SPY Options History — February 2015 In February 2015, SPY traded between $202.14 and $211.78. ATM implied volatility averaged 13.5%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.0% (HV 20d: 14.5%). Max pain ranged from $202.00 to $207.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.88.
Notable Days 2015-02-06 : Highest Volume — 3,950,524 contracts2015-02-03 : Largest IV drop — 11.2% change2015-02-02 : Highest IV Rank — 64.6%2015-02-02 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $208.27 $202.14 $211.78 $202.14 $210.80 Max Pain $204.11 $202.00 $207.00 $203.00 $207.00 ATM IV 13.5% 11.2% 16.7% 16.7% 11.2% Expected Move 4.0% 3.3% 4.8% 4.8% 3.3% HV 20d 14.5% 10.7% 17.6% 17.6% 10.7% HV 60d 14.0% 13.4% 14.2% 13.4% 14.1% IV Rank 41.4% 24.5% 64.6% 64.6% 24.5% IV Percentile 70.5% 40.5% 92.9% 92.9% 40.5% Term Structure 0.2% -0.4% 1.2% 0.1% -0.0% VWIV 15.9% 12.2% 19.5% 19.5% 12.7% Skew 25d 5.4% 4.2% 7.0% 7.0% 4.7% Skew 10d 10.8% 8.1% 13.9% 13.9% 9.2% Call IV 25d 11.3% 9.3% 13.6% 13.6% 9.3% Put IV 25d 16.7% 14.1% 20.6% 20.6% 14.1% Bid-Ask Spread % 2.32 1.70 3.27 3.27 2.05 Gamma HHI 0.05 0.03 0.10 0.04 0.04 Net GEX 625.3M -3.42B 6.49B -3.42B -1.66B Net DEX -11.81B -32.50B 17.32B 17.32B -9.12B Net VEX -326.6M -358.2M -296.1M -343.3M -312.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.88 1.31 2.51 1.97 2.05 Total Volume 2,137,697.947 1,342,674 3,950,524 2,438,596 2,115,343 Total OI 18,270,910.895 15,583,783 20,776,493 16,437,465 17,378,742
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 2015-02-02 $202.14 $203.00 16.7% 4.8% 17.6% 64.6% 19.5% 7.0% 0.1% -3.42B 17.32B -343.3M 1.97 3.27 N/A N/A 822,322 1,616,274 5,247,329 11,190,136 2015-02-03 $204.70 $203.00 14.8% 4.2% 16.9% 51.0% 16.0% 6.0% 0.2% -947.4M -46.5M -333.0M 1.64 1.74 N/A N/A 932,918 1,529,109 5,487,846 11,627,832 2015-02-04 $203.84 $203.00 15.3% 4.4% 16.6% 54.5% 16.8% 6.3% 0.2% -2.00B 6.70B -346.7M 1.96 2.22 N/A N/A 618,569 1,210,835 5,751,452 12,080,863 2015-02-05 $206.07 $202.00 14.4% 4.3% 16.4% 47.7% 16.4% 5.9% 0.2% 648.5M -8.99B -340.4M 1.55 2.60 N/A N/A 943,276 1,465,597 5,903,097 12,365,792 2015-02-06 $205.36 $202.00 15.4% 4.7% 15.4% 55.4% 18.2% 6.1% 0.1% 411.5M -2.90B -357.1M 1.75 3.16 N/A N/A 1,436,271 2,514,253 6,160,331 12,839,111 2015-02-09 $204.71 $202.00 15.9% 4.7% 15.2% 58.8% 18.7% 6.7% 0.4% -2.56B 7.25B -358.2M 1.87 2.63 N/A N/A 505,436 945,300 5,932,736 12,416,311 2015-02-10 $206.90 $203.00 14.2% 4.3% 15.4% 46.7% 18.3% 6.1% 0.9% -65.7M -8.53B -347.5M 1.84 2.39 N/A N/A 621,392 1,142,867 6,045,593 12,634,518 2015-02-11 $206.80 $203.00 14.5% 4.3% 15.2% 48.6% 17.4% 5.9% 0.7% -317.8M -6.83B -344.5M 2.26 2.44 N/A N/A 520,159 1,174,403 6,204,355 12,959,938 2015-02-12 $208.89 $203.00 12.9% 3.9% 15.4% 37.0% 16.3% 4.9% 0.9% 3.37B -23.84B -325.7M 1.60 2.34 N/A N/A 1,090,480 1,748,265 6,290,266 13,108,444 2015-02-13 $209.77 $204.00 12.4% 3.8% 14.8% 33.5% 15.0% 4.6% 1.2% 6.49B -30.42B -323.2M 1.60 1.96 N/A N/A 928,640 1,484,932 6,456,055 13,542,951 2015-02-17 $209.94 $204.00 13.7% 4.0% 14.3% 42.5% 15.9% 5.6% -0.4% 1.63B -22.67B -319.4M 2.18 1.86 N/A N/A 562,448 1,224,306 6,146,538 13,344,874 2015-02-18 $210.00 $205.00 13.5% 3.9% 14.3% 41.5% 17.3% 5.4% -0.2% 1.13B -22.57B -316.3M 2.51 1.70 N/A N/A 408,717 1,027,220 6,245,791 13,924,679 2015-02-19 $210.05 $205.00 13.0% 3.7% 14.2% 37.7% 15.4% 5.1% -0.1% 1.73B -23.21B -316.9M 2.09 3.02 N/A N/A 592,030 1,237,701 6,316,860 14,089,339 2015-02-20 $211.21 $205.00 12.3% 3.5% 13.6% 32.8% 14.5% 4.4% -0.1% 3.19B -32.50B -313.9M 1.31 2.96 N/A N/A 1,401,472 1,842,865 6,341,682 14,434,811 2015-02-23 $211.05 $206.00 12.3% 3.5% 13.4% 32.6% 14.7% 5.2% -0.1% 434.0M -13.34B -304.9M 2.26 1.74 N/A N/A 412,029 930,645 4,737,062 10,846,721 2015-02-24 $211.78 $206.00 11.3% 3.3% 13.4% 25.1% 13.2% 4.4% -0.1% 1.70B -18.62B -296.1M 1.98 1.82 N/A N/A 583,835 1,157,931 4,850,044 11,020,069 2015-02-25 $211.69 $206.00 11.3% 3.3% 12.6% 25.5% 13.2% 4.2% -0.3% 1.47B -17.81B -298.0M 1.65 2.43 N/A N/A 737,395 1,216,028 4,998,798 11,331,311 2015-02-26 $211.46 $206.00 11.4% 3.3% 10.7% 26.1% 12.2% 4.7% 0.2% 640.2M -14.31B -307.5M 1.69 1.76 N/A N/A 710,796 1,204,202 5,229,098 11,665,932 2015-02-27 $210.80 $207.00 11.2% 3.3% 10.7% 24.5% 12.7% 4.7% -0.0% -1.66B -9.12B -312.0M 2.05 2.05 N/A N/A 692,967 1,422,376 5,390,763 11,987,979
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