SPY Options History — June 2014 In June 2014, SPY traded between $192.77 and $196.46. ATM implied volatility averaged 9.3%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.6% (HV 20d: 6.7%). Max pain ranged from $188.00 to $193.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.94.
Notable Days 2014-06-19 : Highest Volume — 4,319,524 contracts2014-06-24 : Largest IV spike — 12.0% change2014-06-24 : Highest IV Rank — 14.9%2014-06-02 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $194.93 $192.77 $196.46 $192.77 $195.92 Max Pain $190.38 $188.00 $193.00 $188.00 $193.00 ATM IV 9.3% 7.8% 10.4% 9.9% 9.1% Expected Move 4.0% 3.8% 4.1% 4.1% 3.9% HV 20d 6.7% 5.3% 8.2% 8.2% 5.7% HV 60d 9.7% 9.2% 10.3% 10.3% 9.2% IV Rank 6.3% 0.0% 14.9% 4.1% 11.6% IV Percentile 2.1% 0.0% 7.5% 2.0% 2.4% Term Structure 0.3% -0.2% 0.5% 0.2% 0.2% VWIV 16.1% 14.0% 20.2% 18.7% 15.8% Skew 25d 3.5% 1.8% 4.2% 3.5% 3.8% Skew 10d 6.9% 3.3% 9.0% 6.5% 7.5% Call IV 25d 8.1% 7.1% 9.1% 8.6% 8.0% Put IV 25d 11.6% 9.1% 12.8% 12.2% 11.8% Bid-Ask Spread % 3.31 2.66 4.23 3.45 3.31 Gamma HHI 0.06 0.04 0.19 0.05 0.05 Net GEX 13.3M -3.45B 7.15B 596.1M -604.1M Net DEX -20.89B -48.47B 3.21B -22.71B -6.05B Net VEX -293.8M -317.7M -265.4M -277.5M -295.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.94 0.52 3.05 2.19 2.67 Total Volume 2,045,244.381 1,235,658 4,319,524 1,235,658 1,635,924 Total OI 18,601,892.524 15,589,131 20,996,784 16,802,435 16,661,364
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 2014-06-02 $192.77 $188.00 9.9% 4.1% 8.2% 4.1% 18.7% 3.5% 0.2% 596.1M -22.71B -277.5M 2.19 3.45 N/A N/A 386,988 848,670 5,302,066 11,500,369 2014-06-03 $192.81 $189.00 10.1% 4.1% 8.2% 5.6% 15.4% 3.4% -0.2% 529.3M -22.49B -279.5M 1.69 3.14 N/A N/A 573,599 971,434 5,409,005 11,778,270 2014-06-04 $193.19 $189.00 10.4% 4.1% 7.8% 9.4% 15.1% 3.5% 0.0% 697.2M -24.93B -286.5M 2.05 3.39 N/A N/A 707,017 1,451,176 5,635,778 12,242,336 2014-06-05 $194.47 $190.00 10.0% 4.0% 7.8% 4.9% 16.7% 3.3% 0.2% 2.58B -36.93B -285.2M 1.46 3.39 N/A N/A 1,199,430 1,749,782 5,904,825 12,772,030 2014-06-06 $195.51 $190.00 9.0% 3.9% 7.9% 0.0% 15.5% 2.9% 0.2% 7.15B -45.02B -277.5M 1.69 3.00 N/A N/A 1,175,332 1,985,756 5,968,998 13,217,271 2014-06-09 $195.61 $190.00 9.2% 3.9% 7.9% 1.9% 14.3% 3.0% 0.3% 1.21B -37.82B -276.6M 1.84 2.66 N/A N/A 623,763 1,149,817 5,615,026 13,009,767 2014-06-10 $195.65 $190.00 8.9% 3.9% 7.3% 0.0% 20.2% 3.1% 0.3% 1.45B -37.70B -280.1M 1.40 3.00 N/A N/A 585,739 818,506 5,793,453 13,407,457 2014-06-11 $194.95 $190.00 9.2% 3.9% 7.5% 2.3% 14.0% 3.3% 0.5% -71.2M -29.28B -290.5M 1.68 2.93 N/A N/A 545,031 914,914 6,012,242 13,634,301 2014-06-12 $193.73 $190.00 10.0% 4.0% 7.7% 9.6% 14.6% 3.7% 0.3% -2.67B -14.71B -313.0M 2.29 3.62 N/A N/A 775,935 1,773,207 6,164,370 13,909,954 2014-06-13 $194.18 $190.00 9.6% 4.0% 6.6% 6.1% 16.1% 3.8% 0.5% -2.59B -17.54B -317.7M 2.46 3.25 N/A N/A 611,749 1,502,008 6,252,205 14,446,937 2014-06-16 $194.27 $190.00 10.1% 4.1% 6.5% 10.6% 19.6% 3.9% 0.2% -1.45B -18.23B -313.0M 1.80 3.24 N/A N/A 454,191 816,026 5,957,432 14,136,937 2014-06-17 $194.77 $190.00 9.4% 4.0% 6.5% 4.7% 16.4% 3.8% 0.5% -1.02B -21.75B -312.9M 3.05 3.41 N/A N/A 407,907 1,243,592 6,047,822 14,344,177 2014-06-18 $196.30 $190.00 8.4% 3.9% 5.9% 0.0% 18.3% 3.1% 0.3% 1.82B -41.01B -285.6M 2.05 4.23 N/A N/A 844,821 1,733,624 6,121,717 14,753,065 2014-06-19 $196.46 $190.00 7.8% 3.8% 5.3% 0.0% 16.5% 1.8% 0.3% 3.35B -48.47B -265.4M 0.52 3.82 N/A N/A 2,839,189 1,480,335 6,125,557 14,871,227 2014-06-20 $195.81 $191.00 8.2% 3.9% 5.6% 3.4% 16.6% 3.0% 0.5% -2.25B -5.07B -288.1M 1.85 3.14 N/A N/A 786,874 1,457,255 4,377,934 15,371,852 2014-06-23 $195.78 $191.00 8.5% 3.9% 5.6% 6.1% 15.0% 3.6% 0.4% -624.4M -7.03B -291.8M 2.46 3.40 N/A N/A 422,148 1,036,639 4,157,419 11,431,712 2014-06-24 $194.80 $191.00 9.5% 4.0% 5.7% 14.9% 14.2% 4.2% 0.3% -3.45B 3.21B -305.0M 2.18 3.70 N/A N/A 744,880 1,620,427 4,324,797 11,866,036 2014-06-25 $195.45 $191.00 9.3% 4.0% 5.8% 12.9% 14.6% 3.7% 0.3% -2.20B -1.54B -305.1M 2.01 3.33 N/A N/A 530,914 1,068,189 4,557,397 12,306,780 2014-06-26 $195.37 $192.00 9.2% 3.9% 5.6% 12.1% 15.6% 4.1% 0.4% -2.85B -355.9M -309.7M 1.80 3.02 N/A N/A 673,981 1,215,795 4,750,232 12,638,055 2014-06-27 $195.67 $193.00 9.2% 3.9% 5.7% 11.7% 14.5% 4.1% 0.4% 671.4M -3.27B -314.4M 1.63 3.10 N/A N/A 603,585 983,983 4,984,437 12,877,134 2014-06-30 $195.92 $193.00 9.1% 3.9% 5.7% 11.6% 15.8% 3.8% 0.2% -604.1M -6.05B -295.2M 2.67 3.31 N/A N/A 445,681 1,190,243 4,529,421 12,131,943
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