SPY Options History — August 2015 In August 2015, SPY traded between $189.28 and $210.48. ATM implied volatility averaged 16.7%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.8% (HV 20d: 13.9%). Max pain ranged from $205.00 to $210.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.78.
Notable Days 2015-08-21 : Highest Volume — 9,673,206 contracts2015-08-24 : Largest IV spike — 39.6% change2015-08-21 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $204.43 $189.28 $210.48 $209.70 $198.03 Max Pain $208.43 $205.00 $210.00 $210.00 $205.00 ATM IV 16.7% 10.8% 32.0% 11.3% 22.6% Expected Move 5.1% 3.0% 9.6% 3.1% 7.0% HV 20d 13.9% 9.8% 23.2% 11.6% 23.2% HV 60d 12.1% 10.3% 16.3% 10.6% 16.3% IV Rank 45.2% 16.6% 100.0% 20.1% 59.5% IV Percentile 65.6% 18.3% 100.0% 26.6% 98.4% Term Structure -0.2% -2.1% 1.9% 0.1% 0.1% VWIV 18.7% 11.2% 34.7% 11.6% 25.6% Skew 25d 6.9% 4.3% 14.6% 4.4% 10.4% Skew 10d 13.8% 7.7% 30.2% 8.0% 20.1% Call IV 25d 13.7% 9.0% 24.7% 9.3% 18.2% Put IV 25d 20.6% 13.3% 39.3% 13.7% 28.5% Bid-Ask Spread % 2.33 1.20 6.86 3.17 2.13 Gamma HHI 0.04 0.03 0.07 0.04 0.04 Net GEX -5.53B -12.26B -2.34B -4.59B -4.05B Net DEX 48.96B 6.78B 133.11B 19.06B 60.80B Net VEX -343.7M -412.3M -317.0M -317.8M -396.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.78 1.26 2.40 1.62 1.41 Total Volume 3,548,495.952 1,731,381 9,673,206 1,997,863 2,521,597 Total OI 20,231,596.81 17,280,389 23,454,090 17,280,389 21,136,576
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 2015-08-03 $209.70 $210.00 11.3% 3.1% 11.6% 20.1% 11.6% 4.4% 0.1% -4.59B 19.06B -317.8M 1.62 3.17 N/A N/A 763,227 1,234,636 5,778,957 11,501,432 2015-08-04 $209.15 $210.00 11.6% 3.2% 11.5% 22.8% 11.5% 4.5% 0.0% -5.18B 22.64B -317.2M 1.26 1.99 N/A N/A 766,219 965,162 6,087,540 11,780,697 2015-08-05 $210.05 $210.00 11.1% 3.0% 10.1% 18.7% 11.2% 4.4% 0.1% -3.58B 13.94B -324.7M 1.71 1.62 N/A N/A 758,843 1,295,531 6,278,930 12,023,688 2015-08-06 $208.65 $210.00 12.3% 3.8% 10.5% 28.4% 14.8% 4.7% -0.1% -6.38B 28.86B -337.8M 1.92 1.41 N/A N/A 950,174 1,823,850 6,503,094 12,312,257 2015-08-07 $207.85 $210.00 12.3% 3.8% 9.8% 27.9% 14.5% 4.6% -0.1% -9.09B 36.57B -338.9M 1.74 1.59 N/A N/A 1,156,850 2,009,208 6,771,125 12,784,117 2015-08-10 $210.41 $209.00 10.8% 3.6% 10.1% 16.6% 13.1% 4.3% 1.6% -2.49B 8.38B -323.6M 1.46 1.30 N/A N/A 934,327 1,360,463 6,401,317 12,117,574 2015-08-11 $208.66 $210.00 12.3% 3.8% 10.4% 28.2% 14.6% 4.7% 1.1% -5.81B 28.47B -337.7M 2.04 2.47 N/A N/A 942,629 1,926,917 6,613,519 12,453,940 2015-08-12 $208.79 $209.00 12.2% 3.9% 10.4% 27.6% 15.5% 4.9% 1.3% -5.12B 24.81B -339.4M 1.97 1.96 N/A N/A 1,386,043 2,729,412 6,856,862 12,722,610 2015-08-13 $208.74 $209.00 12.3% 3.8% 9.9% 28.1% 14.3% 4.7% 1.1% -4.97B 22.53B -337.3M 1.63 1.39 N/A N/A 828,424 1,346,198 7,117,249 13,176,542 2015-08-14 $209.34 $209.00 11.8% 3.8% 10.0% 24.6% 14.7% 4.5% 1.9% -3.40B 15.84B -334.5M 1.86 1.41 N/A N/A 828,290 1,542,134 7,276,403 13,418,070 2015-08-17 $210.48 $209.00 12.2% 3.6% 10.2% 27.6% 14.4% 5.1% -0.6% -2.34B 6.78B -317.0M 2.40 1.21 N/A N/A 798,113 1,914,395 6,874,453 12,942,763 2015-08-18 $209.99 $209.00 12.7% 3.7% 10.1% 31.0% 14.0% 5.4% -0.4% -4.65B 15.18B -325.5M 1.85 1.20 N/A N/A 666,682 1,235,032 7,138,346 13,769,238 2015-08-19 $208.40 $210.00 14.1% 4.1% 10.4% 42.5% 14.9% 5.4% -0.8% -10.44B 34.68B -319.5M 1.66 6.86 N/A N/A 1,432,307 2,373,890 7,253,484 14,047,154 2015-08-20 $204.20 $210.00 17.5% 5.1% 12.5% 68.7% 17.7% 6.6% -1.0% -12.26B 79.91B -340.3M 1.81 1.45 N/A N/A 1,885,945 3,419,196 7,544,040 14,422,453 2015-08-21 $197.92 $209.00 22.9% 6.7% 16.2% 100.0% 24.2% 10.2% -1.7% -8.54B 133.11B -336.0M 2.23 2.84 N/A N/A 2,995,040 6,678,166 8,037,666 14,953,338 2015-08-24 $191.45 $208.00 32.0% 9.6% 19.5% 100.0% 34.7% 14.6% -2.1% -5.16B 119.10B -345.9M 2.25 3.09 N/A N/A 1,878,713 4,231,339 6,252,648 12,772,328 2015-08-25 $189.28 $206.00 29.1% 8.8% 18.6% 87.5% 30.1% 12.3% -1.3% -4.98B 122.07B -338.5M 1.66 2.58 N/A N/A 1,545,479 2,570,797 7,030,387 13,236,853 2015-08-26 $194.23 $205.00 25.2% 7.7% 21.2% 70.6% 29.9% 10.7% -1.0% -5.23B 99.66B -375.8M 1.68 3.16 N/A N/A 1,637,931 2,744,042 7,582,935 13,955,353 2015-08-27 $198.67 $205.00 22.5% 7.0% 23.2% 59.2% 25.1% 9.3% -1.1% -4.08B 68.63B -401.5M 1.51 3.12 N/A N/A 2,020,317 3,041,452 8,060,922 14,422,583 2015-08-28 $199.03 $205.00 22.4% 7.0% 23.2% 59.0% 25.8% 9.7% -0.7% -3.78B 67.10B -412.3M 1.78 2.94 N/A N/A 1,215,083 2,164,362 8,424,931 15,029,159 2015-08-31 $198.03 $205.00 22.6% 7.0% 23.2% 59.5% 25.6% 10.4% 0.1% -4.05B 60.80B -396.0M 1.41 2.13 N/A N/A 1,046,948 1,474,649 7,665,383 13,471,193
« Jul 2015 | All History | Sep 2015 » Home SPY History August 2015