SPY Options History — March 2016

In March 2016, SPY traded between $197.86 and $206.06. ATM implied volatility averaged 13.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.1% (HV 20d: 13.7%). Max pain ranged from $195.00 to $203.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2016-03-10: Highest Volume — 3,611,856 contracts
  • 2016-03-11: Largest IV drop — 11.5% change
  • 2016-03-08: Highest IV Rank — 29.2%
  • 2016-03-01: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.22$197.86$206.06$197.86$205.74
Max Pain$199.11$195.00$203.50$195.00$203.50
ATM IV13.9%11.7%16.4%15.7%12.3%
Expected Move4.0%3.1%4.9%4.9%3.3%
HV 20d13.7%9.0%19.2%19.2%9.0%
HV 60d18.9%17.6%20.2%20.2%17.6%
IV Rank17.9%8.3%29.2%26.0%10.9%
IV Percentile44.3%17.1%65.5%62.7%27.4%
Term Structure0.3%0.1%0.6%0.2%0.3%
VWIV15.5%12.0%19.1%19.1%12.0%
Skew 25d5.1%3.5%6.1%6.0%4.6%
Skew 10d9.7%5.9%11.8%10.7%9.2%
Call IV 25d11.7%9.8%14.1%13.3%10.1%
Put IV 25d16.8%14.1%20.2%19.3%14.7%
Bid-Ask Spread %1.681.561.871.721.72
Gamma HHI0.040.030.080.030.03
Net GEX884.7M-1.83B5.35B689.1M831.9M
Net DEX-4.31B-29.44B12.12B1.13B-7.49B
Net VEX-322.0M-341.9M-289.9M-320.3M-339.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.541.081.891.301.89
Total Volume2,390,340.3181,125,8583,611,8562,799,9412,105,112
Total OI18,356,957.86415,622,32420,793,87217,591,68218,193,849

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$197.86$195.0015.7%4.9%19.2%26.0%19.1%6.0%0.2%689.1M1.13B-320.3M1.301.72N/AN/A1,219,7791,580,1625,938,27711,653,405
2016-03-02$198.85$195.0015.0%4.6%17.6%23.0%17.9%5.7%0.2%1.20B-5.48B-315.8M1.741.68N/AN/A793,8241,382,3186,138,99711,990,793
2016-03-03$199.77$195.0014.7%4.3%17.6%21.8%17.3%5.3%0.1%1.28B-10.97B-312.9M1.691.58N/AN/A1,020,8241,720,9726,302,70912,417,830
2016-03-04$200.43$196.0014.7%4.4%17.6%21.9%17.5%5.5%0.2%1.84B-13.83B-317.9M1.641.87N/AN/A1,342,9602,207,7966,404,92412,836,892
2016-03-07$200.29$196.0015.2%4.5%15.5%23.8%17.0%5.9%0.5%-12.8M-2.94B-315.9M1.161.62N/AN/A989,9051,152,5895,942,92412,250,190
2016-03-08$198.30$196.0016.4%4.8%15.3%29.2%19.0%6.1%0.5%-1.40B12.12B-326.9M1.811.58N/AN/A716,7321,297,0586,146,42412,457,139
2016-03-09$199.08$197.0016.3%4.7%15.2%29.0%18.6%6.0%0.2%-727.3M6.55B-326.9M1.831.62N/AN/A793,9561,454,2126,239,94412,680,946
2016-03-10$199.14$197.0015.9%4.6%15.2%27.1%18.4%6.0%0.2%-559.5M6.86B-325.7M1.141.64N/AN/A1,689,2801,922,5766,455,91213,128,030
2016-03-11$202.62$197.0014.1%4.0%15.1%18.8%16.5%5.5%0.1%3.12B-20.60B-315.6M1.521.71N/AN/A1,308,0561,989,3616,642,38313,456,972
2016-03-14$202.60$198.0014.1%4.1%14.6%19.0%17.4%5.8%0.6%1.69B-12.21B-311.1M1.741.61N/AN/A410,332715,5266,087,76612,932,248
2016-03-15$202.02$198.0014.4%4.1%14.1%20.4%16.7%5.5%0.3%1.24B-7.94B-313.1M1.371.65N/AN/A812,4881,117,0936,213,89113,153,564
2016-03-16$203.29$198.0013.1%3.7%13.1%14.3%15.1%4.9%0.1%2.55B-17.46B-306.4M1.081.81N/AN/A1,501,2811,620,4806,497,56813,490,021
2016-03-17$204.44$198.0012.2%3.5%12.8%10.2%13.1%3.5%0.1%5.35B-29.44B-289.9M1.121.56N/AN/A995,4811,114,2716,744,91914,048,953
2016-03-18$204.42$202.0012.4%3.5%12.8%11.4%13.2%4.2%0.1%976.8M2.40B-317.0M1.211.58N/AN/A1,494,3371,805,4255,456,28814,589,900
2016-03-21$204.79$202.0012.2%3.4%12.1%10.2%13.1%4.5%0.5%1.12B-4.23B-323.0M1.641.79N/AN/A551,086901,6175,017,37910,604,945
2016-03-22$204.57$202.0012.4%3.5%11.1%11.5%13.6%4.5%0.2%560.1M-1.08B-332.0M1.861.71N/AN/A707,0491,318,6645,287,69810,997,272
2016-03-23$203.41$203.0013.0%3.7%11.5%14.2%13.9%4.7%0.5%-1.45B7.91B-341.9M1.681.65N/AN/A822,5651,379,2335,539,47111,481,379
2016-03-24$203.06$203.0013.2%3.7%11.2%14.9%13.7%4.5%0.5%-1.83B10.05B-341.0M1.671.68N/AN/A819,8531,366,9685,713,04011,717,947
2016-03-28$203.20$203.0013.7%3.8%11.1%17.1%14.2%5.0%0.3%-890.0M7.52B-335.4M1.721.63N/AN/A487,773839,4635,485,62211,118,991
2016-03-29$205.00$203.0012.2%3.3%10.9%10.4%12.8%4.4%0.4%1.21B-4.32B-327.9M1.561.75N/AN/A854,1681,334,6265,598,00011,319,327
2016-03-30$206.06$203.0011.7%3.1%9.0%8.3%12.2%4.2%0.4%2.68B-11.34B-328.8M1.611.77N/AN/A1,123,2821,806,9545,760,19611,718,148
2016-03-31$205.74$203.5012.3%3.3%9.0%10.9%12.0%4.6%0.3%831.9M-7.49B-339.1M1.891.72N/AN/A729,5711,375,5415,923,40012,270,449