SPY Options History — February 2012

In February 2012, SPY traded between $132.47 and $137.56. ATM implied volatility averaged 15.2%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 6.8% (HV 20d: 8.4%). Max pain ranged from $129.00 to $134.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.96.

Notable Days

2012-02-10: Highest Volume — 3,338,655 contracts
2012-02-09: Largest IV spike — 20.6% change
2012-02-10: Highest IV Rank — 10.1%
2012-02-10: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.46	$132.47	$137.56	$132.47	$137.02
Max Pain	$131.50	$129.00	$134.00	$129.00	$134.00
ATM IV	15.2%	13.2%	17.6%	16.0%	14.7%
Expected Move	4.4%	4.0%	5.1%	4.4%	4.2%
HV 20d	8.4%	7.3%	9.0%	7.3%	8.3%
HV 60d	17.4%	13.0%	20.3%	20.2%	13.0%
IV Rank	6.3%	3.3%	10.1%	7.8%	5.5%
IV Percentile	24.2%	10.3%	44.0%	32.5%	19.4%
Term Structure	0.8%	0.3%	1.9%	1.8%	0.6%
VWIV	17.2%	15.2%	19.6%	15.6%	17.2%
Skew 25d	5.0%	3.3%	6.8%	3.3%	4.9%
Skew 10d	10.1%	5.9%	14.8%	6.6%	11.0%
Call IV 25d	13.4%	12.0%	14.7%	13.4%	13.2%
Put IV 25d	18.4%	16.0%	21.5%	16.7%	18.1%
Bid-Ask Spread %	2.83	1.49	5.38	1.95	5.38
Gamma HHI	0.06	0.04	0.09	0.05	0.05
Net GEX	-384.7M	-1.56B	755.0M	-504.7M	-1.17B
Net DEX	-15.31B	-26.53B	-5.68B	-10.82B	-7.88B
Net VEX	-226.0M	-243.8M	-206.2M	-213.9M	-239.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	1.55	2.44	1.93	1.81
Total Volume	1,999,936.5	1,171,485	3,338,655	2,087,832	1,740,926
Total OI	18,513,058.9	16,289,003	21,975,471	16,475,283	18,488,125

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
2012-02-01	$132.47	$129.00	16.0%	4.4%	7.3%	7.8%	15.6%	3.3%	1.8%	-504.7M	-10.82B	-213.9M	1.93	1.95	N/A	N/A	712,958	1,374,874	5,115,331	11,359,952
2012-02-02	$132.68	$130.00	14.0%	4.0%	7.3%	4.5%	15.2%	3.3%	1.9%	-390.5M	-11.62B	-214.9M	1.78	2.02	N/A	N/A	501,990	894,097	5,277,088	11,777,594
2012-02-03	$134.54	$129.00	13.2%	4.3%	8.5%	3.3%	16.8%	4.4%	0.5%	525.7M	-21.93B	-206.2M	1.68	3.05	N/A	N/A	1,078,539	1,806,856	5,423,302	12,102,098
2012-02-06	$134.45	$130.00	15.4%	4.6%	8.4%	6.8%	17.6%	4.5%	0.4%	-381.1M	-18.11B	-213.3M	2.33	1.68	N/A	N/A	351,918	819,567	5,446,736	12,267,397
2012-02-07	$134.79	$130.00	14.7%	4.5%	8.4%	5.5%	17.3%	4.8%	0.3%	43.0M	-20.68B	-208.7M	1.83	2.42	N/A	N/A	676,368	1,237,331	5,475,028	12,593,567
2012-02-08	$135.19	$130.00	13.6%	4.6%	8.1%	3.6%	17.7%	4.9%	0.3%	17.2M	-20.68B	-211.8M	2.11	2.33	N/A	N/A	637,388	1,346,433	5,603,763	13,009,931
2012-02-09	$135.36	$131.00	16.3%	4.7%	8.0%	8.1%	18.5%	4.8%	0.4%	86.7M	-20.61B	-223.0M	1.98	2.78	N/A	N/A	642,920	1,270,913	5,766,014	13,285,457
2012-02-10	$134.36	$131.00	17.6%	5.1%	8.8%	10.1%	19.4%	6.5%	0.5%	-1.56B	-12.77B	-231.0M	2.44	3.65	N/A	N/A	971,125	2,367,530	5,838,734	13,630,885
2012-02-13	$135.36	$131.00	16.5%	4.7%	8.5%	8.3%	18.7%	5.5%	0.4%	59.6M	-20.66B	-222.6M	2.02	2.09	N/A	N/A	620,737	1,254,549	5,841,315	13,858,366
2012-02-14	$135.19	$131.00	16.5%	4.7%	8.6%	8.3%	18.4%	5.9%	0.7%	-534.5M	-17.53B	-230.1M	2.14	2.71	N/A	N/A	725,324	1,549,374	5,938,191	14,297,669
2012-02-15	$134.56	$132.00	17.3%	5.0%	8.3%	9.7%	19.6%	6.8%	0.5%	-1.30B	-12.16B	-243.8M	1.90	2.06	N/A	N/A	859,949	1,637,344	6,106,558	14,882,517
2012-02-16	$136.05	$132.00	15.8%	4.5%	8.9%	7.1%	17.6%	5.8%	0.8%	615.8M	-23.34B	-235.3M	1.55	2.35	N/A	N/A	926,693	1,433,302	6,237,281	15,325,074
2012-02-17	$136.41	$132.00	15.0%	4.3%	8.9%	5.9%	16.4%	5.1%	1.0%	755.0M	-26.53B	-229.3M	1.56	1.77	N/A	N/A	1,141,255	1,780,233	6,340,703	15,634,768
2012-02-21	$136.47	$133.00	15.2%	4.4%	8.9%	6.3%	15.8%	4.7%	0.7%	-727.0M	-9.01B	-228.1M	2.11	2.33	N/A	N/A	487,672	1,030,164	4,751,792	11,537,211
2012-02-22	$136.03	$133.00	15.1%	4.2%	9.0%	6.0%	16.6%	4.4%	0.8%	-1.35B	-5.68B	-237.2M	2.00	1.49	N/A	N/A	495,013	991,971	4,910,098	11,883,849
2012-02-23	$136.63	$133.00	13.7%	4.0%	8.7%	3.8%	15.6%	5.0%	0.8%	-633.3M	-10.28B	-232.3M	1.93	4.25	N/A	N/A	491,713	949,186	5,036,217	12,080,076
2012-02-24	$136.93	$133.00	14.2%	4.1%	8.4%	4.6%	16.9%	5.0%	0.9%	-230.3M	-11.57B	-229.4M	2.06	4.54	N/A	N/A	706,677	1,454,809	5,173,990	12,368,674
2012-02-27	$137.16	$133.00	14.8%	4.3%	8.3%	5.7%	15.7%	5.2%	0.8%	-540.9M	-11.63B	-231.4M	1.71	4.14	N/A	N/A	560,503	957,614	5,115,373	12,436,809
2012-02-28	$137.56	$133.00	14.4%	4.1%	8.1%	4.9%	16.5%	5.2%	0.9%	-473.9M	-12.62B	-237.9M	2.31	3.66	N/A	N/A	456,749	1,056,166	5,258,507	12,785,138
2012-02-29	$137.02	$134.00	14.7%	4.2%	8.3%	5.5%	17.2%	4.9%	0.6%	-1.17B	-7.88B	-239.8M	1.81	5.38	N/A	N/A	619,706	1,121,220	5,358,452	13,129,673