SPY Options History — October 2013 In October 2013, SPY traded between $165.40 and $177.21. ATM implied volatility averaged 13.3%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.0% (HV 20d: 12.3%). Max pain ranged from $160.00 to $175.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.74.
Notable Days 2013-10-08 : Highest Volume — 3,947,829 contracts2013-10-10 : Largest IV drop — 20.6% change2013-10-08 : Highest IV Rank — 72.9%2013-10-08 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $171.91 $165.40 $177.21 $169.42 $175.98 Max Pain $166.52 $160.00 $175.00 $175.00 $170.00 ATM IV 13.3% 10.6% 19.4% 13.5% 11.0% Expected Move 4.9% 4.6% 5.3% 4.9% 4.8% HV 20d 12.3% 9.3% 14.1% 9.6% 12.3% HV 60d 10.5% 9.2% 11.3% 9.2% 11.1% IV Rank 29.8% 11.4% 72.9% 31.5% 13.9% IV Percentile 47.4% 6.0% 98.8% 60.7% 14.7% Term Structure 0.3% -1.2% 1.6% 0.2% 0.7% VWIV 19.2% 15.2% 24.3% 21.2% 19.0% Skew 25d 4.4% 2.6% 7.5% 4.6% 3.0% Skew 10d 8.8% 5.1% 14.5% 9.7% 5.8% Call IV 25d 11.5% 9.5% 16.1% 11.6% 9.8% Put IV 25d 15.9% 12.4% 23.6% 16.2% 12.7% Bid-Ask Spread % 7.95 5.49 13.93 6.75 7.37 Gamma HHI 0.06 0.04 0.21 0.04 0.04 Net GEX -68.4M -6.79B 5.63B -2.53B -295.6M Net DEX -16.98B -53.86B 39.72B 3.30B -35.54B Net VEX -282.5M -322.1M -245.5M -288.5M -279.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 1.20 2.21 2.10 2.07 Total Volume 2,426,056.913 1,246,553 3,947,829 1,527,778 1,817,834 Total OI 20,650,306.696 18,092,659 23,563,240 18,092,659 21,168,281
Daily Data (23 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 2013-10-01 $169.42 $175.00 13.5% 4.9% 9.6% 31.5% 21.2% 4.6% 0.2% -2.53B 3.30B -288.5M 2.10 6.75 N/A N/A 493,252 1,034,526 6,303,047 11,789,612 2013-10-02 $168.83 $170.00 14.5% 4.9% 9.3% 38.7% 20.6% 5.3% -0.2% -3.21B 9.53B -297.3M 1.94 6.63 N/A N/A 576,626 1,119,234 6,437,250 12,065,591 2013-10-03 $167.40 $170.00 15.7% 5.2% 9.9% 47.2% 20.1% 5.8% -0.0% -4.96B 23.16B -301.0M 1.49 8.49 N/A N/A 1,379,294 2,060,735 6,649,573 12,466,089 2013-10-04 $168.91 $170.00 14.7% 5.0% 10.3% 39.8% 18.8% 5.4% -0.1% -1.93B 7.14B -305.2M 1.61 9.15 N/A N/A 905,223 1,458,140 7,117,576 12,990,346 2013-10-07 $167.30 $170.00 17.6% 5.2% 10.5% 59.9% 23.2% 6.9% -0.5% -4.42B 22.52B -307.5M 2.00 7.59 N/A N/A 720,831 1,440,574 6,936,395 12,790,655 2013-10-08 $165.45 $170.00 19.4% 5.3% 10.7% 72.9% 19.4% 7.5% -1.2% -6.00B 39.14B -315.2M 1.71 7.93 N/A N/A 1,457,620 2,490,209 7,229,395 13,294,797 2013-10-09 $165.40 $170.00 18.8% 5.2% 10.6% 68.4% 19.6% 7.1% -1.2% -6.79B 39.72B -322.1M 1.68 7.52 N/A N/A 1,236,648 2,079,463 7,745,990 13,952,018 2013-10-10 $169.00 $170.00 14.9% 5.0% 13.3% 41.3% 17.1% 5.7% -0.4% -1.70B 160.5M -312.7M 1.76 7.67 N/A N/A 1,361,708 2,391,209 8,037,751 14,302,721 2013-10-11 $170.42 $170.00 13.6% 4.9% 13.6% 32.3% 22.4% 5.4% -0.2% 1.63B -16.51B -301.8M 1.71 7.45 N/A N/A 982,712 1,685,179 8,130,195 14,601,900 2013-10-14 $170.95 $170.00 13.8% 4.9% 13.5% 33.4% 18.2% 5.1% 0.7% 540.8M -16.58B -293.5M 1.76 7.35 N/A N/A 779,567 1,369,526 7,516,346 14,063,061 2013-10-15 $169.77 $170.00 15.6% 5.0% 13.7% 46.1% 24.3% 5.7% -0.0% -1.93B -2.03B -312.7M 2.16 10.86 N/A N/A 899,899 1,944,953 7,700,142 14,426,038 2013-10-16 $171.81 $165.00 12.4% 4.9% 13.8% 23.9% 20.4% 4.0% 1.0% 2.51B -28.49B -280.6M 1.72 9.01 N/A N/A 1,148,002 1,976,188 7,764,022 14,917,287 2013-10-17 $173.32 $165.00 11.5% 4.7% 14.1% 17.3% 18.2% 3.2% 0.1% 4.60B -46.02B -256.2M 1.40 7.64 N/A N/A 1,273,266 1,784,016 7,819,770 15,292,696 2013-10-18 $174.16 $165.00 10.6% 4.6% 13.3% 11.4% 19.1% 2.9% 0.3% 5.63B -53.86B -245.5M 1.20 13.93 N/A N/A 1,517,628 1,815,725 7,965,716 15,597,524 2013-10-21 $174.33 $165.00 10.8% 4.7% 13.1% 12.2% 18.4% 3.1% 1.5% 1.99B -35.50B -252.4M 1.56 7.32 N/A N/A 624,601 974,935 6,639,795 11,880,715 2013-10-22 $175.45 $165.00 11.0% 4.8% 13.2% 14.2% 18.2% 2.6% 1.5% 2.67B -44.72B -248.9M 1.37 9.27 N/A N/A 1,097,658 1,505,713 6,873,104 12,313,903 2013-10-23 $174.69 $160.00 11.1% 4.7% 13.2% 14.8% 15.2% 2.9% 1.1% 1.44B -35.79B -269.1M 1.36 7.33 N/A N/A 668,961 908,443 7,079,132 12,796,274 2013-10-24 $175.33 $160.00 10.8% 4.7% 13.2% 12.6% 19.4% 2.9% 0.1% 2.09B -41.06B -261.2M 2.21 7.21 N/A N/A 474,116 1,045,961 7,133,194 13,046,753 2013-10-25 $175.86 $160.00 10.7% 4.8% 13.1% 11.6% 17.3% 2.9% 0.0% 3.34B -45.31B -261.0M 1.80 6.95 N/A N/A 606,347 1,088,461 7,193,124 13,501,242 2013-10-28 $176.35 $160.00 10.8% 4.8% 12.8% 12.2% 16.4% 2.8% 1.6% 1.98B -42.81B -260.5M 2.02 5.49 N/A N/A 412,154 834,399 6,945,299 12,467,319 2013-10-29 $177.21 $160.00 11.1% 4.9% 12.8% 14.4% 17.4% 2.9% 1.5% 2.29B -48.49B -258.3M 1.30 6.41 N/A N/A 779,680 1,012,562 7,047,755 12,672,953 2013-10-30 $176.58 $160.00 11.3% 4.9% 12.8% 15.7% 17.3% 2.9% 1.2% 1.48B -42.61B -265.3M 1.99 7.53 N/A N/A 856,883 1,708,648 7,268,485 13,026,223 2013-10-31 $175.98 $170.00 11.0% 4.8% 12.3% 13.9% 19.0% 3.0% 0.7% -295.6M -35.54B -279.8M 2.07 7.37 N/A N/A 591,532 1,226,302 7,487,591 13,680,690
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