SPY Options History — October 2012 In October 2012, SPY traded between $141.21 and $146.41. ATM implied volatility averaged 13.9%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.9% (HV 20d: 11.0%). Max pain ranged from $144.00 to $145.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.77.
Notable Days 2012-10-19 : Highest Volume — 4,099,729 contracts2012-10-08 : Largest IV spike — 26.5% change2012-10-23 : Highest IV Rank — 23.0%2012-10-31 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $143.85 $141.21 $146.41 $144.29 $141.35 Max Pain $144.43 $144.00 $145.00 $145.00 $144.00 ATM IV 13.9% 10.0% 16.6% 14.2% 16.0% Expected Move 4.0% 3.4% 4.8% 3.8% 4.8% HV 20d 11.0% 8.4% 13.8% 11.5% 13.0% HV 60d 11.3% 10.6% 11.7% 11.7% 10.6% IV Rank 12.9% 0.0% 23.0% 9.6% 20.8% IV Percentile 26.6% 0.0% 59.1% 25.0% 50.8% Term Structure 1.0% -0.2% 1.7% 0.8% -0.2% VWIV 14.5% 12.1% 17.0% 13.4% 16.9% Skew 25d 3.8% 2.3% 4.9% 3.3% 3.4% Skew 10d 7.5% 4.4% 10.2% 6.5% 5.4% Call IV 25d 12.4% 10.7% 15.5% 11.9% 15.5% Put IV 25d 16.2% 13.0% 19.2% 15.2% 18.8% Bid-Ask Spread % 2.56 1.92 5.83 2.42 2.09 Gamma HHI 0.06 0.04 0.30 0.05 0.06 Net GEX -2.35B -6.34B 274.6M -1.59B -3.21B Net DEX 6.89B -12.74B 21.30B 3.62B 19.87B Net VEX -259.0M -271.5M -235.8M -271.5M -252.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.77 1.41 2.20 1.68 1.51 Total Volume 2,022,610.81 973,205 4,099,729 1,720,150 1,660,199 Total OI 18,886,025.143 16,575,470 21,199,940 17,559,924 18,577,097
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 2012-10-01 $144.29 $145.00 14.2% 3.8% 11.5% 9.6% 13.4% 3.3% 0.8% -1.59B 3.62B -271.5M 1.68 2.42 N/A N/A 641,414 1,078,736 5,679,515 11,880,409 2012-10-02 $144.61 $145.00 13.8% 3.5% 11.5% 8.7% 13.2% 3.0% 1.3% -1.42B 1.47B -267.9M 2.19 2.13 N/A N/A 414,208 907,885 5,827,619 12,107,206 2012-10-03 $145.03 $145.00 14.7% 3.6% 11.5% 13.3% 12.6% 2.8% 1.2% -1.11B -1.32B -266.1M 1.43 2.10 N/A N/A 595,158 852,922 5,886,733 12,305,844 2012-10-04 $146.15 $145.00 11.8% 3.4% 9.7% 5.2% 12.1% 2.3% 1.3% 123.5M -10.71B -258.4M 1.52 1.93 N/A N/A 750,567 1,140,618 5,988,928 12,462,546 2012-10-05 $146.06 $144.00 10.0% 3.7% 9.6% 0.0% 13.6% 3.5% 1.5% 274.6M -10.44B -257.8M 1.74 2.86 N/A N/A 896,179 1,561,507 6,167,730 12,756,436 2012-10-08 $145.55 $144.00 12.7% 3.8% 9.2% 9.2% 13.8% 3.8% 1.4% -1.20B -3.68B -258.6M 2.01 2.29 N/A N/A 323,691 649,514 6,012,657 12,606,215 2012-10-09 $144.22 $145.00 14.4% 4.1% 9.8% 15.2% 14.8% 4.1% 1.1% -2.96B 8.43B -266.7M 2.19 1.92 N/A N/A 561,479 1,231,205 6,073,236 12,727,414 2012-10-10 $143.20 $145.00 13.6% 4.1% 9.9% 12.4% 15.1% 4.0% 1.2% -3.83B 16.32B -263.0M 1.99 2.48 N/A N/A 660,556 1,311,932 6,163,823 12,978,232 2012-10-11 $143.41 $144.00 14.0% 4.0% 8.6% 13.7% 13.9% 3.9% 1.4% -3.80B 13.92B -259.1M 1.50 2.03 N/A N/A 682,642 1,021,777 6,296,273 13,202,277 2012-10-12 $142.73 $144.00 14.1% 4.0% 8.4% 14.2% 15.0% 4.2% 1.2% -4.65B 21.02B -261.3M 1.82 2.22 N/A N/A 801,774 1,458,610 6,458,779 13,517,911 2012-10-15 $144.15 $144.00 13.5% 3.9% 9.3% 12.1% 14.0% 3.9% 1.3% -2.55B 6.44B -252.8M 1.79 2.97 N/A N/A 550,359 985,577 6,426,141 13,387,199 2012-10-16 $145.52 $144.00 12.9% 3.7% 10.0% 10.0% 13.9% 3.8% 1.4% -661.6M -6.16B -247.7M 1.65 5.83 N/A N/A 747,164 1,235,709 6,483,768 13,508,832 2012-10-17 $146.26 $144.00 13.0% 3.7% 10.1% 10.3% 13.5% 3.7% 1.4% 205.8M -12.74B -244.7M 1.60 2.06 N/A N/A 666,238 1,063,935 6,600,334 13,748,235 2012-10-18 $146.41 $145.00 12.3% 3.5% 10.1% 7.9% 12.7% 3.1% 1.7% -1.22B -11.03B -235.8M 1.41 2.50 N/A N/A 960,181 1,352,351 6,623,450 13,894,720 2012-10-19 $143.07 $145.00 14.3% 4.1% 12.9% 14.8% 14.5% 4.8% 1.1% -6.34B 20.70B -252.9M 1.70 4.67 N/A N/A 1,516,786 2,582,943 6,899,453 14,300,487 2012-10-22 $143.64 $145.00 13.8% 3.9% 13.0% 13.0% 15.0% 4.2% 1.1% -2.14B 6.23B -255.2M 1.97 2.02 N/A N/A 680,991 1,340,104 5,534,827 11,040,643 2012-10-23 $141.25 $144.00 16.6% 4.8% 13.8% 23.0% 17.0% 4.9% 0.3% -3.22B 21.30B -265.7M 1.86 2.24 N/A N/A 1,023,531 1,903,465 5,779,835 11,533,857 2012-10-24 $141.21 $144.00 16.1% 4.6% 13.6% 21.0% 16.6% 4.5% 0.5% -3.17B 21.12B -267.2M 2.20 2.04 N/A N/A 658,888 1,452,275 6,038,767 11,822,705 2012-10-25 $141.49 $144.00 16.1% 4.6% 13.1% 21.1% 16.5% 4.3% 0.3% -3.18B 19.11B -266.5M 1.91 2.52 N/A N/A 739,698 1,411,572 6,180,855 12,120,608 2012-10-26 $141.34 $144.00 14.5% 4.5% 13.0% 15.5% 15.9% 4.3% 0.3% -3.70B 21.16B -266.9M 1.54 2.50 N/A N/A 944,559 1,455,928 6,329,475 12,675,457 2012-10-31 $141.35 $144.00 16.0% 4.8% 13.0% 20.8% 16.9% 3.4% -0.2% -3.21B 19.87B -252.4M 1.51 2.09 N/A N/A 662,369 997,830 6,242,894 12,334,203
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