 $118.00 16.3% 4.7% 12.4% 15.3% 17.1% 4.6% -0.0% -246.4M -13.46B -173.1M 1.27 2.11 N/A N/A 897,555 1,139,322 6,248,915 13,159,943 2010-11-22 $120.19 $118.00 16.7% 4.8% 12.4% 16.5% 17.7% 5.4% -0.7% -679.1M -6.25B -155.6M 1.35 1.41 N/A N/A 600,546 808,210 4,841,726 9,947,603 2010-11-23 $118.45 $118.00 19.1% 5.5% 13.5% 24.3% 19.8% 5.3% -1.3% -1.35B 3.75B -174.6M 1.88 1.72 N/A N/A 590,824 1,110,980 4,973,848 10,157,289 2010-11-24 $120.20 $118.00 17.1% 5.0% 14.4% 17.8% 18.6% 5.0% -0.7% -671.5M -6.36B -165.3M 1.75 1.81 N/A N/A 524,543 917,255 5,092,083 10,455,687 2010-11-26 $118.80 $118.00 18.8% 5.9% 15.1% 23.5% 22.0% 6.0% 0.3% -1.68B 2.72B -181.1M 1.70 2.27 N/A N/A 322,386 549,077 5,188,861 10,647,915 2010-11-29 $119.16 $119.00 18.6% 5.9% 15.1% 22.9% 21.5% 5.9% 0.3% -616.3M -935.9M -146.6M 2.01 1.26 N/A N/A 334,597 672,642 4,097,808 8,654,050 2010-11-30 $118.49 $118.00 20.5% 6.5% 15.3% 29.0% 22.9% 5.9% 0.1% -1.45B 3.92B -176.5M 1.56 2.07 N/A N/A 552,302 861,422 5,220,929 10,776,153
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