SPY Options History — November 2014 In November 2014, SPY traded between $201.20 and $207.79. ATM implied volatility averaged 11.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.5% (HV 20d: 10.6%). Max pain ranged from $194.00 to $200.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.53.
Notable Days 2014-11-21 : Highest Volume — 3,730,797 contracts2014-11-28 : Largest IV spike — 13.8% change2014-11-04 : Highest IV Rank — 36.9%2014-11-04 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $204.64 $201.20 $207.79 $201.72 $206.92 Max Pain $196.11 $194.00 $200.00 $194.00 $200.00 ATM IV 11.2% 9.6% 12.9% 12.8% 11.0% Expected Move 3.7% 3.4% 4.1% 4.1% 3.6% HV 20d 10.6% 5.4% 19.6% 19.6% 5.7% HV 60d 13.2% 13.1% 13.4% 13.4% 13.2% IV Rank 24.4% 13.4% 36.9% 36.3% 23.1% IV Percentile 47.2% 10.7% 79.8% 78.2% 43.3% Term Structure 0.3% -0.6% 1.4% 0.4% 0.1% VWIV 14.3% 11.7% 18.1% 14.4% 14.6% Skew 25d 4.0% 3.5% 4.6% 4.3% 4.0% Skew 10d 7.5% 6.3% 9.2% 8.7% 7.0% Call IV 25d 9.8% 8.5% 11.1% 11.1% 9.7% Put IV 25d 13.8% 12.3% 15.6% 15.5% 13.7% Bid-Ask Spread % 2.54 1.48 6.15 2.26 6.02 Gamma HHI 0.06 0.04 0.07 0.04 0.06 Net GEX 4.28B 1.55B 6.79B 1.99B 3.32B Net DEX -50.81B -71.46B -34.09B -37.01B -42.40B Net VEX -339.1M -373.4M -310.7M -373.4M -335.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 0.94 2.15 1.25 1.93 Total Volume 1,971,738.737 1,261,906 3,730,797 1,908,929 1,632,739 Total OI 23,861,766.474 20,130,795 27,051,234 22,573,573 21,638,400
Daily Data (19 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 2014-11-03 $201.72 $194.00 12.8% 4.1% 19.6% 36.3% 14.4% 4.3% 0.4% 1.99B -37.01B -373.4M 1.25 2.26 N/A N/A 846,625 1,062,304 7,703,381 14,870,192 2014-11-04 $201.20 $194.00 12.9% 4.1% 18.8% 36.9% 14.4% 4.6% 0.4% 1.55B -34.09B -370.3M 1.47 2.11 N/A N/A 795,875 1,167,480 7,910,797 15,155,905 2014-11-05 $202.39 $194.00 12.1% 4.0% 17.9% 31.0% 14.6% 4.3% 0.4% 3.36B -45.71B -360.3M 0.94 1.76 N/A N/A 1,097,056 1,029,885 7,981,018 15,395,934 2014-11-06 $203.16 $194.00 11.8% 3.9% 16.1% 29.1% 14.5% 4.0% 0.4% 4.46B -52.75B -356.6M 1.29 1.78 N/A N/A 1,113,021 1,440,442 8,432,683 15,670,140 2014-11-07 $203.19 $195.00 11.1% 3.8% 14.9% 23.8% 13.4% 3.6% 0.5% 5.42B -52.37B -353.2M 1.70 1.67 N/A N/A 847,610 1,443,122 8,694,428 16,042,359 2014-11-10 $203.84 $195.00 10.5% 3.6% 13.1% 19.8% 13.5% 3.6% 1.0% 4.22B -52.35B -330.0M 2.15 1.79 N/A N/A 566,370 1,218,894 8,245,900 15,222,570 2014-11-11 $204.03 $195.00 10.7% 3.6% 12.8% 21.2% 13.7% 3.5% 1.1% 4.59B -55.15B -327.2M 1.39 1.85 N/A N/A 606,847 842,844 8,228,382 15,166,544 2014-11-12 $204.05 $195.00 10.8% 3.6% 10.5% 22.0% 15.0% 3.7% 1.0% 3.44B -49.44B -343.8M 1.45 1.74 N/A N/A 678,492 981,402 8,462,543 15,841,006 2014-11-13 $204.05 $195.00 11.1% 3.7% 10.1% 24.2% 15.9% 4.2% 1.0% 3.38B -49.23B -350.3M 1.49 1.89 N/A N/A 959,098 1,430,546 8,653,793 16,178,937 2014-11-14 $204.26 $195.00 10.9% 3.7% 9.2% 22.4% 12.3% 4.0% 1.4% 3.79B -52.97B -345.1M 1.76 3.20 N/A N/A 641,399 1,130,098 8,883,650 16,640,809 2014-11-17 $204.34 $195.00 11.7% 3.7% 9.1% 28.1% 18.1% 4.3% -0.5% 2.70B -48.07B -340.4M 1.98 1.97 N/A N/A 477,169 947,148 8,672,162 16,342,890 2014-11-18 $205.55 $196.00 11.3% 3.6% 7.5% 25.5% 15.0% 3.8% -0.3% 5.34B -62.79B -328.9M 1.18 2.31 N/A N/A 1,011,098 1,195,118 8,784,536 16,691,745 2014-11-19 $205.26 $196.00 11.8% 3.7% 7.1% 29.1% 15.1% 4.3% -0.6% 4.80B -59.01B -326.7M 2.04 3.29 N/A N/A 718,527 1,469,400 9,111,692 17,087,998 2014-11-20 $205.50 $197.00 11.5% 3.6% 6.5% 26.7% 16.8% 4.3% -0.6% 5.02B -57.87B -329.6M 1.91 1.99 N/A N/A 620,298 1,185,455 9,229,964 17,348,499 2014-11-21 $206.54 $197.00 10.4% 3.5% 6.2% 18.9% 13.0% 3.6% -0.1% 6.79B -71.46B -310.7M 1.28 1.85 N/A N/A 1,639,137 2,091,660 9,336,374 17,714,860 2014-11-24 $207.26 $199.00 10.0% 3.5% 6.2% 16.2% 13.1% 3.8% 0.2% 5.43B -46.36B -314.8M 1.23 3.15 N/A N/A 633,003 781,358 7,622,064 12,508,731 2014-11-25 $207.19 $200.00 10.1% 3.5% 5.5% 16.8% 11.7% 3.9% 0.1% 5.10B -44.98B -321.8M 1.28 1.48 N/A N/A 834,601 1,065,009 7,812,428 12,823,906 2014-11-26 $207.79 $200.00 9.6% 3.4% 5.4% 13.4% 13.4% 3.6% -0.0% 6.54B -51.38B -324.8M 1.31 6.15 N/A N/A 545,334 716,572 8,098,792 13,167,551 2014-11-28 $206.92 $200.00 11.0% 3.6% 5.7% 23.1% 14.6% 4.0% 0.1% 3.32B -42.40B -335.9M 1.93 6.02 N/A N/A 557,052 1,075,687 8,179,633 13,458,767
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