SPY Options History — December 2014 In December 2014, SPY traded between $198.20 and $208.76. ATM implied volatility averaged 13.2%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.0% (HV 20d: 10.2%). Max pain ranged from $200.00 to $204.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.58.
Notable Days 2014-12-18 : Highest Volume — 5,193,628 contracts2014-12-10 : Largest IV spike — 30.6% change2014-12-16 : Highest IV Rank — 80.5%2014-12-16 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $205.63 $198.20 $208.76 $205.89 $205.62 Max Pain $201.77 $200.00 $204.00 $200.00 $204.00 ATM IV 13.2% 9.6% 18.9% 11.7% 15.1% Expected Move 4.0% 3.4% 5.4% 3.8% 4.2% HV 20d 10.2% 4.7% 14.9% 4.8% 14.9% HV 60d 13.9% 13.2% 14.9% 13.2% 14.3% IV Rank 38.9% 13.4% 80.5% 28.7% 52.8% IV Percentile 69.0% 11.1% 98.8% 62.3% 91.3% Term Structure 0.2% -0.2% 0.8% -0.1% -0.1% VWIV 16.2% 13.6% 21.1% 15.0% 16.9% Skew 25d 5.5% 4.1% 9.4% 4.7% 6.9% Skew 10d 11.1% 7.0% 16.3% 8.1% 12.8% Call IV 25d 11.1% 8.1% 16.1% 10.0% 12.3% Put IV 25d 16.7% 12.3% 24.1% 14.7% 19.2% Bid-Ask Spread % 3.39 1.90 11.48 2.74 5.38 Gamma HHI 0.06 0.03 0.09 0.05 0.04 Net GEX 1.75B -6.58B 8.68B 1.55B -1.04B Net DEX -16.95B -49.67B 44.01B -27.85B -551.9M Net VEX -321.7M -361.4M -293.0M -338.3M -313.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.58 0.72 2.13 1.98 1.53 Total Volume 2,519,198.045 866,411 5,193,628 2,017,294 2,805,756 Total OI 21,433,810.409 17,797,740 24,761,384 21,028,122 19,055,490
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 2014-12-01 $205.89 $200.00 11.7% 3.8% 4.8% 28.7% 15.0% 4.7% -0.1% 1.55B -27.85B -338.3M 1.98 2.74 N/A N/A 677,667 1,339,627 7,961,678 13,066,444 2014-12-02 $206.95 $200.00 10.8% 3.6% 5.0% 21.5% 15.6% 4.4% 0.0% 3.33B -39.38B -314.4M 1.96 2.51 N/A N/A 457,463 898,789 8,100,614 13,420,236 2014-12-03 $208.01 $200.00 10.2% 3.5% 5.0% 17.3% 13.8% 4.1% 0.5% 4.96B -49.56B -314.0M 1.44 2.44 N/A N/A 513,069 737,292 8,262,150 13,679,527 2014-12-04 $207.79 $200.00 10.0% 3.4% 4.8% 16.2% 13.7% 4.1% 0.6% 4.80B -48.03B -308.0M 1.69 4.96 N/A N/A 596,849 1,008,904 8,386,433 13,871,929 2014-12-05 $207.77 $200.00 9.6% 3.4% 4.7% 13.4% 13.6% 4.2% 0.8% 4.18B -46.70B -310.1M 1.78 2.62 N/A N/A 700,792 1,249,837 8,450,160 14,122,054 2014-12-08 $206.49 $201.00 11.6% 3.8% 5.4% 27.3% 15.1% 4.9% 0.6% 2.21B -29.91B -319.9M 2.13 2.72 N/A N/A 609,721 1,296,199 8,115,558 13,538,003 2014-12-09 $206.48 $201.00 11.6% 3.8% 5.3% 28.0% 14.7% 5.3% 0.6% 1.30B -26.64B -319.2M 1.44 2.75 N/A N/A 990,241 1,429,193 8,256,739 13,911,612 2014-12-10 $203.02 $202.00 15.2% 4.4% 8.2% 53.8% 18.1% 6.6% -0.1% -2.93B 9.74B -343.8M 1.95 2.56 N/A N/A 1,068,916 2,087,584 8,329,224 14,271,164 2014-12-11 $203.80 $202.00 15.4% 4.5% 8.3% 55.5% 17.7% 7.2% -0.0% -2.19B 3.30B -352.5M 1.83 2.34 N/A N/A 1,031,016 1,888,176 8,606,072 14,613,355 2014-12-12 $201.00 $202.00 17.5% 5.0% 9.6% 70.2% 21.1% 9.4% -0.2% -6.58B 34.52B -361.4M 1.85 2.68 N/A N/A 1,349,073 2,501,092 8,752,710 15,026,523 2014-12-15 $199.93 $202.00 16.4% 4.9% 9.7% 62.6% 19.6% 6.9% 0.1% -4.84B 31.92B -340.5M 1.47 2.62 N/A N/A 1,512,284 2,225,913 8,505,683 14,487,273 2014-12-16 $198.20 $202.00 18.9% 5.4% 10.1% 80.5% 19.2% 7.2% 0.0% -5.12B 44.01B -347.1M 1.69 2.69 N/A N/A 1,353,893 2,281,642 8,988,189 14,717,796 2014-12-17 $201.96 $202.00 15.5% 4.6% 12.2% 56.1% 18.0% 6.2% 0.2% -1.73B 7.92B -342.3M 1.62 3.92 N/A N/A 1,481,701 2,399,819 9,245,117 14,780,508 2014-12-18 $206.41 $202.00 13.2% 4.1% 14.6% 39.2% 16.5% 4.5% -0.1% 8.68B -49.67B -306.3M 0.72 2.53 N/A N/A 3,016,607 2,177,021 9,514,055 15,247,329 2014-12-19 $206.47 $202.00 13.3% 4.1% 14.6% 40.3% 16.5% 5.3% -0.1% 2.99B -14.19B -319.0M 1.37 11.48 N/A N/A 1,821,353 2,497,285 7,511,664 15,604,213 2014-12-22 $207.23 $202.00 12.6% 3.9% 14.5% 35.1% 14.6% 4.9% 0.4% 4.22B -24.31B -305.5M 1.14 3.70 N/A N/A 830,629 945,295 6,135,290 11,662,450 2014-12-23 $207.96 $202.00 12.1% 3.8% 14.5% 31.3% 16.4% 4.7% 0.5% 5.33B -29.99B -314.1M 1.98 2.54 N/A N/A 597,785 1,186,257 6,374,108 12,068,920 2014-12-24 $207.77 $203.00 11.8% 3.7% 14.5% 29.3% 15.7% 4.7% 0.6% 4.73B -26.31B -316.4M 1.35 2.97 N/A N/A 368,649 497,762 6,447,430 12,458,853 2014-12-26 $208.57 $203.00 12.0% 3.6% 14.6% 30.8% 13.7% 4.6% 0.6% 5.78B -35.34B -300.4M 1.02 2.24 N/A N/A 852,830 868,718 6,433,232 12,548,732 2014-12-29 $208.76 $203.00 12.1% 3.6% 14.5% 31.5% 14.3% 5.1% 0.2% 5.75B -33.13B -293.0M 1.27 1.90 N/A N/A 687,823 874,053 6,206,160 12,169,575 2014-12-30 $207.85 $204.00 12.6% 3.8% 14.4% 34.8% 16.5% 5.6% 0.2% 3.14B -22.65B -297.0M 1.44 4.39 N/A N/A 700,205 1,007,577 6,210,737 12,428,840 2014-12-31 $205.62 $204.00 15.1% 4.2% 14.9% 52.8% 16.9% 6.9% -0.1% -1.04B -551.9M -313.2M 1.53 5.38 N/A N/A 1,107,336 1,698,420 6,307,220 12,748,270
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