SPY Options History — December 2015 In December 2015, SPY traded between $200.54 and $210.76. ATM implied volatility averaged 16.7%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.3% (HV 20d: 16.4%). Max pain ranged from $205.00 to $207.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.40.
Notable Days 2015-12-11 : Highest Volume — 5,155,387 contracts2015-12-02 : Largest IV spike — 114.8% change2015-12-02 : Highest IV Rank — 74.4%2015-12-11 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $205.65 $200.54 $210.76 $210.76 $204.59 Max Pain $206.05 $205.00 $207.00 $206.00 $205.00 ATM IV 16.7% 12.3% 26.3% 12.3% 15.4% Expected Move 4.4% 3.7% 5.7% 3.8% 4.4% HV 20d 16.4% 12.2% 19.3% 12.2% 19.0% HV 60d 15.7% 14.7% 16.6% 15.7% 14.8% IV Rank 30.9% 11.7% 74.4% 11.7% 25.0% IV Percentile 72.2% 33.7% 98.8% 33.7% 71.0% Term Structure 0.1% -0.5% 0.7% 0.4% 0.2% VWIV 16.4% 13.7% 21.4% 14.5% 16.0% Skew 25d 5.9% 4.9% 8.3% 5.7% 6.0% Skew 10d 11.8% 8.1% 21.3% 10.0% 11.9% Call IV 25d 12.9% 10.1% 17.2% 10.1% 12.6% Put IV 25d 18.8% 15.8% 25.5% 15.8% 18.6% Bid-Ask Spread % 1.74 1.26 2.67 2.67 1.63 Gamma HHI 0.04 0.03 0.14 0.04 0.05 Net GEX -1.90B -9.77B 1.75B 1.63B -3.06B Net DEX 17.43B -12.18B 66.35B -12.18B 17.48B Net VEX -309.1M -326.8M -290.0M -290.0M -307.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 1.12 1.76 1.28 1.58 Total Volume 2,708,601.273 1,386,911 5,155,387 1,853,233 2,289,675 Total OI 19,471,446.864 16,582,184 22,706,342 18,623,179 18,033,285
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 2015-12-01 $210.76 $206.00 12.3% 3.8% 12.2% 11.7% 14.5% 5.7% 0.4% 1.63B -12.18B -290.0M 1.28 2.67 N/A N/A 811,565 1,041,668 6,798,099 11,825,080 2015-12-02 $208.41 $207.00 26.3% 4.1% 12.6% 74.4% 15.8% 5.7% -0.5% -853.5M 7.04B -310.1M 1.21 1.50 N/A N/A 928,850 1,121,460 7,038,590 12,084,082 2015-12-03 $205.53 $207.00 20.6% 4.5% 13.3% 48.8% 17.1% 6.3% 0.1% -4.14B 30.31B -311.0M 1.55 1.68 N/A N/A 1,303,614 2,024,437 7,259,999 12,283,173 2015-12-04 $209.65 $207.00 25.5% 3.7% 15.2% 70.7% 15.2% 5.2% 0.4% 1.31B -5.68B -302.7M 1.21 1.59 N/A N/A 1,613,961 1,951,954 7,527,290 12,738,444 2015-12-07 $208.87 $207.00 13.1% 3.8% 15.3% 15.2% 13.7% 4.9% 0.3% -382.4M -603.3M -293.9M 1.43 2.60 N/A N/A 888,550 1,273,253 7,105,047 12,116,863 2015-12-08 $207.16 $207.00 14.7% 4.3% 15.2% 21.8% 16.4% 6.1% 0.2% -2.13B 15.40B -308.9M 1.43 1.56 N/A N/A 781,255 1,115,273 7,281,760 12,483,976 2015-12-09 $205.24 $207.00 16.5% 4.7% 15.5% 29.9% 17.0% 6.4% 0.0% -3.69B 30.92B -313.8M 1.51 1.65 N/A N/A 1,353,681 2,039,125 7,446,383 12,725,326 2015-12-10 $205.61 $207.00 16.3% 4.6% 15.5% 29.0% 17.5% 6.7% -0.1% -3.79B 27.05B -321.1M 1.51 1.53 N/A N/A 837,036 1,265,262 7,843,538 13,146,603 2015-12-11 $201.73 $207.00 20.1% 5.7% 15.6% 45.9% 21.4% 8.3% -0.5% -7.74B 61.71B -326.8M 1.76 1.89 N/A N/A 1,868,490 3,286,897 7,967,607 13,489,999 2015-12-14 $202.66 $207.00 18.4% 5.2% 15.2% 38.4% 19.9% 6.1% -0.2% -4.30B 39.37B -315.8M 1.42 1.92 N/A N/A 1,332,348 1,893,173 7,893,637 13,069,403 2015-12-15 $205.14 $206.00 17.4% 5.0% 15.0% 33.9% 19.3% 6.4% -0.4% -2.58B 24.77B -326.5M 1.19 1.77 N/A N/A 1,310,294 1,564,711 7,973,268 13,493,072 2015-12-16 $208.16 $206.00 15.0% 4.3% 15.9% 23.2% 16.9% 5.6% -0.2% 619.8M -882.7M -311.6M 1.41 1.80 N/A N/A 1,449,564 2,048,653 8,134,942 13,808,714 2015-12-17 $205.29 $206.00 15.6% 4.5% 15.7% 25.9% 15.8% 4.9% -0.3% -2.36B 16.61B -298.9M 1.13 1.95 N/A N/A 1,903,610 2,145,255 8,421,859 14,257,251 2015-12-18 $200.54 $206.00 17.5% 5.0% 17.6% 34.4% 17.7% 6.3% 0.0% -9.77B 66.35B -310.0M 1.41 1.75 N/A N/A 1,981,231 2,791,034 8,114,499 14,591,843 2015-12-21 $201.45 $205.00 16.8% 4.9% 17.7% 31.4% 17.4% 5.9% 0.3% -2.78B 33.43B -311.1M 1.51 1.37 N/A N/A 847,380 1,275,493 6,205,887 10,376,297 2015-12-22 $203.31 $205.00 15.0% 4.3% 18.1% 23.3% 15.8% 5.2% 0.5% -995.9M 18.67B -308.3M 1.52 1.36 N/A N/A 897,318 1,367,948 6,411,178 10,647,661 2015-12-23 $205.97 $205.00 13.6% 3.9% 18.8% 16.5% 14.4% 4.9% 0.6% 1.75B -51.9M -307.5M 1.12 1.26 N/A N/A 1,229,154 1,378,961 6,581,061 10,958,136 2015-12-24 $205.68 $205.00 13.9% 3.9% 18.8% 18.1% 14.3% 5.0% 0.7% 806.7M 4.16B -311.1M 1.43 2.42 N/A N/A 611,891 874,464 6,873,379 11,337,951 2015-12-28 $205.16 $205.00 14.9% 4.2% 18.8% 22.5% 15.1% 5.8% 0.2% -767.9M 9.96B -305.4M 1.40 1.31 N/A N/A 578,621 808,290 6,367,538 10,661,792 2015-12-29 $207.40 $205.00 13.8% 3.8% 19.3% 17.8% 14.7% 5.7% 0.3% 1.57B -5.47B -302.8M 1.32 1.48 N/A N/A 780,132 1,033,631 6,459,033 10,920,813 2015-12-30 $206.04 $205.00 14.5% 4.0% 19.2% 21.0% 14.8% 5.8% 0.3% -163.1M 5.08B -305.6M 1.46 1.58 N/A N/A 687,505 1,002,561 6,528,030 11,089,443 2015-12-31 $204.59 $205.00 15.4% 4.4% 19.0% 25.0% 16.0% 6.0% 0.2% -3.06B 17.48B -307.2M 1.58 1.63 N/A N/A 888,922 1,400,753 6,650,728 11,382,557
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