SPY Options History — January 2016

In January 2016, SPY traded between $185.89 and $201.41. ATM implied volatility averaged 20.8%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.5% (HV 20d: 20.3%). Max pain ranged from $195.00 to $206.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.47.

Notable Days

2016-01-20: Highest Volume — 5,721,779 contracts
2016-01-22: Largest IV drop — 15.7% change
2016-01-20: Highest IV Rank — 63.0%
2016-01-20: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$191.69	$185.89	$201.41	$200.70	$193.47
Max Pain	$199.58	$195.00	$206.00	$206.00	$195.00
ATM IV	20.8%	17.4%	23.9%	18.3%	18.1%
Expected Move	5.9%	4.9%	6.8%	5.1%	5.2%
HV 20d	20.3%	18.0%	22.9%	19.6%	22.9%
HV 60d	16.8%	15.1%	18.5%	15.3%	18.5%
IV Rank	49.2%	33.9%	63.0%	37.8%	37.0%
IV Percentile	89.5%	79.8%	97.2%	85.7%	79.8%
Term Structure	-0.2%	-0.9%	0.2%	-0.1%	0.2%
VWIV	21.3%	19.2%	24.3%	19.3%	19.2%
Skew 25d	6.8%	5.5%	8.6%	6.8%	5.5%
Skew 10d	13.3%	10.8%	16.6%	12.7%	10.8%
Call IV 25d	17.6%	14.3%	20.1%	15.2%	15.6%
Put IV 25d	24.5%	20.5%	28.4%	22.0%	21.0%
Bid-Ask Spread %	1.50	1.21	2.29	1.45	2.29
Gamma HHI	0.05	0.03	0.08	0.04	0.08
Net GEX	-3.84B	-6.83B	489.7M	-4.00B	489.7M
Net DEX	60.55B	21.36B	98.58B	39.13B	21.36B
Net VEX	-313.1M	-335.1M	-291.7M	-300.9M	-332.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	1.18	1.93	1.56	1.21
Total Volume	3,377,847.368	1,810,853	5,721,779	3,256,785	4,148,328
Total OI	18,271,038.526	15,534,846	21,717,471	16,054,060	19,015,528

Daily Data (19 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
2016-01-04	$200.70	$206.00	18.3%	5.1%	19.6%	37.8%	19.3%	6.8%	-0.1%	-4.00B	39.13B	-300.9M	1.56	1.45	N/A	N/A	1,274,322	1,982,463	5,687,517	10,366,543
2016-01-05	$201.41	$205.00	17.4%	4.9%	18.0%	33.9%	19.2%	6.2%	-0.0%	-3.56B	33.57B	-302.3M	1.72	1.43	N/A	N/A	772,341	1,327,948	6,065,880	10,914,645
2016-01-06	$198.53	$205.00	18.7%	5.2%	18.6%	39.6%	19.2%	6.1%	-0.1%	-4.95B	51.61B	-301.1M	1.34	1.33	N/A	N/A	1,188,633	1,588,690	6,230,330	11,173,179
2016-01-07	$194.82	$205.00	21.4%	5.9%	19.4%	52.1%	21.4%	6.7%	-0.3%	-5.87B	72.07B	-304.5M	1.93	1.41	N/A	N/A	1,592,926	3,071,572	6,655,308	11,527,784
2016-01-08	$191.77	$204.00	23.0%	6.4%	19.8%	59.1%	23.0%	7.2%	-0.4%	-6.83B	87.16B	-305.5M	1.80	1.65	N/A	N/A	1,417,235	2,547,774	7,169,433	12,057,678
2016-01-11	$192.32	$203.00	20.8%	5.8%	19.8%	49.3%	20.6%	7.0%	-0.4%	-5.41B	75.35B	-291.7M	1.53	1.55	N/A	N/A	1,285,380	1,972,196	6,775,732	11,680,865
2016-01-12	$193.75	$202.00	19.3%	5.4%	19.2%	42.6%	20.1%	6.3%	-0.4%	-4.96B	66.08B	-300.3M	1.31	1.39	N/A	N/A	1,359,631	1,780,400	7,103,900	12,093,602
2016-01-13	$188.93	$201.00	22.1%	6.2%	20.7%	55.2%	21.3%	6.8%	-0.5%	-5.81B	91.19B	-297.0M	1.42	1.60	N/A	N/A	1,496,362	2,129,781	7,470,129	12,583,202
2016-01-14	$191.87	$200.00	21.1%	5.9%	21.1%	50.6%	22.1%	7.1%	-0.6%	-4.77B	75.80B	-313.9M	1.55	1.27	N/A	N/A	1,663,026	2,575,514	7,910,414	13,044,610
2016-01-15	$187.89	$200.00	23.2%	6.5%	20.9%	60.0%	23.3%	8.6%	-0.9%	-5.61B	98.58B	-307.3M	1.70	1.80	N/A	N/A	1,898,001	3,227,188	8,215,545	13,501,926
2016-01-19	$188.38	$198.00	22.1%	6.3%	20.8%	55.1%	22.8%	7.8%	-0.2%	-3.81B	61.66B	-306.2M	1.68	1.62	N/A	N/A	1,075,584	1,803,942	5,429,852	10,104,994
2016-01-20	$185.89	$198.00	23.9%	6.8%	19.8%	63.0%	24.3%	8.3%	-0.4%	-4.16B	69.47B	-306.9M	1.38	1.62	N/A	N/A	2,406,636	3,315,143	5,765,855	10,473,602
2016-01-21	$187.19	$195.00	23.2%	6.7%	20.0%	60.0%	23.5%	8.0%	-0.3%	-3.02B	58.57B	-332.1M	1.41	1.53	N/A	N/A	1,307,425	1,847,491	6,813,716	11,197,094
2016-01-22	$190.43	$195.00	19.5%	5.6%	20.8%	43.6%	20.3%	6.4%	0.1%	-278.9M	39.03B	-335.1M	1.22	1.36	N/A	N/A	1,601,170	1,950,334	7,208,453	11,595,016
2016-01-25	$187.54	$195.00	21.6%	6.2%	20.3%	52.7%	21.9%	7.0%	-0.0%	-2.93B	58.00B	-325.6M	1.55	1.28	N/A	N/A	716,017	1,112,794	6,318,043	10,872,882
2016-01-26	$189.89	$195.00	20.3%	5.9%	21.2%	46.9%	21.1%	6.1%	0.1%	-2.04B	45.12B	-335.1M	1.32	1.28	N/A	N/A	780,511	1,030,342	6,516,542	11,131,380
2016-01-27	$187.98	$195.00	21.3%	6.2%	21.3%	51.2%	21.9%	6.2%	0.0%	-2.98B	56.53B	-326.7M	1.18	1.49	N/A	N/A	1,253,367	1,475,075	6,665,654	11,336,288
2016-01-28	$189.30	$195.00	19.9%	5.7%	21.0%	45.1%	20.6%	5.8%	0.0%	-2.44B	50.08B	-324.3M	1.21	1.21	N/A	N/A	995,119	1,208,439	6,902,245	11,574,366
2016-01-29	$193.47	$195.00	18.1%	5.2%	22.9%	37.0%	19.2%	5.5%	0.2%	489.7M	21.36B	-332.2M	1.21	2.29	N/A	N/A	1,873,795	2,274,533	7,154,052	11,861,476