SPY Options History — April 2012

In April 2012, SPY traded between $135.90 and $141.84. ATM implied volatility averaged 15.3%, 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 2.2% (HV 20d: 13.0%). Max pain ranged from $139.00 to $140.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.98.

Notable Days

2012-04-10: Highest Volume — 3,746,651 contracts
2012-04-09: Largest IV spike — 29.8% change
2012-04-10: Highest IV Rank — 12.8%
2012-04-10: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$138.70	$135.90	$141.84	$141.84	$139.87
Max Pain	$139.25	$139.00	$140.00	$139.00	$139.00
ATM IV	15.3%	12.5%	19.3%	12.5%	15.4%
Expected Move	4.4%	3.5%	5.2%	3.5%	4.1%
HV 20d	13.0%	10.4%	14.4%	11.9%	14.4%
HV 60d	10.8%	9.3%	11.7%	9.3%	11.7%
IV Rank	6.3%	1.9%	12.8%	1.9%	6.5%
IV Percentile	29.1%	6.0%	56.3%	6.0%	28.6%
Term Structure	1.3%	0.9%	1.8%	1.5%	1.3%
VWIV	16.3%	13.1%	19.1%	13.9%	15.4%
Skew 25d	4.9%	3.1%	6.4%	3.5%	4.1%
Skew 10d	9.5%	5.8%	12.4%	7.9%	7.9%
Call IV 25d	13.1%	10.9%	15.2%	11.1%	12.5%
Put IV 25d	18.0%	14.3%	21.6%	14.5%	16.6%
Bid-Ask Spread %	2.44	1.49	3.61	1.68	2.11
Gamma HHI	0.06	0.05	0.09	0.05	0.05
Net GEX	-3.10B	-5.94B	-750.7M	-750.7M	-1.71B
Net DEX	7.32B	-12.82B	30.26B	-12.82B	-1.68B
Net VEX	-266.4M	-285.2M	-249.2M	-256.3M	-249.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.98	1.48	2.41	1.48	2.18
Total Volume	2,095,339.45	1,089,640	3,746,651	1,774,873	1,205,144
Total OI	18,844,758.2	15,390,174	21,406,878	17,705,018	16,615,979

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
2012-04-02	$141.84	$139.00	12.5%	3.5%	11.9%	1.9%	13.9%	3.5%	1.5%	-750.7M	-12.82B	-256.3M	1.48	1.68	N/A	N/A	716,176	1,058,697	5,117,229	12,587,789
2012-04-03	$141.26	$139.00	13.2%	3.6%	10.4%	3.0%	13.1%	3.4%	1.6%	-975.3M	-10.45B	-256.1M	1.80	2.27	N/A	N/A	553,821	994,886	5,244,519	12,905,972
2012-04-04	$139.86	$139.00	12.7%	3.7%	11.1%	2.3%	14.2%	3.6%	1.6%	-2.99B	1.37B	-267.6M	2.35	2.09	N/A	N/A	832,227	1,954,707	5,362,330	13,148,509
2012-04-05	$139.79	$139.00	12.5%	3.7%	10.7%	2.0%	13.1%	3.1%	1.8%	-3.55B	3.13B	-272.9M	1.55	2.38	N/A	N/A	832,298	1,291,578	5,607,720	13,666,797
2012-04-09	$138.22	$140.00	16.3%	4.7%	11.5%	8.0%	17.7%	5.4%	1.1%	-4.27B	14.43B	-273.0M	2.15	2.46	N/A	N/A	606,516	1,303,454	5,513,989	13,657,155
2012-04-10	$135.90	$140.00	19.3%	5.2%	13.0%	12.8%	18.4%	6.4%	0.9%	-5.33B	30.26B	-282.9M	2.12	2.99	N/A	N/A	1,202,426	2,544,225	5,612,919	13,833,780
2012-04-11	$137.00	$140.00	16.1%	5.1%	11.5%	7.8%	19.1%	6.2%	1.1%	-4.84B	22.13B	-284.0M	2.34	2.43	N/A	N/A	587,121	1,372,369	5,897,933	14,049,299
2012-04-12	$138.79	$140.00	15.2%	4.4%	12.6%	6.2%	17.2%	5.4%	1.4%	-2.79B	2.44B	-273.3M	1.70	3.56	N/A	N/A	879,105	1,493,846	5,976,203	14,381,231
2012-04-13	$137.14	$140.00	17.3%	5.0%	13.0%	9.7%	18.2%	6.0%	1.1%	-5.94B	23.33B	-285.2M	1.95	3.61	N/A	N/A	713,572	1,390,682	6,127,021	14,788,383
2012-04-16	$137.05	$139.00	17.7%	5.1%	13.0%	10.3%	18.6%	6.1%	0.9%	-5.12B	21.36B	-275.3M	2.33	2.33	N/A	N/A	645,235	1,505,667	6,022,453	14,484,833
2012-04-17	$139.08	$139.00	16.1%	4.6%	14.1%	7.6%	17.5%	5.7%	1.1%	-2.69B	2.27B	-267.6M	1.88	2.58	N/A	N/A	837,542	1,577,611	6,128,460	14,707,546
2012-04-18	$138.61	$139.00	15.9%	4.6%	14.1%	7.3%	17.8%	5.4%	1.3%	-3.80B	7.39B	-269.0M	2.41	2.92	N/A	N/A	520,573	1,254,513	6,235,987	14,894,715
2012-04-19	$137.72	$139.00	15.9%	4.5%	14.2%	7.3%	16.4%	5.6%	1.4%	-4.71B	15.73B	-268.2M	1.93	2.58	N/A	N/A	1,013,752	1,957,841	6,280,425	15,078,193
2012-04-20	$137.95	$139.00	15.2%	4.3%	14.0%	6.2%	16.1%	5.1%	1.5%	-3.00B	11.27B	-263.5M	1.55	2.09	N/A	N/A	923,875	1,432,536	6,369,095	15,037,783
2012-04-23	$136.79	$139.00	16.6%	4.8%	14.2%	8.4%	17.5%	5.4%	1.1%	-2.71B	15.72B	-262.9M	1.98	1.93	N/A	N/A	638,426	1,265,470	4,588,605	10,801,569
2012-04-24	$137.31	$139.00	16.1%	4.6%	13.3%	7.7%	16.4%	4.9%	1.1%	-2.67B	11.34B	-261.4M	1.48	2.57	N/A	N/A	439,939	649,701	4,740,910	11,167,055
2012-04-25	$139.19	$139.00	14.3%	4.1%	14.3%	4.7%	15.7%	4.4%	1.4%	-1.58B	1.03B	-257.1M	2.09	1.49	N/A	N/A	506,723	1,058,105	4,885,489	11,382,453
2012-04-26	$140.16	$139.00	13.7%	3.9%	14.4%	3.8%	15.1%	3.8%	1.4%	-1.11B	-5.18B	-249.6M	1.91	2.11	N/A	N/A	727,545	1,389,111	5,007,914	11,712,341
2012-04-27	$140.39	$139.00	13.3%	3.9%	14.4%	3.2%	14.7%	3.7%	1.4%	-1.43B	-6.66B	-253.0M	2.41	2.71	N/A	N/A	594,753	1,435,021	5,159,665	12,114,916
2012-04-30	$139.87	$139.00	15.4%	4.1%	14.4%	6.5%	15.4%	4.1%	1.3%	-1.71B	-1.68B	-249.2M	2.18	2.11	N/A	N/A	379,356	825,788	4,933,862	11,682,117