SPY Options History — December 2013

In December 2013, SPY traded between $178.05 and $184.88. ATM implied volatility averaged 11.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.5% (HV 20d: 8.8%). Max pain ranged from $170.00 to $175.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2013-12-19: Highest Volume — 5,080,539 contracts
2013-12-18: Largest IV drop — 17.1% change
2013-12-16: Highest IV Rank — 35.3%
2013-12-02: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$181.03	$178.05	$184.88	$180.52	$184.88
Max Pain	$171.67	$170.00	$175.00	$170.00	$175.00
ATM IV	11.3%	9.7%	13.2%	11.2%	11.2%
Expected Move	4.7%	4.6%	4.9%	4.9%	4.6%
HV 20d	8.8%	6.8%	10.2%	8.1%	10.1%
HV 60d	10.3%	10.0%	10.6%	10.2%	10.1%
IV Rank	19.2%	6.1%	35.3%	18.6%	21.4%
IV Percentile	31.0%	1.6%	72.6%	31.0%	34.9%
Term Structure	0.4%	-0.1%	1.1%	0.3%	0.3%
VWIV	17.6%	15.5%	21.6%	18.4%	18.2%
Skew 25d	3.7%	2.7%	4.5%	3.7%	3.3%
Skew 10d	7.3%	5.0%	9.8%	6.8%	6.2%
Call IV 25d	10.0%	8.8%	11.6%	9.9%	10.2%
Put IV 25d	13.7%	11.6%	16.1%	13.6%	13.5%
Bid-Ask Spread %	6.81	5.82	8.33	6.55	6.45
Gamma HHI	0.10	0.04	0.40	0.05	0.40
Net GEX	2.96B	-7.85B	12.02B	469.5M	12.02B
Net DEX	-31.62B	-58.39B	-8.29B	-36.45B	-45.43B
Net VEX	-237.0M	-269.9M	-207.1M	-243.4M	-212.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.51	1.84	1.46	0.90
Total Volume	2,100,135.762	1,000,263	5,080,539	1,370,336	2,279,449
Total OI	20,469,053.143	16,515,279	24,021,678	19,690,108	17,693,288

Daily Data (21 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
2013-12-02	$180.52	$170.00	11.2%	4.9%	8.1%	18.6%	18.4%	3.7%	0.3%	469.5M	-36.45B	-243.4M	1.46	6.55	N/A	N/A	556,389	813,947	6,839,430	12,850,678
2013-12-03	$179.70	$170.00	11.6%	4.9%	8.3%	21.2%	15.6%	4.0%	0.1%	-949.4M	-26.72B	-248.3M	1.80	5.82	N/A	N/A	723,885	1,305,885	6,828,731	13,154,862
2013-12-04	$179.76	$170.00	11.6%	4.8%	8.1%	21.9%	16.5%	4.2%	0.2%	-1.27B	-24.98B	-257.5M	1.84	6.09	N/A	N/A	637,096	1,170,062	6,965,793	13,526,837
2013-12-05	$178.96	$170.00	12.2%	4.8%	8.2%	26.7%	16.4%	4.3%	0.1%	-2.55B	-15.83B	-269.9M	1.84	6.89	N/A	N/A	695,806	1,281,631	7,109,162	13,745,403
2013-12-06	$181.02	$170.00	10.8%	4.8%	7.8%	14.6%	20.6%	3.6%	0.7%	4.11B	-41.52B	-242.5M	1.14	7.23	N/A	N/A	1,146,152	1,312,045	7,317,739	14,165,353
2013-12-09	$181.42	$170.00	10.7%	4.7%	6.8%	13.9%	17.4%	3.6%	0.8%	2.07B	-43.01B	-232.1M	0.72	6.72	N/A	N/A	860,917	618,780	7,125,424	13,418,950
2013-12-10	$180.85	$170.00	11.0%	4.8%	7.0%	16.5%	18.4%	3.7%	0.6%	1.29B	-36.00B	-241.3M	1.18	6.50	N/A	N/A	591,555	695,236	7,631,323	13,515,474
2013-12-11	$178.66	$170.00	12.5%	4.8%	8.4%	29.4%	17.1%	4.0%	-0.1%	-2.37B	-13.68B	-257.3M	1.14	6.68	N/A	N/A	1,215,379	1,387,504	7,802,737	13,677,714
2013-12-12	$178.08	$170.00	12.8%	4.8%	8.0%	31.7%	16.6%	4.2%	-0.0%	-3.14B	-8.29B	-258.5M	0.96	6.91	N/A	N/A	1,228,675	1,176,686	8,280,065	14,079,730
2013-12-13	$178.05	$170.00	12.9%	4.8%	7.8%	32.7%	17.8%	4.2%	-0.1%	-7.85B	-8.50B	-264.3M	1.18	7.32	N/A	N/A	953,869	1,129,655	8,772,257	14,249,195
2013-12-16	$179.23	$170.00	13.2%	4.8%	8.1%	35.3%	17.9%	4.5%	0.4%	304.5M	-22.40B	-257.5M	1.43	6.16	N/A	N/A	615,334	876,877	8,605,733	13,838,092
2013-12-17	$178.52	$170.00	13.0%	4.8%	8.1%	33.0%	17.6%	4.5%	0.3%	-934.5M	-15.68B	-251.2M	1.26	6.95	N/A	N/A	855,772	1,075,315	8,736,584	14,097,047
2013-12-18	$181.65	$170.00	10.8%	4.8%	10.2%	14.5%	17.2%	3.6%	0.9%	5.70B	-52.31B	-231.9M	1.02	8.29	N/A	N/A	1,830,222	1,866,685	9,022,792	14,422,149
2013-12-19	$181.43	$170.00	10.6%	4.8%	10.2%	13.4%	16.3%	2.7%	0.2%	9.87B	-58.39B	-216.9M	0.51	6.27	N/A	N/A	3,357,670	1,722,869	9,318,575	14,703,103
2013-12-20	$181.69	$175.00	10.4%	4.8%	9.8%	12.0%	16.8%	3.6%	0.5%	8.97B	-21.81B	-228.6M	1.14	8.33	N/A	N/A	1,502,088	1,706,394	7,178,749	15,130,014
2013-12-23	$182.51	$175.00	10.1%	4.6%	9.9%	9.2%	19.2%	3.4%	0.7%	6.72B	-32.21B	-215.5M	1.49	6.33	N/A	N/A	556,398	831,181	6,279,311	10,235,968
2013-12-24	$183.30	$175.00	9.7%	4.6%	10.0%	6.1%	15.5%	2.9%	1.1%	7.59B	-37.32B	-209.2M	1.72	7.35	N/A	N/A	367,698	632,565	6,433,341	10,564,214
2013-12-26	$183.83	$175.00	9.8%	4.6%	10.0%	6.8%	16.6%	2.7%	0.4%	8.04B	-42.89B	-207.1M	0.95	6.72	N/A	N/A	835,075	791,458	6,524,737	10,775,436
2013-12-27	$183.86	$175.00	9.8%	4.6%	10.0%	6.9%	21.6%	2.8%	0.4%	7.66B	-43.47B	-216.3M	1.41	6.61	N/A	N/A	677,288	952,517	6,710,917	11,121,352
2013-12-30	$183.73	$175.00	11.1%	4.6%	10.0%	17.6%	17.0%	3.1%	0.2%	6.31B	-37.00B	-215.3M	1.21	6.77	N/A	N/A	575,337	693,505	6,415,434	10,986,423
2013-12-31	$184.88	$175.00	11.2%	4.6%	10.1%	21.4%	18.2%	3.3%	0.3%	12.02B	-45.43B	-212.7M	0.90	6.45	N/A	N/A	1,198,884	1,080,565	6,461,767	11,231,521