SPY Options History — March 2013

In March 2013, SPY traded between $152.05 and $156.70. ATM implied volatility averaged 10.9%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.6% (HV 20d: 10.3%). Max pain ranged from $150.00 to $156.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.66.

Notable Days

2013-03-14: Highest Volume — 5,925,589 contracts
2013-03-18: Largest IV spike — 19.1% change
2013-03-21: Highest IV Rank — 17.6%
2013-03-21: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$155.16	$152.05	$156.70	$152.05	$156.70
Max Pain	$154.00	$150.00	$156.00	$150.00	$155.00
ATM IV	10.9%	9.0%	12.5%	12.5%	10.7%
Expected Move	3.1%	2.6%	3.6%	3.6%	3.1%
HV 20d	10.3%	7.0%	11.7%	11.7%	7.1%
HV 60d	12.2%	9.5%	12.8%	12.7%	9.5%
IV Rank	7.8%	0.0%	17.6%	13.2%	8.8%
IV Percentile	10.7%	0.0%	27.4%	23.8%	6.7%
Term Structure	0.5%	0.1%	1.0%	0.1%	0.3%
VWIV	11.8%	9.8%	13.4%	13.2%	11.4%
Skew 25d	3.9%	2.2%	5.3%	5.3%	3.9%
Skew 10d	7.8%	4.0%	11.0%	11.0%	7.6%
Call IV 25d	9.4%	8.5%	10.4%	10.4%	9.2%
Put IV 25d	13.3%	10.8%	15.6%	15.6%	13.1%
Bid-Ask Spread %	5.38	2.66	7.74	4.50	6.30
Gamma HHI	0.07	0.05	0.21	0.21	0.05
Net GEX	944.7M	-3.69B	6.60B	4.24B	147.9M
Net DEX	-15.54B	-41.81B	6.35B	-5.56B	-17.60B
Net VEX	-274.7M	-300.5M	-238.0M	-284.7M	-287.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.26	2.35	1.70	1.47
Total Volume	2,477,411.65	1,453,266	5,925,589	3,083,718	2,278,564
Total OI	20,420,027.25	16,199,881	23,284,821	21,662,570	20,014,718

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
2013-03-01	$152.05	$150.00	12.5%	3.6%	11.7%	13.2%	13.2%	5.3%	0.1%	4.24B	-5.56B	-284.7M	1.70	4.50	N/A	N/A	1,143,194	1,940,524	7,374,767	14,287,803
2013-03-04	$153.00	$152.00	11.2%	3.2%	11.6%	6.1%	12.5%	4.6%	0.5%	31.9M	-12.08B	-267.2M	2.35	4.06	N/A	N/A	506,581	1,190,837	6,970,940	13,433,294
2013-03-05	$154.16	$152.00	11.0%	3.1%	11.3%	5.1%	11.6%	4.3%	0.4%	1.83B	-23.06B	-262.4M	1.66	6.76	N/A	N/A	1,148,544	1,911,943	7,076,124	13,685,103
2013-03-06	$154.45	$152.00	11.2%	3.2%	10.9%	6.3%	11.5%	4.0%	0.5%	2.09B	-24.43B	-265.8M	1.25	7.22	N/A	N/A	1,028,012	1,282,567	7,471,786	14,210,131
2013-03-07	$154.79	$153.00	10.4%	3.0%	10.9%	2.2%	11.2%	3.8%	0.5%	2.40B	-25.30B	-270.1M	1.42	7.74	N/A	N/A	802,365	1,141,224	7,744,875	14,657,860
2013-03-08	$155.43	$153.00	10.1%	2.9%	10.9%	0.6%	10.8%	3.3%	0.7%	4.24B	-33.29B	-260.7M	1.37	7.12	N/A	N/A	1,405,538	1,931,322	7,954,936	15,078,194
2013-03-11	$156.03	$154.00	9.6%	2.8%	10.9%	0.0%	10.9%	3.2%	0.8%	3.18B	-33.10B	-254.0M	1.55	6.36	N/A	N/A	871,599	1,350,417	7,681,712	14,665,970
2013-03-12	$155.68	$154.00	9.9%	2.8%	11.0%	1.4%	10.7%	3.3%	0.5%	2.09B	-27.13B	-263.0M	1.88	6.72	N/A	N/A	729,402	1,369,155	7,775,723	14,955,980
2013-03-13	$156.02	$155.00	9.7%	2.8%	11.0%	0.3%	11.3%	3.1%	0.5%	3.06B	-30.57B	-260.7M	1.38	7.00	N/A	N/A	610,985	842,281	7,880,100	15,305,196
2013-03-14	$156.68	$0.00	9.0%	2.6%	11.0%	0.0%	9.8%	2.2%	0.2%	6.60B	-41.81B	-238.0M	0.26	6.98	N/A	N/A	4,697,746	1,227,843	7,852,692	15,432,129
2013-03-15	$155.88	$156.00	9.6%	2.7%	11.3%	2.9%	10.1%	3.0%	0.2%	-1.15B	-2.89B	-259.2M	1.63	7.42	N/A	N/A	938,230	1,531,321	5,989,084	15,832,073
2013-03-18	$155.13	$155.00	11.4%	3.3%	11.4%	12.3%	12.5%	3.8%	1.0%	-789.0M	-4.84B	-277.3M	2.19	3.24	N/A	N/A	674,391	1,474,218	5,223,337	10,976,544
2013-03-19	$154.64	$155.00	12.0%	3.4%	11.3%	15.3%	13.4%	4.3%	0.7%	-2.17B	1.68B	-292.5M	1.84	2.66	N/A	N/A	894,430	1,642,800	5,361,781	11,556,541
2013-03-20	$155.34	$155.00	11.2%	3.2%	10.1%	11.2%	11.8%	3.8%	1.0%	-1.49B	-4.65B	-288.4M	1.84	2.94	N/A	N/A	801,275	1,473,526	5,538,315	12,048,208
2013-03-21	$154.36	$155.00	12.4%	3.6%	10.3%	17.6%	12.9%	4.5%	0.3%	-3.69B	6.35B	-300.5M	2.06	2.68	N/A	N/A	656,810	1,354,562	5,794,777	12,579,375
2013-03-22	$155.66	$155.00	11.4%	3.3%	10.3%	12.4%	12.4%	4.3%	0.4%	-1.01B	-7.03B	-295.2M	1.99	2.77	N/A	N/A	709,856	1,410,268	5,931,993	12,937,245
2013-03-25	$155.12	$155.00	12.1%	3.5%	7.8%	15.7%	12.8%	4.5%	0.4%	-2.09B	-1.25B	-291.4M	1.98	5.26	N/A	N/A	877,618	1,736,283	5,760,229	12,709,853
2013-03-26	$156.12	$155.00	11.2%	3.2%	8.0%	11.4%	13.4%	4.1%	0.6%	843.1M	-12.82B	-287.2M	1.51	5.38	N/A	N/A	780,999	1,180,887	6,007,597	13,093,214
2013-03-27	$156.02	$155.00	11.5%	3.3%	7.0%	12.6%	12.9%	4.3%	0.6%	533.6M	-11.44B	-287.5M	1.92	4.51	N/A	N/A	684,810	1,315,306	6,062,929	13,487,417
2013-03-28	$156.70	$155.00	10.7%	3.1%	7.1%	8.8%	11.4%	3.9%	0.3%	147.9M	-17.60B	-287.9M	1.47	6.30	N/A	N/A	922,182	1,356,382	6,154,256	13,860,462