SPY Options History — May 2013 In May 2013, SPY traded between $158.20 and $167.11. ATM implied volatility averaged 12.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.6% (HV 20d: 11.4%). Max pain ranged from $159.00 to $166.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.45.
Notable Days 2013-05-22 : Highest Volume — 4,434,421 contracts2013-05-31 : Largest IV spike — 12.6% change2013-05-31 : Highest IV Rank — 29.2%2013-05-31 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $164.21 $158.20 $167.11 $158.20 $163.46 Max Pain $161.29 $159.00 $166.00 $159.00 $162.00 ATM IV 12.0% 10.7% 14.7% 12.9% 14.7% Expected Move 3.5% 3.1% 4.3% 3.7% 4.3% HV 20d 11.4% 7.9% 15.7% 15.3% 9.5% HV 60d 11.6% 10.9% 12.1% 11.8% 11.4% IV Rank 15.5% 8.6% 29.2% 19.7% 29.2% IV Percentile 30.4% 7.5% 67.5% 38.9% 67.5% Term Structure 0.4% -0.5% 1.2% 0.6% -0.5% VWIV 12.9% 11.2% 15.3% 14.0% 15.3% Skew 25d 3.2% 2.4% 4.5% 4.2% 4.5% Skew 10d 6.2% 4.3% 11.3% 8.0% 11.3% Call IV 25d 10.9% 9.4% 13.0% 11.0% 13.0% Put IV 25d 14.0% 12.2% 17.5% 15.3% 17.5% Bid-Ask Spread % 4.51 1.90 7.35 6.06 5.17 Gamma HHI 0.06 0.04 0.08 0.05 0.08 Net GEX 815.6M -5.73B 3.89B -1.66B -5.73B Net DEX -36.18B -67.81B 10.31B -8.47B 10.31B Net VEX -313.1M -367.8M -271.2M -305.2M -367.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 1.01 2.12 1.29 2.12 Total Volume 2,663,050.773 1,436,929 4,434,421 2,293,075 3,147,374 Total OI 22,082,442.318 19,474,821 25,634,149 20,142,143 23,291,628
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 2013-05-01 $158.20 $159.00 12.9% 3.7% 15.3% 19.7% 14.0% 4.2% 0.6% -1.66B -8.47B -305.2M 1.29 6.06 N/A N/A 1,002,864 1,290,211 6,800,198 13,341,945 2013-05-02 $159.76 $159.00 11.6% 3.3% 15.6% 13.1% 13.5% 3.7% 0.3% 2.57B -26.04B -296.0M 1.34 4.71 N/A N/A 895,400 1,196,021 7,168,396 13,634,481 2013-05-03 $161.37 $159.00 11.2% 3.2% 15.7% 11.0% 11.8% 3.1% 0.3% 3.89B -45.42B -277.0M 1.39 7.35 N/A N/A 1,383,107 1,923,181 7,303,179 14,096,381 2013-05-06 $161.84 $161.00 10.8% 3.1% 15.5% 9.2% 12.3% 3.3% 0.8% 2.05B -38.11B -271.4M 1.20 5.59 N/A N/A 652,122 784,807 6,814,565 13,555,299 2013-05-07 $162.58 $161.00 10.7% 3.1% 15.6% 8.7% 11.3% 3.2% 0.9% 2.62B -43.62B -271.2M 1.37 5.64 N/A N/A 787,014 1,078,548 6,968,685 13,689,972 2013-05-08 $163.35 $161.00 11.0% 3.2% 15.1% 10.3% 11.3% 3.0% 0.9% 2.82B -49.60B -272.6M 1.01 5.12 N/A N/A 1,313,866 1,328,326 7,172,912 14,100,529 2013-05-09 $162.95 $162.00 11.1% 3.2% 15.2% 10.8% 11.5% 3.1% 1.0% 2.18B -44.55B -293.3M 1.74 4.47 N/A N/A 952,159 1,655,043 7,511,385 14,758,021 2013-05-10 $163.45 $163.00 10.7% 3.1% 15.1% 8.6% 11.2% 2.8% 1.2% 2.34B -47.78B -299.1M 1.49 5.93 N/A N/A 880,727 1,313,624 7,750,318 15,318,087 2013-05-13 $163.57 $163.00 11.1% 3.2% 11.8% 10.7% 11.8% 2.7% 0.9% 2.37B -47.08B -299.3M 1.14 4.99 N/A N/A 827,994 946,496 7,717,842 14,955,036 2013-05-14 $165.29 $163.00 11.4% 3.3% 11.1% 12.3% 11.9% 2.4% 0.9% 3.15B -59.69B -297.4M 1.06 4.42 N/A N/A 1,630,448 1,732,725 7,936,056 15,180,275 2013-05-15 $165.92 $163.00 11.4% 3.3% 9.0% 12.2% 12.0% 2.5% 0.7% 3.04B -65.25B -295.7M 1.23 4.69 N/A N/A 1,608,640 1,981,418 8,308,777 15,861,549 2013-05-16 $165.34 $0.00 12.0% 3.4% 8.5% 15.5% 13.3% 3.0% 0.4% 1.37B -55.79B -315.6M 1.33 6.94 N/A N/A 1,242,361 1,647,667 8,557,226 16,469,601 2013-05-17 $166.90 $166.00 11.2% 3.2% 8.6% 11.3% 12.0% 2.6% 0.5% 2.44B -67.81B -311.3M 1.48 6.91 N/A N/A 1,527,419 2,263,584 8,670,770 16,963,379 2013-05-20 $167.11 $160.00 11.9% 3.5% 8.6% 14.8% 12.9% 2.4% 0.1% 1.73B -40.88B -306.4M 1.20 1.90 N/A N/A 1,104,490 1,320,394 6,991,023 12,483,798 2013-05-21 $167.07 $160.00 12.6% 3.6% 8.3% 18.2% 13.3% 2.5% 0.0% 1.33B -39.20B -325.4M 1.49 2.29 N/A N/A 872,564 1,300,778 7,285,718 12,934,197 2013-05-22 $166.09 $160.00 13.0% 3.7% 8.8% 20.1% 13.4% 2.5% -0.1% -1.01B -27.94B -341.5M 1.44 2.19 N/A N/A 1,817,035 2,617,386 7,557,990 13,550,114 2013-05-23 $165.55 $160.00 12.9% 3.7% 9.0% 20.0% 13.9% 3.0% -0.1% -2.80B -19.43B -349.1M 1.64 2.23 N/A N/A 1,250,182 2,054,371 7,926,942 14,053,991 2013-05-24 $165.60 $161.00 12.7% 3.7% 8.8% 19.1% 13.9% 3.3% -0.2% -715.3M -19.58B -356.0M 1.66 2.43 N/A N/A 1,052,205 1,744,008 8,090,338 14,382,144 2013-05-28 $166.05 $160.00 13.3% 3.8% 8.6% 21.8% 14.7% 3.7% -0.2% -28.8M -25.31B -341.9M 1.78 3.57 N/A N/A 961,941 1,708,973 7,743,600 13,799,685 2013-05-29 $165.21 $162.00 13.6% 3.9% 9.0% 23.5% 14.3% 3.9% -0.3% -2.65B -13.75B -348.0M 1.64 3.53 N/A N/A 750,895 1,234,059 7,903,931 14,399,578 2013-05-30 $165.87 $162.00 13.1% 3.8% 7.9% 20.8% 14.2% 4.0% -0.3% -1.37B -21.00B -346.8M 1.77 3.12 N/A N/A 651,696 1,152,994 8,128,737 14,685,453 2013-05-31 $163.46 $162.00 14.7% 4.3% 9.5% 29.2% 15.3% 4.5% -0.5% -5.73B 10.31B -367.8M 2.12 5.17 N/A N/A 1,008,872 2,138,502 8,234,619 15,057,009
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