SPY Options History — September 2011 In September 2011, SPY traded between $112.86 and $121.52. ATM implied volatility averaged 32.8%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.8% (HV 20d: 32.0%). Max pain ranged from $119.00 to $126.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.83.
Notable Days 2011-09-15 : Highest Volume — 11,240,876 contracts2011-09-30 : Largest IV spike — 21.2% change2011-09-30 : Highest IV Rank — 49.9%2011-09-30 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $117.59 $112.86 $121.52 $120.94 $113.15 Max Pain $122.00 $119.00 $126.00 $126.00 $119.00 ATM IV 32.8% 26.8% 42.3% 28.2% 42.3% Expected Move 9.3% 7.7% 11.3% 8.1% 11.3% HV 20d 32.0% 26.8% 47.0% 46.0% 29.6% HV 60d 32.4% 30.9% 33.8% 30.9% 33.8% IV Rank 34.7% 25.1% 49.9% 27.3% 49.9% IV Percentile 94.0% 86.5% 99.2% 92.9% 99.2% Term Structure -1.1% -2.5% 0.7% -1.2% -1.8% VWIV 35.0% 30.3% 40.1% 30.3% 40.1% Skew 25d 11.3% 10.0% 12.7% 10.3% 11.7% Skew 10d 21.7% 19.3% 24.5% 19.3% 21.3% Call IV 25d 27.5% 22.3% 33.9% 24.2% 33.9% Put IV 25d 38.7% 32.4% 45.6% 34.4% 45.6% Bid-Ask Spread % 4.80 2.74 13.99 5.10 5.11 Gamma HHI 0.05 0.04 0.06 0.05 0.06 Net GEX -3.08B -4.17B -2.05B -3.09B -3.42B Net DEX 50.50B 27.64B 73.33B 42.08B 64.74B Net VEX -302.7M -323.3M -294.2M -323.3M -294.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.83 0.29 2.54 1.91 1.75 Total Volume 3,822,716.905 2,278,704 11,240,876 2,650,434 3,372,702 Total OI 25,877,161.524 20,967,973 29,262,505 26,384,803 25,569,787
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 2011-09-01 $120.94 $126.00 28.2% 8.1% 46.0% 27.3% 30.3% 10.3% -1.2% -3.09B 42.08B -323.3M 1.91 5.10 N/A N/A 911,512 1,738,922 8,139,621 18,245,182 2011-09-02 $117.85 $126.00 29.8% 8.6% 47.0% 29.9% 33.3% 10.8% -1.3% -4.07B 66.03B -312.9M 1.84 5.71 N/A N/A 1,316,045 2,421,874 8,245,251 18,732,889 2011-09-06 $116.99 $126.00 33.1% 9.5% 40.0% 35.2% 37.6% 11.9% -2.4% -3.74B 67.57B -309.5M 2.07 4.36 N/A N/A 1,158,519 2,394,521 8,176,707 18,669,909 2011-09-07 $120.29 $125.00 29.8% 8.5% 37.9% 29.8% 32.6% 10.3% -1.5% -3.05B 42.99B -313.0M 1.98 4.34 N/A N/A 898,667 1,778,064 8,419,871 19,066,479 2011-09-08 $119.04 $125.00 31.0% 9.0% 34.1% 31.8% 33.8% 10.2% -2.0% -3.51B 52.58B -309.3M 1.79 5.25 N/A N/A 968,037 1,730,533 8,583,751 19,252,681 2011-09-09 $115.92 $125.00 37.5% 10.4% 32.0% 42.1% 38.5% 12.1% -2.5% -4.17B 73.33B -303.9M 2.42 7.12 N/A N/A 1,699,216 4,117,934 8,771,206 19,432,584 2011-09-12 $116.67 $122.00 36.7% 9.6% 32.0% 41.0% 36.3% 12.3% -1.4% -3.86B 68.62B -303.0M 2.00 4.08 N/A N/A 1,198,613 2,393,805 8,616,039 19,745,844 2011-09-13 $117.74 $122.00 32.2% 9.2% 31.2% 33.7% 34.3% 11.1% -0.8% -3.67B 62.29B -300.6M 1.68 3.72 N/A N/A 1,135,330 1,908,586 8,803,480 19,746,687 2011-09-14 $119.37 $121.00 30.2% 8.9% 31.5% 30.5% 33.6% 10.3% -0.3% -3.03B 49.21B -301.1M 1.63 3.65 N/A N/A 1,424,792 2,316,492 9,076,400 19,859,253 2011-09-15 $121.43 $121.00 28.4% 8.1% 32.1% 27.6% 32.1% 10.0% 0.3% -2.49B 30.84B -296.5M 0.29 3.46 N/A N/A 8,735,813 2,505,063 9,241,944 20,015,657 2011-09-16 $121.52 $121.00 26.8% 7.7% 27.4% 25.1% 30.4% 10.1% 0.7% -2.87B 37.53B -297.3M 2.00 3.17 N/A N/A 1,479,440 2,951,728 8,652,744 20,609,761 2011-09-19 $120.31 $121.00 29.3% 8.4% 26.8% 29.1% 32.1% 10.7% -0.1% -2.05B 27.64B -296.0M 2.19 3.00 N/A N/A 811,085 1,777,786 6,306,477 14,661,496 2011-09-20 $120.17 $121.00 29.1% 8.4% 26.9% 28.8% 32.0% 10.4% -0.0% -2.16B 28.56B -298.3M 2.54 4.44 N/A N/A 767,938 1,947,656 6,557,020 15,193,277 2011-09-21 $116.63 $121.00 31.9% 9.1% 27.0% 33.2% 33.1% 11.0% -0.9% -3.19B 49.92B -298.4M 1.50 5.01 N/A N/A 1,221,662 1,828,616 6,802,319 15,911,485 2011-09-22 $112.86 $121.00 36.6% 10.5% 28.9% 40.8% 37.2% 12.7% -1.6% -3.27B 65.35B -295.2M 1.85 13.99 N/A N/A 1,728,905 3,200,568 7,082,356 16,276,514 2011-09-23 $113.54 $120.00 36.3% 10.4% 28.6% 40.3% 39.0% 12.6% -1.8% -2.79B 59.33B -298.5M 1.68 5.60 N/A N/A 1,459,766 2,449,453 7,625,122 16,550,861 2011-09-26 $116.24 $120.00 35.1% 10.1% 29.4% 38.3% 36.9% 12.3% -1.6% -2.38B 42.08B -300.1M 1.27 3.85 N/A N/A 1,005,440 1,273,264 7,386,331 16,100,300 2011-09-27 $117.54 $120.00 33.1% 9.5% 27.7% 35.2% 37.1% 11.7% -1.1% -2.18B 35.88B -299.9M 2.43 3.52 N/A N/A 1,164,513 2,831,945 7,516,628 16,310,715 2011-09-28 $115.15 $120.00 37.4% 10.7% 28.5% 42.1% 38.0% 12.7% -1.6% -2.86B 49.18B -303.5M 2.11 2.74 N/A N/A 897,045 1,893,209 7,657,104 16,875,216 2011-09-29 $116.05 $119.00 34.9% 10.0% 28.6% 38.1% 36.2% 11.7% -0.9% -2.82B 44.76B -302.0M 1.53 3.49 N/A N/A 1,365,831 2,096,165 7,844,491 17,088,953 2011-09-30 $113.15 $119.00 42.3% 11.3% 29.6% 49.9% 40.1% 11.7% -1.8% -3.42B 64.74B -294.2M 1.75 5.11 N/A N/A 1,227,179 2,145,523 8,088,168 17,481,619
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