SPY Options History — September 2015 In September 2015, SPY traded between $188.14 and $200.22. ATM implied volatility averaged 21.0%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.8% (HV 20d: 25.8%). Max pain ranged from $198.00 to $205.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.60.
Notable Days 2015-09-17 : Highest Volume — 5,230,617 contracts2015-09-28 : Largest IV spike — 18.1% change2015-09-01 : Highest IV Rank — 78.7%2015-09-01 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $194.58 $188.14 $200.22 $191.83 $191.77 Max Pain $200.67 $198.00 $205.00 $205.00 $198.00 ATM IV 21.0% 17.3% 27.1% 27.1% 21.3% Expected Move 6.1% 5.0% 8.5% 8.5% 6.4% HV 20d 25.8% 20.7% 28.7% 25.4% 20.7% HV 60d 18.7% 17.4% 20.0% 17.4% 20.0% IV Rank 52.0% 37.0% 78.7% 78.7% 52.1% IV Percentile 93.9% 86.1% 99.2% 99.2% 93.7% Term Structure -0.1% -0.7% 0.4% 0.0% -0.4% VWIV 22.8% 19.0% 29.9% 29.9% 23.5% Skew 25d 7.9% 6.7% 10.9% 10.9% 7.0% Skew 10d 15.8% 12.0% 21.5% 21.5% 13.6% Call IV 25d 17.5% 14.7% 22.8% 22.8% 17.9% Put IV 25d 25.4% 21.8% 33.7% 33.7% 25.0% Bid-Ask Spread % 2.16 1.56 4.74 2.96 1.71 Gamma HHI 0.05 0.03 0.15 0.04 0.04 Net GEX -4.72B -8.66B -2.43B -4.86B -3.60B Net DEX 66.86B 32.30B 95.79B 95.79B 57.00B Net VEX -350.2M -383.9M -331.8M -382.7M -348.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.60 1.16 2.15 1.94 1.49 Total Volume 3,257,344.381 1,831,184 5,230,617 3,892,136 3,375,436 Total OI 21,780,755.143 17,969,950 24,415,887 21,748,065 20,863,003
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 2015-09-01 $191.83 $205.00 27.1% 8.5% 25.4% 78.7% 29.9% 10.9% 0.0% -4.86B 95.79B -382.7M 1.94 2.96 N/A N/A 1,322,101 2,570,035 8,001,681 13,746,384 2015-09-02 $194.92 $205.00 22.4% 6.8% 26.3% 58.7% 24.4% 8.3% -0.2% -4.73B 77.99B -377.5M 1.58 2.15 N/A N/A 1,159,516 1,833,527 8,373,216 14,124,508 2015-09-03 $195.87 $202.00 21.6% 6.2% 26.4% 55.2% 23.4% 8.8% -0.0% -4.24B 72.46B -383.9M 1.47 2.19 N/A N/A 1,282,940 1,884,518 8,591,571 14,395,314 2015-09-04 $193.24 $202.00 23.3% 6.6% 26.7% 62.8% 25.9% 9.3% -0.2% -5.26B 92.21B -373.2M 1.80 2.21 N/A N/A 1,380,547 2,488,593 8,827,767 14,758,606 2015-09-08 $197.32 $201.00 20.5% 6.0% 27.5% 50.7% 24.4% 9.1% 0.4% -4.21B 61.22B -366.7M 1.25 3.17 N/A N/A 1,133,034 1,417,749 8,118,645 14,122,336 2015-09-09 $194.54 $201.00 22.5% 6.3% 27.7% 59.1% 24.1% 9.4% -0.5% -5.06B 80.25B -361.9M 1.36 2.27 N/A N/A 1,350,381 1,837,979 8,508,460 14,415,270 2015-09-10 $195.63 $201.00 20.9% 5.9% 27.9% 52.4% 24.0% 8.1% -0.3% -5.34B 73.60B -355.9M 1.95 1.77 N/A N/A 972,238 1,899,935 8,767,138 14,784,993 2015-09-11 $196.38 $201.00 20.1% 5.8% 28.0% 48.7% 22.4% 7.3% 0.4% -4.48B 67.92B -354.8M 1.45 1.56 N/A N/A 1,199,834 1,740,871 8,934,434 15,202,457 2015-09-14 $195.78 $200.00 20.5% 5.9% 27.9% 50.8% 23.4% 7.6% -0.2% -4.95B 67.75B -340.6M 1.70 1.78 N/A N/A 677,349 1,153,835 8,213,248 14,189,960 2015-09-15 $198.65 $200.00 19.1% 5.5% 28.5% 44.6% 20.8% 7.8% 0.0% -3.48B 48.51B -343.3M 1.53 4.74 N/A N/A 1,030,203 1,571,814 8,372,989 14,398,186 2015-09-16 $200.22 $200.00 17.8% 5.1% 28.7% 39.2% 19.0% 6.8% -0.3% -2.43B 32.30B -332.3M 1.16 2.19 N/A N/A 1,477,707 1,711,293 8,598,271 14,706,671 2015-09-17 $199.55 $200.00 17.3% 5.0% 28.6% 37.0% 19.2% 7.1% 0.2% -2.52B 39.60B -332.8M 1.18 2.96 N/A N/A 2,401,966 2,828,651 8,880,798 14,982,767 2015-09-18 $195.44 $200.00 20.2% 5.9% 28.7% 49.5% 20.7% 8.1% -0.5% -8.66B 82.25B -344.0M 1.97 1.98 N/A N/A 1,512,032 2,973,699 8,849,293 15,566,594 2015-09-21 $196.29 $200.00 18.1% 5.2% 26.6% 38.9% 19.0% 7.0% 0.4% -3.67B 43.04B -331.8M 1.37 1.81 N/A N/A 923,852 1,267,933 6,076,836 11,893,114 2015-09-22 $192.76 $200.00 20.6% 6.0% 24.6% 49.0% 21.1% 7.6% 0.2% -4.95B 63.65B -332.5M 2.15 1.69 N/A N/A 689,398 1,481,039 6,421,409 12,232,371 2015-09-23 $193.69 $200.00 19.2% 5.6% 24.3% 42.8% 20.2% 6.9% 0.3% -5.03B 58.82B -334.9M 1.55 1.56 N/A N/A 977,782 1,512,128 6,681,713 12,692,818 2015-09-24 $192.95 $200.00 20.3% 6.0% 22.5% 47.7% 21.7% 6.7% 0.1% -5.11B 61.82B -335.3M 1.47 1.73 N/A N/A 1,682,978 2,468,803 6,921,582 12,843,528 2015-09-25 $192.94 $200.00 20.3% 6.0% 20.8% 47.6% 21.4% 7.0% 0.1% -5.48B 62.35B -348.5M 1.84 1.81 N/A N/A 1,343,945 2,478,699 7,253,151 13,315,588 2015-09-28 $188.29 $200.00 24.0% 7.3% 22.3% 64.0% 25.3% 8.2% -0.7% -5.46B 83.52B -335.2M 1.79 1.56 N/A N/A 1,389,197 2,488,092 6,599,780 12,833,204 2015-09-29 $188.14 $198.00 23.6% 7.2% 22.3% 62.3% 24.9% 7.8% -0.4% -5.56B 82.02B -338.0M 1.49 1.58 N/A N/A 1,408,998 2,103,605 7,092,225 13,243,979 2015-09-30 $191.77 $198.00 21.3% 6.4% 20.7% 52.1% 23.5% 7.0% -0.4% -3.60B 57.00B -348.5M 1.49 1.71 N/A N/A 1,354,188 2,021,248 7,405,233 13,457,770
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