SPY Options History — January 2015 In January 2015, SPY traded between $199.05 and $206.00. ATM implied volatility averaged 16.3%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.3% (HV 20d: 16.0%). Max pain ranged from $203.00 to $204.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.75.
Notable Days 2015-01-16 : Highest Volume — 3,686,724 contracts2015-01-05 : Largest IV spike — 17.5% change2015-01-15 : Highest IV Rank — 87.7%2015-01-30 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $202.65 $199.05 $206.00 $205.69 $199.38 Max Pain $203.40 $203.00 $204.00 $204.00 $203.00 ATM IV 16.3% 13.3% 19.9% 14.2% 18.8% Expected Move 4.7% 3.8% 5.5% 4.1% 5.5% HV 20d 16.0% 13.8% 18.1% 14.7% 16.7% HV 60d 13.0% 12.3% 14.1% 14.0% 13.1% IV Rank 62.2% 40.0% 87.7% 46.6% 79.8% IV Percentile 91.2% 75.0% 98.8% 86.1% 98.0% Term Structure -0.2% -1.2% 0.3% 0.2% -0.2% VWIV 17.7% 14.3% 20.9% 16.2% 20.6% Skew 25d 6.7% 5.1% 7.8% 6.6% 7.4% Skew 10d 13.3% 10.7% 15.3% 13.3% 14.5% Call IV 25d 13.5% 10.9% 16.6% 11.3% 15.6% Put IV 25d 20.2% 16.1% 24.4% 17.9% 23.0% Bid-Ask Spread % 2.84 1.66 5.34 2.38 2.01 Gamma HHI 0.04 0.03 0.06 0.05 0.06 Net GEX -3.23B -6.41B 882.0M -1.27B -6.41B Net DEX 16.54B -10.73B 45.77B 732.6M 40.54B Net VEX -324.2M -355.3M -310.6M -312.5M -355.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.75 1.08 2.28 1.72 1.83 Total Volume 2,734,490.1 1,356,831 3,686,724 2,534,155 3,185,040 Total OI 17,445,613.45 14,106,200 21,048,018 17,223,363 17,517,378
Daily Data (20 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 2015-01-02 $205.69 $204.00 14.2% 4.1% 14.7% 46.6% 16.2% 6.6% 0.2% -1.27B 732.6M -312.5M 1.72 2.38 N/A N/A 931,164 1,602,991 5,529,401 11,693,962 2015-01-05 $201.95 $204.00 16.7% 4.7% 16.0% 64.5% 18.0% 7.7% -0.1% -4.82B 24.11B -310.6M 2.09 5.20 N/A N/A 1,065,589 2,228,603 5,230,166 11,611,246 2015-01-06 $199.88 $204.00 17.9% 5.0% 16.3% 73.1% 19.5% 7.8% -0.2% -5.94B 38.88B -315.4M 2.28 3.87 N/A N/A 1,118,598 2,548,352 5,545,130 12,146,040 2015-01-07 $202.37 $204.00 16.3% 4.7% 17.0% 62.1% 16.9% 7.0% -0.1% -3.95B 18.42B -320.4M 1.39 3.95 N/A N/A 848,227 1,178,683 5,814,574 12,554,823 2015-01-08 $205.77 $204.00 14.4% 4.2% 18.1% 48.1% 16.7% 6.2% 0.1% 323.4M -10.73B -316.7M 1.41 2.13 N/A N/A 1,235,794 1,743,939 6,067,771 12,811,057 2015-01-09 $204.35 $204.00 14.8% 4.4% 17.2% 51.0% 16.0% 6.6% 0.3% -2.73B 2.97B -316.5M 1.57 2.45 N/A N/A 1,169,887 1,835,903 6,321,471 13,217,098 2015-01-12 $202.76 $204.00 16.5% 4.7% 17.4% 63.0% 17.8% 7.0% -0.2% -3.69B 15.85B -315.5M 1.87 1.71 N/A N/A 681,442 1,271,050 5,914,241 12,720,246 2015-01-13 $201.82 $204.00 17.5% 4.9% 16.7% 70.4% 18.5% 7.5% -0.3% -4.46B 23.98B -320.1M 1.64 2.19 N/A N/A 1,175,893 1,928,842 6,066,577 12,996,910 2015-01-14 $200.88 $203.00 18.6% 5.1% 16.7% 78.3% 19.7% 7.6% -0.7% -5.27B 32.16B -331.5M 1.80 2.30 N/A N/A 1,306,840 2,354,721 6,279,934 13,506,798 2015-01-15 $199.05 $203.00 19.9% 5.5% 16.7% 87.7% 20.9% 7.8% -0.9% -6.14B 45.77B -330.9M 2.11 2.46 N/A N/A 963,139 2,034,329 6,551,968 13,787,347 2015-01-16 $201.69 $203.00 18.0% 4.9% 16.0% 74.0% 18.0% 7.2% -1.2% -3.58B 21.80B -330.0M 1.27 5.34 N/A N/A 1,623,628 2,063,096 6,747,208 14,300,810 2015-01-20 $202.02 $203.00 17.3% 4.9% 13.8% 69.5% 19.3% 6.8% -0.0% -2.43B 14.81B -329.7M 1.76 3.01 N/A N/A 643,338 1,134,482 4,466,202 9,639,998 2015-01-21 $203.11 $203.00 16.2% 4.6% 14.0% 61.0% 17.8% 6.5% -0.1% -1.68B 8.77B -320.3M 2.01 3.14 N/A N/A 706,034 1,417,475 4,657,831 9,939,649 2015-01-22 $206.00 $203.00 13.9% 4.0% 14.9% 44.2% 15.9% 5.4% 0.1% 882.0M -8.63B -311.3M 1.08 2.10 N/A N/A 1,515,062 1,642,912 4,784,823 10,400,149 2015-01-23 $205.01 $203.00 14.1% 4.0% 14.9% 45.4% 16.0% 5.5% 0.1% -67.8M -1.62B -322.4M 1.95 2.03 N/A N/A 869,120 1,691,217 5,316,786 10,842,201 2015-01-26 $205.73 $203.00 13.3% 3.8% 15.0% 40.0% 14.3% 5.1% 0.2% -910.4M -2.75B -320.6M 1.59 2.50 N/A N/A 522,880 833,951 5,027,008 10,361,865 2015-01-27 $203.45 $203.00 15.0% 4.3% 15.4% 52.5% 16.5% 5.8% 0.0% -3.24B 12.10B -320.6M 1.89 4.31 N/A N/A 847,080 1,598,350 5,145,378 10,522,864 2015-01-28 $200.22 $203.00 17.5% 5.1% 16.2% 70.4% 18.1% 6.6% -0.0% -5.05B 31.87B -343.4M 1.99 2.02 N/A N/A 766,798 1,526,041 5,364,927 10,816,430 2015-01-29 $201.92 $203.00 16.3% 4.7% 16.6% 61.7% 18.2% 6.4% -0.1% -4.23B 21.85B -340.2M 1.81 1.66 N/A N/A 1,024,150 1,855,162 5,559,261 11,134,741 2015-01-30 $199.38 $203.00 18.8% 5.5% 16.7% 79.8% 20.6% 7.4% -0.2% -6.41B 40.54B -355.3M 1.83 2.01 N/A N/A 1,123,539 2,061,501 5,783,432 11,733,946
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