SPY Options History — November 2015 In November 2015, SPY traded between $202.68 and $211.50. ATM implied volatility averaged 14.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.0% (HV 20d: 12.6%). Max pain ranged from $203.00 to $207.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.68.
Notable Days 2015-11-13 : Highest Volume — 4,521,010 contracts2015-11-27 : Largest IV spike — 43.9% change2015-11-27 : Highest IV Rank — 60.8%2015-11-13 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $208.47 $202.68 $211.50 $210.24 $209.45 Max Pain $205.15 $203.00 $207.00 $203.00 $206.00 ATM IV 14.6% 12.1% 23.3% 12.1% 13.7% Expected Move 4.1% 3.4% 5.5% 3.5% 4.2% HV 20d 12.6% 11.3% 14.8% 11.4% 12.4% HV 60d 19.4% 16.0% 21.3% 21.1% 16.0% IV Rank 22.1% 10.8% 60.8% 10.8% 18.0% IV Percentile 63.3% 34.9% 97.2% 34.9% 58.3% Term Structure 0.1% -2.1% 1.0% 0.2% -0.3% VWIV 15.7% 13.3% 19.3% 13.3% 15.2% Skew 25d 5.4% 4.7% 6.2% 4.9% 5.8% Skew 10d 10.2% 8.5% 12.7% 8.6% 11.3% Call IV 25d 11.8% 10.0% 14.4% 10.0% 11.7% Put IV 25d 17.2% 14.8% 20.7% 14.9% 17.5% Bid-Ask Spread % 2.09 1.39 3.85 1.66 3.02 Gamma HHI 0.04 0.03 0.05 0.04 0.04 Net GEX -358.3M -6.53B 3.51B 2.92B -749.7M Net DEX -5.37B -37.26B 47.05B -28.41B -1.89B Net VEX -328.0M -347.7M -289.9M -322.9M -289.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.68 1.23 2.13 1.49 1.52 Total Volume 2,179,461.95 611,763 4,521,010 1,893,369 1,706,088 Total OI 20,657,157.25 17,860,559 23,101,757 19,384,747 18,102,295
Daily Data (20 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 2015-11-02 $210.24 $203.00 12.1% 3.5% 11.4% 10.8% 13.3% 4.9% 0.2% 2.92B -28.41B -322.9M 1.49 1.66 N/A N/A 761,382 1,131,987 6,827,118 12,557,629 2015-11-03 $211.50 $203.00 12.2% 3.4% 11.3% 11.6% 14.0% 4.7% -0.0% 3.51B -37.26B -322.6M 1.60 1.48 N/A N/A 775,017 1,237,129 6,989,980 12,893,889 2015-11-04 $210.08 $204.00 13.2% 3.8% 11.8% 16.0% 14.8% 4.8% -0.1% 1.40B -22.73B -347.7M 2.06 1.67 N/A N/A 834,207 1,715,623 7,209,409 13,352,592 2015-11-05 $210.23 $204.00 12.9% 3.7% 11.5% 14.7% 14.1% 4.7% 0.0% 1.76B -24.07B -343.1M 2.13 1.52 N/A N/A 644,532 1,370,375 7,352,274 13,825,030 2015-11-06 $210.01 $205.00 12.2% 3.9% 11.5% 11.3% 15.5% 4.7% 0.3% -661.9M -22.07B -341.1M 1.44 2.71 N/A N/A 1,265,514 1,823,910 7,456,130 14,243,299 2015-11-09 $208.02 $205.00 14.1% 4.3% 12.2% 19.9% 16.4% 5.6% 1.0% -1.59B 1.00B -343.0M 1.92 3.85 N/A N/A 705,556 1,352,893 7,135,463 13,600,458 2015-11-10 $208.25 $205.00 13.5% 3.9% 11.9% 17.0% 14.7% 5.2% 0.9% -1.66B -327.9M -338.5M 2.11 1.52 N/A N/A 508,382 1,071,689 7,267,841 13,867,793 2015-11-11 $208.70 $205.00 13.3% 3.8% 11.5% 16.2% 15.6% 5.3% 0.7% -1.07B -6.00B -335.9M 2.07 1.39 N/A N/A 199,377 412,386 7,331,378 13,998,095 2015-11-12 $204.94 $205.00 15.6% 4.7% 12.5% 26.5% 16.8% 5.8% 1.0% -5.10B 28.03B -337.9M 1.41 1.68 N/A N/A 1,214,872 1,707,157 7,428,015 14,201,526 2015-11-13 $202.68 $205.00 17.4% 5.5% 13.1% 34.8% 19.3% 6.2% 0.6% -6.53B 47.05B -343.9M 1.75 1.49 N/A N/A 1,644,304 2,876,706 7,791,929 14,313,748 2015-11-16 $205.52 $205.00 16.1% 4.7% 14.0% 28.7% 18.3% 5.8% -0.2% -3.23B 14.96B -332.1M 1.97 2.84 N/A N/A 823,004 1,617,800 7,551,386 13,923,945 2015-11-17 $205.66 $206.00 16.4% 4.6% 14.0% 30.0% 18.0% 6.0% -0.1% -2.08B 10.76B -336.3M 1.70 1.69 N/A N/A 889,098 1,508,852 7,794,748 14,097,257 2015-11-18 $208.86 $206.00 14.6% 4.2% 14.8% 22.0% 16.4% 5.5% -0.1% 1.41B -17.82B -324.7M 1.67 1.67 N/A N/A 911,026 1,517,524 7,844,933 14,386,869 2015-11-19 $208.60 $206.00 14.7% 4.2% 13.7% 22.5% 16.6% 5.6% 0.2% 1.23B -14.59B -328.7M 1.63 1.67 N/A N/A 800,804 1,308,511 8,025,988 14,694,914 2015-11-20 $209.21 $206.00 14.0% 4.1% 13.1% 19.4% 16.1% 5.5% 0.1% 1.33B -23.90B -311.1M 1.30 1.63 N/A N/A 1,340,741 1,737,379 8,120,747 14,981,010 2015-11-23 $209.11 $205.00 13.5% 4.0% 13.1% 17.1% 16.0% 5.6% -0.1% 381.0M -1.38B -316.2M 1.63 3.18 N/A N/A 588,362 960,626 6,437,398 11,423,161 2015-11-24 $209.35 $205.00 13.3% 3.9% 13.0% 16.2% 15.6% 5.6% 0.2% 99.5M -1.50B -317.6M 1.65 3.10 N/A N/A 628,956 1,036,618 6,626,931 11,684,493 2015-11-25 $209.36 $207.00 16.2% 3.9% 12.4% 29.1% 13.8% 5.6% 0.3% 390.1M -2.72B -320.1M 1.23 1.54 N/A N/A 686,388 846,605 6,862,156 11,873,781 2015-11-27 $209.56 $207.00 23.3% 3.8% 12.4% 60.8% 14.6% 5.3% -2.1% 1.08B -4.60B -307.3M 1.41 2.55 N/A N/A 592,949 834,910 6,991,478 12,076,059 2015-11-30 $209.45 $206.00 13.7% 4.2% 12.4% 18.0% 15.2% 5.8% -0.3% -749.7M -1.89B -289.9M 1.52 3.02 N/A N/A 678,045 1,028,043 6,562,553 11,539,742
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