SPY Options History — July 2015 In July 2015, SPY traded between $204.78 and $212.65. ATM implied volatility averaged 12.7%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.5% (HV 20d: 12.2%). Max pain ranged from $209.00 to $210.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.82.
Notable Days 2015-07-24 : Highest Volume — 3,679,417 contracts2015-07-08 : Largest IV spike — 18.8% change2015-07-08 : Highest IV Rank — 66.3%2015-07-09 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $209.31 $204.78 $212.65 $207.47 $210.37 Max Pain $209.82 $209.00 $210.00 $210.00 $210.00 ATM IV 12.7% 9.9% 17.2% 14.4% 10.7% Expected Move 3.7% 2.9% 4.9% 4.5% 3.0% HV 20d 12.2% 11.2% 13.1% 11.7% 11.7% HV 60d 10.6% 10.2% 11.0% 10.2% 10.6% IV Rank 31.3% 9.6% 66.3% 46.6% 15.9% IV Percentile 48.5% 8.7% 93.7% 82.5% 17.1% Term Structure 0.1% -0.2% 0.6% -0.1% 0.6% VWIV 14.0% 11.3% 18.5% 16.9% 11.7% Skew 25d 5.1% 4.0% 7.0% 5.9% 4.1% Skew 10d 9.7% 7.8% 13.0% 10.8% 7.8% Call IV 25d 10.4% 8.1% 14.1% 11.7% 8.8% Put IV 25d 15.5% 12.4% 21.1% 17.6% 12.9% Bid-Ask Spread % 1.73 1.32 2.38 1.32 1.66 Gamma HHI 0.04 0.03 0.08 0.04 0.05 Net GEX -3.75B -9.59B 4.40B -6.80B -3.36B Net DEX 18.37B -19.07B 57.39B 36.96B 12.02B Net VEX -323.6M -347.9M -305.0M -323.9M -327.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.82 1.25 2.78 1.74 2.04 Total Volume 2,566,314.318 1,534,208 3,679,417 2,369,376 2,562,465 Total OI 18,091,361.545 15,105,037 20,940,164 17,164,299 18,776,758
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 2015-07-01 $207.47 $210.00 14.4% 4.5% 11.7% 46.6% 16.9% 5.9% -0.1% -6.80B 36.96B -323.9M 1.74 1.32 N/A N/A 865,281 1,504,095 5,677,645 11,486,654 2015-07-02 $207.56 $210.00 15.2% 4.7% 11.2% 52.4% 17.1% 6.8% -0.1% -6.62B 37.56B -333.3M 1.58 1.81 N/A N/A 1,081,463 1,712,628 5,909,953 12,014,590 2015-07-06 $206.56 $210.00 15.8% 4.4% 11.3% 56.6% 17.3% 6.4% -0.1% -7.48B 40.92B -327.2M 2.78 2.01 N/A N/A 719,012 1,995,741 5,674,018 11,698,281 2015-07-07 $207.81 $210.00 14.5% 4.2% 11.4% 45.2% 16.5% 5.9% 0.1% -6.65B 30.69B -326.3M 2.22 2.38 N/A N/A 1,114,769 2,476,468 5,847,299 12,225,745 2015-07-08 $204.78 $210.00 17.2% 4.9% 12.5% 66.3% 18.5% 7.0% -0.2% -9.59B 57.39B -347.9M 1.99 2.14 N/A N/A 1,077,736 2,148,612 6,124,667 12,878,036 2015-07-09 $205.38 $209.00 17.0% 4.9% 11.6% 64.9% 17.7% 7.0% -0.1% -8.55B 50.06B -347.5M 1.64 1.67 N/A N/A 1,060,645 1,737,249 6,457,688 13,115,934 2015-07-10 $207.68 $209.00 14.9% 4.2% 12.4% 48.1% 15.6% 6.1% 0.1% -3.69B 25.02B -339.4M 1.51 1.78 N/A N/A 1,243,269 1,881,711 6,705,726 13,266,144 2015-07-13 $209.88 $209.00 12.2% 3.6% 12.9% 27.3% 13.7% 5.1% 0.3% -2.43B 6.45B -309.9M 1.60 1.62 N/A N/A 1,007,767 1,609,532 6,444,798 12,396,560 2015-07-14 $210.73 $209.00 11.7% 3.4% 12.9% 23.7% 13.6% 4.9% 0.1% -410.4M -685.2M -311.4M 2.32 1.81 N/A N/A 708,098 1,645,490 6,695,223 12,568,382 2015-07-15 $210.52 $210.00 11.8% 3.4% 12.8% 24.8% 13.2% 5.0% -0.1% -1.35B 2.88B -316.3M 1.84 2.03 N/A N/A 813,529 1,499,165 6,781,982 12,813,287 2015-07-16 $212.27 $210.00 10.3% 3.1% 13.1% 12.4% 12.1% 4.2% 0.6% 4.40B -17.41B -305.0M 1.25 1.37 N/A N/A 1,185,924 1,486,699 7,026,562 13,227,597 2015-07-17 $212.51 $210.00 9.9% 2.9% 12.6% 9.6% 12.5% 4.2% 0.2% 4.01B -19.07B -308.3M 1.41 1.61 N/A N/A 960,547 1,354,826 7,239,309 13,700,855 2015-07-20 $212.65 $210.00 10.5% 3.0% 12.2% 14.4% 12.3% 4.2% 0.2% 797.4M -5.77B -306.7M 1.56 1.57 N/A N/A 853,937 1,333,470 5,121,307 9,983,730 2015-07-21 $211.87 $210.00 10.6% 3.1% 12.2% 15.1% 12.3% 4.3% 0.2% -1.08B 2.27B -316.1M 1.45 1.81 N/A N/A 762,935 1,105,558 5,333,557 10,530,099 2015-07-22 $211.22 $210.00 10.5% 3.0% 12.2% 14.4% 11.4% 4.0% 0.2% -2.51B 8.05B -306.7M 1.97 1.79 N/A N/A 517,158 1,017,050 5,525,622 10,820,433 2015-07-23 $210.00 $210.00 11.4% 3.3% 12.2% 21.1% 12.3% 4.5% 0.2% -6.44B 19.86B -320.9M 1.62 1.60 N/A N/A 1,086,677 1,758,886 5,508,168 10,994,842 2015-07-24 $208.04 $210.00 12.6% 3.6% 12.6% 30.2% 13.0% 4.7% 0.0% -9.18B 38.75B -331.6M 2.12 1.50 N/A N/A 1,178,617 2,500,800 5,880,013 11,469,223 2015-07-27 $206.54 $210.00 14.4% 4.2% 12.8% 44.5% 15.4% 5.3% 0.0% -6.84B 43.25B -338.2M 2.55 1.49 N/A N/A 715,834 1,826,000 5,517,569 11,202,906 2015-07-28 $209.25 $210.00 11.9% 3.4% 11.5% 25.0% 12.9% 4.5% 0.2% -5.05B 21.26B -328.1M 1.39 1.66 N/A N/A 913,918 1,271,205 5,731,469 11,548,320 2015-07-29 $210.88 $210.00 10.6% 3.0% 11.7% 15.2% 11.3% 4.1% 0.4% -1.65B 6.63B -323.6M 1.48 1.92 N/A N/A 887,324 1,309,732 5,977,201 11,831,710 2015-07-30 $210.96 $210.00 10.4% 2.9% 11.6% 13.9% 11.3% 4.1% 0.5% -2.09B 7.10B -322.9M 2.01 1.45 N/A N/A 654,240 1,312,853 6,112,369 12,167,723 2015-07-31 $210.37 $210.00 10.7% 3.0% 11.7% 15.9% 11.7% 4.1% 0.6% -3.36B 12.02B -327.1M 2.04 1.66 N/A N/A 842,299 1,720,166 6,249,216 12,527,542
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