SPY Options History — December 2010 In December 2010, SPY traded between $121.01 and $125.92. ATM implied volatility averaged 15.1%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.0% (HV 20d: 13.1%). Max pain ranged from $118.00 to $124.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.64.
Notable Days 2010-12-16 : Highest Volume — 10,330,403 contracts2010-12-13 : Largest IV spike — 15.3% change2010-12-13 : Highest IV Rank — 23.8%2010-12-01 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $124.38 $121.01 $125.92 $121.01 $125.75 Max Pain $121.23 $118.00 $124.00 $118.00 $124.00 ATM IV 15.1% 12.3% 18.9% 18.1% 12.3% Expected Move 4.3% 3.8% 5.5% 5.5% 4.2% HV 20d 13.1% 4.8% 17.3% 16.8% 4.8% HV 60d 12.6% 11.3% 13.4% 13.2% 11.3% IV Rank 11.3% 2.1% 23.8% 21.3% 2.1% IV Percentile 17.5% 1.2% 51.2% 40.5% 1.2% Term Structure 1.3% 0.5% 2.2% 0.6% 2.0% VWIV 16.4% 14.5% 20.7% 20.7% 15.5% Skew 25d 3.9% 2.7% 5.1% 5.1% 4.1% Skew 10d 7.1% 4.2% 9.0% 9.0% 7.9% Call IV 25d 13.5% 11.9% 16.2% 16.2% 13.0% Put IV 25d 17.4% 15.8% 21.3% 21.3% 17.1% Bid-Ask Spread % 2.24 1.30 3.95 1.75 2.82 Gamma HHI 0.08 0.05 0.25 0.05 0.11 Net GEX 218.6M -1.37B 2.26B -426.2M 150.2M Net DEX -15.57B -27.86B -1.02B -10.33B -9.27B Net VEX -157.4M -171.2M -143.4M -171.2M -167.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 0.24 2.31 1.37 1.62 Total Volume 1,771,780.364 697,135 10,330,403 1,833,391 1,194,416 Total OI 15,748,194.636 11,613,671 19,123,917 16,463,856 13,969,641
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 2010-12-01 $121.01 $118.00 18.1% 5.5% 16.8% 21.3% 20.7% 5.1% 0.6% -426.2M -10.33B -171.2M 1.37 1.75 N/A N/A 774,922 1,058,469 5,431,899 11,031,957 2010-12-02 $122.56 $118.00 16.4% 5.1% 17.3% 15.5% 19.8% 4.3% 0.6% 321.8M -18.59B -164.0M 1.87 1.30 N/A N/A 785,756 1,471,109 5,559,614 11,268,669 2010-12-03 $122.89 $118.00 15.1% 4.6% 16.0% 11.2% 17.1% 3.7% 0.8% 2.26B -21.19B -157.8M 1.23 1.81 N/A N/A 895,404 1,100,762 5,776,158 11,663,579 2010-12-06 $122.76 $118.00 15.0% 4.5% 15.9% 11.1% 17.2% 3.4% 0.6% 150.3M -18.82B -155.7M 1.50 2.24 N/A N/A 417,925 628,487 5,676,483 11,416,357 2010-12-07 $122.83 $119.00 15.3% 4.5% 15.9% 12.1% 16.5% 3.3% 0.5% 340.8M -19.31B -153.9M 1.39 3.00 N/A N/A 776,715 1,077,848 5,739,680 11,512,038 2010-12-08 $123.28 $120.00 15.0% 4.5% 15.7% 11.0% 17.8% 3.3% 0.7% 407.6M -20.90B -154.7M 1.55 1.99 N/A N/A 479,163 743,063 5,834,912 11,727,165 2010-12-09 $123.76 $120.00 15.2% 4.2% 15.7% 11.8% 16.2% 2.8% 0.8% 868.9M -24.02B -149.8M 1.27 2.40 N/A N/A 564,755 717,179 5,894,974 11,882,000 2010-12-10 $124.48 $120.00 16.4% 4.4% 15.7% 15.6% 16.3% 2.7% 0.8% 1.29B -27.86B -148.2M 1.32 3.95 N/A N/A 688,214 907,417 5,968,376 12,011,143 2010-12-13 $124.56 $120.00 18.9% 4.4% 15.0% 23.8% 16.3% 3.8% 0.8% 799.8M -27.53B -143.5M 1.44 2.32 N/A N/A 517,242 743,387 5,935,690 12,099,158 2010-12-14 $124.67 $120.00 17.9% 4.4% 14.9% 20.5% 16.5% 3.7% 0.9% 676.5M -26.62B -143.4M 2.31 2.46 N/A N/A 678,854 1,571,461 6,000,460 12,257,803 2010-12-15 $124.10 $120.00 15.8% 4.5% 13.7% 13.6% 16.7% 4.4% 1.0% -173.5M -21.78B -151.1M 1.30 2.27 N/A N/A 656,523 855,378 6,080,893 12,867,243 2010-12-16 $124.82 $121.00 14.9% 4.3% 13.7% 10.7% 15.8% 4.0% 1.4% 449.5M -26.13B -146.0M 0.24 2.55 N/A N/A 8,328,748 2,001,655 6,119,098 13,004,819 2010-12-17 $124.30 $123.00 14.5% 4.2% 13.1% 9.3% 15.1% 4.3% 1.7% -1.37B -1.02B -155.4M 1.91 2.46 N/A N/A 559,865 1,071,613 4,374,281 13,249,084 2010-12-20 $124.60 $123.00 13.9% 4.0% 13.1% 7.3% 15.3% 4.1% 1.8% -226.5M -6.27B -156.5M 2.18 2.31 N/A N/A 417,367 909,044 3,490,927 8,122,744 2010-12-21 $125.39 $123.00 14.4% 4.1% 13.2% 9.0% 15.2% 4.0% 1.5% 127.7M -9.07B -158.3M 1.55 2.30 N/A N/A 446,302 692,290 3,640,145 8,473,897 2010-12-22 $125.78 $123.00 13.3% 3.8% 11.6% 5.3% 14.5% 3.9% 2.0% 569.5M -11.20B -158.3M 2.17 1.98 N/A N/A 296,281 643,343 3,803,588 8,700,091 2010-12-23 $125.60 $123.00 13.7% 3.9% 10.9% 6.8% 15.6% 4.2% 2.1% 6.8M -9.37B -164.4M 2.27 1.78 N/A N/A 388,718 881,703 3,842,458 8,961,816 2010-12-27 $125.65 $124.00 14.6% 4.2% 9.6% 9.6% 16.1% 4.1% 1.9% -311.7M -8.04B -165.0M 1.98 1.78 N/A N/A 247,253 488,618 3,782,656 9,181,468 2010-12-28 $125.83 $124.00 14.4% 4.1% 9.6% 9.0% 16.4% 3.8% 2.1% -351.9M -8.25B -166.4M 2.05 1.96 N/A N/A 228,413 468,722 3,833,019 9,392,762 2010-12-29 $125.92 $124.00 14.3% 4.1% 9.1% 8.7% 15.1% 3.7% 2.0% -27.4M -9.13B -165.1M 1.60 1.89 N/A N/A 310,141 496,004 3,883,199 9,475,143 2010-12-30 $125.72 $124.00 12.6% 4.1% 6.3% 3.1% 15.3% 4.0% 2.2% -722.3M -7.76B -167.6M 2.03 1.89 N/A N/A 263,860 534,779 3,901,096 9,622,099 2010-12-31 $125.75 $124.00 12.3% 4.2% 4.8% 2.1% 15.5% 4.1% 2.0% 150.2M -9.27B -167.6M 1.62 2.82 N/A N/A 456,491 737,925 4,078,895 9,890,746
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