SPY Options History — February 2014

In February 2014, SPY traded between $173.84 and $186.57. ATM implied volatility averaged 13.0%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.4% (HV 20d: 15.4%). Max pain ranged from $175.00 to $186.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.59.

Notable Days

2014-02-03: Highest Volume — 4,459,287 contracts
2014-02-07: Largest IV drop — 15.1% change
2014-02-03: Highest IV Rank — 89.9%
2014-02-03: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$181.82	$173.84	$186.57	$173.84	$186.57
Max Pain	$180.28	$175.00	$186.00	$180.00	$175.00
ATM IV	13.0%	11.2%	18.4%	18.4%	11.2%
Expected Move	4.6%	4.3%	5.1%	5.1%	4.3%
HV 20d	15.4%	13.2%	16.8%	14.7%	13.2%
HV 60d	11.9%	11.4%	12.1%	11.6%	12.1%
IV Rank	38.1%	20.7%	89.9%	89.9%	20.7%
IV Percentile	59.4%	29.4%	98.8%	98.8%	29.4%
Term Structure	0.1%	-0.5%	1.0%	-0.5%	0.7%
VWIV	17.4%	15.6%	20.1%	17.4%	17.4%
Skew 25d	4.2%	2.2%	6.3%	6.3%	4.1%
Skew 10d	7.9%	5.0%	13.1%	7.6%	7.4%
Call IV 25d	11.5%	9.7%	15.7%	15.7%	9.7%
Put IV 25d	15.7%	12.8%	22.0%	22.0%	13.8%
Bid-Ask Spread %	6.51	3.76	8.52	8.30	5.84
Gamma HHI	0.07	0.04	0.24	0.05	0.06
Net GEX	143.9M	-4.77B	7.13B	-4.70B	1.28B
Net DEX	-6.93B	-36.27B	50.13B	50.13B	-26.95B
Net VEX	-288.0M	-313.3M	-269.2M	-286.8M	-269.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	1.14	2.55	1.32	1.33
Total Volume	2,435,305.579	1,322,119	4,459,287	4,459,287	3,164,428
Total OI	17,040,131.895	14,543,012	18,997,100	14,894,399	16,196,634

Daily Data (19 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
2014-02-03	$173.84	$180.00	18.4%	5.1%	14.7%	89.9%	17.4%	6.3%	-0.5%	-4.70B	50.13B	-286.8M	1.32	8.30	N/A	N/A	1,922,727	2,536,560	5,465,602	9,428,797
2014-02-04	$174.87	$180.00	16.4%	5.0%	15.0%	71.0%	17.3%	5.8%	-0.0%	-4.77B	43.61B	-294.9M	1.61	7.57	N/A	N/A	995,306	1,601,548	6,274,453	9,924,794
2014-02-05	$174.92	$180.00	16.9%	5.0%	14.7%	76.2%	19.7%	6.2%	-0.1%	-4.59B	43.23B	-306.8M	1.47	7.15	N/A	N/A	1,138,681	1,675,942	6,582,435	10,358,147
2014-02-06	$177.23	$180.00	15.1%	4.9%	15.7%	58.3%	20.1%	4.8%	-0.1%	-2.55B	23.16B	-313.3M	1.55	8.52	N/A	N/A	1,090,027	1,694,358	6,937,476	10,675,785
2014-02-07	$179.88	$180.00	12.8%	4.7%	16.8%	36.4%	16.5%	3.9%	0.1%	927.4M	-4.76B	-305.3M	1.14	8.14	N/A	N/A	1,835,568	2,090,506	7,160,991	11,118,752
2014-02-10	$180.00	$180.00	12.8%	4.7%	16.7%	37.0%	15.6%	4.1%	0.5%	-1.08B	804.8M	-300.1M	1.62	6.24	N/A	N/A	518,202	840,448	6,479,119	10,451,307
2014-02-11	$181.88	$180.00	12.0%	4.7%	16.7%	28.6%	18.1%	3.4%	0.5%	1.34B	-16.94B	-292.1M	1.42	6.07	N/A	N/A	1,204,047	1,706,841	6,583,825	10,637,523
2014-02-12	$182.23	$180.00	12.0%	4.6%	16.3%	28.5%	16.7%	3.2%	0.6%	1.32B	-18.53B	-293.9M	1.49	6.22	N/A	N/A	700,220	1,041,310	6,737,823	11,001,626
2014-02-13	$182.94	$180.00	11.7%	4.5%	16.2%	25.6%	19.4%	2.8%	0.7%	2.45B	-24.82B	-294.9M	1.46	6.78	N/A	N/A	806,872	1,180,242	6,833,219	11,326,243
2014-02-14	$184.00	$180.00	11.2%	4.5%	16.4%	20.8%	17.2%	2.2%	1.0%	7.13B	-36.27B	-286.8M	1.31	6.58	N/A	N/A	1,140,508	1,493,912	6,923,596	11,617,709
2014-02-18	$184.27	$180.00	11.9%	4.5%	16.4%	28.3%	17.4%	3.7%	-0.3%	2.73B	-30.20B	-280.5M	2.02	7.35	N/A	N/A	437,652	884,467	6,603,843	11,325,142
2014-02-19	$183.08	$180.00	13.1%	4.5%	16.5%	39.1%	17.0%	4.4%	-0.1%	441.6M	-16.47B	-286.0M	2.55	7.16	N/A	N/A	685,834	1,747,075	6,672,310	11,565,913
2014-02-20	$184.11	$180.00	12.3%	4.5%	16.6%	31.3%	16.8%	4.3%	0.0%	1.17B	-23.74B	-284.3M	1.63	7.14	N/A	N/A	762,757	1,244,969	6,614,244	12,065,969
2014-02-21	$183.94	$180.00	11.8%	4.4%	16.4%	26.8%	17.0%	4.3%	0.1%	2.70B	-21.68B	-280.6M	1.35	7.36	N/A	N/A	1,019,791	1,377,695	6,703,853	12,293,247
2014-02-24	$185.11	$0.00	11.8%	4.3%	13.9%	26.5%	17.4%	4.0%	-0.3%	155.2M	-19.11B	-271.1M	1.54	4.83	N/A	N/A	1,020,389	1,573,212	5,030,209	9,512,803
2014-02-25	$185.12	$186.00	11.8%	4.3%	13.8%	26.4%	16.7%	3.9%	-0.2%	-438.8M	-17.26B	-273.9M	1.93	4.13	N/A	N/A	615,822	1,189,772	5,243,036	9,949,421
2014-02-26	$184.67	$185.00	12.1%	4.3%	13.7%	29.7%	16.4%	4.2%	-0.4%	-1.27B	-13.35B	-278.6M	2.02	3.76	N/A	N/A	532,721	1,076,946	5,278,752	10,200,355
2014-02-27	$185.91	$179.00	11.4%	4.3%	13.2%	23.0%	16.8%	4.1%	-0.1%	478.3M	-22.57B	-272.8M	1.46	4.57	N/A	N/A	700,742	1,022,709	5,369,729	10,617,824
2014-02-28	$186.57	$175.00	11.2%	4.3%	13.2%	20.7%	17.4%	4.1%	0.7%	1.28B	-26.95B	-269.2M	1.33	5.84	N/A	N/A	1,356,867	1,807,561	5,398,602	10,798,032