SPY Options History — January 2013

In January 2013, SPY traded between $145.59 and $150.78. ATM implied volatility averaged 11.5%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 4.8% (HV 20d: 16.3%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.58.

Notable Days

2013-01-18: Highest Volume — 3,011,130 contracts
2013-01-30: Largest IV spike — 10.5% change
2013-01-02: Highest IV Rank — 13.6%
2013-01-02: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$147.88	$145.59	$150.78	$146.05	$149.95
Max Pain	$146.30	$140.00	$150.00	$140.00	$150.00
ATM IV	11.5%	10.2%	12.6%	12.6%	12.0%
Expected Move	3.3%	2.9%	3.6%	3.6%	3.4%
HV 20d	16.3%	5.6%	18.3%	18.2%	5.6%
HV 60d	14.9%	13.7%	15.6%	15.6%	13.7%
IV Rank	7.8%	1.1%	13.6%	13.6%	10.5%
IV Percentile	6.2%	0.8%	13.5%	11.1%	12.7%
Term Structure	0.9%	0.1%	2.1%	0.7%	0.8%
VWIV	12.0%	10.7%	14.1%	13.6%	12.6%
Skew 25d	3.3%	2.6%	3.8%	3.6%	3.8%
Skew 10d	6.3%	4.8%	7.6%	7.6%	7.5%
Call IV 25d	10.2%	9.1%	11.3%	11.0%	10.5%
Put IV 25d	13.4%	12.3%	14.6%	14.6%	14.3%
Bid-Ask Spread %	4.99	1.64	8.61	6.93	3.75
Gamma HHI	0.12	0.05	0.45	0.07	0.06
Net GEX	2.80B	-144.3M	9.31B	2.43B	-111.0M
Net DEX	-21.64B	-31.76B	-14.64B	-21.85B	-15.81B
Net VEX	-225.1M	-250.6M	-204.3M	-204.3M	-250.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.92	2.05	1.47	1.76
Total Volume	1,885,088.143	1,162,991	3,011,130	2,904,838	1,940,344
Total OI	17,389,400.667	14,423,512	20,562,674	16,343,413	17,152,620

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
2013-01-02	$146.05	$140.00	12.6%	3.6%	18.2%	13.6%	13.6%	3.6%	0.7%	2.43B	-21.85B	-204.3M	1.47	6.93	N/A	N/A	1,176,750	1,728,088	5,929,098	10,414,315
2013-01-03	$145.64	$141.00	12.4%	3.5%	18.2%	12.7%	12.1%	3.2%	0.7%	2.20B	-18.80B	-210.6M	1.40	7.17	N/A	N/A	1,025,968	1,440,204	6,179,056	10,847,742
2013-01-04	$146.20	$143.00	11.8%	3.4%	18.3%	9.9%	12.6%	2.7%	1.0%	2.83B	-23.12B	-216.5M	1.76	6.92	N/A	N/A	806,031	1,416,639	6,515,213	11,306,302
2013-01-07	$145.95	$144.00	11.6%	3.3%	18.3%	8.4%	10.8%	2.7%	1.0%	1.86B	-16.95B	-218.3M	1.52	5.99	N/A	N/A	462,072	700,919	6,354,182	10,901,051
2013-01-08	$145.59	$145.00	11.1%	3.2%	18.3%	6.1%	11.7%	2.7%	1.0%	1.65B	-14.64B	-214.7M	1.93	5.96	N/A	N/A	511,892	987,459	6,478,547	11,048,783
2013-01-09	$145.95	$145.00	11.2%	3.2%	18.3%	6.6%	11.4%	2.6%	1.2%	2.16B	-17.25B	-218.3M	1.69	5.32	N/A	N/A	453,486	766,414	6,581,745	11,282,657
2013-01-10	$147.07	$0.00	11.9%	3.4%	18.3%	10.3%	12.3%	3.1%	0.2%	3.39B	-26.09B	-218.2M	1.62	6.27	N/A	N/A	683,584	1,106,108	6,663,585	11,540,152
2013-01-11	$147.07	$146.00	11.9%	3.4%	18.3%	10.4%	11.4%	3.0%	0.1%	4.40B	-25.71B	-221.3M	1.53	4.47	N/A	N/A	771,382	1,177,237	6,803,465	11,971,998
2013-01-14	$146.83	$145.00	12.1%	3.5%	18.1%	11.4%	12.6%	3.5%	1.7%	2.38B	-21.04B	-221.1M	1.73	2.15	N/A	N/A	439,440	760,713	6,745,523	11,929,797
2013-01-15	$146.96	$145.00	11.9%	3.4%	18.1%	10.0%	12.9%	3.6%	2.1%	2.35B	-21.36B	-224.7M	1.89	1.64	N/A	N/A	437,298	826,165	6,802,038	12,234,458
2013-01-16	$146.95	$145.00	11.8%	3.4%	17.6%	9.4%	12.7%	3.5%	2.0%	2.22B	-20.57B	-224.6M	2.02	1.73	N/A	N/A	440,239	888,308	6,848,147	12,623,374
2013-01-17	$147.99	$145.00	11.5%	3.3%	17.5%	7.9%	12.2%	3.5%	0.6%	4.09B	-29.28B	-228.1M	0.92	2.15	N/A	N/A	1,304,410	1,200,295	6,933,973	12,843,861
2013-01-18	$148.29	$146.00	10.6%	3.0%	17.3%	3.2%	11.3%	3.0%	0.6%	4.86B	-31.76B	-226.9M	1.03	2.05	N/A	N/A	1,485,262	1,525,868	7,257,484	13,305,190
2013-01-22	$149.33	$149.00	10.5%	3.0%	17.3%	2.8%	10.9%	3.1%	1.3%	3.46B	-21.96B	-219.9M	2.05	6.46	N/A	N/A	528,052	1,080,761	5,515,095	8,908,417
2013-01-23	$149.45	$149.00	10.6%	3.0%	15.8%	3.3%	11.1%	3.2%	1.1%	3.67B	-22.28B	-218.5M	1.30	6.93	N/A	N/A	841,366	1,090,672	5,586,828	9,245,182
2013-01-24	$149.53	$149.00	10.2%	2.9%	15.7%	1.1%	10.7%	3.2%	0.5%	3.67B	-21.83B	-226.1M	1.65	7.00	N/A	N/A	869,717	1,436,038	5,697,168	9,635,311
2013-01-25	$149.96	$149.00	10.7%	3.0%	15.4%	3.5%	11.9%	3.4%	0.4%	9.31B	-23.74B	-235.0M	1.24	8.61	N/A	N/A	1,026,938	1,275,686	5,925,118	10,195,936
2013-01-28	$150.07	$150.00	11.4%	3.3%	15.4%	7.4%	12.0%	3.5%	0.8%	461.7M	-18.68B	-243.9M	1.16	4.20	N/A	N/A	772,593	896,036	5,640,560	10,216,994
2013-01-29	$150.78	$150.00	11.0%	3.2%	12.9%	5.1%	11.9%	3.4%	0.7%	1.64B	-25.76B	-237.3M	1.75	4.35	N/A	N/A	583,134	1,018,578	5,894,333	10,499,282
2013-01-30	$149.90	$150.00	12.1%	3.5%	9.5%	11.4%	14.1%	3.8%	0.6%	-144.3M	-16.02B	-248.4M	1.86	4.68	N/A	N/A	596,787	1,107,918	5,984,481	10,738,353
2013-01-31	$149.95	$150.00	12.0%	3.4%	5.6%	10.5%	12.6%	3.8%	0.8%	-111.0M	-15.81B	-250.6M	1.76	3.75	N/A	N/A	703,495	1,236,849	6,168,974	10,983,646