SPY Options History — November 2012 In November 2012, SPY traded between $135.72 and $143.10. ATM implied volatility averaged 16.2%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.5% (HV 20d: 15.7%). Max pain ranged from $136.00 to $143.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.58.
Notable Days 2012-11-16 : Highest Volume — 4,274,233 contracts2012-11-05 : Largest IV spike — 28.1% change2012-11-06 : Highest IV Rank — 57.6%2012-11-14 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $139.80 $135.72 $143.10 $142.91 $142.16 Max Pain $140.85 $136.00 $143.00 $143.00 $140.00 ATM IV 16.2% 13.9% 23.3% 16.3% 14.6% Expected Move 4.5% 4.0% 5.1% 4.3% 4.2% HV 20d 15.7% 13.6% 17.6% 13.6% 15.2% HV 60d 12.6% 10.8% 13.4% 10.8% 13.4% IV Rank 27.2% 18.6% 57.6% 21.8% 22.0% IV Percentile 49.7% 27.4% 87.7% 56.3% 38.1% Term Structure -0.3% -0.7% 0.6% -0.1% -0.3% VWIV 16.3% 14.3% 18.3% 15.8% 16.0% Skew 25d 4.1% 3.2% 5.1% 3.2% 4.6% Skew 10d 7.5% 5.6% 9.7% 5.6% 8.5% Call IV 25d 13.9% 12.1% 15.9% 13.8% 12.5% Put IV 25d 18.0% 16.0% 20.5% 17.1% 17.1% Bid-Ask Spread % 3.72 2.15 6.92 3.04 5.30 Gamma HHI 0.06 0.04 0.10 0.05 0.04 Net GEX -2.96B -6.21B 71.4M -1.38B -985.8M Net DEX 21.83B -5.91B 57.24B 4.91B -2.98B Net VEX -244.7M -256.1M -231.7M -248.9M -240.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.58 1.17 2.02 1.44 1.89 Total Volume 2,578,645.714 1,441,747 4,274,233 2,252,110 2,917,022 Total OI 20,455,388.095 18,363,151 23,357,522 19,051,980 21,070,218
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 2012-11-01 $142.91 $143.00 16.3% 4.3% 13.6% 21.8% 15.8% 3.2% -0.1% -1.38B 4.91B -248.9M 1.44 3.04 N/A N/A 922,537 1,329,573 6,455,086 12,596,894 2012-11-02 $141.20 $143.00 17.7% 4.6% 14.2% 26.6% 16.6% 3.2% -0.0% -3.57B 19.74B -255.6M 1.56 2.20 N/A N/A 1,099,208 1,715,141 6,661,769 12,954,887 2012-11-05 $141.79 $142.00 22.7% 4.7% 13.9% 54.4% 17.4% 5.0% -0.5% -2.93B 15.12B -253.5M 1.47 2.74 N/A N/A 785,692 1,155,775 6,622,909 12,872,718 2012-11-06 $143.10 $142.00 23.3% 4.5% 14.4% 57.6% 17.2% 4.7% -0.4% -1.92B 4.12B -256.1M 1.42 2.22 N/A N/A 966,293 1,375,574 6,863,088 13,232,704 2012-11-07 $139.64 $142.00 17.2% 4.9% 16.6% 31.3% 18.0% 5.1% -0.6% -5.40B 35.79B -254.7M 2.02 3.85 N/A N/A 1,375,467 2,780,244 7,182,133 13,671,369 2012-11-08 $138.17 $142.00 16.4% 5.0% 16.7% 27.7% 17.7% 4.9% -0.5% -5.93B 46.20B -249.6M 1.93 3.09 N/A N/A 1,285,863 2,483,045 7,558,830 13,777,793 2012-11-09 $138.23 $141.00 17.0% 5.0% 16.7% 30.4% 18.3% 4.9% -0.4% -6.21B 44.70B -254.0M 1.52 3.75 N/A N/A 1,412,160 2,142,753 7,889,284 14,204,961 2012-11-12 $138.47 $141.00 15.2% 4.8% 16.7% 22.5% 16.9% 3.8% -0.4% -4.87B 38.54B -242.8M 1.64 2.72 N/A N/A 716,612 1,174,104 7,479,600 13,850,467 2012-11-13 $137.84 $141.00 15.1% 4.6% 16.7% 24.0% 16.4% 3.8% -0.4% -5.08B 43.30B -238.8M 1.70 2.37 N/A N/A 795,757 1,355,806 7,712,188 13,966,370 2012-11-14 $135.98 $141.00 16.4% 5.1% 16.6% 30.0% 17.7% 4.0% -0.6% -5.67B 57.03B -237.9M 1.63 2.65 N/A N/A 1,315,002 2,149,271 7,904,646 14,133,358 2012-11-15 $135.72 $0.00 17.0% 4.8% 15.9% 32.7% 17.2% 4.0% 0.4% -5.81B 57.24B -240.4M 1.72 5.22 N/A N/A 1,458,708 2,502,850 8,313,624 14,208,911 2012-11-16 $136.58 $136.00 15.5% 4.4% 16.0% 26.0% 16.4% 3.7% 0.6% -3.28B 47.94B -242.9M 1.58 6.92 N/A N/A 1,658,108 2,616,125 8,830,124 14,527,398 2012-11-19 $138.97 $140.00 14.5% 4.2% 17.6% 21.2% 15.3% 3.6% -0.5% -1.55B 15.17B -245.8M 1.17 2.15 N/A N/A 943,598 1,103,091 6,511,635 11,851,516 2012-11-20 $139.28 $140.00 14.4% 4.1% 15.9% 20.4% 15.1% 3.6% -0.7% -1.38B 13.15B -243.8M 1.50 2.16 N/A N/A 695,632 1,043,268 6,672,382 12,101,804 2012-11-21 $139.58 $140.00 14.2% 4.1% 15.8% 19.8% 15.5% 3.7% -0.5% -1.20B 11.58B -247.9M 1.56 2.77 N/A N/A 562,820 878,927 6,807,449 12,322,371 2012-11-23 $141.16 $140.00 14.2% 4.1% 15.3% 19.8% 14.8% 3.8% -0.3% -622.9M -787.4M -243.1M 1.24 3.66 N/A N/A 698,038 866,097 6,897,544 12,604,963 2012-11-26 $141.02 $141.00 14.3% 4.1% 15.3% 20.1% 15.5% 3.9% -0.3% -1.37B 3.90B -236.7M 1.55 4.61 N/A N/A 604,967 939,457 6,721,298 12,477,193 2012-11-27 $140.43 $141.00 14.9% 4.3% 15.4% 23.0% 15.0% 4.3% -0.2% -1.88B 8.37B -237.3M 1.70 4.93 N/A N/A 571,796 969,686 6,870,211 12,777,992 2012-11-28 $141.36 $141.00 14.5% 4.2% 15.6% 21.6% 15.1% 3.8% -0.3% -1.09B 1.33B -237.5M 1.42 6.13 N/A N/A 906,552 1,288,878 6,989,178 12,966,971 2012-11-29 $142.25 $140.00 13.9% 4.0% 15.7% 18.6% 14.3% 3.9% -0.2% 71.4M -5.91B -231.7M 1.42 5.61 N/A N/A 1,071,028 1,519,035 7,206,522 13,242,792 2012-11-30 $142.16 $140.00 14.6% 4.2% 15.2% 22.0% 16.0% 4.6% -0.3% -985.8M -2.98B -240.1M 1.89 5.30 N/A N/A 1,008,864 1,908,158 7,352,118 13,718,100
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