SPY Options History — February 2011

In February 2011, SPY traded between $130.43 and $134.70. ATM implied volatility averaged 14.2%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.8% (HV 20d: 11.3%). Max pain ranged from $125.00 to $131.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.02.

Notable Days

  • 2011-02-18: Highest Volume — 2,975,493 contracts
  • 2011-02-22: Largest IV spike — 36.1% change
  • 2011-02-23: Highest IV Rank — 23.7%
  • 2011-02-23: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.28$130.43$134.70$130.74$133.10
Max Pain$128.63$125.00$131.00$128.00$131.00
ATM IV14.2%11.1%18.5%14.2%15.2%
Expected Move4.2%3.6%5.4%3.9%4.4%
HV 20d11.3%9.9%13.8%11.1%12.1%
HV 60d10.7%9.6%11.6%11.6%9.6%
IV Rank9.5%0.0%23.7%8.6%13.2%
IV Percentile18.8%0.0%54.4%15.9%31.0%
Term Structure0.4%-0.3%1.6%1.0%0.3%
VWIV16.0%14.2%20.2%15.4%16.2%
Skew 25d4.9%3.6%7.3%4.0%6.1%
Skew 10d9.8%7.2%14.9%7.4%13.1%
Call IV 25d12.7%11.0%15.9%12.6%12.9%
Put IV 25d17.6%15.2%23.2%16.6%19.0%
Bid-Ask Spread %2.421.525.841.715.84
Gamma HHI0.080.050.280.060.05
Net GEX-599.7M-2.64B2.42B-1.18B-1.28B
Net DEX-13.02B-28.82B9.24B-10.65B-5.84B
Net VEX-192.0M-225.7M-174.1M-186.1M-215.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.021.493.032.271.59
Total Volume2,041,214.5791,100,3442,975,4932,632,4081,315,513
Total OI16,983,713.36814,482,38219,930,44015,002,37916,381,031

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$130.74$128.0014.2%3.9%11.1%8.6%15.4%4.0%1.0%-1.18B-10.65B-186.1M2.271.71N/AN/A805,5141,826,8944,212,10610,790,273
2011-02-02$130.43$129.0015.5%4.0%11.1%12.7%14.8%4.1%1.1%-1.66B-8.37B-189.2M2.741.84N/AN/A360,287987,7944,415,34311,318,366
2011-02-03$130.74$129.0013.1%3.7%11.0%4.7%14.7%3.6%1.6%-1.49B-9.81B-191.0M1.671.83N/AN/A916,7401,526,7074,488,75111,610,671
2011-02-04$131.15$125.0011.1%4.0%11.0%0.0%15.1%4.6%0.2%186.6M-15.00B-182.8M1.492.03N/AN/A722,9031,075,6474,861,75212,235,554
2011-02-07$132.00$126.0012.6%4.0%11.1%4.7%15.2%4.4%0.2%-253.2M-18.25B-178.4M1.651.58N/AN/A577,542955,2564,714,33611,853,032
2011-02-08$132.59$127.0011.6%3.8%11.0%1.4%14.4%4.2%0.2%273.6M-21.49B-174.1M1.781.85N/AN/A396,054704,2904,818,68612,071,522
2011-02-09$132.33$127.0011.8%3.9%11.1%2.1%15.4%4.2%0.2%-200.0M-18.62B-177.6M3.031.78N/AN/A442,5621,339,9154,889,22412,229,025
2011-02-10$132.33$128.0013.7%3.9%10.8%8.2%15.6%4.3%0.3%-567.6M-17.80B-183.5M2.692.58N/AN/A498,3491,340,3324,970,29612,682,909
2011-02-11$133.16$128.0013.3%3.8%10.9%6.9%14.6%4.3%0.2%576.9M-23.47B-178.7M1.561.90N/AN/A802,0081,251,4125,014,29013,025,710
2011-02-14$133.21$128.0013.7%3.9%10.7%8.3%15.2%4.1%0.0%-575.1M-18.72B-184.6M2.031.73N/AN/A366,949743,6504,894,20213,003,783
2011-02-15$133.06$129.0013.7%3.9%10.7%8.3%15.7%4.6%0.3%-810.1M-18.17B-181.3M2.961.52N/AN/A451,4151,336,2714,944,04613,183,734
2011-02-16$133.74$129.0013.7%3.9%9.9%8.1%15.2%4.6%0.3%474.5M-23.56B-183.6M1.812.73N/AN/A846,8531,536,5965,067,90313,598,236
2011-02-17$134.20$130.0013.7%3.9%9.9%8.2%14.8%4.2%0.3%916.0M-25.72B-180.8M1.861.71N/AN/A760,8881,418,3135,254,38114,025,717
2011-02-18$134.70$130.0012.6%3.6%9.9%4.8%14.2%4.8%1.0%2.42B-28.82B-182.5M1.981.95N/AN/A996,8681,978,6255,437,49614,492,944
2011-02-22$131.85$130.0017.2%4.9%12.9%19.5%18.4%6.5%0.0%-1.87B1.67B-212.0M1.771.94N/AN/A962,7681,708,2414,341,25610,141,126
2011-02-23$131.01$130.0018.5%5.4%13.2%23.7%20.2%7.3%-0.3%-2.24B7.31B-223.1M1.862.65N/AN/A1,022,2711,905,0024,591,71310,586,225
2011-02-24$130.67$130.0017.8%5.1%13.2%21.5%19.8%7.1%0.0%-2.64B9.24B-225.7M1.724.09N/AN/A986,5121,692,8354,791,85611,174,751
2011-02-25$132.31$130.0016.1%4.6%13.8%16.1%18.2%6.2%0.1%-1.47B-1.38B-218.1M2.014.79N/AN/A739,5541,483,7474,962,14911,616,159
2011-02-28$133.10$131.0015.2%4.4%12.1%13.2%16.2%6.1%0.3%-1.28B-5.84B-215.6M1.595.84N/AN/A507,909807,6044,802,68911,578,342