SPY Options History — October 2011

In October 2011, SPY traded between $109.93 and $128.63. ATM implied volatility averaged 30.0%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.1% (HV 20d: 29.9%). Max pain ranged from $118.00 to $124.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.90.

Notable Days

2011-10-04: Highest Volume — 5,716,126 contracts
2011-10-31: Largest IV spike — 41.0% change
2011-10-03: Highest IV Rank — 65.4%
2011-10-03: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.82	$109.93	$128.63	$109.93	$125.50
Max Pain	$120.29	$118.00	$124.00	$119.00	$124.00
ATM IV	30.0%	21.4%	52.0%	52.0%	30.3%
Expected Move	8.2%	5.9%	12.1%	12.1%	7.5%
HV 20d	29.9%	26.8%	32.6%	29.9%	26.8%
HV 60d	35.6%	34.3%	36.8%	34.3%	35.7%
IV Rank	30.2%	16.4%	65.4%	65.4%	30.7%
IV Percentile	83.7%	71.8%	99.6%	99.6%	86.5%
Term Structure	0.1%	-2.3%	1.2%	-2.3%	0.2%
VWIV	31.0%	22.8%	42.0%	42.0%	27.2%
Skew 25d	9.4%	6.2%	11.0%	10.0%	7.8%
Skew 10d	18.4%	11.7%	22.9%	18.1%	15.8%
Call IV 25d	24.5%	18.1%	37.9%	37.9%	22.7%
Put IV 25d	33.9%	24.3%	47.9%	47.9%	30.5%
Bid-Ask Spread %	4.19	2.55	7.47	3.59	4.13
Gamma HHI	0.06	0.03	0.46	0.04	0.03
Net GEX	-1.04B	-2.71B	4.30B	-2.71B	-1.18B
Net DEX	13.71B	-16.04B	64.71B	64.71B	5.67B
Net VEX	-270.0M	-291.1M	-244.3M	-272.9M	-258.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	1.32	2.75	1.55	2.07
Total Volume	3,230,912.143	1,601,668	5,716,126	3,493,588	2,413,139
Total OI	23,945,732.857	19,177,972	27,889,173	22,173,722	20,712,816

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
2011-10-03	$109.93	$119.00	52.0%	12.1%	29.9%	65.4%	42.0%	10.0%	-2.3%	-2.71B	64.71B	-272.9M	1.55	3.59	N/A	N/A	1,368,465	2,125,123	7,036,829	15,136,893
2011-10-04	$112.34	$119.00	44.4%	10.8%	31.2%	53.2%	39.8%	9.2%	-0.9%	-2.66B	53.27B	-283.6M	1.92	7.47	N/A	N/A	1,960,126	3,756,000	7,439,952	15,567,531
2011-10-05	$114.42	$118.00	41.3%	10.0%	30.1%	48.2%	36.2%	7.3%	-0.6%	-2.11B	39.76B	-288.0M	1.55	5.03	N/A	N/A	1,223,810	1,895,702	7,866,545	16,102,609
2011-10-06	$116.49	$118.00	34.0%	9.4%	30.8%	36.6%	34.9%	7.2%	0.1%	-1.59B	27.50B	-291.1M	2.41	2.55	N/A	N/A	1,101,250	2,657,068	8,003,204	16,386,824
2011-10-07	$115.71	$119.00	32.0%	9.4%	29.4%	33.4%	35.2%	11.0%	-0.1%	-1.83B	29.89B	-288.7M	1.56	5.57	N/A	N/A	1,540,642	2,409,058	8,233,123	16,917,866
2011-10-10	$119.58	$119.00	31.2%	8.4%	31.6%	32.1%	32.2%	10.5%	0.3%	-1.32B	14.18B	-278.6M	2.10	4.04	N/A	N/A	956,705	2,005,074	7,814,375	16,512,651
2011-10-11	$119.70	$119.00	28.4%	8.2%	31.5%	27.6%	31.4%	10.3%	0.4%	-1.43B	14.80B	-275.2M	1.81	3.43	N/A	N/A	804,051	1,456,645	7,957,957	16,831,196
2011-10-12	$120.75	$119.00	24.7%	7.7%	31.3%	21.7%	29.5%	9.8%	0.5%	-1.20B	9.35B	-267.9M	2.75	4.25	N/A	N/A	1,043,056	2,866,273	8,084,664	17,280,959
2011-10-13	$120.51	$120.00	26.3%	7.5%	30.6%	24.2%	29.8%	9.8%	0.7%	-1.64B	12.42B	-272.5M	2.07	4.06	N/A	N/A	829,140	1,712,486	8,265,716	17,886,210
2011-10-14	$122.57	$120.00	24.0%	6.9%	31.3%	20.5%	27.4%	9.7%	0.9%	-273.7M	-1.24B	-267.4M	1.77	4.09	N/A	N/A	1,100,243	1,950,228	8,384,165	18,103,517
2011-10-17	$120.23	$120.00	28.6%	8.2%	31.8%	28.0%	30.6%	11.0%	-0.3%	-1.93B	17.65B	-269.4M	1.86	3.51	N/A	N/A	783,917	1,454,765	8,179,188	17,937,942
2011-10-18	$122.58	$120.00	26.3%	7.5%	32.6%	24.3%	29.7%	10.2%	0.2%	-569.0M	7.2M	-268.0M	1.89	6.08	N/A	N/A	1,197,418	2,262,456	8,313,244	18,227,905
2011-10-19	$121.13	$120.00	29.6%	8.5%	30.9%	29.6%	32.0%	11.0%	-0.3%	-1.47B	11.38B	-273.9M	1.78	4.45	N/A	N/A	989,290	1,762,664	8,375,500	18,486,207
2011-10-20	$121.66	$121.00	29.1%	8.3%	28.0%	28.7%	33.4%	10.8%	-0.2%	-1.29B	8.64B	-268.9M	2.37	3.80	N/A	N/A	1,261,598	2,988,627	8,383,297	18,631,454
2011-10-21	$123.97	$121.00	26.5%	7.6%	28.5%	24.6%	28.8%	9.7%	0.5%	4.30B	-9.26B	-263.2M	1.32	3.73	N/A	N/A	1,715,754	2,269,495	8,580,168	19,309,005
2011-10-24	$125.49	$121.00	25.2%	7.2%	27.8%	22.5%	28.0%	8.7%	0.4%	-706.8M	1.07B	-257.9M	1.74	3.35	N/A	N/A	838,821	1,462,313	5,883,608	13,294,364
2011-10-25	$123.05	$121.00	28.0%	8.0%	28.8%	27.0%	29.1%	9.8%	-0.3%	-1.36B	12.54B	-267.5M	1.70	4.88	N/A	N/A	901,393	1,536,183	6,106,406	13,766,526
2011-10-26	$124.30	$122.00	25.8%	7.4%	27.6%	23.5%	27.8%	10.1%	0.3%	-1.08B	6.35B	-261.3M	1.94	3.30	N/A	N/A	544,432	1,057,236	6,276,548	14,035,128
2011-10-27	$128.63	$122.00	21.4%	6.1%	29.7%	16.4%	23.9%	6.9%	0.8%	344.4M	-16.04B	-244.3M	1.86	3.15	N/A	N/A	1,857,537	3,463,682	6,348,590	14,243,290
2011-10-28	$128.60	$124.00	21.5%	5.9%	27.5%	16.6%	22.8%	6.2%	1.2%	-227.3M	-14.65B	-251.0M	1.88	3.44	N/A	N/A	809,198	1,518,092	6,749,482	15,206,936
2011-10-31	$125.50	$124.00	30.3%	7.5%	26.8%	30.7%	27.2%	7.8%	0.2%	-1.18B	5.67B	-258.7M	2.07	4.13	N/A	N/A	786,672	1,626,467	6,354,363	14,358,453