SPY Options History — November 2013

In November 2013, SPY traded between $175.06 and $180.95. ATM implied volatility averaged 10.9%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.8% (HV 20d: 9.1%). Max pain ranged from $160.00 to $170.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.82.

Notable Days

2013-11-07: Highest Volume — 3,283,849 contracts
2013-11-18: Largest IV spike — 9.5% change
2013-11-07: Highest IV Rank — 22.8%
2013-11-12: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$178.55	$175.06	$180.95	$176.00	$180.94
Max Pain	$167.25	$160.00	$170.00	$170.00	$170.00
ATM IV	10.9%	10.2%	11.7%	10.8%	11.1%
Expected Move	4.8%	4.8%	4.9%	4.9%	4.9%
HV 20d	9.1%	8.0%	12.1%	12.1%	8.0%
HV 60d	10.8%	10.1%	11.4%	11.1%	10.1%
IV Rank	14.9%	10.0%	22.8%	12.4%	17.6%
IV Percentile	14.9%	2.4%	36.5%	10.3%	24.2%
Term Structure	0.6%	-0.2%	1.3%	0.5%	-0.0%
VWIV	18.6%	15.5%	23.0%	16.0%	18.2%
Skew 25d	3.0%	2.6%	3.4%	2.9%	3.3%
Skew 10d	5.6%	4.4%	7.1%	5.3%	5.8%
Call IV 25d	9.8%	8.9%	10.6%	9.4%	10.2%
Put IV 25d	12.8%	11.6%	13.9%	12.2%	13.5%
Bid-Ask Spread %	6.95	5.76	10.82	10.82	7.78
Gamma HHI	0.11	0.04	0.39	0.39	0.22
Net GEX	1.62B	-8.82B	9.03B	-8.82B	5.63B
Net DEX	-41.25B	-65.13B	-18.96B	-34.74B	-42.53B
Net VEX	-263.6M	-287.5M	-244.4M	-279.0M	-248.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	0.88	2.61	2.11	1.32
Total Volume	1,801,439.75	1,007,688	3,283,849	1,900,837	1,007,688
Total OI	20,857,956.25	18,082,510	23,431,771	21,566,256	20,367,101

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
2013-11-01	$176.00	$170.00	10.8%	4.9%	12.1%	12.4%	16.0%	2.9%	0.5%	-8.82B	-34.74B	-279.0M	2.11	10.82	N/A	N/A	611,431	1,289,406	7,584,527	13,981,729
2013-11-04	$176.79	$170.00	10.5%	4.8%	11.3%	10.5%	17.8%	3.0%	1.2%	1.38B	-40.99B	-259.3M	2.35	5.86	N/A	N/A	431,285	1,012,072	7,298,974	13,186,980
2013-11-05	$176.18	$170.00	11.1%	4.8%	10.3%	14.8%	18.4%	3.1%	1.1%	309.1M	-34.03B	-273.6M	2.55	5.87	N/A	N/A	376,175	959,540	7,400,972	13,527,267
2013-11-06	$177.08	$170.00	10.8%	4.9%	10.3%	12.6%	18.8%	2.8%	1.1%	1.19B	-42.02B	-270.3M	2.05	5.76	N/A	N/A	489,656	1,004,104	7,460,757	13,861,024
2013-11-07	$175.06	$170.00	11.7%	4.8%	9.2%	22.8%	19.1%	3.0%	1.0%	-2.17B	-18.96B	-287.5M	2.10	8.26	N/A	N/A	1,059,610	2,224,239	7,531,566	14,200,084
2013-11-08	$177.14	$170.00	10.7%	4.8%	9.6%	13.7%	21.2%	2.7%	1.3%	4.31B	-43.40B	-270.5M	1.52	8.35	N/A	N/A	1,076,868	1,633,417	7,770,567	14,613,947
2013-11-11	$177.27	$165.00	10.8%	4.8%	9.6%	14.5%	18.1%	2.8%	1.3%	1.08B	-40.91B	-266.8M	2.61	6.06	N/A	N/A	347,238	905,625	7,679,253	14,353,229
2013-11-12	$177.03	$170.00	10.9%	4.9%	9.1%	16.0%	18.9%	3.1%	1.1%	159.2M	-37.36B	-274.3M	2.31	6.22	N/A	N/A	456,149	1,054,929	7,748,796	14,667,451
2013-11-13	$178.42	$170.00	10.5%	4.8%	8.6%	12.8%	20.1%	3.0%	1.3%	3.03B	-52.24B	-271.6M	1.71	6.04	N/A	N/A	704,589	1,206,235	7,893,620	14,968,154
2013-11-14	$179.29	$165.00	10.4%	4.8%	8.3%	11.4%	23.0%	2.9%	1.3%	4.81B	-61.24B	-258.6M	1.40	5.79	N/A	N/A	1,001,340	1,404,488	7,863,593	15,127,977
2013-11-15	$179.89	$165.00	10.2%	4.8%	8.3%	10.0%	18.9%	2.6%	1.2%	9.03B	-65.13B	-258.1M	0.99	9.98	N/A	N/A	1,375,235	1,360,814	7,944,167	15,487,604
2013-11-18	$179.38	$165.00	11.2%	4.8%	8.4%	18.1%	18.9%	3.2%	-0.1%	1.50B	-36.90B	-257.0M	2.20	6.22	N/A	N/A	578,124	1,273,709	6,451,250	11,631,260
2013-11-19	$179.04	$165.00	11.5%	4.9%	8.3%	20.5%	18.8%	3.3%	-0.0%	353.8M	-31.28B	-270.5M	2.32	6.07	N/A	N/A	506,750	1,177,110	6,553,397	12,129,546
2013-11-20	$178.52	$165.00	11.2%	4.8%	8.2%	18.5%	19.8%	3.0%	-0.1%	-894.9M	-25.42B	-275.2M	1.72	6.84	N/A	N/A	754,754	1,300,907	6,673,993	12,399,689
2013-11-21	$179.88	$160.00	11.0%	4.8%	8.4%	16.7%	17.8%	2.8%	-0.1%	1.97B	-40.57B	-255.0M	1.62	6.48	N/A	N/A	614,436	994,313	6,858,389	12,748,387
2013-11-22	$180.64	$165.00	10.5%	4.8%	8.5%	12.1%	17.0%	2.6%	0.0%	2.64B	-48.45B	-247.1M	0.88	7.48	N/A	N/A	1,115,107	981,412	6,955,653	13,068,339
2013-11-25	$180.75	$160.00	10.8%	4.8%	8.5%	14.6%	18.2%	2.9%	-0.2%	2.20B	-43.61B	-244.4M	1.65	6.15	N/A	N/A	538,813	888,657	6,729,491	12,614,793
2013-11-26	$180.71	$170.00	10.8%	4.8%	8.4%	14.9%	15.5%	3.1%	-0.1%	2.03B	-41.05B	-257.0M	1.33	5.94	N/A	N/A	469,670	626,751	6,871,059	12,908,918
2013-11-27	$180.95	$170.00	10.7%	4.8%	8.2%	13.7%	17.0%	3.4%	0.3%	2.59B	-44.05B	-248.4M	1.60	6.97	N/A	N/A	467,809	748,340	6,973,621	13,072,001
2013-11-29	$180.94	$170.00	11.1%	4.9%	8.0%	17.6%	18.2%	3.3%	-0.0%	5.63B	-42.53B	-248.7M	1.32	7.78	N/A	N/A	433,982	573,706	7,036,136	13,330,965