SPY Options History — June 2015 In June 2015, SPY traded between $205.66 and $212.66. ATM implied volatility averaged 12.5%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.1% (HV 20d: 9.4%). Max pain ranged from $210.00 to $212.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.90.
Notable Days 2015-06-18 : Highest Volume — 4,654,890 contracts2015-06-29 : Largest IV spike — 35.1% change2015-06-29 : Highest IV Rank — 64.0%2015-06-29 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $210.19 $205.66 $212.66 $211.50 $206.44 Max Pain $211.02 $210.00 $212.00 $210.00 $211.00 ATM IV 12.5% 10.7% 16.7% 12.2% 15.7% Expected Move 3.7% 3.0% 5.2% 3.8% 4.8% HV 20d 9.4% 8.1% 11.5% 9.8% 11.5% HV 60d 10.1% 9.4% 11.4% 11.4% 10.2% IV Rank 33.3% 18.4% 64.0% 32.0% 56.0% IV Percentile 54.6% 23.0% 93.7% 56.0% 88.9% Term Structure 0.1% -0.3% 0.8% -0.3% -0.1% VWIV 14.1% 11.5% 18.7% 14.0% 18.4% Skew 25d 5.2% 4.0% 7.0% 5.6% 6.8% Skew 10d 9.6% 7.4% 13.2% 10.0% 12.8% Call IV 25d 10.4% 8.7% 13.4% 9.7% 12.7% Put IV 25d 15.6% 13.2% 20.5% 15.2% 19.5% Bid-Ask Spread % 1.68 1.46 2.27 1.66 1.52 Gamma HHI 0.05 0.04 0.11 0.04 0.07 Net GEX -6.59B -11.49B 2.41B -5.13B -10.08B Net DEX 21.98B -10.84B 59.72B 12.56B 53.23B Net VEX -313.7M -333.7M -294.3M -314.0M -333.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.90 0.99 2.67 1.94 1.84 Total Volume 2,465,022.273 1,531,982 4,654,890 1,748,145 3,626,953 Total OI 19,940,391.636 16,328,160 22,424,550 19,032,844 18,968,061
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 2015-06-01 $211.50 $210.00 12.2% 3.8% 9.8% 32.0% 14.0% 5.6% -0.3% -5.13B 12.56B -314.0M 1.94 1.66 N/A N/A 594,827 1,153,318 6,185,029 12,847,815 2015-06-02 $211.26 $210.00 12.2% 3.8% 9.8% 31.8% 14.7% 5.1% -0.2% -5.55B 15.95B -325.1M 2.38 2.27 N/A N/A 465,509 1,106,578 6,383,980 13,187,173 2015-06-03 $211.86 $210.00 11.7% 3.6% 8.8% 28.5% 13.4% 5.0% -0.1% -5.17B 8.36B -310.5M 1.87 1.47 N/A N/A 567,760 1,060,076 6,499,009 13,447,745 2015-06-04 $209.87 $211.00 13.1% 3.8% 9.3% 38.8% 15.0% 5.9% -0.3% -9.15B 31.74B -331.3M 2.24 1.81 N/A N/A 856,979 1,921,404 6,659,550 13,723,029 2015-06-05 $209.83 $211.00 12.4% 3.6% 9.1% 33.7% 14.0% 5.3% -0.1% -11.49B 28.83B -323.7M 1.92 1.66 N/A N/A 926,766 1,775,509 6,855,342 14,212,906 2015-06-08 $208.59 $211.00 13.4% 3.8% 8.2% 40.7% 15.7% 5.4% 0.0% -8.38B 34.70B -322.5M 2.45 1.55 N/A N/A 612,125 1,502,605 6,493,817 13,556,220 2015-06-09 $208.54 $211.00 12.7% 3.7% 8.1% 35.8% 13.7% 4.5% 0.1% -9.50B 33.50B -316.4M 1.99 1.60 N/A N/A 718,034 1,427,525 6,699,206 14,093,331 2015-06-10 $211.10 $211.00 11.5% 3.4% 9.2% 27.0% 13.4% 4.9% 0.4% -5.03B 10.85B -313.8M 1.49 2.01 N/A N/A 909,370 1,356,894 6,901,576 14,386,772 2015-06-11 $211.31 $211.00 10.9% 3.3% 9.2% 22.6% 13.7% 4.9% 0.8% -5.14B 8.66B -310.9M 1.51 1.60 N/A N/A 739,807 1,116,683 7,014,270 14,687,591 2015-06-12 $210.11 $211.00 11.9% 3.5% 8.7% 30.0% 13.5% 4.9% 0.4% -7.51B 22.93B -316.1M 1.62 1.63 N/A N/A 1,078,507 1,749,949 7,120,913 14,902,987 2015-06-15 $209.08 $211.00 13.2% 3.8% 8.8% 39.6% 14.5% 5.1% -0.1% -7.66B 27.32B -310.3M 1.85 1.76 N/A N/A 736,255 1,363,652 6,767,418 14,156,995 2015-06-16 $210.15 $211.00 12.8% 3.7% 8.9% 36.3% 14.1% 4.8% -0.0% -6.35B 15.31B -302.5M 1.80 1.57 N/A N/A 745,006 1,341,860 6,937,380 14,417,829 2015-06-17 $210.69 $211.00 12.4% 3.5% 9.0% 33.2% 13.8% 5.2% 0.3% -4.80B 13.75B -307.2M 1.74 1.69 N/A N/A 867,980 1,514,298 7,082,181 14,840,129 2015-06-18 $212.66 $211.00 10.9% 3.1% 9.6% 22.7% 13.4% 4.0% 0.3% 2.41B -10.84B -294.3M 0.99 1.73 N/A N/A 2,338,990 2,315,900 7,270,675 15,130,036 2015-06-19 $210.87 $212.00 12.1% 3.5% 10.0% 31.1% 13.5% 5.0% -0.0% -8.46B 23.30B -314.9M 2.27 1.67 N/A N/A 931,993 2,117,307 6,621,057 15,803,493 2015-06-22 $212.04 $211.00 11.1% 3.2% 10.2% 21.7% 12.6% 4.7% 0.3% -2.16B 8.14B -302.8M 1.67 1.73 N/A N/A 639,885 1,068,914 5,022,002 11,306,158 2015-06-23 $212.07 $212.00 10.7% 3.0% 9.5% 18.4% 11.5% 4.5% 0.3% -1.82B 7.78B -296.1M 1.65 1.73 N/A N/A 577,523 954,459 5,284,690 11,600,380 2015-06-24 $210.67 $212.00 11.7% 3.4% 9.2% 26.1% 12.3% 4.6% 0.1% -5.58B 20.92B -310.8M 1.89 1.46 N/A N/A 650,289 1,229,515 5,576,178 11,912,992 2015-06-25 $210.00 $211.50 12.4% 3.6% 9.2% 31.4% 13.6% 5.1% -0.0% -7.60B 27.27B -312.2M 2.26 1.56 N/A N/A 629,306 1,420,778 5,798,126 12,149,950 2015-06-26 $209.83 $211.00 12.4% 3.7% 9.0% 31.4% 13.7% 5.2% 0.1% -10.47B 29.54B -308.7M 1.74 1.55 N/A N/A 1,087,414 1,888,177 5,915,154 12,467,226 2015-06-29 $205.66 $211.00 16.7% 5.2% 11.4% 64.0% 18.7% 7.0% -0.3% -10.34B 59.72B -324.2M 2.67 1.75 N/A N/A 1,238,161 3,305,650 5,688,081 12,114,164 2015-06-30 $206.44 $211.00 15.7% 4.8% 11.5% 56.0% 18.4% 6.8% -0.1% -10.08B 53.23B -333.7M 1.84 1.52 N/A N/A 1,278,755 2,348,198 6,221,578 12,746,483
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