SPY Options History — May 2016

In May 2016, SPY traded between $204.35 and $210.22. ATM implied volatility averaged 13.2%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.3% (HV 20d: 10.0%). Max pain ranged from $205.00 to $206.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2016-05-19: Highest Volume — 3,348,288 contracts
2016-05-24: Largest IV drop — 11.3% change
2016-05-19: Highest IV Rank — 23.4%
2016-05-05: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$206.70	$204.35	$210.22	$207.88	$210.22
Max Pain	$205.29	$205.00	$206.00	$206.00	$206.00
ATM IV	13.2%	11.2%	15.1%	12.7%	12.1%
Expected Move	3.9%	3.1%	4.3%	3.6%	3.4%
HV 20d	10.0%	8.7%	11.5%	10.7%	10.5%
HV 60d	11.1%	10.0%	12.9%	12.9%	10.0%
IV Rank	15.0%	6.1%	23.4%	12.5%	9.8%
IV Percentile	36.2%	5.6%	57.9%	33.7%	15.9%
Term Structure	0.5%	-0.0%	1.2%	0.2%	-0.0%
VWIV	14.6%	11.9%	17.1%	13.8%	13.4%
Skew 25d	4.9%	4.3%	5.7%	5.1%	5.1%
Skew 10d	9.5%	8.3%	11.0%	9.3%	8.8%
Call IV 25d	11.1%	9.1%	12.8%	10.5%	9.9%
Put IV 25d	16.0%	13.7%	17.9%	15.6%	15.0%
Bid-Ask Spread %	1.46	1.31	1.66	1.39	1.66
Gamma HHI	0.04	0.03	0.09	0.03	0.03
Net GEX	-2.44B	-7.77B	4.08B	-669.3M	1.40B
Net DEX	9.75B	-17.80B	33.49B	1.67B	-12.97B
Net VEX	-377.4M	-396.9M	-358.8M	-387.7M	-371.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	1.11	2.28	1.37	2.28
Total Volume	2,272,997.524	561,392	3,348,288	1,727,275	2,060,588
Total OI	20,882,140.762	19,043,052	23,079,207	19,422,095	20,074,063

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
2016-05-02	$207.88	$206.00	12.7%	3.6%	10.7%	12.5%	13.8%	5.1%	0.2%	-669.3M	1.67B	-387.7M	1.37	1.39	N/A	N/A	730,184	997,091	7,205,809	12,216,286
2016-05-03	$206.18	$206.00	13.8%	4.0%	10.5%	17.6%	14.5%	5.1%	0.1%	-2.54B	14.34B	-396.9M	1.94	1.43	N/A	N/A	705,754	1,367,867	7,366,146	12,492,814
2016-05-04	$205.06	$206.00	14.4%	4.2%	9.8%	20.2%	14.8%	5.0%	0.1%	-4.29B	23.75B	-396.8M	1.55	1.39	N/A	N/A	821,914	1,276,026	7,488,228	12,835,452
2016-05-05	$204.75	$205.00	14.4%	4.3%	8.7%	20.4%	17.1%	4.9%	0.1%	-4.38B	25.44B	-394.2M	1.50	1.38	N/A	N/A	712,663	1,068,415	7,636,183	13,118,821
2016-05-06	$205.54	$205.00	13.3%	4.0%	8.7%	15.4%	15.3%	4.4%	0.2%	-3.34B	18.50B	-385.5M	1.45	1.39	N/A	N/A	1,056,475	1,527,789	7,800,251	13,337,117
2016-05-09	$205.84	$205.00	13.0%	4.0%	8.8%	13.8%	15.4%	4.6%	0.9%	-3.14B	14.56B	-376.6M	1.45	1.45	N/A	N/A	653,104	947,207	7,456,334	12,778,173
2016-05-10	$208.35	$205.00	11.9%	3.8%	9.3%	8.9%	14.2%	4.3%	1.2%	359.8M	-6.95B	-369.8M	1.42	1.38	N/A	N/A	1,108,781	1,573,845	7,587,917	12,969,290
2016-05-11	$206.57	$205.00	12.9%	3.9%	9.1%	13.8%	15.8%	4.5%	0.7%	-3.00B	10.34B	-379.8M	1.27	1.39	N/A	N/A	949,445	1,205,389	8,091,202	13,439,155
2016-05-12	$206.47	$205.00	12.9%	4.0%	9.1%	13.6%	15.0%	4.4%	1.2%	-3.60B	11.68B	-379.1M	1.44	1.39	N/A	N/A	931,770	1,340,850	7,990,517	13,749,284
2016-05-13	$204.79	$205.00	13.6%	4.1%	9.6%	16.6%	15.6%	4.6%	1.1%	-7.70B	28.47B	-378.1M	1.63	1.43	N/A	N/A	1,105,366	1,796,861	8,148,955	13,955,953
2016-05-16	$206.72	$205.00	13.3%	3.9%	9.9%	15.3%	14.8%	4.9%	0.8%	-2.59B	8.03B	-365.7M	1.51	1.37	N/A	N/A	802,260	1,209,373	7,419,548	13,336,196
2016-05-17	$206.20	$205.00	13.9%	4.0%	9.8%	18.0%	15.7%	5.1%	0.6%	-3.45B	14.09B	-373.5M	1.56	1.36	N/A	N/A	219,153	342,239	7,624,482	13,651,315
2016-05-18	$204.69	$205.00	14.7%	4.2%	10.0%	21.5%	16.0%	5.0%	0.7%	-6.16B	29.16B	-375.3M	1.85	1.31	N/A	N/A	1,144,482	2,121,299	7,737,021	14,098,312
2016-05-19	$204.35	$205.00	15.1%	4.3%	9.9%	23.4%	16.3%	5.2%	0.3%	-7.77B	33.49B	-377.9M	1.99	1.42	N/A	N/A	1,119,085	2,229,203	7,958,110	14,731,409
2016-05-20	$205.38	$205.00	14.0%	4.0%	10.1%	18.6%	15.2%	4.9%	0.4%	-3.69B	18.16B	-373.9M	1.30	1.38	N/A	N/A	1,373,971	1,790,715	8,072,611	15,006,596
2016-05-23	$205.09	$205.00	14.3%	4.0%	10.1%	20.0%	14.6%	5.7%	0.1%	-4.43B	18.96B	-369.5M	1.58	1.64	N/A	N/A	628,299	994,202	6,739,506	12,303,546
2016-05-24	$207.95	$205.00	12.7%	3.5%	11.3%	12.7%	13.0%	5.4%	0.1%	-503.6M	-2.79B	-358.8M	1.52	1.63	N/A	N/A	1,034,774	1,576,946	6,920,676	12,530,832
2016-05-25	$209.37	$205.00	11.9%	3.3%	11.5%	9.2%	12.4%	4.6%	0.2%	2.49B	-13.62B	-367.9M	1.11	1.58	N/A	N/A	1,428,131	1,585,584	7,278,635	12,921,749
2016-05-26	$209.28	$206.00	11.7%	3.3%	10.8%	8.3%	11.9%	4.8%	0.4%	1.69B	-11.84B	-371.7M	1.60	1.58	N/A	N/A	684,084	1,092,932	7,598,410	13,386,506
2016-05-27	$210.12	$206.00	11.2%	3.1%	10.8%	6.1%	12.2%	4.6%	0.2%	4.08B	-17.80B	-374.3M	1.12	1.65	N/A	N/A	1,138,794	1,280,038	7,824,804	13,646,742
2016-05-31	$210.22	$206.00	12.1%	3.4%	10.5%	9.8%	13.4%	5.1%	-0.0%	1.40B	-12.97B	-371.5M	2.28	1.66	N/A	N/A	628,305	1,432,283	7,479,521	12,594,542