SPY Options History — October 2014 In October 2014, SPY traded between $185.58 and $201.75. ATM implied volatility averaged 15.5%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.1% (HV 20d: 16.6%). Max pain ranged from $190.00 to $197.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.82.
Notable Days 2014-10-15 : Highest Volume — 7,215,798 contracts2014-10-09 : Largest IV spike — 26.6% change2014-10-13 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $193.67 $185.58 $201.75 $194.63 $201.75 Max Pain $193.43 $190.00 $197.00 $197.00 $193.00 ATM IV 15.5% 12.2% 21.6% 14.8% 12.2% Expected Move 4.6% 4.0% 5.5% 4.3% 4.0% HV 20d 16.6% 10.3% 20.1% 10.3% 19.6% HV 60d 12.2% 9.5% 13.9% 9.5% 13.5% IV Rank 60.0% 31.9% 100.0% 60.0% 31.9% IV Percentile 90.4% 71.4% 100.0% 95.2% 71.4% Term Structure -0.2% -1.7% 0.5% 0.1% 0.5% VWIV 17.4% 14.5% 22.2% 18.2% 14.5% Skew 25d 6.1% 3.7% 9.0% 5.6% 3.7% Skew 10d 11.6% 7.6% 17.9% 10.8% 7.8% Call IV 25d 12.9% 10.3% 17.9% 12.1% 10.4% Put IV 25d 19.0% 14.1% 26.9% 17.7% 14.1% Bid-Ask Spread % 5.96 1.88 23.15 3.54 1.88 Gamma HHI 0.05 0.03 0.09 0.05 0.05 Net GEX -5.32B -11.80B 4.80B -10.35B 4.80B Net DEX 33.72B -54.06B 104.97B 55.08B -54.06B Net VEX -381.8M -413.5M -359.5M -369.4M -371.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.82 1.14 2.95 2.50 1.24 Total Volume 3,702,403.739 1,807,348 7,215,798 4,224,367 4,137,953 Total OI 22,218,976.87 19,640,478 25,221,024 19,670,221 23,925,650
Daily Data (23 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 2014-10-01 $194.63 $197.00 14.8% 4.3% 10.3% 60.0% 18.2% 5.6% 0.1% -10.35B 55.08B -369.4M 2.50 3.54 N/A N/A 1,206,145 3,018,222 5,213,988 14,456,233 2014-10-02 $194.38 $197.00 13.9% 4.3% 10.3% 52.9% 16.0% 5.1% 0.2% -10.95B 55.68B -371.5M 1.94 4.09 N/A N/A 1,298,721 2,518,057 5,574,566 15,029,418 2014-10-03 $196.52 $196.00 12.8% 4.0% 11.1% 43.0% 15.6% 4.8% 0.1% -10.19B 29.58B -366.9M 1.92 5.80 N/A N/A 1,101,002 2,111,268 5,932,343 15,304,662 2014-10-06 $196.11 $196.00 13.6% 4.1% 11.1% 49.6% 16.6% 5.3% -0.1% -7.89B 32.44B -361.0M 1.71 6.16 N/A N/A 668,108 1,139,240 5,617,596 14,713,997 2014-10-07 $193.37 $196.00 15.2% 4.4% 11.9% 63.9% 15.9% 5.7% -0.2% -10.45B 58.85B -359.5M 1.97 7.67 N/A N/A 947,049 1,865,078 5,787,202 14,871,550 2014-10-08 $196.79 $195.00 13.1% 4.1% 13.6% 45.7% 16.1% 5.1% -0.1% -6.67B 23.08B -359.8M 1.54 3.71 N/A N/A 1,546,340 2,383,806 6,066,519 15,190,412 2014-10-09 $192.93 $195.00 16.6% 4.5% 15.2% 80.0% 16.2% 6.3% -0.4% -10.98B 62.44B -376.1M 1.66 12.31 N/A N/A 1,865,239 3,098,266 6,338,435 15,524,312 2014-10-10 $190.18 $195.00 17.4% 5.0% 15.8% 90.8% 18.7% 7.2% -0.9% -11.80B 90.75B -382.6M 2.01 23.15 N/A N/A 1,670,081 3,358,441 6,983,448 15,741,990 2014-10-13 $187.25 $195.00 21.6% 5.4% 16.4% 100.0% 19.3% 8.4% -0.8% -9.77B 102.13B -372.5M 2.95 7.69 N/A N/A 1,392,519 4,110,507 6,771,284 15,212,318 2014-10-14 $189.50 $195.00 18.5% 5.0% 16.9% 77.7% 17.4% 7.4% -0.3% -9.94B 82.32B -384.5M 2.26 5.43 N/A N/A 827,167 1,871,686 7,199,265 15,532,214 2014-10-15 $186.43 $194.00 21.0% 5.5% 17.4% 95.7% 20.2% 8.9% -0.5% -9.52B 104.97B -388.3M 2.42 7.67 N/A N/A 2,112,500 5,103,298 7,521,733 16,177,196 2014-10-16 $185.58 $192.00 21.6% 5.4% 17.1% 99.9% 21.6% 9.0% -1.7% -8.39B 102.26B -388.3M 2.18 9.45 N/A N/A 1,541,724 3,364,736 8,108,613 16,330,794 2014-10-17 $188.69 $191.00 18.2% 5.0% 18.6% 75.9% 18.9% 8.3% -1.1% -6.63B 73.75B -387.0M 1.67 12.42 N/A N/A 1,887,348 3,152,855 8,444,531 16,776,493 2014-10-20 $190.36 $191.00 16.2% 4.9% 19.0% 61.4% 17.6% 6.8% 0.0% -3.87B 32.54B -380.0M 1.14 3.51 N/A N/A 1,224,538 1,392,854 6,555,914 13,084,564 2014-10-21 $193.71 $190.00 14.4% 4.5% 20.1% 48.0% 22.2% 6.3% -0.1% -1.62B 7.14B -380.1M 1.21 2.47 N/A N/A 1,846,149 2,239,576 7,078,045 13,432,140 2014-10-22 $192.70 $190.00 16.1% 4.7% 19.8% 60.6% 17.4% 6.3% -0.2% -2.54B 16.53B -404.1M 1.96 2.91 N/A N/A 1,198,206 2,343,219 8,098,138 14,002,551 2014-10-23 $194.78 $191.00 14.6% 4.5% 19.6% 49.7% 15.8% 5.5% -0.2% -1.06B -210.8M -408.8M 1.62 2.72 N/A N/A 1,242,267 2,016,180 8,462,622 14,634,319 2014-10-24 $196.36 $192.00 14.2% 4.5% 19.7% 46.2% 17.1% 5.3% -0.1% 811.9M -13.77B -413.5M 1.21 2.17 N/A N/A 1,436,875 1,743,389 8,590,270 15,021,256 2014-10-27 $196.32 $192.00 13.9% 4.4% 19.7% 44.5% 16.2% 5.1% 0.3% -757.9M -6.84B -395.9M 1.56 3.62 N/A N/A 800,108 1,248,135 8,134,156 14,387,279 2014-10-28 $198.41 $192.00 12.4% 4.2% 20.0% 33.2% 16.7% 4.5% 0.5% 1.53B -25.28B -380.6M 1.70 4.17 N/A N/A 921,699 1,565,641 8,002,771 14,603,766 2014-10-29 $198.19 $192.00 12.7% 4.2% 19.5% 35.4% 15.4% 4.8% 0.4% 885.6M -21.49B -389.8M 1.57 2.43 N/A N/A 1,081,883 1,694,162 8,100,940 14,986,071 2014-10-30 $199.38 $192.00 12.4% 4.2% 19.6% 33.4% 16.8% 4.4% 0.5% 2.94B -32.39B -389.2M 1.85 2.05 N/A N/A 653,957 1,209,092 8,317,970 15,196,934 2014-10-31 $201.75 $193.00 12.2% 4.0% 19.6% 31.9% 14.5% 3.7% 0.5% 4.80B -54.06B -371.4M 1.24 1.88 N/A N/A 1,848,280 2,289,673 8,345,334 15,580,316
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