SPY Options History — April 2015 In April 2015, SPY traded between $205.56 and $211.64. ATM implied volatility averaged 12.1%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.1% (HV 20d: 11.0%). Max pain ranged from $208.00 to $210.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.79.
Notable Days 2015-04-17 : Highest Volume — 3,571,716 contracts2015-04-13 : Largest IV spike — 14.4% change2015-04-01 : Highest IV Rank — 46.0%2015-04-01 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $209.30 $205.56 $211.64 $205.56 $208.33 Max Pain $209.29 $208.00 $210.00 $209.00 $210.00 ATM IV 12.1% 10.7% 14.1% 14.1% 13.2% Expected Move 3.5% 3.1% 4.1% 4.1% 3.9% HV 20d 11.0% 8.2% 14.6% 14.4% 8.9% HV 60d 12.2% 10.8% 13.5% 13.5% 10.8% IV Rank 31.3% 21.0% 46.0% 46.0% 39.2% IV Percentile 54.9% 32.9% 78.6% 78.6% 70.2% Term Structure 0.2% -0.1% 0.6% 0.2% 0.1% VWIV 13.3% 11.2% 15.3% 14.6% 14.2% Skew 25d 4.6% 4.1% 5.2% 5.2% 5.0% Skew 10d 8.5% 7.7% 9.7% 9.5% 9.7% Call IV 25d 10.0% 8.9% 11.6% 11.6% 11.1% Put IV 25d 14.6% 13.0% 16.8% 16.8% 16.1% Bid-Ask Spread % 1.75 1.50 2.06 1.50 1.76 Gamma HHI 0.05 0.03 0.16 0.04 0.04 Net GEX -1.77B -7.94B 4.31B -5.44B -6.89B Net DEX 6.05B -8.76B 29.98B 29.98B 24.64B Net VEX -327.6M -344.0M -307.8M -340.8M -344.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.79 1.38 2.21 1.87 1.74 Total Volume 2,024,718.381 1,376,148 3,571,716 2,343,624 2,792,181 Total OI 17,563,065.619 15,561,149 19,864,341 16,437,387 17,986,748
Daily Data (21 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 2015-04-01 $205.56 $209.00 14.1% 4.1% 14.4% 46.0% 14.6% 5.2% 0.2% -5.44B 29.98B -340.8M 1.87 1.50 N/A N/A 817,283 1,526,341 5,200,820 11,236,567 2015-04-02 $206.64 $210.00 13.2% 3.9% 14.6% 39.1% 14.9% 5.0% 0.3% -3.64B 21.02B -335.0M 2.03 1.89 N/A N/A 747,207 1,513,952 5,454,353 11,658,591 2015-04-06 $207.92 $210.00 13.3% 3.9% 13.7% 39.6% 14.9% 5.0% 0.2% -2.46B 10.84B -325.9M 2.18 1.75 N/A N/A 659,330 1,438,950 5,236,904 11,442,927 2015-04-07 $207.39 $209.00 13.3% 4.0% 13.6% 39.9% 15.3% 5.1% 0.5% -3.69B 15.70B -328.4M 2.17 1.53 N/A N/A 533,152 1,157,581 5,402,108 11,790,008 2015-04-08 $208.11 $209.00 12.6% 3.7% 12.1% 34.8% 14.3% 4.7% 0.3% -3.00B 10.83B -323.2M 2.21 2.06 N/A N/A 499,398 1,101,484 5,547,833 12,100,050 2015-04-09 $208.90 $208.00 11.8% 3.5% 12.1% 28.9% 13.4% 4.5% 0.4% -1.13B 3.27B -320.8M 1.61 1.63 N/A N/A 713,148 1,146,746 5,630,396 12,321,419 2015-04-10 $209.97 $208.00 11.2% 3.3% 11.5% 24.5% 13.2% 4.2% 0.6% 4.31B -6.98B -307.8M 2.05 1.69 N/A N/A 780,595 1,602,446 5,788,421 12,638,836 2015-04-13 $209.16 $209.00 12.8% 3.7% 11.3% 36.1% 13.6% 4.6% 0.0% -1.84B 5.38B -326.7M 1.39 1.53 N/A N/A 801,734 1,111,633 5,598,518 12,351,785 2015-04-14 $209.25 $209.00 12.6% 3.6% 10.4% 34.9% 13.7% 4.6% 0.0% -1.97B 5.58B -327.3M 1.80 1.61 N/A N/A 581,579 1,047,163 5,961,233 12,625,411 2015-04-15 $210.43 $209.00 11.8% 3.4% 10.6% 28.8% 12.7% 4.3% -0.1% 1.38B -5.45B -322.3M 1.38 1.54 N/A N/A 850,365 1,173,839 6,046,828 12,865,298 2015-04-16 $210.44 $209.00 11.5% 3.3% 9.6% 27.0% 12.5% 4.2% -0.1% 1.64B -5.45B -318.1M 1.50 1.52 N/A N/A 710,499 1,069,245 6,337,569 13,202,590 2015-04-17 $207.86 $210.00 12.6% 3.6% 10.4% 35.0% 13.6% 4.8% 0.1% -7.94B 19.78B -331.1M 1.68 1.50 N/A N/A 1,333,657 2,238,059 6,520,491 13,343,850 2015-04-20 $209.88 $209.00 11.5% 3.3% 11.0% 26.9% 12.8% 4.7% 0.0% -1.15B 2.38B -326.7M 1.73 1.89 N/A N/A 736,595 1,272,074 4,935,574 10,625,575 2015-04-21 $209.63 $209.00 11.7% 3.4% 10.9% 28.4% 12.8% 4.6% -0.0% -1.85B 5.13B -329.2M 1.85 1.85 N/A N/A 483,091 893,057 5,182,324 11,102,401 2015-04-22 $210.64 $209.00 11.0% 3.2% 10.9% 23.6% 12.0% 4.4% 0.1% -311.6M -1.97B -326.4M 1.52 1.97 N/A N/A 674,625 1,023,930 5,280,879 11,321,986 2015-04-23 $211.25 $209.00 10.9% 3.2% 9.4% 22.9% 12.0% 4.3% 0.1% 731.2M -6.20B -326.7M 1.49 1.90 N/A N/A 903,388 1,349,346 5,451,190 11,616,977 2015-04-24 $211.64 $210.00 10.7% 3.1% 9.3% 21.0% 11.2% 4.1% 0.1% 1.63B -8.76B -329.1M 1.49 1.85 N/A N/A 623,282 929,339 5,612,405 11,938,230 2015-04-27 $210.60 $210.00 11.7% 3.4% 9.5% 28.4% 12.7% 4.6% 0.4% -1.42B 2.32B -328.2M 2.12 1.98 N/A N/A 575,661 1,220,176 5,326,416 11,423,070 2015-04-28 $211.18 $210.00 11.2% 3.2% 8.7% 24.8% 12.2% 4.3% 0.4% -1.09B -759.4M -327.3M 1.95 1.91 N/A N/A 599,775 1,172,125 5,441,736 11,719,817 2015-04-29 $210.54 $210.00 11.6% 3.4% 8.2% 27.8% 12.6% 4.5% 0.3% -3.07B 5.68B -334.2M 1.79 1.86 N/A N/A 758,080 1,356,975 5,505,159 12,051,085 2015-04-30 $208.33 $210.00 13.2% 3.9% 8.9% 39.2% 14.2% 5.0% 0.1% -6.89B 24.64B -344.0M 1.74 1.76 N/A N/A 1,018,670 1,773,511 5,694,432 12,292,316
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