SPY Options History — March 2014 In March 2014, SPY traded between $184.53 and $188.30. ATM implied volatility averaged 12.2%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.7% (HV 20d: 10.5%). Max pain ranged from $175.00 to $187.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.78.
Notable Days 2014-03-14 : Highest Volume — 3,905,607 contracts2014-03-13 : Largest IV spike — 16.7% change2014-03-14 : Highest IV Rank — 53.7%2014-03-14 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $186.52 $184.53 $188.30 $184.82 $186.82 Max Pain $185.48 $175.00 $187.00 $175.00 $186.00 ATM IV 12.2% 10.7% 14.6% 13.1% 11.9% Expected Move 4.4% 4.3% 4.6% 4.4% 4.3% HV 20d 10.5% 8.6% 13.8% 13.8% 11.1% HV 60d 12.3% 12.0% 12.6% 12.2% 12.3% IV Rank 27.7% 9.9% 53.7% 38.9% 22.1% IV Percentile 52.3% 11.1% 84.9% 71.4% 47.6% Term Structure 0.2% -0.8% 0.7% 0.3% 0.1% VWIV 16.8% 15.3% 19.1% 17.1% 16.2% Skew 25d 4.6% 3.4% 6.3% 5.1% 4.5% Skew 10d 8.6% 5.9% 10.3% 10.3% 8.4% Call IV 25d 10.5% 9.8% 12.7% 11.0% 10.3% Put IV 25d 15.1% 13.2% 19.1% 16.1% 14.8% Bid-Ask Spread % 4.82 3.37 9.63 9.63 4.09 Gamma HHI 0.06 0.04 0.16 0.04 0.06 Net GEX -1.90B -7.39B 3.11B -2.11B -243.5M Net DEX -10.17B -32.23B 15.52B -6.73B -4.31B Net VEX -274.1M -301.1M -258.0M -291.3M -258.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.78 0.50 2.31 2.31 1.79 Total Volume 2,333,961.238 1,362,301 3,905,607 2,441,327 1,852,564 Total OI 16,573,491.857 13,496,089 19,337,979 15,612,843 13,827,497
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 2014-03-03 $184.82 $175.00 13.1% 4.4% 13.8% 38.9% 17.1% 5.1% 0.3% -2.11B -6.73B -291.3M 2.31 9.63 N/A N/A 737,025 1,704,302 5,210,920 10,401,923 2014-03-04 $187.65 $179.00 11.7% 4.3% 10.3% 26.2% 15.3% 4.6% 0.0% 513.5M -28.25B -272.1M 1.48 5.46 N/A N/A 844,116 1,249,265 5,301,803 10,759,932 2014-03-05 $187.78 $187.00 11.5% 4.3% 10.3% 23.8% 17.1% 4.4% 0.1% 391.9M -28.61B -275.3M 1.58 3.84 N/A N/A 527,292 835,009 5,422,528 11,080,839 2014-03-06 $188.13 $187.00 11.8% 4.4% 10.2% 26.4% 16.8% 4.3% 0.1% 935.3M -31.70B -270.9M 1.60 4.23 N/A N/A 797,103 1,278,845 5,540,083 11,306,556 2014-03-07 $188.30 $187.00 11.4% 4.4% 9.6% 23.3% 16.4% 4.5% 0.1% 811.3M -31.25B -278.8M 1.68 5.39 N/A N/A 935,777 1,572,508 5,713,497 11,660,979 2014-03-10 $188.22 $187.00 11.7% 4.4% 8.6% 25.8% 15.3% 4.6% -0.1% -146.4M -26.83B -268.2M 2.07 3.46 N/A N/A 471,961 977,743 5,437,477 11,071,315 2014-03-11 $187.01 $187.00 12.2% 4.4% 9.2% 30.5% 16.3% 4.8% -0.1% -1.60B -17.64B -271.8M 1.48 3.37 N/A N/A 828,827 1,230,440 5,520,348 11,357,709 2014-03-12 $187.32 $187.00 11.7% 4.4% 8.6% 25.7% 18.9% 4.7% 0.2% -1.72B -17.41B -278.8M 1.78 3.57 N/A N/A 608,129 1,081,561 5,730,883 11,681,990 2014-03-13 $185.19 $187.00 13.6% 4.6% 9.7% 44.5% 16.2% 5.4% -0.4% -4.38B 2.57B -291.2M 2.26 4.07 N/A N/A 1,156,898 2,615,409 5,861,347 11,913,183 2014-03-14 $184.53 $187.00 14.6% 4.6% 9.8% 53.7% 16.4% 6.3% -0.8% -7.39B 10.33B -301.1M 2.16 6.16 N/A N/A 1,234,090 2,671,517 6,071,867 12,322,563 2014-03-17 $186.32 $185.00 12.8% 4.5% 10.2% 32.2% 16.2% 5.0% 0.1% -1.65B -11.45B -279.5M 2.10 5.61 N/A N/A 647,035 1,361,740 5,947,670 12,154,609 2014-03-18 $187.57 $186.00 11.5% 4.4% 10.4% 18.3% 19.1% 4.3% 0.7% -110.7M -23.11B -276.2M 1.47 4.18 N/A N/A 896,087 1,320,507 6,032,577 12,388,851 2014-03-19 $186.50 $186.00 12.1% 4.4% 10.3% 24.5% 15.7% 4.4% 0.2% -1.84B -11.94B -280.3M 1.16 4.45 N/A N/A 1,209,088 1,401,968 6,191,778 12,674,448 2014-03-20 $187.90 $186.00 10.7% 4.3% 10.4% 9.9% 16.7% 3.4% 0.5% 3.11B -32.23B -258.8M 0.50 6.86 N/A N/A 2,449,841 1,231,697 6,552,175 12,785,804 2014-03-21 $186.19 $186.00 11.9% 4.4% 11.0% 22.5% 16.6% 4.5% 0.5% -5.70B 5.75B -268.8M 1.60 5.69 N/A N/A 1,028,244 1,649,881 5,314,972 12,935,641 2014-03-24 $185.40 $186.00 12.4% 4.5% 10.9% 27.8% 18.2% 4.7% 0.4% -3.04B 6.41B -264.1M 2.03 4.54 N/A N/A 654,364 1,326,029 4,551,563 8,944,526 2014-03-25 $186.39 $186.00 11.7% 4.4% 11.1% 19.8% 16.6% 4.2% 0.4% -1.90B -879.2M -258.0M 2.17 4.05 N/A N/A 531,492 1,155,054 4,667,524 9,281,462 2014-03-26 $184.77 $186.00 12.6% 4.5% 11.5% 29.8% 17.9% 4.5% 0.4% -4.57B 12.11B -268.8M 2.27 4.67 N/A N/A 710,287 1,615,420 4,747,264 9,626,697 2014-03-27 $184.61 $186.00 12.7% 4.4% 11.3% 30.7% 18.1% 4.4% 0.4% -5.90B 15.52B -271.5M 1.75 3.96 N/A N/A 853,087 1,494,372 4,893,737 9,937,779 2014-03-28 $185.59 $186.00 12.3% 4.4% 11.4% 26.1% 16.1% 4.5% 0.5% -3.28B 6.00B -272.0M 2.00 3.97 N/A N/A 754,969 1,511,643 5,112,151 10,106,862 2014-03-31 $186.82 $186.00 11.9% 4.3% 11.1% 22.1% 16.2% 4.5% 0.1% -243.5M -4.31B -258.3M 1.79 4.09 N/A N/A 663,202 1,189,362 4,432,082 9,395,415
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