SPY Options History — January 2014 In January 2014, SPY traded between $177.59 and $184.55. ATM implied volatility averaged 11.9%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.6% (HV 20d: 10.4%). Max pain ranged from $175.00 to $180.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.52.
Notable Days 2014-01-24 : Highest Volume — 4,748,482 contracts2014-01-24 : Largest IV spike — 31.7% change2014-01-31 : Highest IV Rank — 64.0%2014-01-31 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $182.03 $177.59 $184.55 $182.95 $178.28 Max Pain $179.52 $175.00 $180.00 $175.00 $180.00 ATM IV 11.9% 10.0% 15.7% 11.9% 15.7% Expected Move 4.6% 4.4% 4.8% 4.6% 4.8% HV 20d 10.4% 8.2% 12.5% 10.7% 12.0% HV 60d 9.4% 8.7% 10.4% 10.1% 10.4% IV Rank 28.0% 9.9% 64.0% 27.6% 64.0% IV Percentile 40.4% 3.2% 95.2% 51.2% 95.2% Term Structure 0.2% -0.2% 1.4% 0.2% -0.2% VWIV 16.3% 14.4% 21.0% 16.5% 17.0% Skew 25d 3.7% 2.8% 5.8% 3.5% 4.9% Skew 10d 6.6% 4.7% 13.9% 6.7% 5.9% Call IV 25d 10.4% 8.8% 13.2% 10.5% 13.2% Put IV 25d 14.1% 11.6% 18.2% 14.1% 18.0% Bid-Ask Spread % 8.94 6.49 18.91 7.59 7.36 Gamma HHI 0.06 0.04 0.10 0.06 0.05 Net GEX -595.0M -5.20B 3.10B 1.97B -3.93B Net DEX -6.62B -31.96B 34.01B -21.95B 27.93B Net VEX -249.2M -297.8M -214.1M -223.5M -297.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 1.09 1.98 1.44 1.42 Total Volume 2,151,484.333 1,237,292 4,748,482 2,128,553 3,315,089 Total OI 15,111,345.19 11,821,688 18,354,066 14,902,626 15,728,461
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 2014-01-02 $182.95 $175.00 11.9% 4.6% 10.7% 27.6% 16.5% 3.5% 0.2% 1.97B -21.95B -223.5M 1.44 7.59 N/A N/A 871,850 1,256,703 5,402,983 9,499,643 2014-01-03 $182.90 $175.00 11.5% 4.6% 10.8% 24.2% 17.0% 3.4% 0.2% 2.27B -21.77B -227.1M 1.44 8.69 N/A N/A 678,649 977,580 5,562,287 9,800,653 2014-01-06 $182.43 $180.00 11.6% 4.7% 10.6% 24.5% 14.6% 3.3% 0.1% 631.7M -17.21B -218.6M 1.51 6.77 N/A N/A 575,808 871,525 5,006,977 9,559,254 2014-01-07 $183.40 $180.00 11.0% 4.5% 10.1% 18.9% 16.8% 3.1% 0.2% 1.91B -25.40B -214.1M 1.39 6.99 N/A N/A 521,035 723,967 5,178,375 9,816,395 2014-01-08 $183.65 $180.00 10.9% 4.5% 10.0% 18.3% 16.1% 3.0% -0.1% 1.99B -26.47B -219.9M 1.21 6.96 N/A N/A 644,310 780,554 5,287,134 10,108,696 2014-01-09 $183.67 $180.00 10.8% 4.5% 9.9% 17.2% 17.2% 2.9% -0.1% 2.04B -27.11B -220.9M 1.73 6.53 N/A N/A 595,330 1,027,543 5,474,770 10,366,472 2014-01-10 $184.13 $180.00 10.0% 4.4% 8.7% 9.9% 14.4% 2.8% 0.3% 3.10B -31.60B -221.3M 1.54 8.24 N/A N/A 805,179 1,243,377 5,614,438 10,758,988 2014-01-13 $181.89 $180.00 11.5% 4.6% 9.9% 24.1% 15.1% 3.5% -0.0% -554.2M -9.62B -235.4M 1.48 7.23 N/A N/A 923,692 1,364,499 5,430,987 10,421,919 2014-01-14 $183.67 $180.00 10.7% 4.4% 10.3% 15.8% 21.0% 3.0% -0.0% 1.32B -25.35B -229.5M 1.44 7.27 N/A N/A 758,488 1,088,949 5,647,452 10,872,067 2014-01-15 $184.55 $180.00 10.3% 4.4% 10.2% 12.6% 15.5% 3.1% 0.1% 2.39B -31.96B -234.2M 1.44 7.39 N/A N/A 1,003,196 1,442,785 5,767,150 11,097,229 2014-01-16 $184.03 $180.00 10.6% 4.5% 10.1% 15.2% 16.7% 3.6% 0.1% 1.18B -25.33B -252.9M 1.98 7.08 N/A N/A 500,132 991,897 5,974,744 11,831,046 2014-01-17 $183.82 $180.00 10.2% 4.5% 8.2% 11.0% 14.9% 3.7% 0.0% -647.8M -22.47B -251.9M 1.46 7.86 N/A N/A 949,154 1,381,086 6,089,828 12,264,238 2014-01-21 $184.23 $180.00 10.4% 4.5% 8.2% 13.5% 16.5% 3.6% 1.4% -522.0M -11.24B -249.5M 1.50 6.49 N/A N/A 563,821 848,302 4,192,414 7,629,274 2014-01-22 $184.31 $180.00 10.4% 4.5% 8.2% 13.5% 15.1% 3.6% 1.2% -429.8M -11.30B -250.9M 1.85 7.45 N/A N/A 434,030 803,262 4,367,572 7,982,752 2014-01-23 $182.80 $180.00 11.0% 4.4% 8.7% 19.4% 15.2% 3.9% 0.3% -3.08B 846.8M -263.3M 1.89 8.18 N/A N/A 847,304 1,600,369 4,502,804 8,258,912 2014-01-24 $178.60 $180.00 14.5% 4.7% 11.8% 53.1% 17.7% 5.8% 0.1% -5.20B 31.39B -278.5M 1.51 13.07 N/A N/A 1,888,283 2,860,199 4,704,822 8,831,409 2014-01-27 $177.98 $180.00 14.6% 4.7% 11.8% 53.5% 16.7% 4.1% 0.1% -4.52B 30.18B -277.5M 1.68 14.05 N/A N/A 1,183,053 1,983,192 4,802,372 8,832,274 2014-01-28 $179.26 $180.00 13.6% 4.7% 12.2% 43.7% 16.1% 4.3% 0.2% -3.85B 20.85B -286.4M 1.54 10.05 N/A N/A 624,208 963,313 5,152,891 9,344,568 2014-01-29 $177.59 $180.00 14.6% 4.7% 12.5% 54.2% 17.0% 3.9% 0.1% -5.00B 34.01B -286.4M 1.30 13.53 N/A N/A 1,422,551 1,842,828 5,229,308 9,543,527 2014-01-30 $178.54 $180.00 14.6% 4.7% 12.4% 53.9% 15.1% 4.6% 0.3% -3.55B 24.48B -294.0M 1.09 18.91 N/A N/A 967,886 1,056,193 5,697,186 9,703,978 2014-01-31 $178.28 $180.00 15.7% 4.8% 12.0% 64.0% 17.0% 4.9% -0.2% -3.93B 27.93B -297.8M 1.42 7.36 N/A N/A 1,370,618 1,944,471 5,838,174 9,890,287
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