SPY Options History — April 2011

In April 2011, SPY traded between $130.56 and $136.43. ATM implied volatility averaged 13.1%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.0% (HV 20d: 10.2%). Max pain ranged from $131.00 to $133.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.05.

Notable Days

2011-04-15: Highest Volume — 2,902,753 contracts
2011-04-04: Largest IV spike — 17.5% change
2011-04-12: Highest IV Rank — 14.7%
2011-04-12: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$133.19	$130.56	$136.43	$133.15	$136.43
Max Pain	$132.65	$131.00	$133.00	$131.00	$133.00
ATM IV	13.1%	11.3%	15.7%	12.1%	11.3%
Expected Move	3.9%	3.3%	4.6%	3.8%	3.5%
HV 20d	10.2%	7.9%	14.1%	14.1%	8.8%
HV 60d	13.1%	12.6%	13.4%	13.1%	12.6%
IV Rank	6.4%	0.5%	14.7%	3.0%	0.5%
IV Percentile	9.9%	0.4%	29.4%	2.4%	0.4%
Term Structure	1.7%	1.2%	2.4%	2.3%	1.8%
VWIV	14.8%	12.6%	17.0%	14.2%	12.6%
Skew 25d	4.8%	3.1%	5.9%	4.2%	3.4%
Skew 10d	10.0%	6.1%	12.6%	8.2%	6.1%
Call IV 25d	11.7%	10.3%	13.1%	11.3%	10.3%
Put IV 25d	16.5%	13.5%	18.9%	15.5%	13.7%
Bid-Ask Spread %	2.86	2.11	3.85	2.34	2.11
Gamma HHI	0.07	0.05	0.11	0.07	0.05
Net GEX	-1.57B	-4.17B	349.4M	261.0M	349.4M
Net DEX	998.8M	-15.90B	15.54B	-5.38B	-15.90B
Net VEX	-232.0M	-239.5M	-220.2M	-225.2M	-226.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	1.31	3.19	1.79	2.00
Total Volume	1,871,328.5	795,452	2,902,753	2,193,552	1,931,851
Total OI	16,528,686.45	13,947,452	18,567,015	15,856,568	17,545,399

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
2011-04-01	$133.15	$131.00	12.1%	3.8%	14.1%	3.0%	14.2%	4.2%	2.3%	261.0M	-5.38B	-225.2M	1.79	2.34	N/A	N/A	784,987	1,408,565	5,042,845	10,813,723
2011-04-04	$133.26	$132.00	14.2%	4.4%	13.7%	9.8%	16.5%	5.5%	1.2%	-482.3M	-3.99B	-223.5M	3.19	2.47	N/A	N/A	341,226	1,088,785	5,014,134	10,874,665
2011-04-05	$133.24	$132.00	13.7%	4.4%	13.4%	8.3%	16.3%	5.3%	1.2%	-1.28B	-2.13B	-226.6M	2.22	3.36	N/A	N/A	361,157	802,437	5,063,165	11,280,935
2011-04-06	$133.66	$132.00	11.9%	4.2%	13.4%	2.3%	16.0%	5.1%	1.4%	-637.2M	-5.11B	-220.2M	1.87	3.30	N/A	N/A	415,875	777,233	5,108,281	11,487,316
2011-04-07	$133.32	$133.00	12.8%	4.3%	11.9%	5.4%	16.0%	5.2%	1.4%	-1.42B	-1.66B	-229.3M	1.92	2.57	N/A	N/A	630,274	1,208,899	5,192,413	11,726,761
2011-04-08	$132.86	$133.00	13.5%	4.4%	11.6%	7.7%	16.3%	5.7%	1.4%	-1.30B	1.95B	-231.6M	2.15	2.71	N/A	N/A	665,355	1,433,752	5,295,898	11,915,806
2011-04-11	$132.46	$133.00	15.4%	4.5%	11.3%	13.8%	16.2%	5.8%	1.4%	-2.21B	4.54B	-229.8M	2.35	2.71	N/A	N/A	491,880	1,157,950	5,207,144	11,975,513
2011-04-12	$131.47	$133.00	15.7%	4.6%	10.7%	14.7%	17.0%	5.9%	1.2%	-4.17B	13.49B	-234.2M	2.99	3.33	N/A	N/A	668,130	2,000,058	5,299,280	12,308,217
2011-04-13	$131.46	$133.00	14.4%	4.4%	8.7%	10.4%	16.1%	5.8%	1.4%	-4.03B	13.28B	-235.6M	1.88	3.52	N/A	N/A	549,127	1,033,184	5,366,538	12,605,064
2011-04-14	$131.56	$133.00	13.9%	4.0%	8.1%	8.9%	15.1%	5.6%	1.7%	-3.82B	11.83B	-233.3M	2.18	2.43	N/A	N/A	716,261	1,562,884	5,412,234	12,586,009
2011-04-15	$132.04	$133.00	13.4%	3.9%	8.2%	7.4%	14.8%	5.5%	1.9%	-2.83B	4.80B	-229.7M	1.73	3.08	N/A	N/A	1,064,238	1,838,515	5,584,210	12,982,805
2011-04-18	$130.56	$133.00	14.1%	4.0%	7.9%	9.4%	15.7%	5.5%	1.7%	-2.40B	15.54B	-239.3M	2.12	3.44	N/A	N/A	757,556	1,607,983	4,328,480	9,618,972
2011-04-19	$131.31	$132.00	13.5%	3.9%	8.0%	7.7%	14.3%	5.2%	1.7%	-2.12B	11.06B	-236.4M	2.31	3.84	N/A	N/A	413,353	955,279	4,619,390	10,097,256
2011-04-20	$133.10	$132.00	12.6%	3.6%	9.2%	4.8%	13.4%	4.3%	2.0%	-1.19B	368.7M	-236.8M	1.96	3.85	N/A	N/A	751,035	1,472,573	4,682,447	10,466,945
2011-04-21	$133.78	$133.00	11.6%	3.3%	8.8%	1.3%	13.1%	3.9%	2.4%	-1.39B	-573.5M	-238.4M	1.77	2.28	N/A	N/A	645,221	1,144,067	4,872,280	10,950,498
2011-04-25	$133.64	$133.00	12.3%	3.5%	8.8%	3.7%	13.5%	4.1%	2.0%	-1.49B	2.07B	-239.5M	2.05	2.18	N/A	N/A	260,920	534,532	4,799,706	10,941,961
2011-04-26	$134.79	$133.00	12.3%	3.5%	9.1%	3.8%	13.4%	3.7%	1.9%	-836.2M	-3.94B	-237.0M	1.66	2.48	N/A	N/A	787,528	1,306,232	4,876,270	11,103,524
2011-04-27	$135.67	$133.00	12.2%	3.5%	9.1%	3.5%	13.5%	3.5%	1.7%	-623.0M	-8.35B	-236.7M	1.31	2.31	N/A	N/A	914,748	1,194,578	5,029,857	11,471,975
2011-04-28	$136.11	$133.00	11.7%	3.3%	8.9%	1.7%	12.6%	3.1%	2.0%	182.5M	-11.93B	-230.6M	1.52	2.80	N/A	N/A	694,727	1,053,615	5,270,051	11,755,762
2011-04-29	$136.43	$133.00	11.3%	3.5%	8.8%	0.5%	12.6%	3.4%	1.8%	349.4M	-15.90B	-226.8M	2.00	2.11	N/A	N/A	644,558	1,287,293	5,423,943	12,121,456