SPY Options History — March 2015 In March 2015, SPY traded between $204.55 and $212.01. ATM implied volatility averaged 12.7%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.3% (HV 20d: 11.4%). Max pain ranged from $207.00 to $210.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.93.
Notable Days 2015-03-06 : Highest Volume — 4,191,019 contracts2015-03-25 : Largest IV spike — 16.1% change2015-03-11 : Highest IV Rank — 49.7%2015-03-11 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $208.13 $204.55 $212.01 $212.01 $206.72 Max Pain $208.55 $207.00 $210.00 $207.00 $209.00 ATM IV 12.7% 10.5% 14.6% 10.5% 13.9% Expected Move 3.7% 3.2% 4.1% 3.2% 4.0% HV 20d 11.4% 7.7% 14.4% 9.2% 14.4% HV 60d 14.0% 13.5% 14.5% 14.1% 14.0% IV Rank 35.5% 19.5% 49.7% 19.5% 44.6% IV Percentile 62.0% 29.4% 83.7% 29.4% 76.2% Term Structure 0.2% -0.1% 0.5% 0.3% 0.2% VWIV 14.1% 11.3% 16.0% 13.1% 14.1% Skew 25d 4.8% 4.0% 5.8% 4.0% 5.4% Skew 10d 9.3% 6.7% 11.4% 6.7% 9.6% Call IV 25d 10.7% 8.7% 12.7% 8.7% 11.4% Put IV 25d 15.6% 12.7% 18.1% 12.7% 16.8% Bid-Ask Spread % 2.61 1.54 7.26 1.87 2.01 Gamma HHI 0.05 0.03 0.10 0.06 0.05 Net GEX -3.81B -7.86B 1.86B 440.9M -4.71B Net DEX 11.83B -17.95B 38.92B -17.95B 22.33B Net VEX -319.4M -335.0M -293.5M -293.5M -333.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.93 0.86 2.99 2.99 2.08 Total Volume 2,379,189.636 1,268,489 4,191,019 1,537,626 2,668,381 Total OI 17,901,274.364 15,218,466 20,240,404 16,588,095 17,420,195
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 2015-03-02 $212.01 $207.00 10.5% 3.2% 9.2% 19.5% 13.1% 4.0% 0.3% 440.9M -17.95B -293.5M 2.99 1.87 N/A N/A 385,327 1,152,299 5,042,938 11,545,157 2015-03-03 $211.11 $207.00 11.3% 3.4% 8.6% 25.7% 13.5% 4.5% 0.4% -1.41B -7.22B -313.7M 2.23 1.65 N/A N/A 517,902 1,157,116 5,167,666 11,857,791 2015-03-04 $210.20 $208.00 11.8% 3.6% 8.0% 29.3% 13.5% 5.3% 0.2% -3.53B 977.9M -319.1M 1.36 1.89 N/A N/A 729,500 992,214 5,304,183 12,214,234 2015-03-05 $210.59 $209.00 11.4% 3.3% 7.7% 26.4% 14.7% 4.8% 0.2% -2.77B -5.59B -312.9M 2.11 1.55 N/A N/A 407,932 860,557 5,510,210 12,403,889 2015-03-06 $207.35 $209.00 13.1% 3.9% 9.1% 38.8% 15.1% 5.8% 0.1% -7.63B 26.45B -326.6M 2.00 1.86 N/A N/A 1,397,906 2,793,113 5,558,227 12,667,250 2015-03-09 $208.34 $209.00 12.4% 3.7% 9.1% 33.5% 15.4% 5.0% 0.5% -4.68B 9.31B -316.3M 2.27 2.36 N/A N/A 408,650 926,444 5,311,242 12,355,392 2015-03-10 $204.78 $209.00 14.2% 4.1% 11.0% 46.7% 15.6% 5.0% 0.1% -7.86B 37.29B -325.1M 2.08 4.91 N/A N/A 958,981 1,997,613 5,424,667 12,661,380 2015-03-11 $204.55 $208.00 14.6% 4.1% 10.3% 49.7% 16.0% 5.5% -0.1% -7.67B 38.92B -330.3M 2.39 2.60 N/A N/A 627,215 1,499,278 5,694,928 12,812,721 2015-03-12 $206.97 $208.00 13.2% 3.8% 11.2% 38.9% 15.6% 4.5% 0.2% -5.86B 16.85B -322.4M 2.48 2.39 N/A N/A 578,776 1,436,252 5,863,689 13,207,500 2015-03-13 $205.54 $208.00 13.9% 4.0% 10.8% 44.6% 15.1% 4.5% 0.1% -7.57B 29.67B -325.6M 2.22 2.72 N/A N/A 931,509 2,070,908 5,929,489 13,406,131 2015-03-16 $208.17 $208.00 13.7% 3.9% 11.7% 43.1% 15.5% 4.7% 0.1% -3.76B 6.05B -316.9M 1.68 2.33 N/A N/A 871,467 1,465,082 5,638,629 13,009,548 2015-03-17 $208.02 $208.00 13.5% 3.9% 11.7% 41.7% 14.6% 4.4% -0.1% -4.55B 6.71B -312.2M 1.72 2.48 N/A N/A 623,999 1,072,315 5,796,990 13,359,700 2015-03-18 $210.61 $208.00 11.4% 3.3% 12.6% 25.9% 13.7% 4.2% 0.5% 1.58B -14.74B -299.8M 1.70 7.26 N/A N/A 1,274,277 2,171,469 6,017,887 13,597,981 2015-03-19 $209.56 $208.00 11.4% 3.2% 12.7% 26.2% 12.1% 4.1% 0.4% -60.2M -7.66B -300.0M 0.86 2.79 N/A N/A 1,864,574 1,606,346 6,188,535 14,051,869 2015-03-20 $210.36 $209.00 11.2% 3.2% 12.6% 24.4% 11.3% 4.3% 0.1% 1.86B -1.60B -310.0M 1.13 3.66 N/A N/A 1,735,072 1,952,640 5,648,210 14,355,439 2015-03-23 $209.90 $209.00 11.4% 3.2% 12.6% 26.4% 12.1% 4.8% 0.5% -1.32B 2.62B -316.4M 1.63 2.52 N/A N/A 590,156 963,573 4,590,842 10,627,624 2015-03-24 $208.89 $210.00 11.8% 3.4% 12.6% 29.0% 12.7% 4.8% 0.5% -3.06B 10.42B -324.4M 2.08 2.49 N/A N/A 508,677 1,055,718 4,849,180 10,929,683 2015-03-25 $205.85 $210.00 13.7% 4.0% 13.6% 42.8% 14.3% 5.2% 0.3% -6.06B 31.64B -330.2M 2.00 2.45 N/A N/A 966,858 1,930,144 4,976,934 11,231,083 2015-03-26 $205.37 $209.00 14.1% 4.1% 13.6% 45.7% 15.2% 5.3% 0.2% -6.76B 35.31B -334.9M 1.91 1.54 N/A N/A 1,066,721 2,039,197 5,315,095 11,705,004 2015-03-27 $205.78 $209.00 13.6% 4.0% 13.6% 41.8% 14.4% 5.0% 0.4% -6.05B 31.86B -335.0M 1.84 2.47 N/A N/A 666,364 1,223,833 5,544,147 12,122,332 2015-03-30 $208.29 $209.00 12.7% 3.6% 14.2% 35.3% 13.7% 5.1% 0.3% -2.40B 8.63B -327.8M 1.62 1.62 N/A N/A 839,347 1,356,470 5,232,743 11,679,702 2015-03-31 $206.72 $209.00 13.9% 4.0% 14.4% 44.6% 14.1% 5.4% 0.2% -4.71B 22.33B -333.4M 2.08 2.01 N/A N/A 866,417 1,801,964 5,413,597 12,006,598
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