SPY Options History — July 2012 In July 2012, SPY traded between $133.52 and $138.85. ATM implied volatility averaged 15.8%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.8% (HV 20d: 16.6%). Max pain ranged from $133.00 to $136.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.76.
Notable Days 2012-07-27 : Highest Volume — 3,646,913 contracts2012-07-30 : Largest IV spike — 31.3% change2012-07-31 : Highest IV Rank — 18.8%2012-07-24 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $136.03 $133.52 $138.85 $136.51 $137.71 Max Pain $134.48 $133.00 $136.00 $133.00 $135.00 ATM IV 15.8% 13.3% 23.1% 13.3% 23.1% Expected Move 4.4% 3.9% 5.0% 3.9% 4.8% HV 20d 16.6% 14.7% 18.4% 18.4% 14.9% HV 60d 16.0% 15.5% 16.7% 16.5% 16.4% IV Rank 7.1% 3.1% 18.8% 3.1% 18.8% IV Percentile 25.6% 9.5% 61.9% 9.9% 61.9% Term Structure 1.4% 0.4% 2.0% 1.3% 0.4% VWIV 16.5% 14.5% 18.6% 15.2% 17.8% Skew 25d 4.4% 3.4% 5.7% 3.4% 3.5% Skew 10d 8.4% 6.2% 11.4% 7.4% 6.7% Call IV 25d 13.4% 12.0% 15.3% 12.4% 15.3% Put IV 25d 17.8% 15.6% 20.8% 15.8% 18.9% Bid-Ask Spread % 2.54 1.82 3.95 2.07 2.26 Gamma HHI 0.06 0.04 0.14 0.05 0.04 Net GEX -1.20B -3.62B 1.54B -148.4M -1.15B Net DEX 1.03B -15.74B 20.54B -5.78B -3.45B Net VEX -265.1M -275.9M -247.1M -269.5M -263.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.76 1.41 2.16 1.82 1.65 Total Volume 2,016,311.905 1,338,128 3,646,913 1,570,421 1,560,676 Total OI 19,300,138.667 15,900,861 22,085,273 18,855,622 17,434,185
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 2012-07-02 $136.51 $133.00 13.3% 3.9% 18.4% 3.1% 15.2% 3.4% 1.3% -148.4M -5.78B -269.5M 1.82 2.07 N/A N/A 556,105 1,014,316 6,054,338 12,801,284 2012-07-03 $137.41 $134.00 15.0% 4.0% 18.3% 5.8% 14.5% 3.5% 1.1% 333.8M -11.55B -263.8M 2.08 1.82 N/A N/A 467,570 973,281 6,094,371 13,030,602 2012-07-05 $136.79 $134.00 14.4% 4.0% 17.1% 4.7% 15.2% 3.4% 1.5% -434.8M -6.26B -270.9M 1.77 2.48 N/A N/A 608,106 1,075,700 6,183,707 13,284,837 2012-07-06 $135.49 $134.00 13.4% 4.6% 17.5% 3.1% 16.7% 5.1% 1.3% -1.68B 1.42B -270.1M 1.74 2.88 N/A N/A 856,261 1,487,971 6,315,656 13,564,746 2012-07-09 $135.32 $134.00 16.2% 4.7% 17.4% 7.6% 17.4% 5.2% 1.1% -1.50B 2.70B -268.5M 2.16 2.78 N/A N/A 466,441 1,006,265 6,142,215 13,233,098 2012-07-10 $134.14 $134.00 17.4% 4.9% 17.0% 9.6% 18.0% 5.1% 1.1% -2.67B 12.52B -272.7M 2.08 2.50 N/A N/A 724,061 1,504,069 6,232,388 13,476,106 2012-07-11 $134.24 $134.00 15.3% 4.7% 16.6% 6.2% 17.3% 4.7% 1.2% -2.78B 12.22B -271.6M 1.72 2.93 N/A N/A 665,167 1,141,568 6,413,763 13,901,427 2012-07-12 $133.52 $134.00 16.3% 4.7% 16.5% 7.9% 17.4% 4.8% 1.2% -3.62B 18.13B -274.6M 1.69 2.14 N/A N/A 835,676 1,411,376 6,505,553 14,197,812 2012-07-13 $135.82 $134.00 14.9% 4.3% 17.2% 5.6% 16.1% 4.3% 1.5% -352.8M -1.49B -264.3M 1.67 3.95 N/A N/A 823,672 1,377,440 6,640,405 14,481,409 2012-07-16 $135.33 $134.00 15.7% 4.5% 17.2% 6.8% 16.4% 4.3% 1.2% -1.62B 2.78B -258.3M 1.67 2.03 N/A N/A 502,018 836,110 6,437,328 14,295,968 2012-07-17 $136.48 $134.00 15.0% 4.3% 17.4% 5.7% 16.2% 4.1% 1.4% -953.2M -4.41B -250.9M 1.82 2.41 N/A N/A 681,229 1,241,224 6,484,780 14,417,700 2012-07-18 $137.38 $135.00 14.5% 4.2% 17.2% 5.0% 15.8% 3.9% 1.5% 117.7M -11.35B -251.2M 1.73 2.47 N/A N/A 849,970 1,466,527 6,594,782 14,628,464 2012-07-19 $137.81 $135.00 13.6% 3.9% 17.2% 3.6% 14.5% 3.9% 2.0% 752.0M -15.74B -247.1M 1.41 2.76 N/A N/A 972,656 1,375,795 6,711,780 14,902,494 2012-07-20 $136.46 $135.00 14.5% 4.2% 15.4% 5.0% 15.3% 4.3% 2.0% -1.09B -3.10B -257.6M 1.54 3.64 N/A N/A 1,116,223 1,716,055 6,852,420 15,232,853 2012-07-23 $134.99 $135.00 15.8% 4.5% 15.8% 7.1% 17.3% 5.0% 1.8% -2.24B 12.22B -267.1M 1.91 2.16 N/A N/A 714,777 1,364,384 5,110,677 10,790,184 2012-07-24 $133.63 $135.00 17.5% 5.0% 15.1% 9.8% 18.6% 5.7% 1.1% -2.86B 20.54B -275.9M 1.78 2.77 N/A N/A 741,521 1,319,036 5,305,213 11,255,737 2012-07-25 $134.08 $135.00 16.6% 4.8% 15.1% 8.3% 17.7% 5.2% 1.4% -2.69B 17.61B -275.8M 1.70 2.52 N/A N/A 533,334 908,561 5,514,536 11,568,981 2012-07-26 $136.14 $135.00 15.0% 4.3% 15.7% 5.8% 16.3% 4.6% 1.5% -1.45B 4.05B -266.8M 1.72 2.72 N/A N/A 823,179 1,418,363 5,593,806 11,703,559 2012-07-27 $138.85 $135.00 15.0% 4.0% 16.9% 5.8% 15.4% 4.0% 1.7% 1.54B -12.06B -261.3M 1.57 2.11 N/A N/A 1,417,431 2,229,482 5,743,835 12,195,532 2012-07-30 $138.58 $136.00 19.7% 4.4% 14.7% 13.4% 16.4% 4.0% 0.9% -770.1M -7.36B -266.6M 1.82 2.00 N/A N/A 553,529 1,005,425 5,709,384 12,264,997 2012-07-31 $137.71 $135.00 23.1% 4.8% 14.9% 18.8% 17.8% 3.5% 0.4% -1.15B -3.45B -263.4M 1.65 2.26 N/A N/A 588,386 972,290 5,554,703 11,879,482
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