SPY Options History — December 2012

In December 2012, SPY traded between $138.66 and $145.30. ATM implied volatility averaged 15.3%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.1% (HV 20d: 11.2%). Max pain ranged from $139.00 to $143.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.35.

Notable Days

2012-12-20: Highest Volume — 6,397,880 contracts
2012-12-31: Largest IV drop — 25.9% change
2012-12-28: Highest IV Rank — 59.2%
2012-12-28: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$142.56	$138.66	$145.30	$141.36	$142.71
Max Pain	$141.17	$139.00	$143.00	$140.00	$140.00
ATM IV	15.3%	13.5%	21.0%	15.3%	15.6%
Expected Move	4.4%	3.9%	6.2%	4.4%	4.4%
HV 20d	11.2%	8.5%	16.5%	14.7%	16.5%
HV 60d	13.0%	12.4%	14.9%	13.4%	14.9%
IV Rank	27.6%	19.0%	59.2%	25.4%	29.8%
IV Percentile	47.8%	21.8%	95.2%	49.2%	57.1%
Term Structure	-0.1%	-3.4%	0.8%	-0.3%	-0.0%
VWIV	16.5%	14.8%	22.3%	15.6%	17.2%
Skew 25d	4.8%	3.0%	11.8%	4.6%	5.1%
Skew 10d	8.2%	4.3%	11.9%	8.7%	10.0%
Call IV 25d	13.6%	12.3%	18.5%	13.2%	13.6%
Put IV 25d	18.4%	15.9%	30.3%	17.8%	18.6%
Bid-Ask Spread %	11.34	1.74	99.47	4.81	16.81
Gamma HHI	0.05	0.04	0.09	0.04	0.09
Net GEX	-809.0M	-3.85B	3.26B	-1.87B	674.8M
Net DEX	142.4M	-28.31B	33.74B	6.69B	3.97B
Net VEX	-231.7M	-246.7M	-211.4M	-242.9M	-225.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.27	1.80	1.50	1.60
Total Volume	2,503,442.55	905,586	6,397,880	1,680,201	3,780,361
Total OI	21,609,541.9	16,884,518	25,178,522	20,633,041	18,299,778

Daily Data (20 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
2012-12-03	$141.36	$140.00	15.3%	4.4%	14.7%	25.4%	15.6%	4.6%	-0.3%	-1.87B	6.69B	-242.9M	1.50	4.81	N/A	N/A	671,011	1,009,190	7,138,902	13,494,139
2012-12-04	$141.20	$140.00	16.0%	4.6%	14.7%	28.3%	16.8%	5.1%	-0.5%	-2.10B	8.79B	-246.0M	1.80	3.10	N/A	N/A	703,433	1,268,264	7,376,698	13,838,224
2012-12-05	$141.52	$140.00	15.3%	4.4%	14.3%	25.0%	16.2%	4.6%	-0.3%	-2.01B	5.94B	-246.4M	1.59	4.02	N/A	N/A	751,739	1,196,703	7,616,259	14,190,782
2012-12-06	$141.98	$0.00	15.3%	4.4%	11.2%	25.4%	16.8%	4.6%	-0.2%	-1.65B	2.10B	-246.7M	1.45	12.38	N/A	N/A	662,706	961,233	7,729,506	14,501,366
2012-12-07	$142.26	$139.00	14.9%	4.3%	10.3%	23.4%	15.4%	4.1%	-0.3%	-935.3M	-2.04B	-242.1M	1.32	7.65	N/A	N/A	822,519	1,082,291	7,939,314	14,744,120
2012-12-10	$142.68	$140.00	14.5%	4.2%	10.3%	21.4%	15.2%	4.0%	-0.0%	-443.3M	-6.30B	-230.6M	1.61	7.88	N/A	N/A	500,163	804,474	7,835,160	14,445,795
2012-12-11	$143.80	$141.00	14.2%	4.1%	10.6%	19.9%	15.4%	3.9%	-0.2%	649.8M	-16.38B	-223.3M	1.64	7.44	N/A	N/A	900,821	1,473,845	7,902,800	14,608,333
2012-12-12	$143.37	$141.00	14.5%	4.2%	10.4%	24.2%	14.8%	3.9%	-0.3%	-287.9M	-10.88B	-233.6M	1.09	5.90	N/A	N/A	979,647	1,069,300	8,038,647	14,965,560
2012-12-13	$142.54	$0.00	14.4%	4.1%	9.2%	23.9%	16.4%	4.0%	-0.1%	-1.44B	-2.47B	-235.3M	1.38	7.46	N/A	N/A	880,842	1,214,859	8,305,858	15,057,378
2012-12-14	$142.21	$141.00	14.9%	4.3%	9.2%	26.6%	16.0%	4.3%	0.0%	-1.20B	136.0M	-236.5M	1.31	8.76	N/A	N/A	891,114	1,171,229	8,603,549	15,185,867
2012-12-17	$144.01	$141.00	14.0%	4.0%	9.8%	21.7%	15.3%	4.0%	0.8%	1.08B	-17.11B	-219.7M	1.13	2.12	N/A	N/A	1,045,059	1,181,021	8,471,518	14,643,008
2012-12-18	$145.30	$141.00	13.5%	3.9%	8.5%	19.0%	15.3%	3.6%	0.8%	2.40B	-26.39B	-219.9M	1.18	2.11	N/A	N/A	1,687,947	1,997,978	8,880,694	15,053,742
2012-12-19	$144.39	$142.00	14.7%	4.2%	9.0%	25.3%	14.9%	4.1%	0.6%	1.33B	-13.80B	-226.0M	1.39	1.74	N/A	N/A	1,102,735	1,537,476	9,173,529	15,533,704
2012-12-20	$145.29	$142.00	14.0%	4.0%	9.2%	21.5%	14.9%	3.0%	0.4%	3.26B	-28.31B	-211.4M	0.27	2.77	N/A	N/A	5,043,793	1,354,087	9,335,249	15,843,273
2012-12-21	$142.74	$143.00	14.7%	4.2%	10.9%	25.3%	15.8%	4.9%	0.4%	-3.12B	21.33B	-231.8M	1.54	3.93	N/A	N/A	1,661,297	2,553,577	7,543,331	16,084,897
2012-12-24	$142.23	$143.00	15.9%	4.6%	11.0%	31.8%	17.3%	5.4%	0.3%	-1.50B	10.99B	-226.6M	1.37	13.08	N/A	N/A	381,489	524,097	6,059,511	10,825,007
2012-12-26	$141.60	$143.00	16.6%	4.8%	11.0%	35.7%	19.2%	5.6%	0.2%	-2.32B	15.85B	-225.4M	1.12	7.66	N/A	N/A	677,572	756,611	6,131,749	10,999,828
2012-12-27	$141.40	$142.00	17.3%	5.0%	10.8%	39.3%	18.5%	5.3%	0.1%	-2.85B	17.00B	-229.8M	1.58	7.64	N/A	N/A	1,199,398	1,900,107	6,342,358	11,158,687
2012-12-28	$138.66	$142.00	21.0%	6.2%	12.5%	59.2%	22.3%	11.8%	-3.4%	-3.85B	33.74B	-233.7M	1.19	99.47	N/A	N/A	1,216,806	1,452,057	6,705,382	11,587,336
2012-12-31	$142.71	$140.00	15.6%	4.4%	16.5%	29.8%	17.2%	5.1%	-0.0%	674.8M	3.97B	-225.3M	1.60	16.81	N/A	N/A	1,452,729	2,327,632	6,725,308	11,574,470