SPY Options History — November 2011 In November 2011, SPY traded between $116.34 and $127.88. ATM implied volatility averaged 29.0%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.0% (HV 20d: 29.0%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.81.
Notable Days 2011-11-01 : Highest Volume — 5,132,998 contracts2011-11-09 : Largest IV spike — 44.2% change2011-11-01 : Highest IV Rank — 44.3%2011-11-23 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $122.96 $116.34 $127.88 $122.00 $124.99 Max Pain $123.43 $120.00 $125.00 $124.00 $120.00 ATM IV 29.0% 22.9% 38.8% 38.8% 24.3% Expected Move 8.1% 6.8% 9.1% 9.0% 7.0% HV 20d 29.0% 26.0% 30.7% 28.9% 29.6% HV 60d 29.6% 28.2% 33.4% 33.4% 29.7% IV Rank 28.6% 18.9% 44.3% 44.3% 21.1% IV Percentile 80.9% 67.1% 96.8% 96.8% 67.1% Term Structure -0.5% -2.4% 0.4% -2.4% -0.0% VWIV 30.2% 27.0% 34.4% 32.4% 27.0% Skew 25d 9.6% 7.8% 12.1% 10.6% 7.8% Skew 10d 18.6% 14.3% 23.7% 22.8% 14.3% Call IV 25d 24.1% 20.2% 27.4% 25.6% 21.1% Put IV 25d 33.6% 28.9% 37.9% 36.2% 28.9% Bid-Ask Spread % 4.15 2.59 8.00 3.64 5.97 Gamma HHI 0.06 0.03 0.37 0.04 0.04 Net GEX -2.08B -5.52B -399.4M -2.16B -629.3M Net DEX 18.16B -8.46B 48.24B 22.18B 1.79B Net VEX -255.8M -280.2M -235.2M -276.6M -235.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 1.41 2.56 1.86 1.51 Total Volume 2,913,518.381 1,661,470 5,132,998 5,132,998 3,584,836 Total OI 22,847,285.381 19,095,454 26,555,944 21,850,008 21,088,991
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 2011-11-01 $122.00 $124.00 38.8% 9.0% 28.9% 44.3% 32.4% 10.6% -2.4% -2.16B 22.18B -276.6M 1.86 3.64 N/A N/A 1,793,460 3,339,538 6,610,701 15,239,307 2011-11-02 $123.99 $124.00 33.2% 8.1% 28.7% 35.4% 30.1% 9.4% -0.5% -1.94B 16.45B -280.2M 1.81 2.85 N/A N/A 693,405 1,256,076 6,914,274 15,884,507 2011-11-03 $126.25 $124.00 27.1% 7.4% 28.7% 25.5% 27.8% 8.3% 0.4% -1.20B 2.44B -271.3M 1.66 3.96 N/A N/A 1,002,869 1,667,604 7,004,336 15,979,344 2011-11-04 $125.48 $124.00 26.2% 7.6% 28.7% 24.1% 28.7% 10.0% -0.3% -1.42B 5.38B -266.3M 1.65 4.93 N/A N/A 1,086,361 1,790,219 7,082,445 16,295,046 2011-11-07 $126.26 $124.00 27.2% 7.5% 26.6% 25.8% 29.4% 9.8% -0.4% -1.12B 2.18B -258.5M 1.90 3.07 N/A N/A 646,474 1,231,264 6,838,033 16,039,271 2011-11-08 $127.88 $124.00 22.9% 6.8% 26.9% 18.9% 28.1% 8.8% 0.0% -399.4M -8.46B -250.2M 2.33 2.85 N/A N/A 891,023 2,071,668 6,979,604 16,379,059 2011-11-09 $123.16 $124.00 33.1% 8.9% 30.4% 35.1% 34.4% 12.1% -0.8% -2.41B 23.39B -274.8M 2.56 3.72 N/A N/A 1,154,218 2,956,236 7,067,412 16,646,980 2011-11-10 $124.32 $124.00 28.4% 8.2% 30.5% 27.7% 31.3% 11.3% -0.4% -2.16B 15.69B -269.7M 2.05 3.40 N/A N/A 856,996 1,752,811 7,365,068 17,196,784 2011-11-11 $126.66 $124.00 25.6% 7.3% 30.7% 23.2% 27.5% 9.7% -0.2% -847.9M -1.69B -262.0M 1.59 3.71 N/A N/A 1,070,825 1,698,959 7,395,895 17,351,408 2011-11-14 $125.46 $124.00 27.9% 8.0% 30.0% 26.7% 30.4% 10.3% -0.4% -1.37B 4.69B -254.5M 2.33 2.81 N/A N/A 612,739 1,425,159 7,298,273 17,183,860 2011-11-15 $126.08 $124.00 27.2% 7.8% 29.3% 25.7% 30.2% 10.2% -0.5% -1.40B 3.49B -253.3M 2.02 3.32 N/A N/A 838,427 1,693,002 7,347,084 17,560,779 2011-11-16 $124.08 $124.00 29.2% 8.4% 29.6% 28.9% 30.9% 10.6% -0.7% -3.07B 18.52B -260.1M 2.07 3.30 N/A N/A 976,339 2,018,796 7,517,050 18,160,663 2011-11-17 $122.11 $125.00 30.4% 8.7% 30.2% 30.8% 31.7% 10.5% -0.6% -3.63B 29.68B -256.5M 1.80 4.61 N/A N/A 1,724,711 3,096,165 7,658,175 18,245,639 2011-11-18 $121.98 $124.00 29.0% 8.3% 29.4% 28.6% 30.0% 9.5% -0.6% -5.52B 28.31B -255.9M 1.64 4.66 N/A N/A 1,294,641 2,118,383 7,982,492 18,573,452 2011-11-21 $119.66 $124.00 30.5% 8.7% 29.6% 30.9% 31.8% 8.8% -0.8% -2.10B 32.33B -247.8M 1.78 4.08 N/A N/A 1,189,663 2,112,793 5,961,775 13,133,679 2011-11-22 $119.19 $124.00 29.9% 8.6% 28.9% 30.0% 30.1% 8.1% -0.7% -2.41B 35.20B -243.9M 1.41 2.59 N/A N/A 984,307 1,382,963 6,215,039 13,457,772 2011-11-23 $116.56 $124.00 31.2% 9.1% 29.5% 32.2% 32.0% 9.0% -0.7% -2.78B 44.95B -241.6M 1.43 4.73 N/A N/A 1,484,403 2,128,172 6,438,659 13,717,777 2011-11-25 $116.34 $121.00 30.9% 8.8% 26.0% 31.5% 31.1% 9.2% -0.2% -3.15B 48.24B -238.9M 1.49 8.00 N/A N/A 667,346 994,124 6,775,075 14,225,738 2011-11-28 $119.71 $121.00 28.5% 8.2% 28.5% 27.8% 29.0% 8.7% -0.2% -2.03B 29.51B -239.0M 1.54 4.66 N/A N/A 764,874 1,175,866 6,418,442 13,902,502 2011-11-29 $120.05 $121.00 27.6% 7.9% 27.5% 26.4% 30.4% 8.3% -0.0% -1.94B 27.03B -236.0M 1.63 6.32 N/A N/A 744,072 1,212,099 6,596,651 14,063,952 2011-11-30 $124.99 $120.00 24.3% 7.0% 29.6% 21.1% 27.0% 7.8% -0.0% -629.3M 1.79B -235.2M 1.51 5.97 N/A N/A 1,425,915 2,158,921 6,771,183 14,317,808
« Oct 2011 | All History | Dec 2011 » Home SPY History November 2011