SPY Options History — July 2011

In July 2011, SPY traded between $129.33 and $135.36. ATM implied volatility averaged 17.2%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.9% (HV 20d: 15.3%). Max pain ranged from $130.00 to $133.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.08.

Notable Days

2011-07-27: Highest Volume — 4,677,022 contracts
2011-07-29: Largest IV spike — 40.6% change
2011-07-29: Highest IV Rank — 100.0%
2011-07-29: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$132.58	$129.33	$135.36	$133.92	$129.33
Max Pain	$131.90	$130.00	$133.00	$130.00	$132.00
ATM IV	17.2%	13.0%	30.2%	13.0%	30.2%
Expected Move	4.8%	3.7%	6.7%	3.7%	6.7%
HV 20d	15.3%	14.3%	16.2%	15.7%	15.6%
HV 60d	13.8%	13.1%	14.6%	13.1%	14.6%
IV Rank	35.2%	10.8%	100.0%	10.8%	100.0%
IV Percentile	51.2%	9.5%	100.0%	9.5%	100.0%
Term Structure	0.5%	-1.3%	1.1%	1.1%	-1.3%
VWIV	18.2%	14.4%	23.8%	14.4%	23.8%
Skew 25d	5.6%	2.9%	9.0%	2.9%	9.0%
Skew 10d	11.4%	5.2%	18.4%	5.2%	18.4%
Call IV 25d	14.4%	12.0%	19.2%	12.0%	19.2%
Put IV 25d	20.0%	14.9%	28.2%	14.9%	28.2%
Bid-Ask Spread %	4.25	2.46	19.60	2.86	19.60
Gamma HHI	0.05	0.04	0.07	0.06	0.06
Net GEX	-2.75B	-4.64B	36.8M	-434.7M	-4.37B
Net DEX	10.08B	-17.74B	39.54B	-11.64B	39.54B
Net VEX	-279.3M	-316.1M	-244.3M	-251.6M	-314.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.08	1.72	2.42	1.72	1.72
Total Volume	2,787,482.6	1,626,018	4,677,022	3,379,366	4,592,403
Total OI	19,840,287.95	16,627,260	22,651,250	19,539,161	20,994,853

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
2011-07-01	$133.92	$130.00	13.0%	3.7%	15.7%	10.8%	14.4%	2.9%	1.1%	-434.7M	-11.64B	-251.6M	1.72	2.86	N/A	N/A	1,244,195	2,135,171	5,445,322	14,093,839
2011-07-05	$133.81	$131.00	14.3%	4.1%	15.1%	18.1%	16.1%	4.5%	1.0%	-846.5M	-8.83B	-248.4M	2.42	3.18	N/A	N/A	561,722	1,357,592	5,389,871	14,096,845
2011-07-06	$133.97	$132.00	13.1%	4.2%	15.1%	11.6%	15.7%	4.6%	1.0%	-1.19B	-7.02B	-255.0M	2.03	3.79	N/A	N/A	593,177	1,202,582	5,478,566	14,483,070
2011-07-07	$135.36	$132.00	13.2%	4.1%	15.2%	11.9%	15.7%	4.3%	1.1%	36.8M	-17.74B	-244.3M	1.84	3.73	N/A	N/A	1,224,878	2,251,304	5,568,597	14,852,956
2011-07-08	$134.40	$132.00	13.0%	4.1%	15.4%	10.8%	15.5%	4.6%	1.1%	-1.94B	-7.60B	-261.1M	2.21	2.46	N/A	N/A	837,901	1,847,709	5,735,106	15,503,234
2011-07-11	$131.97	$132.00	17.9%	4.7%	16.1%	39.8%	17.7%	5.6%	0.8%	-3.30B	10.65B	-273.7M	2.37	2.96	N/A	N/A	937,722	2,221,101	5,653,723	15,283,171
2011-07-12	$131.40	$132.00	20.2%	5.1%	16.2%	53.2%	18.6%	6.1%	0.5%	-3.98B	17.87B	-284.6M	2.42	3.47	N/A	N/A	747,872	1,811,172	5,761,847	15,626,929
2011-07-13	$131.84	$132.00	17.7%	4.9%	15.7%	38.5%	18.4%	5.8%	0.6%	-4.07B	15.26B	-282.1M	2.40	3.46	N/A	N/A	720,139	1,729,382	5,829,509	15,811,996
2011-07-14	$130.93	$133.00	18.0%	5.2%	14.3%	40.2%	19.4%	6.2%	0.6%	-4.23B	21.35B	-285.1M	2.39	2.85	N/A	N/A	1,169,638	2,795,160	5,877,184	16,068,795
2011-07-15	$131.69	$132.00	16.5%	4.7%	14.4%	31.8%	18.1%	6.1%	1.1%	-3.49B	14.70B	-282.9M	2.02	3.64	N/A	N/A	1,244,212	2,512,301	6,063,749	16,587,501
2011-07-18	$130.61	$132.00	17.8%	5.1%	14.8%	39.0%	19.7%	6.4%	0.8%	-3.34B	23.77B	-289.9M	2.05	3.46	N/A	N/A	742,657	1,519,413	4,307,714	12,319,546
2011-07-19	$132.73	$132.00	16.1%	4.6%	15.7%	29.3%	18.0%	5.8%	1.1%	-2.58B	11.63B	-286.1M	1.76	4.43	N/A	N/A	791,178	1,390,832	4,523,798	12,786,146
2011-07-20	$132.65	$132.00	16.3%	4.7%	15.1%	30.5%	17.6%	5.7%	0.7%	-2.75B	12.34B	-288.0M	1.95	4.12	N/A	N/A	564,840	1,099,322	4,632,513	13,226,791
2011-07-21	$134.49	$132.00	15.8%	4.5%	15.4%	27.3%	16.9%	5.0%	0.7%	-1.54B	-1.02B	-273.3M	1.82	3.14	N/A	N/A	989,745	1,800,892	4,762,073	13,644,949
2011-07-22	$134.58	$132.00	15.0%	4.3%	15.3%	23.0%	16.7%	4.6%	0.9%	-1.94B	-541.3M	-276.3M	2.04	2.85	N/A	N/A	609,265	1,244,751	5,011,106	14,001,069
2011-07-25	$133.83	$132.00	17.1%	4.9%	14.7%	35.0%	18.3%	5.4%	0.1%	-2.51B	7.38B	-281.5M	2.42	3.15	N/A	N/A	565,271	1,366,145	4,799,712	13,630,763
2011-07-26	$133.33	$132.00	17.8%	5.1%	14.7%	39.1%	18.9%	5.6%	0.1%	-3.28B	13.15B	-289.4M	1.84	3.01	N/A	N/A	571,626	1,054,392	4,910,008	14,018,347
2011-07-27	$130.60	$132.00	20.2%	5.8%	16.2%	53.5%	21.6%	6.4%	-0.6%	-4.59B	32.89B	-302.6M	2.09	4.20	N/A	N/A	1,515,654	3,161,368	5,062,261	14,393,020
2011-07-28	$130.22	$132.00	21.5%	6.2%	15.9%	60.9%	22.0%	7.2%	-1.1%	-4.64B	35.45B	-316.1M	2.02	4.63	N/A	N/A	1,001,722	2,023,246	5,487,419	15,081,861
2011-07-29	$129.33	$132.00	30.2%	6.7%	15.6%	100.0%	23.8%	9.0%	-1.3%	-4.37B	39.54B	-314.9M	1.72	19.60	N/A	N/A	1,690,050	2,902,353	5,644,782	15,350,071