SPY Options History — July 2013 In July 2013, SPY traded between $161.12 and $169.49. ATM implied volatility averaged 12.6%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.2% (HV 20d: 12.4%). Max pain ranged from $161.00 to $170.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.82.
Notable Days 2013-07-11 : Highest Volume — 3,251,296 contracts2013-07-05 : Largest IV drop — 12.3% change2013-07-03 : Highest IV Rank — 31.7%2013-07-03 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $166.82 $161.12 $169.49 $161.12 $168.95 Max Pain $165.62 $161.00 $170.00 $161.00 $169.00 ATM IV 12.6% 11.1% 15.2% 15.1% 11.8% Expected Move 3.6% 3.2% 4.4% 4.3% 3.4% HV 20d 12.4% 6.8% 17.0% 17.0% 6.8% HV 60d 12.9% 11.8% 14.2% 14.2% 11.8% IV Rank 18.2% 10.9% 31.7% 31.2% 14.3% IV Percentile 41.3% 17.1% 78.2% 76.6% 31.7% Term Structure 0.7% 0.0% 1.4% 0.1% 0.9% VWIV 13.2% 11.6% 17.1% 16.1% 12.9% Skew 25d 3.3% 2.5% 4.6% 4.6% 3.5% Skew 10d 6.3% 4.6% 8.8% 8.6% 7.0% Call IV 25d 11.1% 9.8% 13.0% 13.0% 10.3% Put IV 25d 14.4% 12.7% 17.6% 17.6% 13.8% Bid-Ask Spread % 5.59 2.67 22.15 4.92 8.11 Gamma HHI 0.05 0.04 0.08 0.04 0.05 Net GEX -422.6M -3.18B 2.34B -2.90B -1.20B Net DEX -23.57B -50.56B 10.36B 10.04B -21.28B Net VEX -299.4M -339.1M -277.8M -335.9M -296.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.82 1.27 3.07 1.81 1.42 Total Volume 1,911,391.864 1,100,736 3,251,296 1,574,776 2,340,819 Total OI 19,966,298.091 17,123,565 23,022,020 19,289,169 18,851,417
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 2013-07-01 $161.12 $161.00 15.1% 4.3% 17.0% 31.2% 16.1% 4.6% 0.1% -2.90B 10.04B -335.9M 1.81 4.92 N/A N/A 561,138 1,013,638 7,212,389 12,076,780 2013-07-02 $161.17 $161.00 15.2% 4.4% 17.0% 31.5% 17.1% 4.6% 0.2% -3.16B 10.36B -334.4M 2.05 4.45 N/A N/A 593,121 1,217,500 7,319,596 12,272,976 2013-07-03 $161.47 $161.00 15.2% 4.4% 16.3% 31.7% 15.8% 4.4% 0.1% -3.18B 8.78B -339.1M 1.83 5.45 N/A N/A 501,730 916,262 7,427,247 12,693,562 2013-07-05 $163.23 $161.00 13.3% 3.8% 16.4% 22.2% 14.2% 4.0% 0.5% -393.5M -8.92B -317.9M 1.52 4.95 N/A N/A 934,811 1,420,803 7,562,362 12,802,565 2013-07-08 $164.03 $161.00 13.1% 3.8% 16.1% 20.9% 14.0% 3.5% 0.3% -1.24B -13.06B -308.0M 2.16 3.48 N/A N/A 620,917 1,341,984 7,288,579 12,488,468 2013-07-09 $165.04 $162.00 12.9% 3.7% 16.2% 19.7% 13.1% 3.3% 0.3% -278.7M -21.86B -298.6M 1.73 4.89 N/A N/A 798,481 1,379,173 7,371,616 12,838,279 2013-07-10 $165.19 $165.00 12.8% 3.7% 15.9% 19.2% 13.0% 3.2% 0.2% -539.8M -22.83B -299.8M 2.05 5.84 N/A N/A 669,083 1,371,279 7,503,103 13,226,237 2013-07-11 $167.44 $0.00 12.9% 3.7% 16.0% 20.1% 13.2% 2.8% 0.0% 2.01B -42.57B -286.7M 1.91 5.02 N/A N/A 1,117,585 2,133,711 7,598,294 13,417,823 2013-07-12 $167.53 $167.00 12.2% 3.5% 15.0% 16.4% 12.6% 2.5% 0.4% 1.28B -40.62B -295.8M 1.71 22.15 N/A N/A 845,232 1,447,864 7,689,723 14,189,907 2013-07-15 $168.20 $165.00 12.6% 3.6% 14.7% 18.5% 13.1% 2.8% 1.3% 1.07B -41.21B -287.2M 1.73 2.67 N/A N/A 641,074 1,111,078 7,522,814 13,623,225 2013-07-16 $167.61 $165.00 12.8% 3.7% 14.5% 19.5% 13.7% 3.2% 1.2% 151.9M -34.91B -295.2M 1.85 2.67 N/A N/A 619,009 1,146,880 7,598,456 13,962,682 2013-07-17 $167.98 $166.00 12.4% 3.5% 14.4% 17.2% 13.0% 3.0% 1.3% 467.8M -38.41B -293.3M 1.70 2.82 N/A N/A 671,763 1,143,987 7,784,691 14,361,904 2013-07-18 $168.49 $166.00 12.4% 3.5% 13.4% 17.3% 12.7% 2.9% 0.5% 1.32B -42.99B -286.1M 1.27 5.08 N/A N/A 963,429 1,226,061 7,816,817 14,686,335 2013-07-19 $169.40 $166.00 11.5% 3.3% 9.6% 12.5% 11.8% 2.6% 0.5% 2.34B -50.56B -282.3M 1.34 3.48 N/A N/A 915,929 1,227,528 7,982,916 15,039,104 2013-07-22 $169.49 $169.00 11.1% 3.2% 9.1% 10.9% 12.4% 2.7% 1.4% 533.3M -30.60B -277.8M 1.78 4.56 N/A N/A 523,883 932,887 6,321,069 10,802,496 2013-07-23 $169.24 $169.00 11.4% 3.3% 7.6% 12.4% 12.3% 3.0% 1.2% 197.3M -28.22B -282.2M 2.35 5.56 N/A N/A 491,728 1,156,588 6,427,829 11,007,593 2013-07-24 $168.80 $170.00 11.6% 3.3% 7.6% 13.0% 11.9% 3.2% 1.3% -871.7M -23.29B -293.1M 3.07 6.12 N/A N/A 516,633 1,584,821 6,480,216 11,372,937 2013-07-25 $168.80 $169.00 11.5% 3.3% 7.3% 12.9% 12.0% 3.1% 0.4% -1.86B -21.55B -299.9M 1.91 5.53 N/A N/A 526,514 1,006,644 6,605,400 12,135,127 2013-07-26 $169.18 $169.00 11.3% 3.2% 7.2% 11.7% 11.6% 3.1% 0.5% -972.3M -24.52B -294.0M 1.85 6.05 N/A N/A 742,524 1,372,991 6,682,249 12,363,099 2013-07-29 $168.70 $168.00 11.6% 3.4% 6.9% 13.4% 11.9% 3.4% 1.0% -1.10B -19.83B -290.6M 1.47 4.08 N/A N/A 445,430 655,306 6,457,287 11,814,341 2013-07-30 $168.89 $168.00 11.7% 3.4% 6.8% 13.8% 12.3% 3.7% 0.9% -987.6M -20.59B -292.9M 1.61 5.03 N/A N/A 461,567 741,236 6,619,309 11,959,739 2013-07-31 $168.95 $169.00 11.8% 3.4% 6.8% 14.3% 12.9% 3.5% 0.9% -1.20B -21.28B -296.4M 1.42 8.11 N/A N/A 967,256 1,373,563 6,697,300 12,154,117
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