SPY Options History — April 2016

In April 2016, SPY traded between $203.82 and $210.17. ATM implied volatility averaged 12.5%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.4% (HV 20d: 10.1%). Max pain ranged from $204.00 to $207.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.48.

Notable Days

2016-04-29: Highest Volume — 3,450,406 contracts
2016-04-07: Largest IV spike — 16.3% change
2016-04-07: Highest IV Rank — 19.9%
2016-04-07: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$207.26	$203.82	$210.17	$206.92	$206.40
Max Pain	$205.26	$204.00	$207.00	$204.00	$207.00
ATM IV	12.5%	11.3%	14.3%	11.3%	13.9%
Expected Move	3.6%	3.0%	4.2%	3.0%	4.0%
HV 20d	10.1%	9.1%	11.2%	9.1%	10.5%
HV 60d	15.2%	12.8%	17.6%	17.6%	12.8%
IV Rank	11.9%	6.5%	19.9%	6.5%	18.2%
IV Percentile	28.6%	11.1%	51.6%	11.1%	47.6%
Term Structure	0.2%	-0.1%	0.3%	0.3%	-0.1%
VWIV	13.7%	11.6%	15.9%	11.6%	14.8%
Skew 25d	4.5%	3.9%	5.3%	4.0%	5.1%
Skew 10d	9.0%	7.6%	10.2%	8.3%	10.1%
Call IV 25d	10.5%	9.4%	12.0%	9.4%	11.6%
Put IV 25d	15.0%	13.4%	17.2%	13.4%	16.8%
Bid-Ask Spread %	1.44	1.32	1.65	1.62	1.65
Gamma HHI	0.04	0.03	0.07	0.07	0.03
Net GEX	726.1M	-3.56B	4.34B	3.38B	-3.37B
Net DEX	-5.05B	-21.78B	16.90B	-13.39B	16.90B
Net VEX	-372.3M	-402.6M	-337.4M	-337.4M	-402.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.78	1.99	1.51	1.31
Total Volume	2,286,911.905	1,551,318	3,450,406	2,441,927	3,450,406
Total OI	18,976,137.429	17,029,024	21,192,947	17,375,587	20,859,992

Daily Data (21 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
2016-04-01	$206.92	$204.00	11.3%	3.0%	9.1%	6.5%	11.6%	4.0%	0.3%	3.38B	-13.39B	-337.4M	1.51	1.62	N/A	N/A	971,824	1,470,103	5,633,358	11,742,229
2016-04-04	$206.11	$204.00	12.5%	3.8%	9.3%	11.7%	13.5%	4.6%	0.3%	292.1M	-4.50B	-340.9M	1.77	1.38	N/A	N/A	573,477	1,012,660	5,511,459	11,517,565
2016-04-05	$204.05	$205.00	13.9%	4.1%	10.1%	18.0%	15.4%	5.0%	0.3%	-2.34B	11.71B	-355.7M	1.99	1.33	N/A	N/A	683,185	1,356,228	5,673,492	11,868,737
2016-04-06	$206.41	$205.00	12.3%	3.8%	9.9%	10.8%	14.7%	4.5%	0.3%	814.8M	-6.22B	-346.2M	1.74	1.33	N/A	N/A	810,625	1,406,804	5,792,315	12,240,024
2016-04-07	$203.82	$205.00	14.3%	4.2%	11.2%	19.9%	15.9%	5.2%	0.2%	-3.56B	16.65B	-367.5M	1.89	1.33	N/A	N/A	964,748	1,826,414	5,935,090	12,639,471
2016-04-08	$204.29	$205.00	13.6%	4.1%	11.2%	16.5%	14.8%	5.1%	0.3%	-2.79B	12.41B	-363.5M	1.33	1.33	N/A	N/A	1,103,104	1,468,362	6,152,918	13,007,416
2016-04-11	$204.22	$205.00	14.2%	4.1%	9.4%	19.3%	14.8%	5.3%	0.2%	-2.39B	11.59B	-361.5M	1.26	1.32	N/A	N/A	921,436	1,157,909	5,944,802	12,744,976
2016-04-12	$205.86	$205.00	13.1%	3.8%	9.8%	14.2%	15.0%	5.1%	0.2%	674.0M	-2.36B	-360.8M	1.77	1.35	N/A	N/A	788,479	1,398,684	6,324,208	13,084,290
2016-04-13	$207.98	$205.00	11.8%	3.5%	10.2%	8.8%	13.8%	4.6%	0.3%	4.34B	-20.71B	-351.7M	1.13	1.38	N/A	N/A	1,395,622	1,583,863	6,476,002	13,409,823
2016-04-14	$208.00	$205.00	11.8%	3.5%	10.1%	8.7%	13.4%	4.3%	0.3%	3.97B	-20.66B	-375.6M	1.03	1.32	N/A	N/A	1,162,990	1,192,330	6,723,074	13,797,998
2016-04-15	$207.80	$205.00	11.7%	3.4%	10.0%	8.3%	13.2%	4.4%	0.3%	2.46B	-18.72B	-376.0M	1.41	1.43	N/A	N/A	966,425	1,365,606	7,056,803	14,136,144
2016-04-18	$209.16	$205.00	11.6%	3.3%	10.2%	7.6%	12.7%	4.4%	0.2%	2.78B	-15.97B	-366.8M	1.46	1.55	N/A	N/A	772,203	1,129,984	6,071,172	11,095,957
2016-04-19	$209.69	$205.00	11.7%	3.3%	10.2%	7.9%	12.6%	4.3%	0.2%	3.12B	-19.11B	-377.3M	1.60	1.49	N/A	N/A	888,944	1,420,412	6,373,085	11,524,515
2016-04-20	$210.17	$205.00	11.6%	3.3%	10.1%	7.5%	12.4%	3.9%	0.2%	3.46B	-21.78B	-382.3M	1.45	1.47	N/A	N/A	931,140	1,353,428	6,630,286	11,885,151
2016-04-21	$208.95	$205.00	12.0%	3.4%	10.2%	9.5%	12.7%	4.0%	0.2%	1.62B	-10.21B	-395.4M	1.73	1.51	N/A	N/A	780,263	1,353,649	6,892,486	12,267,528
2016-04-22	$209.00	$206.00	11.6%	3.3%	10.1%	7.6%	13.0%	3.9%	0.3%	2.08B	-9.72B	-391.0M	1.30	1.53	N/A	N/A	986,960	1,280,320	6,995,054	12,600,078
2016-04-25	$208.32	$206.00	12.4%	3.5%	10.2%	11.3%	13.4%	4.5%	0.1%	-135.5M	-2.61B	-386.8M	1.61	1.48	N/A	N/A	594,518	956,800	6,680,501	11,917,580
2016-04-26	$208.86	$206.00	12.3%	3.5%	9.9%	10.8%	12.8%	4.2%	0.1%	801.9M	-7.19B	-389.5M	0.78	1.44	N/A	N/A	1,139,033	886,615	6,792,646	12,228,599
2016-04-27	$209.38	$206.00	12.0%	3.4%	9.8%	9.6%	13.5%	4.0%	0.1%	2.21B	-11.77B	-388.1M	1.29	1.47	N/A	N/A	979,309	1,262,311	7,349,576	12,466,681
2016-04-28	$207.09	$206.50	13.6%	3.9%	10.6%	16.8%	14.6%	4.8%	-0.1%	-2.17B	9.66B	-401.2M	1.68	1.49	N/A	N/A	848,874	1,429,103	7,615,972	12,839,833
2016-04-29	$206.40	$207.00	13.9%	4.0%	10.5%	18.2%	14.8%	5.1%	-0.1%	-3.37B	16.90B	-402.6M	1.31	1.65	N/A	N/A	1,493,021	1,957,385	7,792,241	13,067,751