SPY Options History — August 2014 In August 2014, SPY traded between $191.08 and $200.54. ATM implied volatility averaged 11.4%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.9% (HV 20d: 10.5%). Max pain ranged from $193.00 to $195.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.96.
Notable Days 2014-08-01 : Highest Volume — 4,209,137 contracts2014-08-13 : Largest IV drop — 11.9% change2014-08-07 : Highest IV Rank — 59.1%2014-08-07 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $196.27 $191.08 $200.54 $192.39 $200.54 Max Pain $193.57 $193.00 $195.00 $194.00 $195.00 ATM IV 11.4% 9.7% 14.7% 14.3% 9.8% Expected Move 4.0% 3.6% 4.5% 4.4% 3.8% HV 20d 10.5% 8.2% 11.4% 9.7% 8.2% HV 60d 8.2% 8.0% 8.4% 8.1% 8.2% IV Rank 31.0% 16.4% 59.1% 56.2% 17.4% IV Percentile 41.9% 9.5% 92.5% 89.3% 14.3% Term Structure 0.2% -0.2% 0.7% -0.2% 0.0% VWIV 15.9% 12.6% 18.7% 14.8% 18.7% Skew 25d 4.5% 3.3% 6.3% 6.3% 3.6% Skew 10d 8.8% 6.4% 12.8% 12.4% 7.0% Call IV 25d 9.6% 7.2% 12.1% 11.8% 8.6% Put IV 25d 14.1% 11.9% 18.1% 18.1% 12.2% Bid-Ask Spread % 3.53 2.64 5.62 5.62 3.26 Gamma HHI 0.06 0.04 0.10 0.06 0.06 Net GEX -3.25B -8.82B 1.21B -8.78B -2.03B Net DEX 6.47B -21.30B 52.97B 50.87B -19.43B Net VEX -345.7M -379.0M -317.4M -379.0M -342.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.96 1.41 3.53 2.24 1.51 Total Volume 2,191,173.762 1,164,054 4,209,137 4,209,137 2,087,277 Total OI 19,332,376.095 16,799,252 20,820,240 19,433,002 20,512,487
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 2014-08-01 $192.39 $194.00 14.3% 4.4% 9.7% 56.2% 14.8% 6.3% -0.2% -8.78B 50.87B -379.0M 2.24 5.62 N/A N/A 1,297,845 2,911,292 5,701,242 13,731,760 2014-08-04 $193.74 $193.00 12.9% 4.2% 10.1% 44.0% 16.2% 5.2% 0.2% -6.44B 28.70B -360.0M 1.91 3.05 N/A N/A 655,528 1,253,198 5,572,197 13,294,154 2014-08-05 $191.90 $193.00 14.3% 4.4% 10.4% 56.1% 16.1% 5.8% 0.0% -7.77B 46.12B -372.9M 2.31 3.67 N/A N/A 776,638 1,790,226 5,719,402 13,560,475 2014-08-06 $192.03 $193.00 14.1% 4.4% 10.1% 54.2% 18.0% 5.7% 0.0% -7.70B 45.19B -375.0M 1.86 3.53 N/A N/A 653,613 1,217,736 5,901,052 13,755,218 2014-08-07 $191.08 $193.00 14.7% 4.5% 10.1% 59.1% 17.1% 5.6% -0.1% -8.82B 52.97B -375.9M 1.41 4.23 N/A N/A 1,227,314 1,726,987 5,988,323 13,914,729 2014-08-08 $192.96 $193.00 13.7% 4.4% 10.8% 50.4% 15.1% 5.3% 0.1% -5.74B 32.48B -369.4M 1.69 3.31 N/A N/A 1,174,824 1,979,758 6,381,986 14,010,130 2014-08-11 $193.85 $193.00 12.5% 4.2% 10.8% 40.4% 15.4% 5.0% 0.6% -5.49B 21.92B -355.5M 2.00 3.15 N/A N/A 586,913 1,172,583 6,066,505 13,619,262 2014-08-12 $193.61 $193.00 12.6% 4.2% 10.8% 40.9% 14.0% 4.9% 0.3% -6.36B 25.56B -354.6M 1.72 3.21 N/A N/A 554,030 951,412 6,154,051 13,925,273 2014-08-13 $194.98 $193.00 11.1% 4.0% 11.1% 28.1% 16.8% 4.3% 0.6% -3.94B 8.60B -339.2M 2.24 3.84 N/A N/A 580,214 1,299,474 6,307,144 14,110,248 2014-08-14 $195.89 $193.00 10.3% 3.9% 10.6% 21.3% 14.6% 4.2% 0.7% -1.99B -1.64B -336.2M 2.34 3.94 N/A N/A 491,850 1,149,239 6,286,817 14,262,020 2014-08-15 $195.86 $193.00 10.6% 3.9% 10.3% 24.0% 17.7% 5.0% 0.6% -2.86B 842.2M -335.9M 1.89 3.44 N/A N/A 1,441,653 2,723,383 6,347,976 14,472,264 2014-08-18 $195.74 $193.00 10.3% 3.8% 10.3% 21.5% 13.9% 5.6% 0.2% 331.0M -9.36B -327.5M 1.51 4.33 N/A N/A 709,282 1,067,694 4,957,694 11,841,558 2014-08-19 $198.43 $193.00 9.8% 3.7% 11.4% 17.2% 14.3% 4.1% 0.0% 1.04B -15.60B -317.4M 1.58 3.68 N/A N/A 744,544 1,174,035 5,204,223 12,185,356 2014-08-20 $198.90 $194.00 9.8% 3.7% 11.4% 17.6% 17.5% 3.8% 0.1% 779.8M -16.28B -334.0M 2.35 3.49 N/A N/A 620,605 1,456,991 5,398,823 12,602,501 2014-08-21 $199.52 $194.00 9.9% 3.6% 11.4% 18.0% 16.4% 3.5% -0.0% 1.21B -21.30B -334.7M 1.61 2.67 N/A N/A 715,308 1,152,871 5,529,946 13,093,019 2014-08-22 $199.19 $194.00 9.7% 3.7% 11.3% 16.4% 14.6% 3.5% 0.1% -319.8M -16.91B -336.3M 2.08 4.05 N/A N/A 748,355 1,558,134 5,609,822 13,544,548 2014-08-25 $200.06 $194.00 9.7% 3.6% 11.4% 16.8% 18.3% 3.5% 0.0% -506.9M -17.46B -330.0M 1.92 3.24 N/A N/A 627,697 1,204,693 5,291,337 13,113,344 2014-08-26 $200.54 $194.00 9.9% 3.7% 11.2% 18.1% 12.6% 3.3% -0.0% -721.9M -21.30B -325.3M 1.41 2.73 N/A N/A 482,422 681,632 5,439,887 13,571,906 2014-08-27 $200.31 $195.00 9.8% 3.7% 11.2% 17.4% 17.2% 3.3% 0.0% -862.5M -19.18B -327.3M 2.10 2.64 N/A N/A 455,656 954,596 5,541,772 13,759,573 2014-08-28 $200.25 $195.00 9.7% 3.7% 8.5% 16.6% 13.9% 3.5% 0.1% -1.22B -19.01B -331.2M 3.53 3.05 N/A N/A 432,368 1,524,779 5,653,942 14,045,932 2014-08-29 $200.54 $195.00 9.8% 3.8% 8.2% 17.4% 18.7% 3.6% 0.0% -2.03B -19.43B -342.9M 1.51 3.26 N/A N/A 831,774 1,255,503 5,713,440 14,799,047
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