SPY Options History — September 2014 In September 2014, SPY traded between $196.60 and $201.85. ATM implied volatility averaged 10.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.7% (HV 20d: 7.1%). Max pain ranged from $195.00 to $197.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.21.
Notable Days 2014-09-18 : Highest Volume — 4,293,224 contracts2014-09-25 : Largest IV spike — 21.6% change2014-09-30 : Highest IV Rank — 51.8%2014-09-30 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $199.55 $196.60 $201.85 $200.54 $196.92 Max Pain $195.86 $195.00 $197.00 $195.00 $197.00 ATM IV 10.7% 8.7% 13.8% 10.1% 13.8% Expected Move 3.8% 3.5% 4.2% 3.8% 4.2% HV 20d 7.1% 5.2% 9.6% 8.0% 9.6% HV 60d 8.5% 8.1% 9.4% 8.2% 9.3% IV Rank 25.0% 7.5% 51.8% 19.5% 51.8% IV Percentile 35.8% 2.4% 89.3% 18.7% 89.3% Term Structure 0.3% -0.0% 0.7% 0.4% -0.0% VWIV 15.6% 12.2% 21.8% 21.6% 17.0% Skew 25d 4.8% 2.5% 5.9% 4.3% 5.9% Skew 10d 9.4% 4.4% 12.5% 7.9% 12.5% Call IV 25d 9.0% 7.5% 11.3% 8.3% 11.3% Put IV 25d 13.8% 10.7% 17.2% 12.7% 17.2% Bid-Ask Spread % 3.02 2.18 4.50 2.96 3.35 Gamma HHI 0.06 0.04 0.16 0.06 0.07 Net GEX -6.06B -12.36B 2.59B -2.44B -9.94B Net DEX 5.40B -33.51B 45.83B -14.52B 37.10B Net VEX -343.3M -367.9M -293.3M -336.0M -367.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.21 0.66 3.66 2.88 2.27 Total Volume 2,300,531.905 1,371,714 4,293,224 1,642,730 2,351,746 Total OI 21,283,716.238 17,849,274 23,971,268 19,738,941 20,932,648
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 2014-09-02 $200.54 $195.00 10.1% 3.8% 8.0% 19.5% 21.6% 4.3% 0.4% -2.44B -14.52B -336.0M 2.88 2.96 N/A N/A 423,437 1,219,293 5,557,885 14,181,056 2014-09-03 $200.44 $195.00 10.0% 3.8% 6.8% 18.5% 15.2% 4.4% 0.5% -3.83B -11.36B -342.7M 3.66 2.83 N/A N/A 341,912 1,252,444 5,660,487 14,570,018 2014-09-04 $200.35 $195.00 10.0% 3.8% 6.9% 18.7% 13.9% 4.5% 0.4% -4.98B -9.22B -349.8M 2.61 2.88 N/A N/A 639,952 1,668,441 5,705,457 15,220,254 2014-09-05 $201.16 $195.00 9.2% 3.6% 6.4% 11.8% 21.8% 4.4% 0.4% -2.58B -19.62B -328.0M 1.98 2.52 N/A N/A 811,623 1,610,438 5,904,535 15,914,845 2014-09-08 $200.64 $195.00 9.7% 3.7% 6.0% 16.4% 12.2% 4.6% 0.1% -3.26B -11.34B -334.7M 1.64 2.54 N/A N/A 520,442 851,272 5,875,264 15,624,991 2014-09-09 $199.52 $195.00 10.3% 3.7% 6.5% 21.4% 14.6% 5.1% -0.0% -6.94B 4.30B -354.1M 1.86 3.30 N/A N/A 578,527 1,076,715 6,067,742 15,944,438 2014-09-10 $200.06 $195.00 10.1% 3.7% 6.4% 19.7% 13.4% 5.1% 0.3% -5.67B -2.60B -346.8M 1.93 2.65 N/A N/A 536,947 1,035,182 6,201,291 16,123,518 2014-09-11 $200.27 $195.00 9.7% 3.7% 6.1% 16.4% 18.1% 5.1% 0.6% -4.98B -5.90B -342.7M 1.71 2.56 N/A N/A 512,325 875,711 6,245,097 16,367,327 2014-09-12 $199.10 $195.00 10.6% 3.8% 6.5% 24.3% 14.0% 5.1% 0.3% -12.36B 8.95B -348.9M 1.83 2.67 N/A N/A 967,896 1,772,863 6,405,577 16,593,470 2014-09-15 $198.98 $195.00 11.3% 3.8% 6.5% 29.7% 16.4% 5.1% 0.3% -6.56B 8.89B -346.0M 2.67 2.18 N/A N/A 463,913 1,238,574 5,940,029 16,108,483 2014-09-16 $200.56 $195.00 9.7% 3.6% 6.9% 16.7% 13.2% 4.8% 0.7% -3.79B -9.03B -324.5M 2.09 3.13 N/A N/A 822,928 1,720,442 6,040,704 16,531,876 2014-09-17 $200.75 $196.00 9.6% 3.6% 5.2% 15.7% 13.8% 4.2% 0.5% -4.24B -10.00B -329.5M 1.80 3.69 N/A N/A 1,134,373 2,045,300 6,111,404 17,077,101 2014-09-18 $201.85 $196.00 8.7% 3.5% 5.4% 7.5% 13.1% 2.5% 0.2% 2.59B -33.51B -293.3M 0.66 4.50 N/A N/A 2,589,366 1,703,858 6,458,856 17,512,412 2014-09-19 $200.88 $197.00 9.2% 3.6% 5.7% 11.6% 13.7% 3.9% 0.4% -4.76B 6.49B -324.4M 1.97 4.26 N/A N/A 928,114 1,831,240 5,454,638 18,034,297 2014-09-22 $199.09 $197.00 11.0% 3.8% 6.5% 27.5% 16.9% 4.9% 0.2% -6.46B 19.03B -336.0M 2.48 2.71 N/A N/A 595,417 1,478,858 4,556,627 13,292,647 2014-09-23 $197.72 $197.00 12.4% 3.9% 6.8% 40.0% 14.8% 5.5% 0.0% -8.76B 32.80B -357.9M 2.50 2.71 N/A N/A 598,566 1,495,072 4,759,521 13,742,728 2014-09-24 $199.52 $197.00 10.9% 3.7% 7.5% 26.7% 13.4% 4.8% 0.2% -6.46B 15.90B -349.6M 1.62 2.46 N/A N/A 851,073 1,380,204 4,949,317 14,266,236 2014-09-25 $196.60 $197.00 13.3% 4.0% 9.1% 47.0% 16.0% 5.6% 0.0% -11.26B 45.83B -366.0M 2.25 3.46 N/A N/A 1,040,327 2,344,070 5,199,671 14,722,313 2014-09-26 $198.05 $197.00 12.3% 3.9% 9.6% 38.8% 16.8% 5.3% 0.2% -11.42B 29.29B -364.6M 2.92 3.42 N/A N/A 758,509 2,215,339 5,554,650 15,179,824 2014-09-29 $197.56 $197.00 13.1% 4.1% 9.6% 46.0% 18.4% 5.7% 0.1% -9.12B 31.83B -365.1M 3.08 2.62 N/A N/A 497,042 1,531,419 5,332,807 15,036,000 2014-09-30 $196.92 $197.00 13.8% 4.2% 9.6% 51.8% 17.0% 5.9% -0.0% -9.94B 37.10B -367.9M 2.27 3.35 N/A N/A 718,966 1,632,780 5,465,152 15,467,496
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