SPY Options History — February 2016

In February 2016, SPY traded between $183.53 and $195.32. ATM implied volatility averaged 20.7%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.4% (HV 20d: 21.1%). Max pain ranged from $195.00 to $198.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.53.

Notable Days

2016-02-05: Highest Volume — 3,617,796 contracts
2016-02-02: Largest IV spike — 13.2% change
2016-02-11: Highest IV Rank — 71.5%
2016-02-11: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$190.57	$183.53	$195.32	$193.93	$194.02
Max Pain	$195.65	$195.00	$198.00	$196.00	$195.00
ATM IV	20.7%	17.6%	25.7%	18.0%	18.2%
Expected Move	6.1%	5.1%	7.4%	5.1%	5.7%
HV 20d	21.1%	17.9%	23.1%	23.0%	17.9%
HV 60d	19.3%	18.4%	19.9%	18.4%	19.9%
IV Rank	48.6%	34.7%	71.5%	36.4%	37.6%
IV Percentile	84.3%	72.6%	98.4%	79.0%	74.2%
Term Structure	-0.1%	-0.9%	0.6%	0.2%	0.3%
VWIV	22.4%	19.0%	26.9%	19.0%	21.1%
Skew 25d	6.5%	5.9%	7.5%	5.9%	6.7%
Skew 10d	12.1%	10.3%	14.5%	11.1%	12.0%
Call IV 25d	17.7%	14.9%	22.2%	15.3%	15.2%
Put IV 25d	24.2%	20.9%	29.7%	21.2%	21.8%
Bid-Ask Spread %	1.50	1.23	1.80	1.30	1.74
Gamma HHI	0.04	0.03	0.06	0.03	0.03
Net GEX	-2.06B	-5.76B	1.73B	-1.05B	-1.24B
Net DEX	39.64B	5.14B	82.45B	25.53B	21.78B
Net VEX	-323.6M	-340.8M	-308.6M	-329.3M	-317.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	1.22	2.12	1.80	1.50
Total Volume	2,746,189.7	2,034,350	3,617,796	2,354,479	2,467,934
Total OI	18,674,403.35	15,623,733	21,153,109	17,425,052	16,892,787

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
2016-02-01	$193.93	$196.00	18.0%	5.1%	23.0%	36.4%	19.0%	5.9%	0.2%	-1.05B	25.53B	-329.3M	1.80	1.30	N/A	N/A	840,491	1,513,988	6,287,876	11,137,176
2016-02-02	$190.17	$196.00	20.3%	5.9%	23.0%	47.1%	20.9%	6.3%	0.0%	-2.92B	48.87B	-328.5M	1.74	1.23	N/A	N/A	1,042,138	1,815,895	6,484,550	11,470,058
2016-02-03	$191.14	$195.00	20.0%	5.8%	23.1%	45.5%	20.9%	6.1%	0.1%	-2.32B	42.76B	-335.8M	1.43	1.27	N/A	N/A	1,296,320	1,848,674	6,797,490	11,898,039
2016-02-04	$191.35	$198.00	20.1%	6.0%	22.7%	45.9%	22.4%	6.2%	0.1%	-2.27B	40.78B	-340.8M	1.36	1.46	N/A	N/A	941,137	1,279,252	6,926,010	12,258,012
2016-02-05	$187.52	$198.00	22.0%	6.4%	22.8%	54.5%	23.5%	6.1%	0.1%	-5.76B	65.72B	-329.0M	1.56	1.42	N/A	N/A	1,414,583	2,203,213	7,001,632	12,458,766
2016-02-08	$185.33	$197.00	23.9%	7.0%	22.5%	63.1%	25.8%	6.8%	0.5%	-4.61B	72.75B	-322.5M	1.76	1.52	N/A	N/A	1,228,854	2,168,365	6,557,771	12,034,710
2016-02-09	$185.40	$196.00	24.4%	7.1%	22.5%	65.5%	26.1%	7.1%	0.5%	-4.43B	71.65B	-328.1M	1.27	1.50	N/A	N/A	1,205,788	1,530,447	6,847,025	12,398,826
2016-02-10	$185.32	$196.00	24.1%	7.1%	22.2%	64.1%	25.3%	6.9%	0.6%	-4.50B	71.52B	-329.0M	1.32	1.47	N/A	N/A	946,934	1,247,952	7,148,155	12,672,515
2016-02-11	$183.53	$196.00	25.7%	7.4%	20.7%	71.5%	26.9%	7.5%	0.1%	-5.20B	82.45B	-322.4M	1.38	1.62	N/A	N/A	1,461,409	2,011,428	7,239,652	12,890,412
2016-02-12	$186.53	$195.00	23.2%	6.8%	20.8%	60.3%	25.1%	6.9%	0.4%	-3.81B	61.88B	-329.6M	1.29	1.51	N/A	N/A	1,216,913	1,566,154	7,572,885	13,117,912
2016-02-16	$189.46	$195.00	22.4%	6.5%	20.3%	56.3%	23.8%	7.3%	-0.8%	-2.95B	45.44B	-319.5M	1.33	1.43	N/A	N/A	1,002,932	1,334,678	7,031,530	12,413,474
2016-02-17	$192.87	$195.00	20.6%	5.9%	21.2%	48.3%	22.5%	6.6%	-0.5%	218.7M	20.46B	-321.3M	1.75	1.43	N/A	N/A	1,088,440	1,900,356	7,411,008	12,660,085
2016-02-18	$191.91	$195.00	20.1%	5.8%	20.6%	46.1%	21.7%	6.8%	-0.3%	-962.5M	29.26B	-317.0M	1.26	1.44	N/A	N/A	1,293,887	1,633,310	7,548,484	13,040,496
2016-02-19	$191.92	$195.00	19.0%	5.5%	20.6%	40.9%	20.0%	5.9%	-0.4%	-1.25B	28.96B	-313.2M	1.39	1.36	N/A	N/A	1,083,873	1,509,751	7,700,321	13,452,788
2016-02-22	$194.72	$195.00	17.6%	5.2%	20.3%	34.7%	19.9%	5.9%	-0.6%	655.0M	8.59B	-308.6M	2.12	1.52	N/A	N/A	731,201	1,552,955	5,455,025	10,168,708
2016-02-23	$192.57	$195.00	19.0%	5.6%	19.9%	41.3%	21.1%	6.5%	-0.9%	-934.8M	22.83B	-315.1M	1.83	1.72	N/A	N/A	720,050	1,314,300	5,615,980	10,639,524
2016-02-24	$193.19	$195.00	19.2%	5.8%	19.5%	42.1%	22.2%	6.4%	-0.6%	-550.3M	19.96B	-323.2M	1.83	1.80	N/A	N/A	1,043,582	1,913,671	5,808,470	11,038,636
2016-02-25	$195.32	$195.00	17.6%	5.3%	19.3%	34.9%	20.8%	6.4%	-0.1%	1.73B	5.14B	-318.9M	1.22	1.64	N/A	N/A	1,116,822	1,360,044	6,006,661	11,439,199
2016-02-26	$195.24	$195.00	17.8%	5.4%	19.3%	35.7%	19.9%	6.4%	-0.4%	952.9M	6.44B	-322.2M	1.52	1.70	N/A	N/A	1,222,403	1,853,670	6,126,902	11,838,517
2016-02-29	$194.02	$195.00	18.2%	5.7%	17.9%	37.6%	21.1%	6.7%	0.3%	-1.24B	21.78B	-317.9M	1.50	1.74	N/A	N/A	988,100	1,479,834	5,757,086	11,135,701