SPY Options History — February 2013

In February 2013, SPY traded between $149.20 and $153.19. ATM implied volatility averaged 11.9%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.8% (HV 20d: 8.1%). Max pain ranged from $148.00 to $151.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.74.

Notable Days

2013-02-25: Highest Volume — 4,569,118 contracts
2013-02-25: Largest IV spike — 38.5% change
2013-02-25: Highest IV Rank — 35.9%
2013-02-25: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$151.29	$149.20	$153.19	$151.06	$151.67
Max Pain	$149.61	$148.00	$151.00	$150.00	$149.00
ATM IV	11.9%	10.4%	16.7%	10.8%	12.6%
Expected Move	3.4%	3.0%	4.8%	3.1%	3.6%
HV 20d	8.1%	5.7%	11.9%	5.7%	11.7%
HV 60d	12.5%	11.7%	13.8%	13.7%	12.8%
IV Rank	10.1%	2.3%	35.9%	3.9%	13.7%
IV Percentile	16.9%	1.2%	79.4%	3.2%	25.0%
Term Structure	0.3%	-1.1%	1.2%	1.0%	-0.1%
VWIV	12.9%	10.7%	18.3%	11.1%	13.4%
Skew 25d	4.3%	3.4%	6.3%	3.4%	5.2%
Skew 10d	8.2%	6.7%	12.4%	6.7%	10.2%
Call IV 25d	10.3%	8.8%	14.1%	9.3%	10.8%
Put IV 25d	14.5%	12.7%	20.4%	12.7%	16.0%
Bid-Ask Spread %	5.49	1.82	22.67	7.10	3.81
Gamma HHI	0.08	0.05	0.23	0.23	0.05
Net GEX	229.6M	-4.71B	5.45B	5.45B	-2.00B
Net DEX	-14.00B	-31.09B	22.43B	-27.85B	579.8M
Net VEX	-258.3M	-294.8M	-237.8M	-237.8M	-291.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	1.26	2.15	1.37	1.46
Total Volume	2,482,595.789	1,270,839	4,569,118	3,238,802	2,109,593
Total OI	18,915,394.684	16,582,702	21,200,586	17,616,843	21,200,586

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
2013-02-01	$151.06	$150.00	10.8%	3.1%	5.7%	3.9%	11.1%	3.4%	1.0%	5.45B	-27.85B	-237.8M	1.37	7.10	N/A	N/A	1,366,929	1,871,873	6,275,716	11,341,127
2013-02-04	$149.70	$150.00	11.9%	3.4%	6.9%	10.4%	12.3%	3.8%	0.9%	-593.9M	-11.71B	-252.4M	1.63	5.19	N/A	N/A	752,686	1,226,085	6,192,008	11,066,610
2013-02-05	$151.01	$150.00	11.1%	3.2%	7.3%	5.6%	11.7%	3.5%	1.1%	1.59B	-23.97B	-246.4M	1.92	4.62	N/A	N/A	591,628	1,138,773	6,501,780	11,296,709
2013-02-06	$151.08	$150.00	10.9%	3.1%	7.1%	4.5%	10.7%	3.4%	1.2%	1.59B	-23.96B	-246.1M	2.15	6.30	N/A	N/A	517,905	1,115,443	6,565,478	11,651,196
2013-02-07	$150.90	$0.00	11.3%	3.2%	7.2%	7.0%	11.9%	3.8%	0.7%	631.3M	-21.15B	-249.7M	1.60	6.71	N/A	N/A	745,205	1,195,408	6,643,724	12,028,213
2013-02-08	$151.69	$151.00	10.8%	3.0%	7.0%	4.3%	11.7%	3.7%	0.7%	2.39B	-29.96B	-246.0M	1.30	6.69	N/A	N/A	852,732	1,110,576	6,835,257	12,340,932
2013-02-11	$151.72	$148.00	11.0%	3.2%	7.0%	5.4%	12.7%	3.9%	0.2%	2.20B	-27.92B	-239.5M	2.11	2.03	N/A	N/A	409,006	861,833	6,610,581	11,993,548
2013-02-12	$152.04	$148.00	11.1%	3.2%	6.9%	5.6%	12.6%	3.7%	0.3%	2.78B	-30.74B	-239.6M	1.81	2.10	N/A	N/A	700,548	1,268,478	6,698,865	12,318,765
2013-02-13	$152.14	$148.00	11.3%	3.2%	6.9%	6.8%	12.7%	3.8%	0.4%	3.05B	-31.09B	-244.1M	1.78	1.82	N/A	N/A	765,585	1,362,133	6,905,969	13,017,996
2013-02-14	$152.25	$149.00	11.1%	3.2%	6.8%	5.5%	12.6%	3.6%	0.2%	3.18B	-30.96B	-243.8M	2.03	1.85	N/A	N/A	605,572	1,228,277	6,924,901	13,380,944
2013-02-15	$152.14	$149.00	10.7%	3.0%	6.6%	3.5%	11.8%	4.0%	0.3%	2.17B	-28.86B	-241.3M	1.26	2.57	N/A	N/A	1,636,869	2,055,328	7,030,758	13,738,342
2013-02-19	$153.19	$151.00	10.4%	3.0%	6.9%	2.3%	11.7%	4.1%	0.2%	1.21B	-20.65B	-241.2M	1.83	5.79	N/A	N/A	598,868	1,097,092	5,605,620	10,977,082
2013-02-20	$151.16	$151.00	12.7%	3.6%	8.4%	14.6%	11.2%	4.5%	-0.2%	-2.81B	353.1M	-264.4M	1.84	22.67	N/A	N/A	1,032,071	1,897,573	5,764,696	11,356,528
2013-02-21	$150.56	$151.00	13.0%	3.7%	8.5%	16.2%	14.0%	4.8%	-0.1%	-4.56B	9.27B	-273.5M	1.77	4.56	N/A	N/A	1,228,337	2,172,349	6,232,989	12,020,845
2013-02-22	$151.85	$151.00	12.0%	3.5%	9.0%	10.9%	12.8%	5.0%	0.1%	-2.33B	-3.85B	-275.3M	1.68	6.00	N/A	N/A	1,090,661	1,835,446	6,727,429	12,449,320
2013-02-25	$149.20	$149.00	16.7%	4.8%	11.1%	35.9%	18.3%	6.3%	-1.1%	-4.21B	22.43B	-294.8M	1.65	5.23	N/A	N/A	1,723,658	2,845,460	6,297,327	12,375,391
2013-02-26	$149.69	$149.00	14.5%	4.1%	11.2%	24.0%	16.1%	5.4%	-0.4%	-4.71B	19.94B	-293.3M	1.94	4.72	N/A	N/A	1,182,466	2,294,368	6,977,825	13,314,822
2013-02-27	$151.54	$149.00	12.3%	3.5%	11.9%	12.4%	14.9%	5.2%	0.0%	-663.3M	-5.90B	-286.8M	1.85	4.47	N/A	N/A	940,720	1,741,786	7,142,298	13,590,322
2013-02-28	$151.67	$149.00	12.6%	3.6%	11.7%	13.7%	13.4%	5.2%	-0.1%	-2.00B	579.8M	-291.6M	1.46	3.81	N/A	N/A	858,893	1,250,700	7,203,827	13,996,759