SPY Options History — April 2013 In April 2013, SPY traded between $153.93 and $159.74. ATM implied volatility averaged 12.2%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.1% (HV 20d: 12.1%). Max pain ranged from $155.00 to $159.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.70.
Notable Days 2013-04-17 : Highest Volume — 4,184,577 contracts2013-04-15 : Largest IV spike — 45.5% change2013-04-15 : Highest IV Rank — 31.8%2013-04-18 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $156.93 $153.93 $159.74 $155.95 $159.74 Max Pain $156.10 $155.00 $159.00 $156.00 $158.00 ATM IV 12.2% 10.4% 15.2% 11.8% 11.5% Expected Move 3.5% 3.0% 4.3% 3.4% 3.3% HV 20d 12.1% 7.4% 15.5% 7.4% 15.4% HV 60d 10.3% 8.5% 11.8% 8.5% 11.7% IV Rank 16.3% 7.3% 31.8% 14.5% 12.5% IV Percentile 27.3% 4.0% 62.7% 21.4% 19.8% Term Structure 0.4% -0.1% 1.0% 0.3% 0.9% VWIV 13.0% 10.7% 17.0% 13.1% 13.1% Skew 25d 4.2% 3.2% 5.5% 4.5% 3.9% Skew 10d 8.2% 6.5% 10.5% 8.4% 7.7% Call IV 25d 10.5% 9.3% 12.9% 10.0% 10.0% Put IV 25d 14.7% 12.6% 18.3% 14.6% 13.9% Bid-Ask Spread % 5.45 3.02 7.27 5.54 5.75 Gamma HHI 0.06 0.05 0.10 0.05 0.06 Net GEX -814.6M -5.85B 4.03B -1.30B 1.07B Net DEX -9.69B -39.69B 26.30B -6.06B -25.53B Net VEX -294.8M -317.2M -273.9M -292.4M -288.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 1.29 2.69 2.69 1.79 Total Volume 2,624,809.955 1,703,074 4,184,577 1,751,626 1,703,074 Total OI 20,034,556.727 17,583,051 23,170,858 17,583,051 19,719,879
Daily Data (22 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 2013-04-01 $155.95 $156.00 11.8% 3.4% 7.4% 14.5% 13.1% 4.5% 0.3% -1.30B -6.06B -292.4M 2.69 5.54 N/A N/A 474,287 1,277,339 5,834,925 11,748,126 2013-04-02 $156.90 $156.00 10.9% 3.1% 7.4% 9.7% 11.7% 4.1% 0.4% 63.1M -14.26B -285.3M 2.42 5.56 N/A N/A 547,928 1,328,155 5,975,744 12,178,024 2013-04-03 $155.25 $156.00 12.7% 3.6% 8.1% 18.8% 13.1% 4.6% -0.1% -3.14B 3.31B -294.4M 1.64 4.86 N/A N/A 1,026,841 1,679,899 6,146,583 12,700,642 2013-04-04 $155.85 $156.00 12.1% 3.5% 8.2% 15.6% 13.4% 4.4% 0.1% -1.63B -3.94B -300.5M 1.48 3.91 N/A N/A 997,557 1,480,799 6,560,872 13,041,278 2013-04-05 $155.02 $156.00 12.3% 3.5% 8.4% 17.0% 15.0% 4.4% 0.2% -4.34B 5.36B -304.9M 1.89 5.31 N/A N/A 1,163,281 2,195,032 6,826,699 13,324,476 2013-04-08 $156.32 $156.00 11.9% 3.4% 8.8% 14.6% 13.4% 4.1% 0.0% -521.8M -10.23B -291.7M 1.58 4.95 N/A N/A 706,592 1,116,933 6,361,660 12,911,022 2013-04-09 $156.77 $156.00 11.2% 3.2% 8.8% 11.1% 12.4% 4.0% 0.0% 1.29B -16.12B -289.1M 1.37 4.42 N/A N/A 854,771 1,174,754 6,663,672 13,189,457 2013-04-10 $158.70 $156.00 10.4% 3.0% 9.7% 7.3% 11.7% 3.2% 0.3% 4.03B -37.02B -273.9M 1.32 6.55 N/A N/A 1,465,261 1,927,289 6,871,282 13,476,996 2013-04-11 $159.21 $0.00 10.9% 3.1% 9.7% 9.5% 11.9% 3.2% 0.1% 4.02B -39.69B -278.4M 1.36 5.28 N/A N/A 1,282,208 1,748,166 7,003,760 14,123,572 2013-04-12 $158.61 $159.00 10.5% 3.0% 9.8% 7.4% 11.5% 3.2% 0.2% 2.00B -32.37B -275.9M 1.80 6.34 N/A N/A 803,498 1,443,391 7,247,231 14,465,567 2013-04-15 $154.92 $155.00 15.2% 4.3% 12.9% 31.8% 15.6% 5.3% 0.1% -3.59B 15.89B -317.2M 2.37 5.40 N/A N/A 1,190,744 2,823,563 6,939,206 14,024,342 2013-04-16 $157.41 $155.00 12.1% 3.5% 14.0% 16.0% 13.1% 3.9% 1.0% -425.9M -13.36B -298.8M 1.59 3.02 N/A N/A 818,573 1,303,467 7,201,624 14,513,742 2013-04-17 $155.07 $155.00 14.5% 4.1% 15.0% 28.0% 15.4% 5.1% 0.5% -4.60B 14.43B -316.5M 1.79 3.75 N/A N/A 1,500,237 2,684,340 7,278,343 14,722,995 2013-04-18 $153.93 $155.00 15.1% 4.3% 15.2% 31.3% 17.0% 5.5% 0.2% -5.85B 26.30B -317.2M 2.11 6.39 N/A N/A 1,141,730 2,411,515 7,523,136 14,935,349 2013-04-19 $155.23 $155.00 13.2% 3.8% 15.3% 21.2% 13.7% 4.5% 0.3% -3.16B 7.66B -304.1M 1.37 3.79 N/A N/A 1,602,809 2,192,422 7,741,096 15,429,762 2013-04-22 $156.06 $155.00 12.8% 3.7% 15.1% 19.2% 13.3% 4.5% 0.7% -2.11B 317.6M -297.3M 1.73 5.19 N/A N/A 653,154 1,129,334 6,054,569 11,902,896 2013-04-23 $157.71 $155.00 11.6% 3.3% 15.5% 13.1% 11.1% 4.0% 1.0% 217.8M -15.81B -286.7M 1.46 7.17 N/A N/A 1,135,199 1,660,337 6,212,731 12,254,457 2013-04-24 $157.84 $156.00 12.0% 3.4% 15.4% 15.2% 10.7% 4.2% 0.9% -22.9M -15.04B -291.8M 1.51 6.29 N/A N/A 806,010 1,217,132 6,392,808 12,611,357 2013-04-25 $158.62 $156.00 11.7% 3.4% 15.4% 13.9% 12.2% 4.0% 0.1% 1.05B -22.03B -291.6M 1.45 6.94 N/A N/A 1,254,495 1,817,243 6,578,814 12,932,133 2013-04-26 $158.11 $158.00 12.0% 3.4% 15.4% 15.5% 11.5% 4.0% 0.0% -1.35B -13.42B -296.8M 1.41 7.27 N/A N/A 900,519 1,269,912 6,711,247 13,288,744 2013-04-29 $159.29 $158.00 12.1% 3.5% 15.5% 15.7% 12.7% 4.0% 0.8% 372.6M -21.50B -292.1M 1.29 6.15 N/A N/A 803,079 1,032,950 6,457,057 12,682,373 2013-04-30 $159.74 $158.00 11.5% 3.3% 15.4% 12.5% 13.1% 3.9% 0.9% 1.07B -25.53B -288.8M 1.79 5.75 N/A N/A 609,558 1,093,516 6,706,246 13,013,633
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