SPY Options History — August 2013 In August 2013, SPY traded between $163.35 and $170.90. ATM implied volatility averaged 12.8%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.9% (HV 20d: 7.8%). Max pain ranged from $164.00 to $170.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.64.
Notable Days 2013-08-15 : Highest Volume — 3,602,495 contracts2013-08-15 : Largest IV spike — 21.3% change2013-08-27 : Highest IV Rank — 46.1%2013-08-27 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $167.18 $163.35 $170.90 $170.55 $163.90 Max Pain $167.62 $164.00 $170.00 $169.00 $166.00 ATM IV 12.8% 10.2% 15.6% 11.3% 15.4% Expected Move 3.7% 3.0% 4.5% 3.2% 4.4% HV 20d 7.8% 5.5% 10.9% 7.3% 10.1% HV 60d 12.0% 11.6% 12.4% 11.9% 11.9% IV Rank 25.9% 6.3% 46.1% 11.8% 44.7% IV Percentile 46.0% 3.6% 86.9% 22.2% 84.5% Term Structure 0.4% -0.3% 1.1% 0.0% 0.2% VWIV 13.3% 10.9% 16.3% 12.6% 16.3% Skew 25d 4.0% 2.6% 5.3% 3.0% 5.1% Skew 10d 7.7% 5.0% 10.0% 6.1% 9.9% Call IV 25d 11.2% 9.3% 13.5% 10.2% 13.5% Put IV 25d 15.2% 12.0% 18.6% 13.2% 18.5% Bid-Ask Spread % 4.48 1.57 10.27 6.04 4.76 Gamma HHI 0.07 0.04 0.33 0.06 0.12 Net GEX -2.25B -6.12B 8.32B 1.74B -5.95B Net DEX -2.82B -40.39B 26.14B -36.49B 24.04B Net VEX -297.2M -319.8M -273.8M -278.3M -319.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 1.18 2.37 1.37 2.10 Total Volume 1,884,288.682 1,140,034 3,602,495 2,521,855 2,491,993 Total OI 19,656,484.636 17,110,407 21,820,071 19,309,369 20,224,219
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 2013-08-01 $170.55 $169.00 11.3% 3.2% 7.3% 11.8% 12.6% 3.0% 0.0% 1.74B -36.49B -278.3M 1.37 6.04 N/A N/A 1,065,721 1,456,134 6,908,055 12,401,314 2013-08-02 $170.90 $169.00 10.5% 3.0% 6.6% 7.5% 11.2% 2.6% 0.2% 8.32B -40.39B -276.6M 1.28 6.53 N/A N/A 882,937 1,127,499 7,259,255 12,848,456 2013-08-05 $170.71 $170.00 10.2% 3.0% 6.6% 6.3% 10.9% 2.7% 1.0% 683.2M -34.94B -273.8M 2.37 3.81 N/A N/A 385,727 913,158 7,025,888 12,491,513 2013-08-06 $169.84 $170.00 10.9% 3.1% 6.9% 13.6% 12.2% 3.2% 1.0% -1.02B -24.85B -289.9M 1.71 4.43 N/A N/A 593,293 1,016,679 7,094,300 12,793,642 2013-08-07 $169.25 $170.00 11.4% 3.3% 7.1% 16.5% 11.9% 3.4% 1.0% -2.15B -18.22B -296.5M 2.02 4.26 N/A N/A 574,885 1,164,052 7,150,499 13,081,248 2013-08-08 $169.81 $170.00 10.9% 3.1% 5.5% 13.3% 11.5% 3.3% 1.0% -742.9M -25.34B -288.0M 1.36 4.41 N/A N/A 658,855 894,874 7,205,319 13,401,440 2013-08-09 $169.06 $170.00 11.5% 3.3% 5.8% 17.3% 12.0% 3.8% 1.0% -2.92B -16.66B -296.5M 2.06 7.14 N/A N/A 687,508 1,415,642 7,320,443 13,603,306 2013-08-12 $169.18 $170.00 11.7% 3.4% 5.7% 19.0% 12.4% 3.8% 1.0% -1.88B -17.96B -294.0M 1.55 4.24 N/A N/A 447,218 692,816 7,177,601 13,557,843 2013-08-13 $169.57 $170.00 10.8% 3.1% 5.5% 12.9% 11.5% 3.6% 1.1% -1.19B -22.26B -287.5M 1.76 3.95 N/A N/A 476,541 838,812 7,242,036 13,672,838 2013-08-14 $168.63 $170.00 11.2% 3.2% 5.9% 15.5% 11.7% 3.7% 1.1% -3.29B -12.06B -297.8M 1.77 4.64 N/A N/A 491,419 870,929 7,309,258 13,885,317 2013-08-15 $166.14 $0.00 13.6% 3.9% 7.8% 32.3% 13.9% 4.5% 0.5% -6.12B 14.54B -304.5M 2.01 4.34 N/A N/A 1,195,205 2,407,290 7,352,445 13,954,361 2013-08-16 $165.61 $166.00 13.0% 3.7% 7.5% 27.6% 13.0% 4.4% 0.6% -5.69B 18.31B -299.4M 1.63 5.86 N/A N/A 1,052,931 1,719,953 7,722,752 14,097,319 2013-08-19 $164.95 $166.00 13.9% 4.1% 7.6% 34.6% 14.4% 4.5% -0.2% -3.44B 15.28B -297.2M 1.54 1.70 N/A N/A 606,020 934,389 6,172,386 10,938,021 2013-08-20 $165.60 $166.00 13.6% 3.9% 7.8% 31.9% 14.5% 4.4% -0.2% -3.14B 10.97B -300.2M 1.49 1.57 N/A N/A 521,729 775,301 6,326,511 11,204,397 2013-08-21 $164.21 $166.00 14.9% 4.3% 8.2% 41.1% 15.3% 4.7% -0.3% -3.91B 20.70B -300.0M 1.46 1.87 N/A N/A 1,064,944 1,556,106 6,457,072 11,323,057 2013-08-22 $166.05 $166.00 13.6% 3.9% 9.3% 31.8% 14.8% 4.3% 0.1% -2.54B 6.92B -306.8M 1.44 1.90 N/A N/A 618,624 889,870 6,795,013 11,666,031 2013-08-23 $166.65 $166.00 12.6% 3.6% 9.4% 25.2% 13.4% 4.0% 0.1% -1.36B 434.5M -299.0M 1.18 2.53 N/A N/A 691,419 813,653 6,956,104 11,899,675 2013-08-26 $165.92 $165.00 13.7% 3.9% 9.5% 33.1% 13.6% 4.5% -0.2% -2.55B 6.03B -299.8M 1.39 4.55 N/A N/A 518,398 722,233 6,641,975 11,547,350 2013-08-27 $163.35 $166.00 15.6% 4.5% 10.8% 46.1% 15.2% 5.1% -0.3% -4.29B 26.14B -302.6M 1.83 4.65 N/A N/A 1,035,363 1,890,258 6,794,313 11,720,669 2013-08-28 $163.78 $165.00 15.0% 4.3% 10.9% 41.9% 15.2% 5.1% -0.1% -4.40B 24.44B -312.3M 1.32 5.00 N/A N/A 708,386 935,862 7,167,528 12,264,789 2013-08-29 $164.21 $164.00 15.5% 4.5% 10.2% 45.5% 15.5% 5.3% -0.1% -3.69B 19.38B -319.8M 1.41 10.27 N/A N/A 683,830 965,895 7,431,680 12,355,424 2013-08-30 $163.90 $166.00 15.4% 4.4% 10.1% 44.7% 16.3% 5.1% 0.2% -5.95B 24.04B -319.2M 2.10 4.76 N/A N/A 803,356 1,688,637 7,589,096 12,635,123
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