SPY Options History — December 2011 In December 2011, SPY traded between $120.29 and $126.73. ATM implied volatility averaged 22.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.8% (HV 20d: 25.5%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.36.
Notable Days 2011-12-15 : Highest Volume — 7,583,193 contracts2011-12-09 : Largest IV drop — 23.6% change2011-12-08 : Highest IV Rank — 31.8%2011-12-08 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $124.51 $120.29 $126.73 $124.97 $125.50 Max Pain $123.81 $120.00 $125.00 $120.00 $125.00 ATM IV 22.7% 17.2% 31.0% 24.1% 17.2% Expected Move 6.4% 5.3% 7.9% 6.9% 5.7% HV 20d 25.5% 19.3% 29.1% 29.1% 19.4% HV 60d 27.9% 25.8% 29.1% 29.1% 25.8% IV Rank 18.5% 9.7% 31.8% 20.8% 9.7% IV Percentile 62.2% 44.0% 86.1% 66.7% 44.0% Term Structure 1.4% -0.6% 2.6% 0.1% 2.6% VWIV 23.4% 19.8% 27.5% 25.8% 20.2% Skew 25d 6.4% 5.2% 7.8% 7.6% 5.3% Skew 10d 12.0% 9.5% 15.8% 13.6% 10.6% Call IV 25d 19.5% 15.9% 24.6% 20.9% 17.1% Put IV 25d 25.9% 21.1% 30.9% 28.5% 22.4% Bid-Ask Spread % 3.12 1.90 5.63 5.63 2.69 Gamma HHI 0.05 0.04 0.11 0.04 0.04 Net GEX -1.04B -3.15B 211.8M -703.3M -796.2M Net DEX 7.48B -5.71B 30.87B 2.55B 1.77B Net VEX -214.8M -241.5M -198.2M -236.4M -203.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 0.26 1.96 1.46 1.45 Total Volume 2,417,960.238 1,215,779 7,583,193 2,486,436 1,545,741 Total OI 20,087,044.381 15,184,150 23,676,759 21,714,674 17,581,501
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 2011-12-01 $124.97 $120.00 24.1% 6.9% 29.1% 20.8% 25.8% 7.6% 0.1% -703.3M 2.55B -236.4M 1.46 5.63 N/A N/A 1,012,749 1,473,687 7,011,670 14,703,004 2011-12-02 $124.86 $121.00 24.2% 6.9% 28.3% 20.9% 24.9% 7.4% -0.1% -904.3M 3.22B -237.0M 1.37 4.68 N/A N/A 1,213,817 1,666,120 7,147,654 14,887,456 2011-12-05 $126.22 $122.00 24.4% 7.0% 28.5% 21.2% 25.8% 7.1% -0.2% -570.8M -890.0M -231.0M 1.59 4.64 N/A N/A 859,121 1,367,665 7,041,686 14,614,123 2011-12-06 $126.26 $122.00 24.9% 7.1% 28.4% 22.1% 24.4% 6.8% -0.0% -653.4M -836.2M -232.4M 1.25 3.04 N/A N/A 926,552 1,158,012 7,250,115 14,947,586 2011-12-07 $126.73 $123.00 25.6% 7.3% 28.1% 23.1% 26.7% 6.6% -0.3% -181.2M -5.71B -236.5M 1.26 3.32 N/A N/A 960,628 1,213,420 7,478,304 15,264,227 2011-12-08 $123.95 $123.00 31.0% 7.9% 25.8% 31.8% 27.5% 6.3% -0.6% -1.64B 13.11B -241.5M 1.37 3.81 N/A N/A 1,162,058 1,587,778 7,682,473 15,546,694 2011-12-09 $126.05 $124.00 23.7% 6.6% 26.3% 20.1% 24.5% 5.7% 0.3% -351.2M -3.73B -225.6M 1.50 4.35 N/A N/A 1,208,549 1,817,580 7,821,057 15,855,702 2011-12-12 $124.21 $125.00 26.1% 6.8% 25.9% 23.9% 25.2% 7.8% 1.7% -1.41B 11.39B -216.5M 1.38 2.49 N/A N/A 848,405 1,171,859 7,584,569 15,266,674 2011-12-13 $123.05 $125.00 25.4% 6.8% 25.9% 22.7% 24.6% 7.6% 1.6% -2.12B 17.70B -213.2M 1.57 3.55 N/A N/A 1,012,479 1,586,735 7,610,001 15,282,904 2011-12-14 $121.74 $125.00 25.1% 6.8% 26.0% 22.4% 25.0% 7.5% 1.8% -2.87B 28.02B -209.9M 1.41 2.75 N/A N/A 1,203,362 1,696,848 7,664,119 15,427,380 2011-12-15 $122.19 $125.00 22.8% 6.5% 25.5% 18.7% 24.1% 7.2% 2.0% -2.54B 24.25B -206.6M 0.26 2.14 N/A N/A 6,038,724 1,544,469 7,756,231 15,458,262 2011-12-16 $121.59 $125.00 22.5% 6.5% 25.0% 18.2% 23.7% 6.9% 2.0% -3.15B 30.87B -201.8M 1.85 3.10 N/A N/A 1,108,251 2,048,266 7,248,324 15,601,790 2011-12-19 $120.29 $125.00 23.2% 6.7% 25.2% 19.3% 24.1% 6.6% 1.8% -1.92B 24.03B -200.4M 1.96 2.50 N/A N/A 712,967 1,399,162 5,000,298 10,183,852 2011-12-20 $123.93 $124.00 20.8% 6.0% 26.4% 15.5% 22.2% 6.2% 2.0% -876.6M 7.68B -204.4M 1.22 2.70 N/A N/A 1,017,344 1,244,032 5,194,335 10,559,204 2011-12-21 $124.17 $124.00 19.6% 5.6% 26.4% 13.6% 20.4% 5.3% 2.1% -727.5M 6.63B -203.6M 1.24 2.82 N/A N/A 798,448 992,679 5,589,434 10,822,066 2011-12-22 $125.27 $124.00 19.2% 5.5% 24.8% 12.9% 20.2% 5.3% 2.1% 60.5M 267.5M -204.0M 1.09 2.36 N/A N/A 857,264 934,094 5,771,302 10,997,492 2011-12-23 $126.39 $124.00 18.5% 5.3% 24.8% 11.8% 19.8% 5.3% 2.5% 211.8M -5.01B -204.5M 1.38 2.52 N/A N/A 611,087 843,902 5,842,136 11,181,670 2011-12-27 $126.49 $124.00 19.0% 5.5% 23.1% 12.6% 20.4% 5.2% 2.3% 128.6M -2.98B -198.2M 1.36 2.15 N/A N/A 515,301 700,478 5,686,129 11,031,687 2011-12-28 $124.83 $125.00 20.1% 5.8% 23.8% 14.3% 20.7% 5.7% 2.2% -715.3M 5.71B -202.6M 1.28 2.34 N/A N/A 601,124 771,310 5,810,564 11,132,384 2011-12-29 $126.12 $125.00 19.2% 5.5% 19.3% 12.9% 20.3% 5.3% 2.4% -146.3M -946.5M -201.5M 1.39 1.90 N/A N/A 562,858 782,240 5,918,846 11,373,027 2011-12-30 $125.50 $125.00 17.2% 5.7% 19.4% 9.7% 20.2% 5.3% 2.6% -796.2M 1.77B -203.9M 1.45 2.69 N/A N/A 630,730 915,011 6,015,961 11,565,540
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