SPY Options History — June 2013

In June 2013, SPY traded between $157.03 and $165.72. ATM implied volatility averaged 15.3%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.7% (HV 20d: 13.6%). Max pain ranged from $158.00 to $165.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.66.

Notable Days

2013-06-20: Highest Volume — 7,912,827 contracts
2013-06-20: Largest IV spike — 19.9% change
2013-06-24: Highest IV Rank — 48.8%
2013-06-24: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$162.15	$157.03	$165.72	$164.35	$160.25
Max Pain	$162.63	$158.00	$165.00	$165.00	$160.00
ATM IV	15.3%	13.0%	18.5%	14.3%	15.7%
Expected Move	4.4%	3.7%	5.3%	4.1%	4.5%
HV 20d	13.6%	9.0%	17.7%	9.0%	17.0%
HV 60d	12.9%	11.4%	14.4%	11.4%	14.3%
IV Rank	32.2%	20.2%	48.8%	27.0%	34.1%
IV Percentile	73.9%	48.0%	97.2%	60.3%	82.5%
Term Structure	0.1%	-0.5%	0.5%	-0.0%	0.2%
VWIV	15.9%	13.6%	18.6%	15.2%	15.4%
Skew 25d	4.8%	4.0%	6.2%	4.5%	4.8%
Skew 10d	9.6%	6.9%	11.6%	11.2%	8.7%
Call IV 25d	13.3%	11.6%	15.7%	12.5%	13.3%
Put IV 25d	18.1%	15.6%	21.9%	17.0%	18.1%
Bid-Ask Spread %	4.68	2.65	8.36	4.49	7.48
Gamma HHI	0.05	0.04	0.12	0.04	0.06
Net GEX	-3.43B	-7.52B	-44.5M	-2.62B	-4.04B
Net DEX	10.55B	-22.63B	57.86B	-4.15B	18.93B
Net VEX	-347.1M	-359.6M	-333.2M	-359.5M	-347.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	1.24	2.05	1.58	1.58
Total Volume	3,044,247.05	1,508,610	7,912,827	2,535,418	2,502,929
Total OI	22,662,827.75	19,319,717	25,460,366	21,505,603	21,259,531

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
2013-06-03	$164.35	$165.00	14.3%	4.1%	9.0%	27.0%	15.2%	4.5%	-0.0%	-2.62B	-4.15B	-359.5M	1.58	4.49	N/A	N/A	982,008	1,553,410	7,517,565	13,988,038
2013-06-04	$163.68	$164.00	14.3%	4.1%	9.2%	27.3%	14.6%	4.6%	0.0%	-3.30B	132.4M	-355.7M	1.93	4.24	N/A	N/A	682,809	1,320,859	7,726,238	14,382,364
2013-06-05	$161.39	$164.00	15.8%	4.5%	10.4%	34.5%	16.1%	4.7%	-0.3%	-4.93B	21.75B	-357.2M	1.85	3.88	N/A	N/A	1,313,587	2,435,375	7,836,292	14,573,618
2013-06-06	$162.84	$163.00	14.6%	4.2%	10.8%	28.5%	16.6%	4.7%	-0.2%	-3.85B	7.07B	-359.6M	1.79	5.59	N/A	N/A	1,300,575	2,325,444	8,114,352	14,935,423
2013-06-07	$164.51	$163.00	13.0%	3.7%	11.3%	20.2%	13.8%	4.0%	0.4%	-44.5M	-13.08B	-349.8M	1.86	7.74	N/A	N/A	1,227,753	2,288,318	8,329,934	15,446,628
2013-06-10	$164.82	$163.00	13.2%	3.8%	11.3%	21.4%	13.6%	4.0%	0.3%	-1.42B	-15.59B	-336.0M	1.84	4.35	N/A	N/A	531,418	977,192	7,943,042	14,678,164
2013-06-11	$163.30	$163.00	15.1%	4.3%	11.8%	31.2%	15.1%	4.5%	-0.0%	-3.15B	1.53B	-353.3M	1.91	4.58	N/A	N/A	639,261	1,220,717	8,053,495	14,879,154
2013-06-12	$161.64	$163.00	16.4%	4.7%	11.6%	37.7%	16.7%	4.8%	-0.2%	-4.88B	18.84B	-356.9M	2.05	4.32	N/A	N/A	1,017,777	2,084,813	8,150,160	15,156,210
2013-06-13	$164.24	$0.00	14.4%	4.1%	13.0%	27.4%	14.4%	4.3%	0.1%	-1.92B	-9.21B	-344.8M	1.43	4.73	N/A	N/A	1,113,581	1,591,253	8,317,006	15,555,580
2013-06-14	$163.03	$164.00	15.0%	4.3%	13.2%	30.7%	15.8%	4.4%	-0.0%	-4.40B	3.46B	-348.9M	1.43	3.52	N/A	N/A	1,012,557	1,443,420	8,436,446	15,733,405
2013-06-17	$164.57	$165.00	14.4%	4.1%	13.2%	27.6%	16.9%	4.4%	0.4%	-1.41B	-12.53B	-334.8M	1.74	2.65	N/A	N/A	789,531	1,376,124	8,179,641	15,120,645
2013-06-18	$165.72	$165.00	14.1%	4.0%	13.5%	26.0%	15.7%	4.5%	0.5%	-479.7M	-22.63B	-335.1M	1.24	2.88	N/A	N/A	998,509	1,240,314	8,283,897	15,498,486
2013-06-19	$163.47	$165.00	14.6%	4.2%	14.3%	28.6%	15.2%	4.3%	0.3%	-3.33B	1.40B	-333.2M	1.31	8.36	N/A	N/A	1,539,113	2,011,705	8,516,551	15,809,157
2013-06-20	$159.68	$165.00	17.5%	5.0%	16.3%	43.5%	18.5%	5.8%	-0.1%	-6.29B	43.17B	-338.8M	1.59	4.98	N/A	N/A	3,052,741	4,860,086	8,664,742	16,087,248
2013-06-21	$158.79	$164.00	17.0%	4.9%	16.3%	40.7%	17.7%	5.7%	0.1%	-7.52B	57.86B	-342.6M	1.65	2.96	N/A	N/A	1,925,138	3,168,348	8,698,742	16,761,624
2013-06-24	$157.03	$159.00	18.5%	5.3%	16.6%	48.8%	18.6%	6.2%	-0.5%	-4.84B	47.16B	-345.7M	1.47	4.34	N/A	N/A	1,501,924	2,200,262	7,111,662	12,208,055
2013-06-25	$158.58	$158.00	16.8%	4.8%	17.1%	40.1%	17.5%	5.7%	-0.1%	-4.33B	34.61B	-348.3M	1.58	4.23	N/A	N/A	827,639	1,306,965	7,485,225	12,645,128
2013-06-26	$159.98	$158.00	15.9%	4.5%	17.5%	35.1%	15.9%	5.2%	0.1%	-3.39B	21.49B	-345.2M	1.54	4.26	N/A	N/A	825,344	1,268,992	7,650,354	12,682,859
2013-06-27	$161.07	$159.00	15.5%	4.4%	17.7%	33.4%	15.8%	4.9%	0.1%	-2.56B	10.71B	-347.8M	1.83	4.01	N/A	N/A	857,933	1,569,217	7,815,471	13,024,423
2013-06-28	$160.25	$160.00	15.7%	4.5%	17.0%	34.1%	15.4%	4.8%	0.2%	-4.04B	18.93B	-347.8M	1.58	7.48	N/A	N/A	968,731	1,534,198	7,963,327	13,296,204