SPY Options History — January 2012

In January 2012, SPY traded between $127.50 and $132.56. ATM implied volatility averaged 16.5%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 14.3%). Max pain ranged from $125.00 to $129.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.81.

Notable Days

2012-01-13: Highest Volume — 2,378,701 contracts
2012-01-30: Largest IV spike — 18.9% change
2012-01-03: Highest IV Rank — 13.0%
2012-01-17: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$130.04	$127.50	$132.56	$127.50	$131.32
Max Pain	$126.30	$125.00	$129.00	$125.00	$129.00
ATM IV	16.5%	14.5%	19.3%	19.3%	18.8%
Expected Move	4.9%	4.2%	5.5%	5.5%	4.6%
HV 20d	14.3%	8.5%	20.1%	20.1%	8.5%
HV 60d	23.6%	20.5%	25.8%	25.8%	20.5%
IV Rank	8.6%	5.4%	13.0%	13.0%	12.2%
IV Percentile	36.8%	21.8%	55.2%	55.2%	51.6%
Term Structure	1.8%	1.2%	2.9%	2.3%	1.6%
VWIV	18.6%	16.1%	21.6%	20.1%	16.1%
Skew 25d	5.0%	3.4%	6.8%	4.9%	3.5%
Skew 10d	10.2%	6.5%	14.3%	10.0%	6.8%
Call IV 25d	14.8%	12.8%	16.5%	16.5%	14.3%
Put IV 25d	19.8%	17.2%	22.9%	21.5%	17.9%
Bid-Ask Spread %	2.71	1.73	6.28	1.92	2.08
Gamma HHI	0.06	0.04	0.12	0.04	0.05
Net GEX	-210.9M	-1.33B	1.46B	-368.5M	-1.33B
Net DEX	-10.03B	-23.95B	-3.77B	-3.77B	-3.78B
Net VEX	-201.7M	-219.1M	-190.4M	-196.4M	-219.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	1.32	3.78	1.80	1.68
Total Volume	1,804,060.85	1,241,731	2,378,701	1,700,533	1,493,391
Total OI	16,034,836.6	12,944,265	19,071,399	14,439,145	16,045,600

Daily Data (20 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
2012-01-03	$127.50	$125.00	19.3%	5.5%	20.1%	13.0%	20.1%	4.9%	2.3%	-368.5M	-3.77B	-196.4M	1.80	1.92	N/A	N/A	608,298	1,092,235	4,432,947	10,006,198
2012-01-04	$127.70	$125.00	16.4%	5.0%	19.8%	8.4%	18.8%	4.3%	2.8%	-415.7M	-3.87B	-194.9M	1.66	1.73	N/A	N/A	494,494	820,333	4,580,128	10,292,416
2012-01-05	$128.04	$125.00	16.7%	4.8%	19.8%	8.9%	17.7%	3.8%	2.9%	-310.0M	-6.24B	-190.9M	1.56	2.11	N/A	N/A	625,138	974,012	4,755,621	10,461,737
2012-01-06	$127.71	$125.00	15.4%	5.4%	19.8%	6.9%	20.7%	6.4%	1.4%	-483.7M	-5.31B	-196.5M	1.42	2.75	N/A	N/A	738,857	1,046,729	4,931,436	10,787,315
2012-01-09	$128.02	$125.00	16.3%	5.5%	17.9%	8.3%	21.0%	6.3%	1.2%	-421.7M	-5.46B	-193.6M	1.45	2.57	N/A	N/A	506,534	735,197	4,890,427	10,838,477
2012-01-10	$129.13	$125.00	16.1%	5.3%	17.3%	7.9%	21.6%	6.2%	1.2%	161.1M	-11.42B	-190.4M	1.53	2.61	N/A	N/A	894,310	1,365,240	5,035,127	11,093,176
2012-01-11	$129.20	$125.00	15.1%	5.4%	16.2%	6.3%	21.3%	6.1%	1.2%	253.1M	-13.14B	-198.5M	2.66	2.60	N/A	N/A	361,286	960,802	5,390,077	11,453,389
2012-01-12	$129.51	$125.00	17.8%	5.1%	15.6%	10.6%	19.7%	5.8%	1.6%	283.8M	-13.79B	-200.7M	1.59	2.38	N/A	N/A	585,869	930,412	5,461,715	11,776,836
2012-01-13	$128.84	$125.00	18.4%	5.3%	15.1%	11.6%	19.9%	6.2%	1.6%	-126.6M	-10.94B	-205.7M	1.81	5.01	N/A	N/A	846,510	1,532,191	5,590,042	12,011,443
2012-01-17	$129.34	$126.00	19.1%	5.5%	15.1%	12.8%	20.7%	6.8%	1.3%	142.9M	-12.10B	-200.3M	1.54	2.55	N/A	N/A	749,912	1,158,099	5,489,250	12,008,577
2012-01-18	$130.77	$126.00	17.1%	4.9%	15.1%	9.5%	19.0%	5.8%	1.9%	965.0M	-19.76B	-198.8M	1.32	2.37	N/A	N/A	741,700	980,760	5,723,853	12,343,923
2012-01-19	$131.46	$126.00	16.7%	4.8%	14.1%	8.9%	18.6%	5.4%	1.9%	1.46B	-23.95B	-195.6M	1.52	6.28	N/A	N/A	944,423	1,433,718	5,837,173	12,642,666
2012-01-20	$131.54	$126.00	14.5%	4.2%	10.5%	5.4%	17.2%	4.8%	2.6%	1.05B	-23.90B	-198.2M	1.52	3.20	N/A	N/A	926,443	1,409,766	5,942,347	13,129,052
2012-01-23	$131.61	$127.00	14.8%	4.2%	10.5%	5.8%	17.3%	4.4%	2.2%	-533.5M	-7.74B	-199.9M	2.03	2.40	N/A	N/A	643,661	1,305,835	4,137,455	8,806,810
2012-01-24	$131.46	$127.00	15.7%	4.5%	10.4%	7.2%	17.9%	4.6%	1.9%	-638.4M	-7.54B	-203.7M	3.78	2.84	N/A	N/A	342,626	1,295,606	4,386,286	9,397,648
2012-01-25	$132.56	$128.00	14.5%	4.2%	10.3%	5.4%	16.1%	4.2%	1.9%	-463.0M	-10.63B	-206.4M	1.82	2.97	N/A	N/A	695,321	1,268,121	4,511,741	9,991,904
2012-01-26	$131.88	$128.00	15.1%	4.3%	10.7%	6.3%	16.1%	3.8%	1.8%	-933.4M	-7.62B	-213.5M	2.03	1.84	N/A	N/A	690,591	1,403,458	4,668,572	10,468,374
2012-01-27	$131.82	$129.00	14.9%	4.3%	9.1%	6.0%	16.1%	3.4%	1.7%	-1.33B	-5.75B	-214.1M	1.77	2.16	N/A	N/A	696,346	1,231,440	4,805,484	11,010,730
2012-01-30	$131.37	$129.00	17.7%	4.6%	8.9%	10.5%	16.7%	3.6%	1.6%	-1.17B	-3.93B	-217.2M	1.75	1.78	N/A	N/A	564,983	986,570	4,809,413	10,751,367
2012-01-31	$131.32	$129.00	18.8%	4.6%	8.5%	12.2%	16.1%	3.5%	1.6%	-1.33B	-3.78B	-219.1M	1.68	2.08	N/A	N/A	556,287	937,104	4,960,927	11,084,673