SPY Options History — July 2014 In July 2014, SPY traded between $193.35 and $198.59. ATM implied volatility averaged 10.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.1% (HV 20d: 6.8%). Max pain ranged from $190.00 to $196.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.05.
Notable Days 2014-07-31 : Highest Volume — 4,481,928 contracts2014-07-31 : Largest IV spike — 29.2% change2014-07-31 : Highest IV Rank — 55.1%2014-07-31 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $197.16 $193.35 $198.59 $197.03 $193.35 Max Pain $192.67 $190.00 $196.00 $194.00 $193.00 ATM IV 10.0% 8.2% 14.2% 8.8% 14.2% Expected Move 3.9% 3.7% 4.3% 3.9% 4.3% HV 20d 6.8% 5.7% 9.9% 5.9% 9.9% HV 60d 7.3% 6.7% 8.8% 8.8% 8.1% IV Rank 18.8% 3.5% 55.1% 8.8% 55.1% IV Percentile 17.3% 0.8% 88.9% 1.6% 88.9% Term Structure 0.2% -0.2% 0.6% 0.3% -0.2% VWIV 14.9% 12.1% 17.0% 17.0% 15.0% Skew 25d 4.1% 2.7% 5.9% 3.4% 5.9% Skew 10d 8.4% 5.3% 12.0% 6.6% 12.0% Call IV 25d 8.4% 7.1% 11.8% 7.6% 11.8% Put IV 25d 12.5% 9.8% 17.8% 11.0% 17.8% Bid-Ask Spread % 3.30 2.61 4.20 3.19 3.58 Gamma HHI 0.06 0.05 0.11 0.06 0.05 Net GEX -2.02B -7.78B 4.31B 1.26B -7.78B Net DEX -4.80B -25.77B 40.92B -15.78B 40.92B Net VEX -315.8M -370.3M -291.8M -294.5M -370.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.05 1.58 2.85 1.68 2.37 Total Volume 1,972,169.682 1,112,650 4,481,928 2,199,214 4,481,928 Total OI 17,857,397 15,785,979 19,898,624 16,371,196 18,388,643
Daily Data (22 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 2014-07-01 $197.03 $194.00 8.8% 3.9% 5.9% 8.8% 17.0% 3.4% 0.3% 1.26B -15.78B -294.5M 1.68 3.19 N/A N/A 820,859 1,378,355 4,562,076 11,809,120 2014-07-02 $197.26 $194.00 8.4% 3.8% 5.9% 5.6% 14.5% 3.1% 0.3% 1.36B -15.67B -299.2M 1.63 3.89 N/A N/A 648,192 1,058,783 4,723,336 12,190,199 2014-07-03 $198.25 $195.00 8.2% 3.8% 5.7% 3.5% 15.9% 2.7% 0.4% 4.31B -25.77B -291.8M 2.29 3.34 N/A N/A 692,466 1,584,333 4,975,158 12,622,082 2014-07-07 $197.58 $195.00 9.1% 3.8% 5.7% 11.5% 15.2% 3.5% -0.0% -365.2M -13.51B -299.7M 2.28 3.08 N/A N/A 422,171 960,947 4,809,333 12,537,781 2014-07-08 $196.20 $195.00 10.0% 3.9% 6.3% 19.2% 14.6% 4.1% 0.1% -3.66B -2.04B -307.3M 2.44 3.13 N/A N/A 655,209 1,600,858 4,923,883 12,914,279 2014-07-09 $197.22 $194.00 9.5% 3.9% 6.5% 14.8% 15.5% 3.8% 0.1% -1.34B -9.35B -310.4M 1.79 2.98 N/A N/A 477,738 852,883 5,100,388 13,281,371 2014-07-10 $196.29 $192.00 10.2% 4.0% 6.6% 20.7% 14.0% 4.4% 0.4% -6.22B 4.37B -327.8M 2.30 3.16 N/A N/A 639,527 1,468,065 5,210,557 13,511,537 2014-07-11 $196.72 $193.00 9.6% 3.9% 6.2% 15.9% 15.2% 4.2% -0.0% -3.59B -3.41B -318.9M 1.69 3.30 N/A N/A 635,528 1,075,627 5,338,042 13,849,698 2014-07-14 $197.55 $192.00 9.2% 3.8% 6.3% 11.9% 15.6% 4.1% 0.6% 58.2M -13.07B -304.3M 2.22 3.12 N/A N/A 410,694 911,931 5,001,353 13,304,222 2014-07-15 $197.27 $192.00 9.8% 3.9% 6.3% 16.8% 14.8% 4.1% 0.1% -780.0M -10.58B -304.8M 1.76 3.00 N/A N/A 671,172 1,178,200 5,038,501 13,588,764 2014-07-16 $198.00 $193.00 9.1% 3.8% 6.4% 10.9% 15.7% 4.0% 0.4% 850.1M -16.43B -302.4M 2.10 3.51 N/A N/A 358,696 753,954 5,187,395 13,874,088 2014-07-17 $195.90 $194.00 11.6% 4.0% 7.0% 32.9% 14.5% 5.4% 0.3% -6.04B 9.26B -323.1M 2.85 3.99 N/A N/A 957,346 2,725,339 5,161,289 13,962,359 2014-07-18 $197.15 $194.00 9.7% 3.9% 7.4% 16.4% 14.3% 4.2% 0.4% -1.50B -8.61B -307.9M 2.06 3.08 N/A N/A 954,090 1,960,660 5,338,182 14,560,442 2014-07-21 $197.18 $0.00 10.3% 3.8% 7.3% 21.4% 13.3% 4.8% 0.2% -2.55B -1.34B -309.8M 2.43 4.12 N/A N/A 384,879 935,904 4,557,955 11,228,024 2014-07-22 $198.06 $196.00 9.8% 3.7% 7.4% 17.4% 14.9% 4.2% 0.2% -1.19B -9.51B -305.0M 1.95 4.20 N/A N/A 674,387 1,316,085 4,699,487 11,607,988 2014-07-23 $198.59 $190.00 9.8% 3.7% 7.1% 17.0% 13.2% 3.9% 0.3% -353.3M -13.49B -313.1M 1.85 3.31 N/A N/A 506,446 937,645 4,943,381 12,161,309 2014-07-24 $198.54 $190.00 9.7% 3.8% 7.1% 16.7% 12.1% 3.7% 0.3% -919.4M -11.22B -322.5M 1.70 2.91 N/A N/A 517,853 882,820 5,072,662 12,372,292 2014-07-25 $197.63 $190.00 10.3% 3.8% 7.3% 21.7% 15.1% 4.3% 0.4% -3.83B -1.31B -329.2M 2.27 3.10 N/A N/A 624,391 1,417,612 5,167,733 12,682,898 2014-07-28 $197.77 $190.00 10.2% 3.8% 7.3% 20.7% 16.8% 4.2% 0.2% -3.11B -1.30B -330.8M 2.16 2.83 N/A N/A 425,982 919,922 4,872,523 12,268,132 2014-07-29 $196.85 $190.00 10.9% 3.9% 7.5% 26.6% 15.4% 4.5% 0.1% -4.46B 6.50B -336.4M 1.77 3.23 N/A N/A 524,741 927,367 4,956,283 12,587,786 2014-07-30 $197.03 $190.00 11.0% 3.9% 7.3% 27.5% 15.3% 4.5% 0.1% -4.52B 5.75B -338.8M 1.58 2.61 N/A N/A 796,556 1,259,592 5,045,286 12,874,917 2014-07-31 $193.35 $193.00 14.2% 4.3% 9.9% 55.1% 15.0% 5.9% -0.2% -7.78B 40.92B -370.3M 2.37 3.58 N/A N/A 1,328,160 3,153,768 5,301,240 13,087,403
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