SPY Options History — May 2014 In May 2014, SPY traded between $186.97 and $192.63. ATM implied volatility averaged 10.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.9% (HV 20d: 8.9%). Max pain ranged from $185.00 to $189.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.83.
Notable Days 2014-05-15 : Highest Volume — 3,372,775 contracts2014-05-15 : Largest IV spike — 9.3% change2014-05-06 : Highest IV Rank — 21.3%2014-05-06 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $189.17 $186.97 $192.63 $188.31 $192.63 Max Pain $186.95 $185.00 $189.00 $185.00 $188.00 ATM IV 10.8% 9.5% 11.8% 10.9% 9.5% Expected Move 4.1% 4.0% 4.3% 4.2% 4.1% HV 20d 8.9% 6.8% 12.6% 12.6% 8.3% HV 60d 10.7% 10.3% 11.2% 11.2% 10.3% IV Rank 10.7% 0.0% 21.3% 12.2% 0.0% IV Percentile 16.4% 0.0% 47.2% 17.1% 0.0% Term Structure 0.3% -0.3% 0.9% 0.4% 0.6% VWIV 17.2% 14.3% 21.7% 18.5% 14.3% Skew 25d 3.6% 3.0% 4.0% 3.8% 3.1% Skew 10d 6.7% 5.2% 8.3% 7.1% 6.3% Call IV 25d 9.4% 8.4% 10.2% 9.4% 8.4% Put IV 25d 13.0% 11.5% 14.2% 13.2% 11.5% Bid-Ask Spread % 3.52 2.94 4.82 3.32 4.82 Gamma HHI 0.05 0.04 0.11 0.05 0.07 Net GEX -1.08B -6.02B 2.60B -896.2M 2.60B Net DEX -10.30B -28.41B 7.26B -10.55B -28.41B Net VEX -268.3M -280.7M -252.0M -269.3M -280.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.83 1.21 2.52 1.50 1.56 Total Volume 2,012,238.476 1,256,434 3,372,775 1,835,163 2,373,686 Total OI 16,140,538.19 13,898,952 18,512,322 15,254,101 17,443,617
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 2014-05-01 $188.31 $185.00 10.9% 4.2% 12.6% 12.2% 18.5% 3.8% 0.4% -896.2M -10.55B -269.3M 1.50 3.32 N/A N/A 732,807 1,102,356 4,850,239 10,403,862 2014-05-02 $188.00 $185.00 10.7% 4.2% 12.6% 9.7% 21.7% 3.6% 0.6% -4.87B -8.91B -268.2M 1.71 3.27 N/A N/A 977,935 1,667,487 5,101,741 10,656,628 2014-05-05 $188.15 $185.00 11.2% 4.3% 11.8% 15.1% 15.8% 4.0% 0.2% -1.83B -7.02B -268.7M 1.77 3.31 N/A N/A 492,747 871,926 4,812,493 10,342,514 2014-05-06 $186.97 $185.00 11.8% 4.3% 11.1% 21.3% 20.0% 4.0% 0.2% -3.72B 3.30B -272.7M 2.03 3.60 N/A N/A 604,794 1,227,790 4,984,814 10,586,189 2014-05-07 $188.00 $185.00 11.4% 4.2% 11.2% 17.5% 19.9% 3.9% 0.2% -1.54B -7.08B -264.9M 2.05 3.39 N/A N/A 782,650 1,603,456 5,159,906 10,857,016 2014-05-08 $187.76 $185.00 11.4% 4.2% 10.6% 17.5% 19.9% 3.7% 0.2% -3.18B -3.11B -268.4M 2.11 3.21 N/A N/A 717,776 1,517,736 5,321,458 11,296,612 2014-05-09 $187.92 $186.00 10.8% 4.1% 7.3% 11.5% 15.1% 3.7% 0.4% -2.13B -5.44B -266.3M 1.73 2.94 N/A N/A 833,721 1,443,078 5,474,001 11,616,074 2014-05-12 $189.85 $186.00 10.5% 4.1% 7.1% 7.7% 16.6% 3.3% 0.7% 1.17B -21.59B -252.0M 1.77 3.23 N/A N/A 775,553 1,376,397 5,230,905 11,327,340 2014-05-13 $189.98 $186.00 10.5% 4.1% 6.9% 7.7% 16.8% 3.3% 0.9% 1.72B -22.26B -255.0M 1.59 3.17 N/A N/A 622,648 987,747 5,405,938 11,773,926 2014-05-14 $189.12 $187.00 10.6% 4.1% 6.8% 8.8% 16.9% 3.4% 0.8% -1.01B -12.42B -268.7M 2.16 3.52 N/A N/A 584,383 1,262,781 5,542,703 12,104,028 2014-05-15 $187.33 $188.00 11.6% 4.2% 7.4% 18.8% 18.4% 4.0% 0.8% -6.02B 7.26B -276.5M 1.88 3.70 N/A N/A 1,172,060 2,200,715 5,652,710 12,256,593 2014-05-16 $188.07 $188.00 10.9% 4.1% 7.5% 11.7% 14.5% 3.6% 0.7% -2.52B -4.22B -277.5M 1.44 4.02 N/A N/A 969,570 1,394,091 6,017,601 12,494,721 2014-05-19 $188.82 $189.00 10.7% 4.1% 7.5% 10.1% 14.6% 3.8% 0.1% -1.59B -3.59B -266.1M 1.88 3.10 N/A N/A 436,874 819,560 4,506,626 9,392,326 2014-05-20 $187.40 $189.00 11.6% 4.1% 7.8% 19.6% 16.6% 4.0% -0.3% -3.62B 7.17B -271.4M 1.92 3.20 N/A N/A 573,983 1,100,231 4,657,608 9,673,348 2014-05-21 $189.11 $189.00 10.8% 4.0% 8.5% 10.4% 16.5% 3.8% -0.1% -1.01B -6.36B -266.4M 2.36 3.67 N/A N/A 539,109 1,271,038 4,835,900 9,892,026 2014-05-22 $189.59 $188.00 10.6% 4.0% 8.5% 8.9% 17.7% 3.5% 0.1% -760.9M -9.14B -270.1M 1.62 3.45 N/A N/A 607,788 986,139 4,933,833 10,249,360 2014-05-23 $190.25 $188.00 10.3% 4.0% 8.1% 5.9% 16.4% 3.0% 0.0% 1.09B -15.17B -268.3M 1.46 3.51 N/A N/A 893,698 1,302,999 5,178,081 10,663,472 2014-05-27 $191.50 $188.00 10.2% 4.0% 8.3% 4.8% 16.6% 3.3% 0.1% 1.50B -21.15B -261.3M 1.21 3.48 N/A N/A 964,809 1,163,735 4,955,758 10,455,021 2014-05-28 $191.52 $188.00 10.1% 4.0% 8.3% 4.0% 17.5% 3.3% -0.2% 1.46B -20.72B -268.8M 2.52 3.65 N/A N/A 399,802 1,009,067 5,273,411 10,883,889 2014-05-29 $192.37 $188.00 9.9% 4.1% 8.3% 1.6% 16.2% 3.0% 0.1% 2.43B -26.81B -273.1M 2.09 4.26 N/A N/A 611,613 1,280,673 5,413,830 11,273,184 2014-05-30 $192.63 $188.00 9.5% 4.1% 8.3% 0.0% 14.3% 3.1% 0.6% 2.60B -28.41B -280.7M 1.56 4.82 N/A N/A 926,005 1,447,681 5,574,835 11,868,782
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