SPY Options History — August 2011 In August 2011, SPY traded between $112.26 and $128.78. ATM implied volatility averaged 34.7%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 4.1% (HV 20d: 38.8%). Max pain ranged from $125.00 to $132.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.91.
Notable Days 2011-08-08 : Highest Volume — 8,705,664 contracts2011-08-08 : Largest IV spike — 99.6% change2011-08-02 : Highest IV Rank — 100.0%2011-08-08 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $118.78 $112.26 $128.78 $128.78 $122.22 Max Pain $127.48 $125.00 $132.00 $132.00 $126.00 ATM IV 34.7% 26.6% 73.6% 27.8% 28.0% Expected Move 8.8% 6.1% 11.6% 6.3% 8.0% HV 20d 38.8% 14.5% 49.7% 14.5% 49.0% HV 60d 25.9% 14.5% 30.9% 14.5% 30.8% IV Rank 50.4% 24.8% 100.0% 87.2% 26.9% IV Percentile 97.1% 92.1% 100.0% 99.2% 92.1% Term Structure -1.9% -5.1% -0.2% -2.1% -1.1% VWIV 32.6% 21.9% 39.6% 23.5% 30.2% Skew 25d 11.6% 5.9% 16.1% 6.7% 10.4% Skew 10d 22.2% 10.7% 30.1% 12.6% 20.0% Call IV 25d 25.6% 18.7% 32.7% 19.5% 23.4% Put IV 25d 37.2% 24.6% 48.8% 26.1% 33.8% Bid-Ask Spread % 9.76 3.81 38.43 12.25 6.14 Gamma HHI 0.05 0.04 0.18 0.05 0.04 Net GEX -3.70B -5.59B -2.35B -4.63B -2.35B Net DEX 75.33B 28.63B 122.25B 41.71B 28.63B Net VEX -305.8M -325.4M -265.3M -299.2M -325.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.91 1.33 2.54 1.97 1.89 Total Volume 4,619,175.783 2,471,424 8,705,664 4,022,385 3,366,493 Total OI 25,821,685.043 20,632,488 30,751,393 20,632,488 25,842,233
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 2011-08-01 $128.78 $132.00 27.8% 6.3% 14.5% 87.2% 23.5% 6.7% -2.1% -4.63B 41.71B -299.2M 1.97 12.25 N/A N/A 1,353,157 2,669,228 5,611,126 15,021,362 2011-08-02 $125.49 $132.00 30.6% 6.9% 16.8% 100.0% 23.1% 6.8% -2.1% -5.43B 64.88B -294.9M 1.97 7.20 N/A N/A 1,559,358 3,076,962 5,904,932 15,524,509 2011-08-03 $126.17 $132.00 27.0% 6.1% 17.0% 81.5% 21.9% 5.9% -0.2% -5.59B 60.52B -302.2M 1.87 4.50 N/A N/A 2,116,185 3,951,136 6,241,011 15,991,644 2011-08-04 $120.26 $131.00 39.1% 9.4% 22.6% 100.0% 30.4% 10.4% -5.1% -4.70B 91.55B -296.4M 1.90 6.65 N/A N/A 2,697,363 5,133,267 6,608,946 16,395,377 2011-08-05 $120.08 $130.00 36.9% 8.0% 22.7% 92.1% 29.2% 10.5% -0.7% -4.67B 95.54B -310.6M 1.75 12.48 N/A N/A 2,664,925 4,655,974 7,579,701 17,253,103 2011-08-08 $112.26 $130.00 73.6% 11.6% 31.3% 100.0% 38.5% 16.1% -3.0% -3.27B 122.25B -265.3M 1.90 12.53 N/A N/A 3,006,042 5,699,622 7,335,077 17,539,596 2011-08-09 $117.48 $128.00 42.1% 8.8% 36.7% 49.6% 32.5% 12.3% -1.3% -4.23B 98.20B -304.6M 2.10 9.18 N/A N/A 2,083,169 4,368,081 8,533,061 18,324,535 2011-08-10 $112.29 $128.00 49.9% 10.8% 39.1% 62.1% 37.9% 14.4% -2.4% -3.68B 119.21B -289.4M 2.04 10.60 N/A N/A 2,013,175 4,107,693 9,094,426 19,297,345 2011-08-11 $117.33 $127.00 34.1% 9.8% 43.2% 36.7% 36.6% 13.5% -2.1% -3.56B 90.96B -324.0M 1.45 7.39 N/A N/A 2,122,001 3,080,038 9,504,913 19,338,684 2011-08-12 $118.12 $127.00 31.8% 9.1% 43.2% 33.1% 32.8% 11.6% -1.5% -3.65B 85.73B -323.0M 1.33 16.41 N/A N/A 1,750,766 2,329,935 9,719,150 19,764,485 2011-08-15 $120.62 $127.00 27.4% 7.9% 44.2% 26.1% 29.9% 10.0% -5.0% -3.71B 73.90B -310.7M 1.70 38.43 N/A N/A 1,242,214 2,110,374 9,445,627 19,446,568 2011-08-16 $119.59 $126.00 28.4% 8.1% 43.6% 27.6% 30.5% 10.1% -0.9% -3.68B 76.25B -311.3M 1.80 6.12 N/A N/A 1,032,210 1,855,725 9,609,265 19,667,632 2011-08-17 $119.67 $126.00 26.6% 7.6% 43.6% 24.8% 29.0% 9.8% -0.5% -4.07B 78.34B -301.6M 1.97 4.00 N/A N/A 1,186,329 2,335,056 9,688,926 19,783,910 2011-08-18 $114.51 $126.00 35.5% 10.2% 45.1% 39.1% 37.3% 15.2% -1.7% -4.19B 107.96B -294.4M 2.19 7.11 N/A N/A 1,893,609 4,149,087 9,759,027 20,117,416 2011-08-19 $112.64 $125.00 37.5% 10.7% 45.1% 42.1% 39.6% 15.8% -2.2% -5.09B 118.83B -287.8M 2.54 8.14 N/A N/A 1,605,398 4,080,342 10,117,579 20,633,814 2011-08-22 $112.73 $125.00 37.3% 10.7% 45.2% 41.8% 38.0% 14.9% -1.7% -2.73B 75.29B -286.4M 1.87 4.91 N/A N/A 885,909 1,654,277 6,892,234 15,472,848 2011-08-23 $116.44 $125.00 32.4% 9.3% 47.5% 34.0% 35.5% 12.7% -1.0% -2.76B 61.31B -304.3M 2.03 4.50 N/A N/A 966,574 1,962,858 7,137,042 15,953,991 2011-08-24 $118.08 $125.00 30.5% 9.0% 47.7% 31.0% 35.2% 12.4% -1.2% -2.69B 54.37B -315.2M 2.25 3.81 N/A N/A 833,202 1,877,515 7,353,887 16,419,794 2011-08-25 $116.28 $126.00 35.1% 9.8% 47.8% 38.4% 38.3% 14.0% -2.5% -2.86B 61.94B -317.7M 2.47 15.25 N/A N/A 882,535 2,178,255 7,508,289 16,945,626 2011-08-26 $117.97 $126.00 30.5% 8.7% 48.4% 31.0% 34.6% 12.6% -2.0% -2.51B 52.97B -321.7M 1.63 7.72 N/A N/A 1,785,772 2,912,048 7,759,395 17,593,974 2011-08-29 $121.36 $126.00 28.3% 8.1% 49.7% 27.5% 32.7% 11.3% -1.6% -2.51B 35.80B -322.7M 1.60 4.77 N/A N/A 950,993 1,520,431 7,619,964 17,215,373 2011-08-30 $121.68 $126.00 28.1% 8.1% 49.0% 27.1% 32.5% 10.5% -1.5% -2.62B 36.41B -323.6M 1.82 14.35 N/A N/A 900,358 1,635,402 7,854,439 17,476,920 2011-08-31 $122.22 $126.00 28.0% 8.0% 49.0% 26.9% 30.2% 10.4% -1.1% -2.35B 28.63B -325.4M 1.89 6.14 N/A N/A 1,164,781 2,201,712 8,026,954 17,815,279
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