SPY Options History — June 2011 In June 2011, SPY traded between $126.81 and $131.97. ATM implied volatility averaged 17.1%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.5% (HV 20d: 14.6%). Max pain ranged from $130.00 to $133.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.87.
Notable Days 2011-06-16 : Highest Volume — 6,056,661 contracts2011-06-29 : Largest IV drop — 24.7% change2011-06-27 : Highest IV Rank — 36.3%2011-06-16 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $128.95 $126.81 $131.97 $131.87 $131.97 Max Pain $131.50 $130.00 $133.00 $133.00 $130.00 ATM IV 17.1% 12.8% 22.4% 15.9% 12.8% Expected Move 4.7% 3.7% 5.5% 4.5% 3.7% HV 20d 14.6% 12.9% 16.5% 13.5% 15.4% HV 60d 11.9% 11.3% 12.8% 12.2% 12.8% IV Rank 19.4% 9.6% 36.3% 15.2% 9.6% IV Percentile 50.4% 7.5% 89.7% 38.9% 7.5% Term Structure 0.3% -0.3% 1.8% -0.1% 1.8% VWIV 17.6% 14.9% 20.6% 17.0% 14.9% Skew 25d 5.3% 3.9% 7.2% 5.3% 3.9% Skew 10d 10.5% 7.9% 14.9% 10.5% 7.9% Call IV 25d 14.4% 11.4% 16.1% 13.9% 11.4% Put IV 25d 19.7% 15.3% 23.3% 19.2% 15.3% Bid-Ask Spread % 3.73 2.32 7.35 6.93 2.41 Gamma HHI 0.09 0.06 0.39 0.06 0.07 Net GEX -4.40B -9.03B -817.5M -4.08B -817.5M Net DEX 33.61B -3.61B 53.54B 25.61B -3.61B Net VEX -262.1M -278.4M -249.6M -266.3M -258.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.87 0.83 2.58 1.80 2.19 Total Volume 2,932,935.773 1,866,527 6,056,661 2,828,877 3,988,831 Total OI 19,683,859.227 16,685,627 22,689,061 18,561,617 20,973,581
Daily Data (22 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 2011-06-01 $131.87 $133.00 15.9% 4.5% 13.5% 15.2% 17.0% 5.3% -0.1% -4.08B 25.61B -266.3M 1.80 6.93 N/A N/A 1,012,007 1,816,870 5,254,781 13,306,836 2011-06-02 $131.73 $133.00 15.8% 4.5% 13.4% 14.9% 16.5% 5.2% -0.2% -4.40B 26.74B -269.6M 1.81 3.43 N/A N/A 899,224 1,630,235 5,497,315 13,594,900 2011-06-03 $130.42 $133.00 16.2% 4.6% 13.5% 16.1% 16.4% 4.6% -0.2% -4.94B 38.63B -264.2M 1.92 7.35 N/A N/A 976,920 1,873,975 5,662,318 13,876,389 2011-06-06 $129.04 $133.00 16.7% 4.8% 13.7% 17.9% 17.3% 4.7% -0.3% -5.02B 41.59B -257.2M 2.03 3.43 N/A N/A 708,771 1,437,838 5,520,631 13,579,807 2011-06-07 $128.96 $133.00 16.3% 4.7% 13.5% 16.5% 17.4% 4.5% -0.2% -5.02B 41.09B -254.2M 1.85 4.44 N/A N/A 717,115 1,323,981 5,709,311 13,746,455 2011-06-08 $128.42 $133.00 17.8% 4.8% 12.9% 21.3% 16.6% 4.2% -0.2% -5.52B 47.15B -253.9M 1.98 5.34 N/A N/A 861,952 1,705,268 5,848,904 14,084,352 2011-06-09 $129.40 $132.00 15.8% 4.5% 13.1% 14.9% 16.1% 4.7% 0.7% -4.86B 38.88B -255.9M 1.68 2.32 N/A N/A 719,479 1,209,144 6,011,551 14,268,037 2011-06-10 $127.60 $132.00 16.2% 4.6% 13.5% 16.2% 17.1% 4.7% 0.7% -5.90B 51.12B -249.6M 1.88 3.88 N/A N/A 1,228,717 2,314,963 6,145,733 14,242,611 2011-06-13 $127.70 $132.00 16.7% 4.8% 13.5% 17.8% 17.6% 5.1% 0.7% -5.33B 48.71B -252.7M 1.73 3.02 N/A N/A 772,155 1,336,663 6,147,693 14,426,283 2011-06-14 $129.32 $132.00 15.5% 4.5% 14.4% 14.1% 16.2% 4.8% 1.0% -4.41B 34.00B -252.0M 1.51 2.43 N/A N/A 829,407 1,252,246 6,384,008 14,616,331 2011-06-15 $127.02 $132.00 17.8% 5.1% 15.5% 21.3% 18.7% 6.2% 0.5% -5.67B 53.54B -254.7M 1.78 5.86 N/A N/A 1,406,461 2,505,765 6,565,081 14,762,250 2011-06-16 $127.30 $131.00 19.2% 5.5% 15.0% 25.8% 20.6% 7.2% -0.1% -5.36B 50.79B -260.6M 0.83 3.61 N/A N/A 3,316,006 2,740,655 6,830,595 14,986,195 2011-06-17 $127.05 $131.00 18.9% 5.4% 14.9% 25.0% 20.0% 6.9% 0.1% -9.03B 50.01B -268.4M 2.04 3.23 N/A N/A 1,146,999 2,343,023 7,104,540 15,584,521 2011-06-20 $127.70 $131.00 17.3% 5.0% 15.0% 19.9% 18.5% 6.1% 0.4% -3.33B 29.82B -263.5M 1.85 2.70 N/A N/A 654,557 1,211,970 4,874,201 11,811,426 2011-06-21 $129.45 $131.00 17.1% 4.9% 15.6% 19.2% 18.3% 5.5% 0.1% -2.67B 20.07B -266.2M 2.10 3.45 N/A N/A 1,056,323 2,217,595 5,113,559 12,136,687 2011-06-22 $128.67 $131.00 16.0% 4.6% 15.7% 15.5% 16.6% 5.0% 0.8% -3.91B 26.83B -267.1M 1.82 2.79 N/A N/A 723,404 1,316,454 5,297,176 12,859,247 2011-06-23 $128.30 $130.00 17.0% 4.9% 15.6% 18.9% 18.4% 5.3% 0.5% -4.10B 29.57B -270.8M 2.19 4.48 N/A N/A 1,302,034 2,856,529 5,442,418 12,936,981 2011-06-24 $126.81 $130.00 20.5% 5.4% 15.8% 30.1% 19.5% 6.1% -0.3% -5.14B 40.46B -278.4M 1.74 3.37 N/A N/A 953,025 1,660,899 5,712,488 13,546,850 2011-06-27 $127.94 $130.00 22.4% 5.2% 16.2% 36.3% 19.8% 5.9% -0.1% -3.57B 28.91B -274.1M 2.09 2.35 N/A N/A 687,990 1,439,583 5,593,128 13,391,604 2011-06-28 $129.61 $130.00 19.8% 4.6% 16.5% 27.8% 17.7% 5.7% 0.4% -2.23B 14.63B -269.0M 1.84 2.61 N/A N/A 924,985 1,699,185 5,784,558 13,754,045 2011-06-29 $130.72 $130.00 14.9% 3.9% 14.9% 12.3% 16.5% 4.4% 1.6% -1.45B 4.88B -260.2M 2.58 2.68 N/A N/A 1,047,074 2,698,310 5,922,177 14,137,349 2011-06-30 $131.97 $130.00 12.8% 3.7% 15.4% 9.6% 14.9% 3.9% 1.8% -817.5M -3.61B -258.0M 2.19 2.41 N/A N/A 1,250,334 2,738,497 6,019,858 14,953,723
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