SPY Options History — September 2013

In September 2013, SPY traded between $164.38 and $173.00. ATM implied volatility averaged 12.9%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.4% (HV 20d: 10.5%). Max pain ranged from $120.00 to $205.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.64.

Notable Days

2013-09-18: Highest Volume — 4,626,467 contracts
2013-09-23: Largest IV spike — 11.0% change
2013-09-03: Highest IV Rank — 43.2%
2013-09-09: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.01	$164.38	$173.00	$164.38	$168.30
Max Pain	$169.18	$120.00	$205.00	$164.50	$195.00
ATM IV	12.9%	11.2%	15.2%	15.2%	14.4%
Expected Move	4.7%	4.1%	5.0%	4.3%	4.9%
HV 20d	10.5%	9.0%	11.7%	10.3%	9.4%
HV 60d	10.2%	9.0%	11.9%	11.7%	9.2%
IV Rank	27.1%	15.3%	43.2%	43.2%	37.8%
IV Percentile	50.6%	19.4%	81.7%	81.7%	73.4%
Term Structure	0.3%	-0.2%	0.7%	-0.1%	0.1%
VWIV	17.5%	13.5%	24.2%	15.0%	23.0%
Skew 25d	4.1%	1.9%	5.1%	5.1%	5.0%
Skew 10d	7.9%	3.1%	10.6%	9.3%	10.6%
Call IV 25d	11.3%	10.3%	13.0%	13.0%	12.4%
Put IV 25d	15.4%	12.7%	18.1%	18.1%	17.4%
Bid-Ask Spread %	7.14	3.71	9.40	4.42	7.92
Gamma HHI	0.06	0.04	0.12	0.04	0.08
Net GEX	-997.2M	-6.05B	4.89B	-3.23B	-4.68B
Net DEX	-11.23B	-60.57B	14.82B	14.22B	14.82B
Net VEX	-283.0M	-310.4M	-241.9M	-310.4M	-282.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	0.48	2.19	1.39	2.02
Total Volume	2,156,495.25	1,193,207	4,626,467	1,360,740	3,103,797
Total OI	20,128,565.6	16,764,144	22,718,169	19,823,499	18,323,977

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
2013-09-03	$164.38	$164.50	15.2%	4.3%	10.3%	43.2%	15.0%	5.1%	-0.1%	-3.23B	14.22B	-310.4M	1.39	4.42	N/A	N/A	569,090	791,650	7,247,462	12,576,037
2013-09-04	$165.95	$165.00	14.4%	4.1%	10.9%	37.8%	15.2%	5.0%	0.1%	-1.88B	2.52B	-309.3M	1.71	3.71	N/A	N/A	531,646	908,101	7,414,435	12,719,275
2013-09-05	$165.89	$165.00	14.1%	4.1%	10.9%	36.0%	14.6%	4.8%	-0.0%	-2.00B	2.88B	-306.0M	1.74	3.75	N/A	N/A	434,767	758,440	7,513,809	12,932,683
2013-09-06	$166.00	$165.00	14.1%	4.1%	10.8%	35.9%	14.9%	5.1%	-0.0%	253.1M	2.39B	-306.7M	1.69	6.50	N/A	N/A	960,614	1,627,854	7,621,459	13,151,909
2013-09-09	$167.53	$0.00	13.8%	5.0%	11.3%	33.2%	18.1%	4.8%	-0.2%	-1.13B	-9.45B	-297.9M	1.47	8.58	N/A	N/A	652,080	958,909	7,406,403	12,727,343
2013-09-10	$168.83	$165.00	12.7%	4.9%	11.7%	25.5%	16.5%	4.3%	0.2%	546.7M	-21.90B	-290.9M	1.93	8.77	N/A	N/A	666,792	1,286,992	7,613,943	12,972,817
2013-09-11	$169.41	$175.00	11.8%	4.9%	11.7%	19.8%	24.2%	4.0%	0.5%	1.10B	-27.32B	-281.7M	1.79	7.79	N/A	N/A	535,165	956,531	7,695,766	13,256,082
2013-09-12	$169.07	$120.00	12.4%	4.9%	11.6%	23.5%	13.5%	4.2%	0.1%	709.5M	-23.15B	-282.5M	2.08	8.11	N/A	N/A	559,112	1,161,981	7,775,500	13,546,218
2013-09-13	$169.43	$120.00	12.0%	4.9%	10.1%	21.1%	17.1%	4.3%	0.7%	2.33B	-24.86B	-282.5M	1.45	7.75	N/A	N/A	722,437	1,045,954	7,917,568	13,889,457
2013-09-16	$170.39	$170.00	12.5%	4.9%	10.1%	24.8%	14.8%	4.2%	0.5%	1.38B	-31.33B	-275.1M	1.74	6.66	N/A	N/A	703,629	1,223,618	7,727,979	13,526,507
2013-09-17	$171.07	$170.00	12.4%	4.9%	10.0%	23.6%	19.4%	4.2%	0.6%	1.44B	-35.96B	-272.1M	1.22	6.77	N/A	N/A	706,664	864,346	7,777,829	13,843,138
2013-09-18	$173.00	$170.00	11.9%	4.7%	10.5%	20.2%	15.3%	3.5%	0.7%	3.84B	-55.34B	-247.7M	1.41	8.78	N/A	N/A	1,921,849	2,704,618	7,904,380	14,128,136
2013-09-19	$172.97	$170.00	11.2%	4.8%	9.8%	15.3%	17.1%	1.9%	0.5%	4.89B	-60.57B	-241.9M	0.48	8.33	N/A	N/A	3,009,925	1,449,625	8,053,803	14,664,366
2013-09-20	$170.73	$170.00	11.4%	4.9%	10.7%	17.0%	20.7%	2.9%	0.5%	-4.55B	-2.45B	-269.4M	2.19	7.67	N/A	N/A	889,971	1,945,643	6,119,395	15,042,423
2013-09-23	$169.70	$165.00	12.7%	4.9%	11.0%	25.9%	18.6%	3.7%	0.4%	-2.83B	3.36B	-277.4M	1.72	6.34	N/A	N/A	674,271	1,161,170	5,359,273	11,404,871
2013-09-24	$169.69	$175.00	12.5%	4.9%	10.8%	24.3%	18.9%	3.8%	0.4%	-2.80B	3.54B	-278.4M	1.68	6.67	N/A	N/A	530,869	891,147	5,679,772	11,840,039
2013-09-25	$169.05	$190.00	12.4%	4.9%	9.0%	23.7%	17.4%	3.8%	0.6%	-4.02B	9.34B	-279.8M	1.87	7.49	N/A	N/A	535,393	1,001,485	5,843,831	12,033,441
2013-09-26	$169.70	$205.00	12.3%	4.9%	9.1%	23.4%	17.9%	3.8%	0.4%	-3.25B	4.12B	-279.7M	1.04	7.47	N/A	N/A	904,207	944,891	6,001,605	12,294,701
2013-09-27	$169.07	$195.00	13.3%	4.9%	9.3%	29.9%	17.2%	4.5%	0.3%	-6.05B	10.51B	-289.2M	2.14	9.40	N/A	N/A	903,326	1,931,346	6,400,170	12,623,510
2013-09-30	$168.30	$195.00	14.4%	4.9%	9.4%	37.8%	23.0%	5.0%	0.1%	-4.68B	14.82B	-282.2M	2.02	7.92	N/A	N/A	1,027,367	2,076,430	6,084,714	12,239,263