SPY Options History — March 2012 In March 2012, SPY traded between $134.75 and $141.61. ATM implied volatility averaged 13.2%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 10.3%). Max pain ranged from $134.00 to $139.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.82.
Notable Days 2012-03-15 : Highest Volume — 10,834,374 contracts2012-03-06 : Largest IV spike — 16.8% change2012-03-06 : Highest IV Rank — 7.8%2012-03-06 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $139.09 $134.75 $141.61 $137.73 $140.81 Max Pain $136.59 $134.00 $139.00 $134.00 $139.00 ATM IV 13.2% 11.4% 16.2% 13.6% 11.4% Expected Move 3.8% 3.4% 4.6% 3.9% 3.5% HV 20d 10.3% 7.1% 12.0% 8.0% 11.9% HV 60d 11.1% 9.2% 13.4% 13.0% 9.2% IV Rank 3.0% 0.2% 7.8% 3.7% 0.2% IV Percentile 9.9% 0.4% 35.3% 9.9% 0.4% Term Structure 1.3% 0.6% 2.4% 0.9% 1.5% VWIV 15.0% 13.4% 19.1% 15.4% 13.5% Skew 25d 4.3% 3.3% 6.2% 4.9% 3.6% Skew 10d 9.0% 5.8% 13.3% 8.8% 8.2% Call IV 25d 11.7% 10.3% 14.1% 11.9% 10.9% Put IV 25d 16.0% 13.8% 20.3% 16.8% 14.5% Bid-Ask Spread % 2.99 1.71 4.73 4.40 3.59 Gamma HHI 0.06 0.05 0.14 0.05 0.14 Net GEX -1.06B -3.22B 1.44B -309.5M 746.9M Net DEX -10.04B -34.97B 9.78B -14.55B -9.92B Net VEX -247.1M -270.4M -221.6M -235.6M -266.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.82 0.16 2.67 2.12 1.67 Total Volume 2,645,452.364 1,549,031 10,834,374 2,108,807 2,603,429 Total OI 19,513,249.727 15,889,217 22,524,646 18,858,790 20,165,647
Daily Data (22 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 2012-03-01 $137.73 $134.00 13.6% 3.9% 8.0% 3.7% 15.4% 4.9% 0.9% -309.5M -14.55B -235.6M 2.12 4.40 N/A N/A 675,103 1,433,704 5,454,119 13,404,671 2012-03-02 $137.31 $134.00 13.8% 4.0% 8.2% 4.0% 16.7% 4.7% 1.0% -1.20B -10.95B -239.5M 1.69 4.56 N/A N/A 708,905 1,194,841 5,655,134 13,797,871 2012-03-05 $136.75 $134.00 13.9% 4.0% 7.1% 4.1% 15.6% 4.9% 1.2% -1.30B -7.64B -235.6M 2.07 3.95 N/A N/A 530,300 1,097,463 5,523,753 13,711,795 2012-03-06 $134.75 $134.00 16.2% 4.6% 9.0% 7.8% 19.1% 6.2% 0.6% -3.22B 9.78B -252.3M 2.01 4.73 N/A N/A 1,036,193 2,080,073 5,674,108 13,995,935 2012-03-07 $135.69 $134.00 14.8% 4.2% 9.3% 5.5% 16.5% 5.5% 0.8% -2.50B 1.20B -247.8M 1.71 3.12 N/A N/A 625,953 1,073,312 5,794,840 14,241,700 2012-03-08 $137.04 $134.00 14.5% 4.0% 9.9% 5.2% 15.2% 5.2% 0.8% -1.33B -9.72B -238.5M 1.79 3.08 N/A N/A 756,033 1,353,705 5,866,554 14,417,438 2012-03-09 $137.57 $135.00 12.4% 3.8% 9.9% 1.7% 14.6% 4.3% 0.9% -525.9M -14.03B -238.6M 1.60 3.25 N/A N/A 884,055 1,415,772 6,049,368 14,724,455 2012-03-12 $137.58 $135.00 12.0% 3.8% 9.4% 1.1% 16.3% 5.1% 1.9% -875.5M -12.27B -231.9M 2.67 2.83 N/A N/A 503,800 1,344,916 6,027,359 14,599,620 2012-03-13 $140.06 $135.00 14.0% 3.8% 11.0% 4.3% 15.3% 4.4% 1.5% 1.11B -28.75B -221.6M 1.29 2.97 N/A N/A 1,328,853 1,716,421 6,147,146 14,811,354 2012-03-14 $139.91 $136.00 12.4% 4.0% 11.0% 1.8% 16.2% 4.3% 1.6% 594.0M -26.06B -232.4M 1.62 2.58 N/A N/A 991,193 1,600,837 6,391,662 15,420,264 2012-03-15 $140.72 $136.00 12.8% 3.7% 10.8% 2.5% 14.1% 3.3% 1.9% 1.44B -34.97B -223.7M 0.16 3.09 N/A N/A 9,313,508 1,520,866 6,585,040 15,939,606 2012-03-16 $140.30 $137.00 12.7% 3.6% 10.4% 2.3% 13.7% 4.1% 2.4% -1.05B -9.28B -236.1M 1.72 3.27 N/A N/A 1,009,581 1,740,476 5,130,690 16,373,450 2012-03-19 $140.85 $138.00 12.7% 3.6% 10.4% 2.3% 14.8% 3.9% 1.9% -390.9M -10.09B -244.4M 1.98 2.29 N/A N/A 774,843 1,537,203 4,469,552 11,419,665 2012-03-20 $140.44 $138.00 13.3% 3.8% 10.5% 3.1% 14.7% 4.1% 1.6% -1.28B -5.84B -257.0M 2.37 2.15 N/A N/A 460,043 1,088,988 4,686,320 12,020,219 2012-03-21 $140.21 $138.00 13.1% 3.7% 10.5% 2.8% 14.2% 4.2% 1.2% -1.60B -5.12B -254.2M 2.18 2.78 N/A N/A 659,403 1,436,394 4,808,096 12,438,435 2012-03-22 $139.20 $139.00 13.6% 3.9% 10.8% 3.6% 14.4% 4.2% 1.3% -3.07B 3.03B -268.2M 2.28 2.46 N/A N/A 737,096 1,677,363 4,993,882 13,049,667 2012-03-23 $139.65 $139.00 12.4% 3.6% 10.9% 1.8% 13.9% 3.8% 1.4% -2.70B -1.23B -264.8M 2.57 2.37 N/A N/A 622,617 1,598,677 5,112,418 13,475,972 2012-03-26 $141.61 $139.00 11.7% 3.4% 11.8% 0.7% 13.4% 3.5% 1.1% -383.3M -16.38B -247.0M 1.61 2.16 N/A N/A 740,064 1,192,749 5,017,870 13,520,421 2012-03-27 $141.17 $139.00 13.1% 3.8% 11.9% 2.9% 13.8% 3.5% 1.0% -1.08B -10.21B -261.2M 1.51 1.71 N/A N/A 796,115 1,204,544 5,190,951 13,827,760 2012-03-28 $140.47 $139.00 13.0% 3.7% 12.0% 2.7% 13.8% 3.8% 1.2% -2.22B -4.53B -268.5M 1.76 2.15 N/A N/A 874,937 1,540,217 5,336,270 14,240,762 2012-03-29 $140.23 $139.00 13.0% 3.7% 11.9% 2.7% 14.3% 3.8% 1.2% -2.26B -3.42B -270.4M 1.63 2.30 N/A N/A 1,032,070 1,687,337 5,436,019 14,343,636 2012-03-30 $140.81 $139.00 11.4% 3.5% 11.9% 0.2% 13.5% 3.6% 1.5% 746.9M -9.92B -266.4M 1.67 3.59 N/A N/A 973,531 1,629,898 5,660,994 14,504,653
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