SPY Options History — October 2015 In October 2015, SPY traded between $190.50 and $208.92. ATM implied volatility averaged 14.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 3.5% (HV 20d: 18.4%). Max pain ranged from $197.00 to $202.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.58.
Notable Days 2015-10-02 : Highest Volume — 4,090,792 contracts2015-10-15 : Largest IV drop — 11.5% change2015-10-01 : Highest IV Rank — 54.2%2015-10-01 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $202.22 $190.50 $208.92 $190.50 $208.38 Max Pain $199.57 $197.00 $202.00 $198.00 $202.00 ATM IV 14.9% 12.4% 21.8% 21.8% 12.8% Expected Move 4.3% 3.6% 6.5% 6.5% 3.7% HV 20d 18.4% 12.9% 21.9% 19.9% 12.9% HV 60d 20.7% 19.8% 21.1% 19.8% 21.0% IV Rank 23.5% 12.2% 54.2% 54.2% 13.9% IV Percentile 65.9% 43.3% 94.8% 94.8% 50.0% Term Structure 0.1% -1.3% 0.8% -0.2% 0.8% VWIV 16.6% 14.0% 23.7% 23.7% 14.2% Skew 25d 5.3% 4.6% 6.8% 6.8% 4.7% Skew 10d 10.3% 8.9% 12.9% 12.9% 9.5% Call IV 25d 12.4% 10.4% 18.4% 18.4% 10.6% Put IV 25d 17.8% 15.0% 25.2% 25.2% 15.3% Bid-Ask Spread % 1.91 1.55 3.02 1.55 1.88 Gamma HHI 0.04 0.03 0.08 0.04 0.05 Net GEX 651.9M -4.17B 4.50B -4.17B 3.20B Net DEX 1.61B -29.54B 61.88B 61.88B -22.69B Net VEX -334.4M -349.4M -322.2M -348.6M -340.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.58 1.02 2.37 1.85 1.02 Total Volume 2,562,648.818 1,480,532 4,090,792 1,598,446 2,854,495 Total OI 19,914,200.273 17,240,295 22,560,146 19,504,216 20,957,109
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 2015-10-01 $190.50 $198.00 21.8% 6.5% 19.9% 54.2% 23.7% 6.8% -0.2% -4.17B 61.88B -348.6M 1.85 1.55 N/A N/A 561,776 1,036,670 6,806,908 12,697,308 2015-10-02 $194.48 $198.00 19.3% 5.6% 21.3% 43.0% 21.1% 5.7% -0.1% -1.48B 35.71B -349.4M 1.70 1.69 N/A N/A 1,514,708 2,576,084 6,935,447 13,010,767 2015-10-05 $198.47 $197.00 17.3% 5.1% 21.9% 34.3% 19.1% 6.0% 0.1% -533.3M 13.58B -337.6M 1.28 3.02 N/A N/A 1,353,953 1,729,806 6,562,743 12,436,166 2015-10-06 $197.86 $198.00 17.2% 5.0% 20.6% 33.6% 19.2% 5.9% 0.1% -860.5M 19.17B -341.9M 1.76 1.73 N/A N/A 760,592 1,340,434 6,867,275 12,780,906 2015-10-07 $199.15 $198.00 16.6% 4.9% 20.0% 31.0% 18.2% 5.7% 0.2% 140.3M 10.70B -338.5M 1.69 1.72 N/A N/A 1,004,325 1,692,687 6,979,574 13,063,741 2015-10-08 $201.11 $198.00 15.5% 4.5% 20.2% 26.2% 17.2% 5.3% 0.1% 1.95B -2.34B -337.8M 1.52 2.30 N/A N/A 1,330,023 2,018,395 7,095,427 13,418,992 2015-10-09 $201.18 $198.00 15.2% 4.5% 20.2% 24.9% 17.1% 5.3% 0.3% 1.94B -1.87B -338.0M 1.07 1.96 N/A N/A 1,291,894 1,381,204 7,231,145 13,915,016 2015-10-12 $201.46 $199.00 14.2% 4.3% 20.1% 20.4% 16.4% 5.3% 0.6% -142.9M 1.97B -326.0M 1.77 1.68 N/A N/A 607,395 1,072,257 6,957,746 13,479,534 2015-10-13 $200.24 $199.00 15.4% 4.5% 19.7% 25.6% 17.1% 5.7% 0.2% -1.35B 11.62B -327.6M 1.77 1.73 N/A N/A 867,419 1,532,778 7,054,146 13,739,965 2015-10-14 $199.11 $200.00 15.8% 4.6% 19.6% 27.4% 16.8% 5.6% 0.2% -3.08B 23.25B -330.1M 1.43 1.96 N/A N/A 1,014,985 1,447,291 7,336,249 14,137,311 2015-10-15 $202.30 $200.00 14.0% 4.1% 20.4% 19.3% 15.9% 5.2% 0.5% 1.32B -4.82B -326.5M 1.94 1.70 N/A N/A 1,023,947 1,986,175 7,573,940 14,370,356 2015-10-16 $203.15 $200.00 13.2% 3.9% 18.7% 16.1% 14.6% 5.0% 0.4% 2.49B -12.34B -322.5M 1.60 1.63 N/A N/A 1,226,065 1,956,811 7,804,697 14,755,449 2015-10-19 $203.15 $200.00 12.9% 3.7% 18.7% 14.7% 15.2% 5.1% -0.0% -112.6M 2.39B -322.2M 1.74 2.70 N/A N/A 685,783 1,196,283 5,951,754 11,288,541 2015-10-20 $202.72 $200.00 13.9% 4.0% 17.3% 18.9% 14.8% 5.3% -0.2% -586.1M 6.24B -331.6M 1.64 1.74 N/A N/A 559,766 920,766 6,211,303 11,579,680 2015-10-21 $201.71 $200.00 14.8% 4.2% 17.4% 23.0% 16.0% 5.4% -0.2% -2.05B 14.67B -337.3M 2.37 1.94 N/A N/A 642,443 1,522,306 6,511,244 11,865,980 2015-10-22 $205.05 $200.00 13.2% 3.8% 18.0% 16.1% 14.6% 4.9% -0.2% 2.97B -10.54B -332.5M 1.15 1.78 N/A N/A 1,565,408 1,796,839 6,639,458 12,274,021 2015-10-23 $207.52 $200.00 12.4% 3.6% 18.2% 12.2% 14.0% 4.6% -0.1% 4.50B -29.54B -328.6M 1.38 1.83 N/A N/A 1,481,812 2,047,464 6,797,801 12,590,002 2015-10-26 $207.12 $201.00 13.2% 3.9% 15.2% 16.0% 14.7% 5.1% 0.5% 2.01B -14.80B -335.9M 1.63 1.84 N/A N/A 636,456 1,038,031 6,582,337 12,377,382 2015-10-27 $206.51 $201.00 13.6% 4.0% 15.3% 17.7% 15.2% 5.0% 0.4% 1.13B -9.26B -338.0M 1.30 1.90 N/A N/A 982,394 1,272,481 6,636,462 12,647,104 2015-10-28 $208.83 $201.50 13.1% 3.6% 14.5% 15.3% 14.9% 4.7% -1.3% 3.51B -28.91B -330.8M 1.81 1.95 N/A N/A 922,715 1,673,943 6,839,638 12,994,319 2015-10-29 $208.92 $202.00 12.6% 3.7% 14.0% 13.0% 14.1% 4.7% 0.5% 3.57B -28.57B -334.1M 1.29 1.87 N/A N/A 983,431 1,267,784 6,955,299 13,402,164 2015-10-30 $208.38 $202.00 12.8% 3.7% 12.9% 13.9% 14.2% 4.7% 0.8% 3.20B -22.69B -340.5M 1.02 1.88 N/A N/A 1,411,770 1,442,725 7,224,764 13,732,345
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