SPY Options History — August 2012 In August 2012, SPY traded between $136.80 and $142.16. ATM implied volatility averaged 14.0%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.4% (HV 20d: 12.6%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.69.
Notable Days 2012-08-02 : Highest Volume — 2,903,743 contracts2012-08-02 : Largest IV drop — 46.6% change2012-08-01 : Highest IV Rank — 27.5%2012-08-01 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $140.71 $136.80 $142.16 $137.66 $141.16 Max Pain $137.87 $135.00 $140.00 $136.00 $140.00 ATM IV 14.0% 10.2% 28.5% 28.5% 15.5% Expected Move 4.1% 3.5% 4.9% 4.9% 4.4% HV 20d 12.6% 6.2% 15.9% 14.8% 6.2% HV 60d 15.8% 13.9% 16.9% 16.4% 13.9% IV Rank 7.3% 0.0% 27.5% 27.5% 12.7% IV Percentile 16.8% 0.0% 78.6% 78.6% 33.7% Term Structure 0.5% 0.1% 2.3% 0.2% 0.4% VWIV 15.3% 13.3% 17.7% 17.7% 16.0% Skew 25d 4.1% 2.1% 5.7% 3.0% 5.4% Skew 10d 7.9% 4.2% 10.9% 6.3% 10.6% Call IV 25d 12.7% 11.3% 15.9% 15.9% 13.1% Put IV 25d 16.8% 13.9% 19.3% 18.9% 18.4% Bid-Ask Spread % 2.54 1.63 5.89 2.44 5.89 Gamma HHI 0.06 0.04 0.11 0.04 0.04 Net GEX -374.5M -3.04B 1.70B -1.67B -1.16B Net DEX -11.15B -28.69B 7.18B -70.1M -867.4M Net VEX -266.9M -302.4M -243.0M -274.7M -302.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.69 1.13 2.37 1.40 1.13 Total Volume 1,810,891.304 984,072 2,903,743 2,099,139 2,479,237 Total OI 19,460,852.652 16,343,153 21,935,848 18,776,323 20,351,139
Daily Data (23 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 2012-08-01 $137.66 $136.00 28.5% 4.9% 14.8% 27.5% 17.7% 3.0% 0.2% -1.67B -70.1M -274.7M 1.40 2.44 N/A N/A 874,454 1,224,685 5,985,144 12,791,179 2012-08-02 $136.80 $136.00 15.3% 4.2% 14.8% 6.2% 15.4% 3.1% 1.5% -3.04B 6.65B -270.0M 1.62 1.81 N/A N/A 1,109,675 1,794,068 6,265,395 13,081,582 2012-08-03 $139.52 $136.00 12.3% 3.5% 15.9% 1.4% 13.3% 2.1% 2.3% 1.68B -17.64B -250.9M 1.73 2.15 N/A N/A 1,052,393 1,816,440 6,418,231 13,154,644 2012-08-06 $139.61 $135.00 14.0% 4.3% 15.9% 4.1% 16.2% 4.1% 0.1% 253.6M -15.36B -247.5M 1.83 2.39 N/A N/A 498,911 911,069 6,170,082 12,887,107 2012-08-07 $140.31 $136.00 14.8% 4.4% 15.5% 5.4% 15.8% 4.1% 0.1% 555.5M -19.29B -247.8M 1.70 2.50 N/A N/A 626,064 1,066,843 6,274,386 13,153,620 2012-08-08 $140.42 $136.00 12.1% 4.2% 15.5% 1.7% 15.7% 3.9% 0.1% 300.5M -19.06B -249.8M 1.96 2.40 N/A N/A 470,713 921,519 6,437,460 13,470,814 2012-08-09 $140.63 $136.00 10.9% 4.0% 15.2% 0.0% 15.1% 3.9% 0.2% 715.9M -21.46B -244.4M 1.99 1.97 N/A N/A 526,344 1,045,764 6,509,251 13,663,291 2012-08-10 $140.83 $136.00 10.2% 4.0% 14.2% 0.0% 14.7% 3.9% 0.2% 1.41B -23.02B -244.9M 1.62 2.41 N/A N/A 691,920 1,122,854 6,637,304 13,958,293 2012-08-13 $140.74 $137.00 10.9% 3.9% 14.1% 1.8% 15.1% 3.7% 0.2% 703.8M -20.56B -243.0M 2.03 1.63 N/A N/A 420,043 854,644 6,490,963 13,784,665 2012-08-14 $140.77 $137.00 11.1% 4.1% 13.9% 2.1% 15.1% 3.9% 0.2% 513.8M -19.30B -246.7M 1.24 2.45 N/A N/A 710,410 880,979 6,551,809 13,989,031 2012-08-15 $141.00 $137.00 10.5% 4.1% 13.8% 0.7% 15.1% 3.7% 0.3% 799.7M -21.30B -252.5M 1.82 2.25 N/A N/A 473,776 860,069 6,750,693 14,273,799 2012-08-16 $141.94 $138.00 13.7% 3.9% 13.9% 8.3% 14.9% 3.9% 0.4% 1.70B -27.72B -250.2M 1.40 3.14 N/A N/A 992,437 1,389,732 6,784,052 14,486,296 2012-08-17 $142.13 $138.00 12.9% 3.7% 13.2% 6.5% 13.9% 3.8% 0.6% 875.5M -28.69B -252.8M 1.46 2.29 N/A N/A 929,148 1,353,014 6,965,536 14,970,312 2012-08-20 $142.16 $139.00 12.8% 3.7% 12.4% 6.2% 13.9% 3.8% 0.5% -277.6M -11.22B -256.3M 2.13 2.07 N/A N/A 473,124 1,006,016 5,410,883 10,932,270 2012-08-21 $141.85 $139.00 13.3% 3.8% 11.6% 7.4% 14.4% 4.2% 0.5% -763.5M -8.65B -267.3M 2.03 2.29 N/A N/A 625,234 1,271,590 5,545,255 11,377,888 2012-08-22 $141.85 $139.00 13.3% 3.8% 11.6% 7.4% 14.5% 4.1% 0.5% -1.06B -7.21B -276.1M 1.89 1.92 N/A N/A 642,918 1,212,402 5,754,757 11,881,377 2012-08-23 $140.64 $140.00 13.9% 4.0% 11.3% 9.0% 14.8% 4.3% 0.5% -2.25B 2.75B -287.7M 1.47 2.02 N/A N/A 809,314 1,187,962 5,961,323 12,310,175 2012-08-24 $141.67 $140.00 13.4% 3.8% 9.4% 7.8% 14.4% 4.1% 0.5% -758.4M -4.67B -288.0M 1.24 2.47 N/A N/A 900,418 1,114,421 6,161,967 12,680,319 2012-08-27 $141.47 $140.00 14.8% 4.3% 9.3% 11.1% 15.3% 5.2% 0.4% -1.28B -3.77B -289.6M 1.69 3.37 N/A N/A 484,256 818,664 6,134,151 12,612,185 2012-08-28 $141.40 $140.00 15.3% 4.4% 9.0% 12.2% 16.8% 5.2% 0.3% -1.44B -1.75B -296.5M 1.94 4.02 N/A N/A 334,836 649,236 6,250,303 13,004,418 2012-08-29 $141.39 $140.00 15.7% 4.5% 9.0% 13.2% 17.7% 5.7% 0.3% -1.66B -1.39B -297.0M 2.37 2.48 N/A N/A 297,445 704,390 6,336,067 13,180,469 2012-08-30 $140.35 $140.00 16.3% 4.7% 9.1% 14.6% 16.2% 5.7% 0.2% -2.76B 7.18B -302.4M 1.30 2.07 N/A N/A 880,586 1,140,483 6,417,417 13,392,309 2012-08-31 $141.16 $140.00 15.5% 4.4% 6.2% 12.7% 16.0% 5.4% 0.4% -1.16B -867.4M -302.0M 1.13 5.89 N/A N/A 1,162,154 1,317,083 6,719,801 13,631,338
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