SPY Options History — May 2012 In May 2012, SPY traded between $129.74 and $140.74. ATM implied volatility averaged 18.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.0% (HV 20d: 12.9%). Max pain ranged from $135.00 to $139.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.83.
Notable Days 2012-05-17 : Highest Volume — 4,897,976 contracts2012-05-02 : Largest IV spike — 16.8% change2012-05-18 : Highest IV Rank — 17.4%2012-05-18 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $134.42 $129.74 $140.74 $140.74 $131.47 Max Pain $136.50 $135.00 $139.00 $139.00 $135.00 ATM IV 18.9% 14.2% 22.3% 14.2% 21.6% Expected Move 5.3% 3.8% 6.4% 3.8% 6.2% HV 20d 12.9% 10.9% 15.2% 14.3% 13.2% HV 60d 12.3% 11.4% 13.4% 11.4% 13.1% IV Rank 12.1% 4.4% 17.4% 4.4% 16.4% IV Percentile 51.2% 17.1% 60.7% 17.1% 59.9% Term Structure 0.2% -0.7% 1.7% 1.7% -0.7% VWIV 19.6% 14.3% 23.1% 14.3% 22.8% Skew 25d 6.2% 3.6% 7.7% 3.6% 7.6% Skew 10d 11.8% 6.3% 14.9% 6.3% 13.9% Call IV 25d 16.1% 11.9% 18.9% 11.9% 18.3% Put IV 25d 22.3% 15.5% 26.5% 15.5% 25.8% Bid-Ask Spread % 3.44 1.67 10.68 2.25 3.68 Gamma HHI 0.07 0.05 0.22 0.05 0.06 Net GEX -3.81B -6.51B -1.73B -1.74B -3.44B Net DEX 29.69B -5.47B 71.08B -5.47B 35.12B Net VEX -270.6M -287.4M -251.8M -251.8M -284.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.83 1.42 2.56 1.65 1.58 Total Volume 2,535,715.409 1,569,156 4,897,976 1,697,825 2,515,493 Total OI 19,229,788.318 16,950,786 22,195,977 17,530,686 19,869,579
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 2012-05-01 $140.74 $139.00 14.2% 3.8% 14.3% 4.4% 14.3% 3.6% 1.7% -1.74B -5.47B -251.8M 1.65 2.25 N/A N/A 640,707 1,057,118 5,160,621 12,370,065 2012-05-02 $140.32 $139.00 16.6% 4.0% 14.3% 8.3% 15.4% 3.9% 1.4% -2.08B -2.03B -260.1M 2.01 1.81 N/A N/A 520,806 1,048,350 5,343,027 12,592,422 2012-05-03 $139.25 $139.00 15.8% 4.3% 14.1% 7.0% 15.3% 4.1% 1.2% -3.28B 6.80B -261.0M 1.65 1.67 N/A N/A 792,412 1,303,933 5,457,637 12,752,821 2012-05-04 $137.00 $138.00 16.9% 5.0% 15.2% 8.8% 17.8% 5.7% -0.1% -4.83B 25.56B -269.9M 1.90 10.68 N/A N/A 1,025,416 1,943,575 5,693,488 13,057,843 2012-05-07 $137.10 $137.00 17.8% 5.0% 14.7% 10.2% 17.8% 5.6% -0.1% -4.16B 20.21B -264.7M 1.91 2.52 N/A N/A 601,583 1,146,913 5,568,950 12,909,345 2012-05-08 $136.55 $137.00 18.6% 4.9% 13.5% 11.5% 17.9% 5.6% -0.0% -4.52B 24.42B -261.9M 2.09 2.54 N/A N/A 1,071,842 2,241,307 5,716,530 12,986,830 2012-05-09 $135.74 $137.00 18.1% 5.2% 13.3% 10.7% 19.0% 5.9% -0.1% -4.88B 30.68B -269.8M 1.50 3.10 N/A N/A 1,271,291 1,904,703 5,901,472 13,421,496 2012-05-10 $136.02 $137.00 17.4% 5.0% 12.4% 9.7% 18.1% 5.7% 0.1% -4.49B 23.89B -268.6M 1.57 2.53 N/A N/A 737,550 1,158,892 6,363,408 13,627,942 2012-05-11 $135.61 $137.00 18.1% 5.2% 11.7% 10.7% 18.8% 5.8% -0.1% -4.97B 30.93B -271.3M 1.76 2.68 N/A N/A 860,008 1,516,998 6,525,638 13,739,436 2012-05-14 $134.11 $137.00 19.9% 5.7% 12.3% 13.6% 20.8% 6.5% -0.4% -5.72B 42.92B -262.6M 2.50 1.76 N/A N/A 718,909 1,798,536 6,357,104 13,678,918 2012-05-15 $133.34 $137.00 20.3% 5.8% 10.9% 14.3% 20.5% 6.4% -0.0% -5.75B 47.20B -262.7M 1.81 2.13 N/A N/A 848,310 1,534,513 6,473,069 13,831,704 2012-05-16 $132.83 $137.00 19.9% 5.7% 10.9% 13.6% 20.7% 6.9% 0.4% -5.71B 50.87B -262.9M 2.14 2.22 N/A N/A 952,141 2,039,244 6,659,308 13,832,349 2012-05-17 $130.86 $136.00 21.6% 6.2% 11.7% 16.4% 22.1% 7.5% 0.1% -5.79B 65.29B -263.8M 2.56 2.83 N/A N/A 1,377,330 3,520,646 6,924,040 14,216,927 2012-05-18 $129.74 $136.00 22.3% 6.4% 11.8% 17.4% 22.8% 7.6% 0.4% -6.51B 71.08B -268.5M 1.91 9.32 N/A N/A 1,680,442 3,216,323 7,258,091 14,937,886 2012-05-21 $131.97 $135.00 19.4% 5.6% 13.6% 12.9% 20.5% 6.6% 0.5% -2.18B 26.98B -270.7M 1.61 2.66 N/A N/A 791,644 1,277,042 5,568,691 11,382,095 2012-05-22 $132.20 $135.00 19.9% 5.7% 13.5% 13.6% 20.6% 6.3% 0.2% -2.08B 27.42B -277.2M 1.70 2.25 N/A N/A 877,117 1,492,563 5,873,728 11,782,787 2012-05-23 $132.27 $135.00 19.9% 5.7% 12.3% 13.7% 20.7% 6.0% 0.2% -2.30B 28.00B -281.8M 1.50 2.22 N/A N/A 1,089,771 1,637,667 6,032,942 12,242,345 2012-05-24 $132.53 $135.00 18.9% 5.5% 11.9% 12.0% 21.0% 7.2% 0.1% -1.73B 22.88B -287.0M 1.42 3.51 N/A N/A 909,487 1,293,498 6,307,077 12,606,677 2012-05-25 $132.10 $135.00 19.7% 5.7% 11.8% 13.4% 20.7% 6.9% -0.3% -2.71B 28.63B -287.4M 1.73 6.31 N/A N/A 693,428 1,202,296 6,535,935 13,014,245 2012-05-29 $133.70 $135.00 18.4% 5.3% 12.9% 11.3% 19.9% 7.1% -0.1% -1.91B 18.03B -279.7M 2.01 3.09 N/A N/A 533,456 1,073,446 6,200,981 12,787,739 2012-05-30 $131.76 $135.00 21.0% 6.0% 13.2% 15.5% 23.1% 7.7% -0.5% -3.08B 33.69B -285.0M 1.83 3.93 N/A N/A 660,339 1,208,694 6,324,438 13,167,717 2012-05-31 $131.47 $135.00 21.6% 6.2% 13.2% 16.4% 22.8% 7.6% -0.7% -3.44B 35.12B -284.0M 1.58 3.68 N/A N/A 976,783 1,538,710 6,505,132 13,364,447
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