SPY Options History — June 2012 In June 2012, SPY traded between $128.10 and $136.10. ATM implied volatility averaged 18.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.6% (HV 20d: 17.9%). Max pain ranged from $133.00 to $135.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.63.
Notable Days 2012-06-14 : Highest Volume — 6,451,974 contracts2012-06-11 : Largest IV spike — 32.8% change2012-06-01 : Highest IV Rank — 20.7%2012-06-01 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $132.54 $128.10 $136.10 $128.16 $136.10 Max Pain $133.33 $133.00 $135.00 $135.00 $133.00 ATM IV 18.5% 12.9% 24.3% 24.3% 12.9% Expected Move 5.4% 4.1% 7.0% 7.0% 4.1% HV 20d 17.9% 14.7% 20.0% 15.4% 18.4% HV 60d 14.9% 13.8% 16.5% 13.9% 16.5% IV Rank 11.4% 2.4% 20.7% 20.7% 2.4% IV Percentile 42.4% 5.2% 64.3% 64.3% 5.2% Term Structure 0.3% -1.2% 1.4% -1.0% 1.4% VWIV 20.1% 16.1% 24.8% 24.7% 16.1% Skew 25d 6.0% 3.9% 7.8% 7.5% 3.9% Skew 10d 11.2% 7.2% 14.6% 14.4% 7.2% Call IV 25d 16.2% 12.4% 21.0% 21.0% 12.4% Put IV 25d 22.2% 16.3% 28.6% 28.6% 16.3% Bid-Ask Spread % 3.31 2.08 6.12 6.12 2.74 Gamma HHI 0.06 0.04 0.10 0.10 0.06 Net GEX -2.19B -4.55B 702.9M -4.55B 702.9M Net DEX 21.06B -8.53B 54.91B 54.91B -8.53B Net VEX -287.3M -298.3M -273.8M -281.9M -273.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.36 2.49 1.54 1.24 Total Volume 2,833,902 1,553,254 6,451,974 4,345,705 3,519,492 Total OI 21,070,936.81 18,118,183 23,744,503 20,509,512 21,255,670
Daily Data (21 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 2012-06-01 $128.16 $135.00 24.3% 7.0% 15.4% 20.7% 24.7% 7.5% -1.0% -4.55B 54.91B -281.9M 1.54 6.12 N/A N/A 1,711,781 2,633,924 6,752,786 13,756,726 2012-06-04 $128.10 $134.00 23.7% 6.8% 14.7% 19.8% 24.8% 7.1% -0.9% -3.64B 51.75B -275.4M 1.48 4.74 N/A N/A 1,009,674 1,498,876 6,735,070 13,600,791 2012-06-05 $129.07 $134.00 22.7% 6.5% 15.1% 18.2% 23.0% 6.3% -0.7% -3.25B 43.17B -281.1M 1.24 3.37 N/A N/A 1,013,711 1,257,762 7,068,814 13,877,516 2012-06-06 $131.97 $134.00 20.4% 5.9% 17.6% 14.5% 22.2% 6.3% -1.1% -1.59B 21.73B -285.8M 1.70 3.03 N/A N/A 1,188,005 2,015,483 7,435,192 14,004,094 2012-06-07 $132.05 $133.00 17.9% 5.9% 17.5% 10.5% 21.4% 6.7% -1.2% -1.76B 22.81B -287.2M 1.56 3.52 N/A N/A 1,215,145 1,896,584 7,518,838 14,512,593 2012-06-08 $133.10 $133.00 16.5% 5.5% 17.8% 8.2% 21.4% 6.4% -0.8% -1.82B 13.55B -286.1M 1.23 4.71 N/A N/A 1,147,087 1,406,619 7,606,696 15,002,950 2012-06-11 $131.42 $133.00 21.9% 6.1% 18.3% 16.9% 21.6% 7.3% 0.1% -3.18B 33.00B -288.8M 1.29 3.52 N/A N/A 982,628 1,264,673 7,451,746 14,770,754 2012-06-12 $132.92 $133.00 17.5% 5.6% 18.5% 9.7% 21.7% 7.2% 0.4% -2.17B 18.42B -287.9M 2.04 3.24 N/A N/A 760,184 1,551,578 7,583,885 15,063,430 2012-06-13 $132.07 $133.00 19.3% 6.1% 18.5% 12.7% 22.7% 7.8% 0.1% -3.05B 28.76B -295.2M 2.25 3.01 N/A N/A 793,385 1,787,017 7,703,244 15,510,328 2012-06-14 $133.47 $133.00 19.9% 5.7% 18.8% 13.7% 20.3% 7.0% 0.4% -1.79B 15.32B -294.8M 0.36 4.02 N/A N/A 4,740,231 1,711,743 7,783,108 15,961,395 2012-06-15 $134.14 $133.00 18.5% 5.3% 18.0% 11.5% 19.9% 7.3% 0.6% 114.8M 14.85B -294.0M 1.53 3.84 N/A N/A 1,405,827 2,151,980 7,505,115 16,222,831 2012-06-18 $134.40 $133.00 17.0% 4.9% 17.6% 8.9% 18.1% 6.1% 0.9% -922.3M 5.19B -283.1M 1.96 3.03 N/A N/A 685,031 1,345,779 5,819,254 12,298,929 2012-06-19 $135.70 $133.00 15.8% 4.5% 17.0% 7.1% 18.2% 5.7% 1.1% -501.4M -487.3M -281.9M 2.49 2.20 N/A N/A 788,885 1,960,757 5,940,858 12,700,782 2012-06-20 $135.48 $133.00 15.4% 4.4% 17.0% 6.4% 16.6% 4.9% 1.3% -927.4M 753.3M -283.2M 1.48 2.37 N/A N/A 973,108 1,440,387 6,023,882 13,219,278 2012-06-21 $132.44 $134.00 17.9% 5.1% 19.0% 10.5% 18.3% 5.5% 1.1% -3.44B 23.89B -298.3M 1.72 4.00 N/A N/A 1,256,417 2,156,061 6,268,083 13,664,600 2012-06-22 $133.46 $134.00 16.3% 4.7% 19.2% 7.8% 17.1% 4.6% 1.3% -2.74B 17.59B -290.8M 1.87 3.55 N/A N/A 773,446 1,446,046 6,410,596 13,970,356 2012-06-25 $131.32 $133.00 18.4% 5.3% 20.0% 11.2% 18.9% 4.7% 0.7% -3.72B 29.48B -290.7M 1.92 2.16 N/A N/A 787,250 1,511,144 6,140,351 13,686,615 2012-06-26 $131.98 $133.00 17.8% 5.1% 19.6% 10.2% 18.4% 4.6% 0.8% -3.03B 22.51B -292.3M 1.93 2.08 N/A N/A 559,285 1,079,012 6,353,855 13,941,351 2012-06-27 $133.17 $133.00 17.2% 4.9% 19.2% 9.2% 18.2% 4.8% 1.2% -2.11B 15.29B -291.2M 1.88 2.19 N/A N/A 538,716 1,014,538 6,463,715 14,084,387 2012-06-28 $132.79 $133.00 17.1% 4.9% 19.2% 9.2% 18.5% 4.8% 0.8% -2.66B 18.28B -290.3M 1.62 2.12 N/A N/A 965,749 1,566,942 6,520,579 14,298,630 2012-06-29 $136.10 $133.00 12.9% 4.1% 18.4% 2.4% 16.1% 3.9% 1.4% 702.9M -8.53B -273.8M 1.24 2.74 N/A N/A 1,570,028 1,949,464 6,673,667 14,582,003
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