SPY Options History — April 2014 In April 2014, SPY traded between $181.74 and $188.84. ATM implied volatility averaged 12.3%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.3% (HV 20d: 12.6%). Max pain ranged from $185.00 to $186.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.91.
Notable Days 2014-04-11 : Highest Volume — 4,285,249 contracts2014-04-10 : Largest IV spike — 18.1% change2014-04-11 : Highest IV Rank — 57.3%2014-04-11 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $186.38 $181.74 $188.84 $188.30 $188.46 Max Pain $185.62 $185.00 $186.00 $186.00 $185.00 ATM IV 12.3% 11.1% 15.3% 11.1% 11.1% Expected Move 4.3% 4.2% 4.5% 4.3% 4.2% HV 20d 12.6% 10.0% 14.0% 10.0% 12.6% HV 60d 12.8% 11.2% 13.6% 12.4% 11.2% IV Rank 26.5% 14.4% 57.3% 14.4% 14.5% IV Percentile 51.1% 24.2% 91.7% 25.0% 24.2% Term Structure 0.1% -0.6% 0.5% 0.1% 0.3% VWIV 17.1% 15.2% 19.8% 17.2% 17.8% Skew 25d 4.2% 3.5% 5.3% 3.8% 4.0% Skew 10d 7.6% 6.7% 9.3% 7.5% 7.2% Call IV 25d 10.5% 9.5% 13.0% 9.7% 9.5% Put IV 25d 14.7% 13.5% 18.4% 13.5% 13.5% Bid-Ask Spread % 3.78 3.04 4.57 3.83 3.91 Gamma HHI 0.05 0.04 0.07 0.06 0.05 Net GEX -2.74B -7.29B 710.4M 80.8M -706.1M Net DEX 1.74B -18.00B 44.60B -14.68B -11.73B Net VEX -267.6M -283.6M -251.2M -251.2M -265.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.91 1.26 2.69 1.87 1.96 Total Volume 2,305,140.095 1,099,574 4,285,249 1,689,529 1,544,419 Total OI 14,947,351.524 13,198,979 17,691,595 13,297,755 14,957,340
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 2014-04-01 $188.30 $186.00 11.1% 4.3% 10.0% 14.4% 17.2% 3.8% 0.1% 80.8M -14.68B -251.2M 1.87 3.83 N/A N/A 587,929 1,101,600 4,340,443 8,957,312 2014-04-02 $188.80 $186.00 11.2% 4.2% 10.1% 15.0% 17.5% 3.7% 0.1% 710.4M -18.00B -254.1M 1.26 3.55 N/A N/A 693,127 875,074 4,479,676 9,403,071 2014-04-03 $188.84 $186.00 11.5% 4.2% 10.1% 18.5% 15.2% 3.5% 0.1% 297.9M -17.60B -255.2M 1.32 3.58 N/A N/A 775,888 1,021,228 4,650,546 9,636,343 2014-04-04 $186.53 $186.00 12.1% 4.3% 11.0% 24.6% 17.3% 4.1% 0.1% -3.57B 4.17B -267.7M 1.90 4.49 N/A N/A 1,447,178 2,744,219 4,937,555 9,952,462 2014-04-07 $184.31 $186.00 13.6% 4.5% 11.7% 40.2% 16.9% 4.7% -0.0% -5.39B 20.79B -274.2M 2.40 3.79 N/A N/A 769,227 1,847,779 4,658,146 9,787,376 2014-04-08 $185.03 $186.00 13.1% 4.4% 11.7% 34.9% 19.8% 4.6% -0.1% -5.10B 14.50B -274.2M 2.00 3.34 N/A N/A 617,409 1,235,159 4,823,289 10,089,446 2014-04-09 $187.01 $186.00 11.9% 4.3% 12.3% 22.2% 15.2% 4.1% -0.0% -2.28B -2.98B -265.9M 1.46 3.76 N/A N/A 947,420 1,384,097 4,960,054 10,301,615 2014-04-10 $183.26 $186.00 14.0% 4.5% 13.7% 44.5% 16.0% 4.8% -0.0% -7.14B 30.82B -279.6M 2.13 3.82 N/A N/A 1,103,223 2,353,000 5,172,992 10,636,769 2014-04-11 $181.74 $186.00 15.3% 4.5% 13.9% 57.3% 16.4% 5.3% -0.6% -7.29B 44.60B -283.6M 2.38 4.51 N/A N/A 1,266,674 3,018,575 5,437,466 10,935,877 2014-04-14 $183.02 $186.00 14.2% 4.5% 13.7% 46.4% 15.4% 4.8% 0.3% -6.27B 27.93B -278.0M 1.75 3.32 N/A N/A 895,297 1,570,178 5,208,548 10,808,647 2014-04-15 $184.56 $186.00 13.3% 4.4% 13.8% 36.3% 17.4% 4.7% 0.5% -4.92B 13.77B -280.1M 2.11 3.87 N/A N/A 1,046,380 2,204,837 5,519,186 11,122,925 2014-04-16 $185.85 $186.00 12.2% 4.3% 14.0% 25.7% 16.5% 4.2% 0.4% -2.62B -949.4M -273.0M 1.91 4.57 N/A N/A 979,115 1,873,654 5,683,292 11,358,001 2014-04-17 $186.37 $186.00 11.7% 4.4% 13.7% 19.8% 15.7% 3.9% 0.1% -1.73B -6.01B -271.9M 1.63 3.57 N/A N/A 1,064,603 1,739,063 5,864,776 11,826,819 2014-04-21 $186.99 $185.00 11.7% 4.3% 13.4% 19.7% 16.2% 4.1% -0.0% -1.49B -5.82B -260.0M 1.64 3.30 N/A N/A 417,194 682,380 4,258,726 8,940,253 2014-04-22 $187.94 $185.00 11.4% 4.2% 13.4% 16.7% 17.6% 3.9% 0.0% -309.5M -12.49B -257.2M 1.94 3.04 N/A N/A 620,802 1,207,363 4,447,081 9,126,383 2014-04-23 $187.73 $185.00 11.6% 4.2% 13.3% 19.1% 19.3% 3.6% 0.1% -1.03B -10.28B -263.0M 2.69 4.54 N/A N/A 308,785 830,721 4,565,748 9,375,778 2014-04-24 $187.82 $185.00 11.6% 4.3% 12.9% 18.7% 15.4% 3.8% 0.0% -1.34B -10.36B -263.9M 1.68 3.76 N/A N/A 647,023 1,087,297 4,644,320 9,613,116 2014-04-25 $186.57 $185.00 12.2% 4.3% 13.1% 25.5% 19.2% 4.0% -0.0% -3.91B 1.17B -273.3M 2.15 4.13 N/A N/A 796,980 1,711,082 4,773,478 9,955,207 2014-04-28 $187.14 $185.00 11.9% 4.3% 13.0% 22.6% 17.4% 4.1% 0.3% -1.99B -3.42B -263.6M 1.96 3.40 N/A N/A 672,021 1,315,200 4,537,939 9,602,010 2014-04-29 $187.70 $185.00 11.7% 4.2% 12.9% 20.1% 19.7% 4.0% 0.3% -1.46B -6.86B -264.3M 2.05 3.41 N/A N/A 460,565 944,177 4,657,133 9,887,238 2014-04-30 $188.46 $185.00 11.1% 4.2% 12.6% 14.5% 17.8% 4.0% 0.3% -706.1M -11.73B -265.9M 1.96 3.91 N/A N/A 522,538 1,021,881 4,753,039 10,204,301
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