SPY Options History — January 2011

In January 2011, SPY traded between $126.98 and $129.99. ATM implied volatility averaged 14.1%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 7.2% (HV 20d: 6.9%). Max pain ranged from $124.00 to $128.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.97.

Notable Days

2011-01-28: Highest Volume — 3,664,813 contracts
2011-01-28: Largest IV spike — 35.0% change
2011-01-28: Highest IV Rank — 19.2%
2011-01-28: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$128.27	$126.98	$129.99	$127.05	$128.68
Max Pain	$126.05	$124.00	$128.00	$124.00	$128.00
ATM IV	14.1%	12.3%	17.5%	13.3%	16.7%
Expected Move	4.1%	3.7%	4.7%	4.0%	4.5%
HV 20d	6.9%	5.7%	10.2%	5.8%	10.2%
HV 60d	11.2%	10.8%	11.7%	11.4%	11.7%
IV Rank	8.0%	2.1%	19.2%	5.4%	16.5%
IV Percentile	13.2%	1.2%	42.1%	4.8%	35.7%
Term Structure	1.3%	0.2%	2.1%	2.1%	0.6%
VWIV	15.5%	14.0%	17.4%	14.8%	17.4%
Skew 25d	4.1%	2.9%	5.9%	3.2%	5.9%
Skew 10d	8.4%	5.6%	12.9%	6.1%	11.4%
Call IV 25d	12.7%	11.6%	14.4%	12.7%	13.5%
Put IV 25d	16.8%	15.0%	19.9%	15.9%	19.4%
Bid-Ask Spread %	2.32	1.71	4.73	1.95	2.04
Gamma HHI	0.07	0.04	0.13	0.05	0.06
Net GEX	-693.2M	-3.37B	985.6M	-200.8M	-2.36B
Net DEX	-10.08B	-21.70B	9.17B	-10.94B	1.78B
Net VEX	-173.5M	-202.8M	-158.0M	-163.7M	-199.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.97	1.30	3.33	1.72	1.76
Total Volume	1,774,956	990,044	3,664,813	1,570,810	1,404,371
Total OI	13,908,546.5	11,955,676	16,338,251	12,027,800	14,598,303

Daily Data (20 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
2011-01-03	$127.05	$124.00	13.3%	4.0%	5.8%	5.4%	14.8%	3.2%	2.1%	-200.8M	-10.94B	-163.7M	1.72	1.95	N/A	N/A	576,673	994,137	3,709,093	8,318,707
2011-01-04	$126.98	$124.00	13.5%	3.9%	5.7%	6.2%	14.5%	3.4%	2.1%	-128.7M	-10.18B	-167.3M	1.75	1.90	N/A	N/A	448,283	786,531	3,864,340	8,573,559
2011-01-05	$127.64	$124.00	14.4%	3.7%	5.8%	9.2%	14.0%	2.9%	2.0%	-101.2M	-12.92B	-167.1M	1.30	1.84	N/A	N/A	605,210	788,179	3,959,400	8,764,857
2011-01-06	$127.39	$124.00	14.4%	4.0%	6.0%	9.0%	14.5%	3.0%	1.8%	-17.3M	-11.98B	-170.4M	1.75	2.15	N/A	N/A	581,584	1,019,219	4,149,106	8,966,014
2011-01-07	$127.14	$125.00	12.3%	4.4%	6.0%	2.4%	16.6%	4.6%	1.2%	-1.45B	-10.12B	-171.8M	2.27	2.06	N/A	N/A	772,337	1,753,727	4,264,788	9,328,225
2011-01-10	$126.98	$125.00	14.0%	4.4%	5.9%	7.6%	16.5%	4.5%	1.3%	-587.7M	-8.53B	-170.8M	1.83	1.71	N/A	N/A	407,226	744,391	4,160,168	9,533,648
2011-01-11	$127.43	$125.00	12.9%	4.3%	5.9%	4.2%	15.4%	4.4%	1.4%	-360.5M	-11.07B	-166.5M	1.72	2.08	N/A	N/A	364,158	625,886	4,221,516	9,692,165
2011-01-12	$128.58	$125.00	12.3%	4.0%	6.5%	2.1%	15.9%	3.8%	1.4%	469.6M	-17.72B	-158.0M	1.76	1.90	N/A	N/A	789,321	1,385,481	4,255,511	9,681,791
2011-01-13	$128.37	$126.00	14.6%	4.2%	6.3%	9.7%	15.1%	3.7%	1.3%	415.3M	-16.01B	-167.5M	1.69	2.11	N/A	N/A	523,365	883,482	4,503,648	10,242,059
2011-01-14	$129.30	$126.00	13.6%	3.9%	6.4%	6.5%	14.6%	3.4%	1.4%	985.6M	-19.66B	-168.7M	1.47	2.08	N/A	N/A	752,792	1,104,754	4,621,215	10,496,531
2011-01-18	$129.52	$126.00	13.2%	3.8%	6.0%	5.2%	14.7%	3.5%	1.4%	781.6M	-21.70B	-161.2M	3.33	2.30	N/A	N/A	443,692	1,478,426	4,529,463	10,394,024
2011-01-19	$128.25	$127.00	14.7%	4.2%	7.3%	10.0%	15.4%	4.4%	1.2%	-1.31B	-10.67B	-171.5M	1.94	2.09	N/A	N/A	675,392	1,310,346	4,611,952	10,876,224
2011-01-20	$128.08	$127.00	14.9%	4.3%	7.2%	10.8%	16.3%	4.6%	1.1%	-2.06B	-8.63B	-178.0M	1.65	3.77	N/A	N/A	791,586	1,309,242	4,714,406	11,241,534
2011-01-21	$128.37	$127.00	15.1%	4.3%	7.1%	11.3%	16.2%	5.1%	1.2%	-1.30B	-11.23B	-179.4M	1.90	2.00	N/A	N/A	734,634	1,398,818	4,768,084	11,570,167
2011-01-24	$129.10	$127.00	14.1%	4.1%	7.3%	8.3%	15.2%	4.7%	1.1%	-807.8M	-6.80B	-175.9M	1.67	2.39	N/A	N/A	454,749	759,355	3,631,131	8,324,545
2011-01-25	$129.17	$127.00	14.0%	4.0%	7.3%	7.8%	15.8%	4.7%	1.0%	-908.3M	-6.69B	-175.1M	2.58	2.92	N/A	N/A	519,433	1,338,856	3,763,801	8,637,305
2011-01-26	$129.67	$128.00	13.1%	3.7%	7.3%	4.7%	14.3%	4.0%	1.2%	-811.2M	-8.55B	-177.8M	2.04	2.14	N/A	N/A	513,140	1,044,602	3,893,734	9,289,924
2011-01-27	$129.99	$128.00	13.0%	3.7%	7.3%	4.4%	15.3%	3.7%	1.2%	-754.7M	-9.23B	-177.9M	3.05	2.17	N/A	N/A	432,130	1,318,799	3,976,471	9,666,432
2011-01-28	$127.72	$128.00	17.5%	4.7%	10.0%	19.2%	17.3%	5.5%	0.2%	-3.37B	9.17B	-202.8M	2.32	4.73	N/A	N/A	1,105,054	2,559,759	4,040,033	10,337,056
2011-01-31	$128.68	$128.00	16.7%	4.5%	10.2%	16.5%	17.4%	5.9%	0.6%	-2.36B	1.78B	-199.0M	1.76	2.04	N/A	N/A	509,468	894,903	4,068,194	10,530,109