SPY Options History — March 2011 In March 2011, SPY traded between $126.48 and $133.43. ATM implied volatility averaged 17.7%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.6% (HV 20d: 16.1%). Max pain ranged from $131.00 to $132.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.82.
Notable Days 2011-03-17 : Highest Volume — 7,348,920 contracts2011-03-29 : Largest IV drop — 27.7% change2011-03-16 : Highest IV Rank — 44.3%2011-03-16 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $130.61 $126.48 $133.43 $130.56 $132.59 Max Pain $131.17 $131.00 $132.00 $131.00 $131.00 ATM IV 17.7% 13.6% 24.9% 17.6% 13.6% Expected Move 5.0% 4.0% 7.1% 5.0% 4.0% HV 20d 16.1% 12.9% 18.8% 14.0% 14.3% HV 60d 12.2% 10.2% 13.2% 10.2% 13.2% IV Rank 21.0% 7.9% 44.3% 20.7% 7.9% IV Percentile 45.8% 12.3% 88.5% 48.4% 12.3% Term Structure 0.5% -1.5% 1.7% 0.2% 1.7% VWIV 18.9% 15.4% 26.5% 19.1% 15.4% Skew 25d 6.5% 4.5% 10.4% 6.8% 4.5% Skew 10d 12.6% 8.6% 20.2% 13.4% 9.0% Call IV 25d 14.9% 12.2% 20.4% 15.2% 12.2% Put IV 25d 21.4% 16.7% 30.8% 22.0% 16.7% Bid-Ask Spread % 3.11 1.60 5.90 4.57 3.24 Gamma HHI 0.08 0.04 0.46 0.06 0.07 Net GEX -2.54B -7.61B -68.8M -2.57B -108.6M Net DEX 9.85B -7.37B 40.80B 9.64B -3.65B Net VEX -226.0M -232.9M -221.1M -227.0M -226.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.82 0.40 2.91 1.92 1.89 Total Volume 2,533,162.348 1,374,755 7,348,920 2,288,044 1,856,493 Total OI 17,516,244 14,139,614 20,458,316 16,658,791 17,611,850
Daily Data (23 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 2011-03-01 $130.56 $131.00 17.6% 5.0% 14.0% 20.7% 19.1% 6.8% 0.2% -2.57B 9.64B -227.0M 1.92 4.57 N/A N/A 783,327 1,504,717 4,889,972 11,768,819 2011-03-02 $131.04 $131.00 17.9% 5.1% 12.9% 21.7% 19.1% 6.6% -0.0% -2.65B 8.35B -228.8M 2.24 3.27 N/A N/A 543,587 1,217,853 5,029,579 12,210,994 2011-03-03 $133.43 $131.00 15.7% 4.5% 14.4% 14.8% 17.6% 6.2% 0.4% -1.17B -7.37B -221.1M 1.63 3.50 N/A N/A 828,496 1,346,920 5,124,212 12,403,581 2011-03-04 $132.45 $131.00 16.2% 4.6% 14.7% 16.3% 17.4% 6.2% 0.4% -2.12B 277.2M -225.6M 1.61 4.68 N/A N/A 1,017,134 1,640,447 5,214,562 12,705,432 2011-03-07 $131.36 $131.00 17.9% 5.1% 15.0% 21.7% 18.1% 6.5% 0.0% -2.75B 7.05B -226.3M 1.77 3.58 N/A N/A 701,699 1,242,639 5,159,288 12,591,589 2011-03-08 $132.48 $131.00 17.1% 4.9% 15.1% 19.1% 17.3% 6.2% 0.2% -2.08B -755.7M -223.3M 1.57 3.90 N/A N/A 640,061 1,004,716 5,268,599 12,737,148 2011-03-09 $132.04 $131.00 17.8% 4.9% 15.1% 21.5% 19.7% 6.2% 0.3% -2.59B 3.00B -225.0M 1.54 4.68 N/A N/A 610,027 936,422 5,320,740 12,866,541 2011-03-10 $129.89 $132.00 19.0% 5.5% 16.1% 25.4% 19.6% 6.4% 0.3% -3.84B 17.73B -227.0M 1.82 2.33 N/A N/A 1,256,694 2,284,897 5,431,019 12,993,680 2011-03-11 $131.04 $132.00 17.6% 5.0% 16.5% 20.8% 18.8% 6.2% 0.9% -2.60B 8.37B -225.4M 1.46 2.71 N/A N/A 1,065,309 1,556,206 5,721,868 13,581,905 2011-03-14 $130.02 $132.00 18.5% 5.3% 16.5% 23.6% 19.5% 6.6% 0.6% -4.08B 15.44B -221.1M 1.86 2.02 N/A N/A 780,621 1,454,769 5,547,067 13,391,464 2011-03-15 $128.50 $132.00 21.1% 6.0% 16.9% 32.0% 21.7% 8.1% -0.3% -4.62B 27.11B -226.1M 1.95 3.99 N/A N/A 1,448,831 2,832,381 5,682,114 13,569,358 2011-03-16 $126.48 $131.00 24.9% 7.1% 17.6% 44.3% 26.5% 10.4% -1.5% -4.59B 40.80B -232.9M 2.21 4.17 N/A N/A 1,633,139 3,601,943 5,991,573 13,841,748 2011-03-17 $127.78 $131.00 21.5% 6.2% 18.0% 33.4% 24.1% 9.7% -0.4% -4.51B 30.39B -232.6M 0.40 5.90 N/A N/A 5,253,019 2,095,901 6,349,484 14,102,328 2011-03-18 $127.89 $131.00 20.4% 5.8% 17.9% 29.7% 21.3% 8.8% 0.0% -7.61B 32.57B -230.6M 1.72 2.45 N/A N/A 1,160,795 1,998,606 6,070,324 14,387,992 2011-03-21 $129.74 $131.00 17.3% 5.0% 18.8% 19.8% 19.2% 7.0% 0.9% -1.48B 8.91B -224.3M 1.70 2.22 N/A N/A 623,960 1,062,332 4,503,679 9,635,935 2011-03-22 $129.29 $131.00 17.8% 5.1% 17.3% 21.4% 18.9% 6.3% 0.5% -1.77B 11.74B -225.2M 1.87 2.30 N/A N/A 479,011 895,744 4,671,517 9,941,925 2011-03-23 $129.66 $131.00 16.4% 4.7% 17.2% 17.1% 17.8% 5.5% 0.8% -1.78B 10.91B -225.7M 2.22 2.09 N/A N/A 480,196 1,066,272 4,873,883 10,272,130 2011-03-24 $130.90 $131.00 15.4% 4.4% 17.6% 13.6% 17.0% 5.0% 1.2% -1.01B 3.09B -222.5M 1.96 1.98 N/A N/A 707,079 1,384,328 4,951,047 10,551,873 2011-03-25 $131.30 $131.00 15.8% 4.4% 17.0% 14.8% 16.6% 5.0% 1.3% -786.2M 1.01B -226.8M 2.54 2.31 N/A N/A 637,892 1,619,658 5,106,664 10,968,916 2011-03-28 $130.98 $131.00 19.3% 4.7% 16.8% 26.1% 18.2% 5.1% 0.8% -2.52B 8.03B -226.5M 2.91 1.60 N/A N/A 454,327 1,321,992 4,996,383 11,129,287 2011-03-29 $131.86 $131.00 13.9% 4.3% 15.5% 9.0% 16.6% 5.2% 1.3% -1.02B -649.6M -223.6M 1.74 2.12 N/A N/A 521,141 906,294 5,098,202 11,548,843 2011-03-30 $132.77 $131.00 13.8% 4.1% 15.7% 8.6% 15.6% 4.7% 1.6% -68.8M -5.41B -223.2M 1.37 2.05 N/A N/A 760,004 1,044,855 5,241,445 11,817,053 2011-03-31 $132.59 $131.00 13.6% 4.0% 14.3% 7.9% 15.4% 4.5% 1.7% -108.6M -3.65B -226.7M 1.89 3.24 N/A N/A 641,837 1,214,656 5,455,014 12,156,836
« Feb 2011 | All History | Apr 2011 » Home SPY History March 2011