SPY Options History — May 2015

In May 2015, SPY traded between $207.72 and $213.45. ATM implied volatility averaged 11.8%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.3% (HV 20d: 10.5%). Max pain ranged from $208.00 to $210.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.87.

Notable Days

2015-05-06: Highest Volume — 3,188,388 contracts
2015-05-08: Largest IV drop — 18.3% change
2015-05-06: Highest IV Rank — 45.0%
2015-05-06: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$211.36	$207.72	$213.45	$210.60	$211.40
Max Pain	$209.00	$208.00	$210.00	$210.00	$210.00
ATM IV	11.8%	10.8%	14.0%	11.4%	12.1%
Expected Move	3.6%	3.2%	4.1%	3.3%	3.6%
HV 20d	10.5%	9.3%	11.6%	9.5%	10.5%
HV 60d	11.1%	10.7%	11.4%	10.9%	11.4%
IV Rank	29.3%	22.1%	45.0%	26.1%	31.3%
IV Percentile	50.0%	33.7%	77.8%	45.2%	54.4%
Term Structure	0.3%	-0.5%	1.4%	0.4%	0.2%
VWIV	13.9%	11.9%	16.1%	11.9%	14.0%
Skew 25d	4.7%	4.1%	5.5%	4.3%	5.4%
Skew 10d	8.9%	7.1%	10.8%	7.6%	9.7%
Call IV 25d	9.8%	8.5%	11.6%	9.3%	9.8%
Put IV 25d	14.6%	12.9%	16.6%	13.6%	15.2%
Bid-Ask Spread %	2.04	1.46	5.59	1.68	1.71
Gamma HHI	0.04	0.03	0.11	0.04	0.04
Net GEX	-1.76B	-6.93B	4.59B	-799.3M	-5.70B
Net DEX	3.21B	-14.04B	30.16B	1.83B	15.59B
Net VEX	-326.4M	-349.3M	-311.6M	-324.3M	-327.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	1.30	2.41	1.63	2.10
Total Volume	2,143,997.95	1,381,817	3,188,388	2,419,742	2,730,885
Total OI	18,767,295.45	16,070,860	20,827,326	18,422,382	19,942,717

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
2015-05-01	$210.60	$210.00	11.4%	3.3%	9.5%	26.1%	11.9%	4.3%	0.4%	-799.3M	1.83B	-324.3M	1.63	1.68	N/A	N/A	919,679	1,500,063	6,021,373	12,401,009
2015-05-04	$211.32	$208.00	11.3%	3.6%	9.3%	25.3%	14.4%	4.4%	0.3%	-835.7M	-3.74B	-320.5M	2.24	2.53	N/A	N/A	426,537	955,280	5,520,311	12,023,859
2015-05-05	$208.93	$208.00	12.9%	4.0%	10.2%	37.3%	16.1%	4.8%	0.2%	-5.01B	18.16B	-335.9M	2.32	1.63	N/A	N/A	816,449	1,895,914	5,653,497	12,361,008
2015-05-06	$207.72	$208.00	14.0%	4.1%	10.4%	45.0%	15.9%	5.0%	0.0%	-6.93B	30.16B	-342.5M	2.07	1.60	N/A	N/A	1,039,738	2,148,650	5,869,843	12,850,359
2015-05-07	$208.88	$208.00	13.6%	4.1%	10.5%	42.1%	15.4%	5.3%	-0.0%	-5.20B	19.92B	-349.3M	1.75	1.90	N/A	N/A	719,987	1,258,507	6,124,828	13,210,854
2015-05-08	$211.35	$208.00	11.1%	3.6%	11.2%	24.0%	14.1%	4.5%	0.4%	138.2M	-5.91B	-325.2M	1.84	2.82	N/A	N/A	1,101,601	2,027,989	6,258,267	13,481,099
2015-05-11	$210.39	$208.00	12.1%	3.8%	11.2%	31.2%	14.4%	5.0%	1.2%	-3.46B	6.81B	-331.6M	2.13	2.51	N/A	N/A	513,400	1,094,775	5,860,277	13,193,668
2015-05-12	$210.17	$208.00	12.3%	3.8%	11.2%	32.9%	14.8%	5.0%	0.9%	-4.10B	9.37B	-330.8M	1.87	1.67	N/A	N/A	699,956	1,311,071	5,978,135	13,387,658
2015-05-13	$210.01	$208.00	12.1%	3.7%	11.0%	31.6%	13.6%	4.8%	0.8%	-4.11B	8.57B	-327.1M	1.75	1.65	N/A	N/A	658,709	1,150,156	6,150,515	13,545,013
2015-05-14	$212.21	$208.00	11.3%	3.5%	11.6%	25.5%	13.3%	4.6%	0.9%	2.33B	-12.63B	-311.6M	1.39	1.46	N/A	N/A	964,104	1,338,136	6,292,654	13,832,099
2015-05-15	$212.43	$209.00	10.8%	3.4%	10.6%	22.1%	12.8%	4.4%	1.4%	4.59B	-14.04B	-318.8M	1.30	1.62	N/A	N/A	832,136	1,083,429	6,560,257	14,267,069
2015-05-18	$213.17	$209.00	11.3%	3.3%	10.2%	25.6%	14.1%	4.6%	-0.1%	1.14B	-7.28B	-314.4M	1.53	2.63	N/A	N/A	991,900	1,517,386	5,186,570	10,884,290
2015-05-19	$212.97	$210.00	11.6%	3.4%	10.2%	27.5%	13.3%	4.7%	-0.3%	869.9M	-4.81B	-327.0M	1.87	5.59	N/A	N/A	523,952	979,595	5,778,818	11,559,370
2015-05-20	$213.01	$210.00	11.6%	3.3%	10.1%	27.8%	12.7%	4.4%	-0.3%	171.6M	-3.84B	-330.3M	1.53	1.58	N/A	N/A	626,875	956,900	5,997,893	11,887,181
2015-05-21	$213.45	$210.00	11.0%	3.2%	10.0%	23.6%	12.2%	4.5%	-0.1%	1.29B	-9.58B	-314.5M	1.74	1.77	N/A	N/A	601,826	1,046,534	6,179,263	12,056,551
2015-05-22	$213.01	$210.00	11.0%	3.2%	10.1%	23.1%	12.9%	4.1%	-0.1%	-1.92B	-2.70B	-324.1M	2.05	1.66	N/A	N/A	678,921	1,390,221	6,397,022	12,417,079
2015-05-26	$210.82	$210.00	12.4%	3.7%	10.6%	33.5%	13.6%	5.5%	-0.1%	-4.70B	16.68B	-327.6M	1.58	1.54	N/A	N/A	938,835	1,485,165	6,098,124	12,081,464
2015-05-27	$212.86	$210.00	11.3%	3.3%	11.1%	25.2%	14.2%	5.2%	-0.1%	-457.1M	-1.57B	-316.5M	2.27	1.76	N/A	N/A	667,381	1,511,811	6,388,093	12,280,208
2015-05-28	$212.55	$210.00	11.4%	3.4%	11.1%	26.1%	13.5%	4.7%	-0.5%	-2.44B	3.28B	-327.8M	2.41	1.55	N/A	N/A	521,022	1,254,484	6,527,685	12,839,929
2015-05-29	$211.40	$210.00	12.1%	3.6%	10.5%	31.3%	14.0%	5.4%	0.2%	-5.70B	15.59B	-327.6M	2.10	1.71	N/A	N/A	880,280	1,850,605	6,632,286	13,310,431