SPY Options History — May 2011

In May 2011, SPY traded between $131.95 and $136.22. ATM implied volatility averaged 14.5%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.3% (HV 20d: 10.2%). Max pain ranged from $133.00 to $134.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.99.

Notable Days

2011-05-06: Highest Volume — 3,139,322 contracts
2011-05-11: Largest IV spike — 16.3% change
2011-05-16: Highest IV Rank — 17.2%
2011-05-16: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$134.07	$131.95	$136.22	$136.22	$134.90
Max Pain	$133.14	$133.00	$134.00	$133.00	$133.00
ATM IV	14.5%	12.4%	16.5%	13.2%	13.1%
Expected Move	4.2%	3.6%	4.7%	3.7%	3.7%
HV 20d	10.2%	8.8%	11.4%	8.8%	11.0%
HV 60d	12.5%	11.3%	13.2%	12.6%	11.4%
IV Rank	10.8%	4.0%	17.2%	6.5%	6.2%
IV Percentile	23.4%	5.6%	40.1%	9.1%	9.9%
Term Structure	0.4%	-0.4%	2.2%	1.8%	0.3%
VWIV	15.6%	13.4%	16.9%	13.4%	15.1%
Skew 25d	4.8%	3.3%	5.7%	3.3%	4.4%
Skew 10d	9.9%	6.5%	13.1%	6.5%	8.8%
Call IV 25d	12.7%	11.2%	14.3%	11.5%	11.2%
Put IV 25d	17.5%	14.8%	19.6%	14.8%	15.6%
Bid-Ask Spread %	2.87	1.79	4.67	2.48	4.02
Gamma HHI	0.06	0.04	0.08	0.05	0.05
Net GEX	-2.76B	-4.44B	-691.1M	-691.1M	-1.85B
Net DEX	7.87B	-8.92B	21.81B	-8.92B	2.17B
Net VEX	-255.6M	-267.0M	-237.7M	-237.7M	-253.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	1.42	2.92	2.09	1.60
Total Volume	2,011,681.619	1,125,325	3,139,322	1,960,519	1,960,147
Total OI	18,982,630.095	16,270,135	21,199,053	17,530,976	18,544,548

Daily Data (21 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
2011-05-02	$136.22	$133.00	13.2%	3.7%	8.8%	6.5%	13.4%	3.3%	1.8%	-691.1M	-8.92B	-237.7M	2.09	2.48	N/A	N/A	635,420	1,325,099	5,275,873	12,255,103
2011-05-03	$135.73	$133.00	12.9%	3.6%	9.0%	5.8%	13.7%	3.9%	2.2%	-1.82B	-1.81B	-253.2M	2.09	2.29	N/A	N/A	532,051	1,114,094	5,423,807	12,648,328
2011-05-04	$134.83	$133.00	14.7%	3.8%	9.4%	11.5%	14.2%	3.6%	2.1%	-2.56B	3.71B	-256.8M	2.16	2.38	N/A	N/A	692,891	1,497,436	5,500,570	12,932,252
2011-05-05	$133.61	$133.00	16.0%	4.3%	9.9%	15.7%	15.5%	5.1%	1.3%	-2.78B	9.43B	-262.7M	1.91	4.67	N/A	N/A	963,991	1,838,664	5,578,122	13,205,337
2011-05-06	$134.20	$133.00	15.6%	4.6%	10.0%	14.2%	16.8%	5.7%	0.0%	-3.01B	9.90B	-267.0M	2.06	4.59	N/A	N/A	1,025,828	2,113,494	5,808,282	13,512,452
2011-05-09	$134.72	$133.00	13.8%	4.4%	10.0%	8.6%	16.5%	5.3%	0.2%	-2.37B	3.19B	-258.2M	1.92	1.79	N/A	N/A	385,674	739,651	5,591,995	13,587,498
2011-05-10	$135.87	$133.00	12.4%	4.0%	10.2%	4.0%	15.4%	4.8%	0.4%	-1.01B	-6.18B	-245.2M	2.11	1.91	N/A	N/A	445,988	939,405	5,670,602	13,783,360
2011-05-11	$134.44	$133.00	14.4%	4.4%	10.6%	10.5%	15.8%	4.9%	0.1%	-3.02B	6.70B	-257.3M	1.96	2.74	N/A	N/A	598,372	1,174,741	5,758,945	14,041,471
2011-05-12	$135.08	$133.00	14.4%	4.1%	10.7%	10.5%	15.6%	4.8%	0.3%	-1.91B	-1.56B	-249.2M	1.60	2.69	N/A	N/A	790,892	1,267,209	5,827,908	14,266,327
2011-05-13	$134.04	$133.00	15.3%	4.4%	11.2%	13.3%	16.2%	5.1%	-0.0%	-4.44B	10.34B	-259.7M	1.98	2.20	N/A	N/A	653,876	1,292,471	5,904,678	14,403,993
2011-05-16	$133.19	$133.00	16.5%	4.7%	11.4%	17.2%	16.8%	5.4%	-0.2%	-4.03B	16.12B	-256.1M	2.41	2.21	N/A	N/A	449,038	1,080,393	5,783,426	14,185,957
2011-05-17	$133.17	$133.00	15.7%	4.5%	10.5%	14.6%	16.9%	5.1%	-0.1%	-3.99B	15.19B	-250.3M	2.40	2.90	N/A	N/A	709,435	1,700,831	5,848,498	14,345,582
2011-05-18	$134.36	$133.00	14.5%	4.2%	10.8%	10.9%	15.3%	4.8%	0.2%	-2.96B	5.09B	-248.9M	1.99	2.50	N/A	N/A	550,342	1,094,310	5,944,259	14,737,649
2011-05-19	$134.68	$133.00	13.2%	3.8%	9.8%	6.6%	14.5%	4.5%	0.3%	-2.16B	1.08B	-242.5M	1.83	2.53	N/A	N/A	661,825	1,214,286	5,976,484	14,739,890
2011-05-20	$133.61	$134.00	14.2%	4.1%	10.1%	9.9%	16.4%	5.2%	0.1%	-4.27B	14.72B	-253.4M	2.26	3.91	N/A	N/A	950,894	2,147,583	6,095,552	15,103,501
2011-05-23	$132.06	$134.00	16.2%	4.6%	10.9%	16.1%	16.7%	5.2%	-0.4%	-3.09B	20.88B	-261.6M	1.61	1.97	N/A	N/A	846,895	1,362,806	4,578,527	11,691,608
2011-05-24	$131.95	$134.00	15.6%	4.5%	10.3%	14.4%	16.3%	5.0%	-0.3%	-3.26B	21.81B	-262.8M	1.42	2.86	N/A	N/A	662,835	941,291	4,761,938	12,008,243
2011-05-25	$132.39	$133.00	15.2%	4.4%	10.1%	13.0%	16.7%	4.8%	-0.1%	-3.32B	19.62B	-265.4M	2.92	2.39	N/A	N/A	521,837	1,525,686	4,943,928	12,258,065
2011-05-26	$133.00	$133.00	14.0%	4.0%	10.2%	9.1%	15.5%	4.9%	0.3%	-2.84B	13.17B	-261.8M	1.60	3.16	N/A	N/A	784,809	1,255,173	5,078,227	12,711,115
2011-05-27	$133.51	$133.00	13.6%	3.9%	10.3%	8.0%	14.9%	4.7%	0.4%	-2.65B	10.56B	-264.0M	1.81	4.04	N/A	N/A	639,821	1,157,830	5,234,730	13,086,602
2011-05-31	$134.90	$133.00	13.1%	3.7%	11.0%	6.2%	15.1%	4.4%	0.3%	-1.85B	2.17B	-253.1M	1.60	4.02	N/A	N/A	753,173	1,206,974	5,250,104	13,294,444