SPY Options History — September 2012 In September 2012, SPY traded between $141.00 and $147.16. ATM implied volatility averaged 13.2%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.1% (HV 20d: 10.1%). Max pain ranged from $140.00 to $146.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.39.
Notable Days 2012-09-20 : Highest Volume — 7,286,827 contracts2012-09-10 : Largest IV spike — 48.1% change2012-09-11 : Highest IV Rank — 21.1%2012-09-05 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $144.72 $141.00 $147.16 $141.22 $143.97 Max Pain $142.84 $140.00 $146.00 $140.00 $145.00 ATM IV 13.2% 10.8% 19.0% 15.9% 12.4% Expected Move 3.7% 3.1% 4.6% 4.6% 3.6% HV 20d 10.1% 6.1% 11.8% 6.2% 11.6% HV 60d 13.0% 11.7% 14.0% 13.8% 11.9% IV Rank 7.1% 1.5% 21.1% 13.7% 5.3% IV Percentile 15.1% 0.8% 60.3% 37.7% 6.7% Term Structure 1.0% -0.4% 1.9% -0.2% 1.3% VWIV 13.6% 11.4% 17.6% 17.4% 13.0% Skew 25d 3.8% 2.3% 5.5% 5.5% 3.4% Skew 10d 7.4% 4.2% 10.7% 10.7% 6.7% Call IV 25d 11.4% 9.8% 13.6% 13.3% 11.1% Put IV 25d 15.2% 12.7% 19.0% 18.8% 14.6% Bid-Ask Spread % 2.73 1.68 4.04 3.28 3.17 Gamma HHI 0.06 0.04 0.16 0.04 0.16 Net GEX -192.4M -4.11B 3.55B -1.59B -4.11B Net DEX -17.69B -48.22B 13.67B -1.35B 8.01B Net VEX -259.5M -290.1M -237.1M -290.1M -270.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 0.22 2.06 1.41 1.43 Total Volume 2,493,536.368 1,323,316 7,286,827 1,323,316 3,061,455 Total OI 21,115,613.632 17,323,714 24,203,370 20,020,206 19,329,879
Daily Data (19 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 2012-09-04 $141.22 $140.00 15.9% 4.6% 6.2% 13.7% 17.4% 5.5% -0.2% -1.59B -1.35B -290.1M 1.41 3.28 N/A N/A 548,418 774,898 6,571,588 13,448,618 2012-09-05 $141.00 $140.00 16.0% 4.6% 6.1% 14.0% 17.6% 5.4% -0.4% -1.73B 491.4M -289.7M 1.75 3.57 N/A N/A 482,877 845,359 6,715,167 13,690,490 2012-09-06 $143.73 $140.00 12.9% 3.8% 9.1% 6.5% 15.4% 4.5% 0.1% 856.7M -22.65B -266.0M 1.79 2.39 N/A N/A 987,623 1,772,524 6,796,432 13,891,409 2012-09-07 $144.44 $140.00 11.2% 3.5% 9.2% 2.4% 12.5% 3.9% 0.4% 1.11B -29.57B -254.7M 1.16 4.04 N/A N/A 1,100,379 1,274,079 7,027,102 14,406,054 2012-09-10 $143.27 $141.00 16.6% 4.0% 9.7% 15.3% 14.7% 4.8% 1.1% -474.0M -14.76B -267.4M 2.06 2.93 N/A N/A 532,899 1,099,417 6,966,655 14,195,069 2012-09-11 $143.71 $141.00 19.0% 3.9% 9.8% 21.1% 15.3% 4.9% 1.1% -387.7M -16.72B -268.9M 1.94 2.66 N/A N/A 542,964 1,056,020 7,084,571 14,535,356 2012-09-12 $144.52 $141.00 14.5% 3.7% 9.9% 10.4% 13.8% 4.3% 1.1% 487.0M -25.13B -259.9M 1.29 3.04 N/A N/A 721,685 928,936 7,217,536 14,825,011 2012-09-13 $146.40 $141.00 12.4% 3.6% 10.7% 5.5% 13.0% 3.6% 1.0% 3.11B -42.74B -237.2M 1.21 3.60 N/A N/A 2,062,802 2,492,151 7,365,640 14,926,944 2012-09-14 $147.16 $142.00 12.9% 3.7% 10.6% 6.4% 13.2% 3.0% 0.9% 3.55B -48.22B -237.1M 0.99 2.86 N/A N/A 2,074,621 2,050,840 7,611,354 15,426,672 2012-09-17 $146.68 $143.00 12.4% 3.6% 10.8% 5.4% 12.9% 3.2% 1.3% 1.94B -39.49B -240.4M 1.24 2.02 N/A N/A 822,048 1,015,431 7,523,972 15,199,014 2012-09-18 $146.75 $144.00 11.7% 3.3% 10.8% 3.6% 12.4% 2.9% 1.4% 1.51B -37.77B -241.0M 1.04 2.11 N/A N/A 905,885 944,862 7,690,580 15,527,076 2012-09-19 $146.56 $144.00 11.5% 3.3% 10.8% 3.3% 13.6% 3.1% 1.5% 1.66B -37.15B -246.2M 1.20 1.68 N/A N/A 821,479 985,962 7,957,678 15,922,332 2012-09-20 $146.68 $144.00 10.8% 3.1% 10.7% 1.5% 11.4% 2.3% 1.6% 1.74B -40.84B -242.5M 0.22 2.61 N/A N/A 5,964,034 1,322,793 8,054,656 16,148,714 2012-09-21 $145.69 $146.00 10.9% 3.1% 10.5% 1.8% 12.0% 3.4% 1.9% -2.20B -6.09B -253.3M 1.59 3.01 N/A N/A 968,049 1,540,178 6,427,589 16,598,237 2012-09-24 $145.70 $145.00 11.1% 3.2% 10.3% 2.3% 11.7% 3.1% 1.6% -1.14B -4.31B -255.2M 1.19 2.42 N/A N/A 654,843 781,809 5,403,378 11,920,336 2012-09-25 $144.22 $146.00 12.6% 3.6% 11.1% 5.8% 12.7% 3.6% 1.4% -2.48B 5.87B -267.7M 1.78 2.51 N/A N/A 713,864 1,272,859 5,602,894 12,129,690 2012-09-26 $143.29 $146.00 13.6% 3.9% 11.4% 8.3% 13.9% 4.0% 1.1% -3.43B 13.67B -274.7M 1.77 2.04 N/A N/A 836,810 1,484,691 5,746,239 12,478,378 2012-09-27 $144.69 $145.00 11.5% 3.3% 11.8% 3.1% 12.1% 3.1% 1.5% -2.07B 2.55B -267.4M 1.25 1.89 N/A N/A 858,295 1,073,352 6,022,429 12,811,920 2012-09-28 $143.97 $145.00 12.4% 3.6% 11.6% 5.3% 13.0% 3.4% 1.3% -4.11B 8.01B -270.3M 1.43 3.17 N/A N/A 1,261,980 1,799,475 6,275,318 13,054,561
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