SPY Options History — June 2016 In June 2016, SPY traded between $199.62 and $212.31. ATM implied volatility averaged 14.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.8% (HV 20d: 10.7%). Max pain ranged from $206.00 to $209.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.39.
Notable Days 2016-06-24 : Highest Volume — 5,862,194 contracts2016-06-24 : Largest IV spike — 36.8% change2016-06-27 : Highest IV Rank — 44.9%2016-06-27 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $208.42 $199.62 $212.31 $210.15 $209.10 Max Pain $208.34 $206.00 $209.00 $206.00 $207.50 ATM IV 14.5% 11.1% 19.9% 12.2% 13.3% Expected Move 4.2% 3.2% 6.0% 3.5% 3.7% HV 20d 10.7% 7.4% 19.0% 10.0% 19.0% HV 60d 10.3% 9.2% 13.4% 10.0% 13.4% IV Rank 21.0% 5.6% 44.9% 10.2% 15.4% IV Percentile 43.3% 5.6% 78.6% 17.1% 34.5% Term Structure -0.0% -0.3% 0.4% -0.3% 0.1% VWIV 15.9% 12.6% 21.2% 12.8% 14.6% Skew 25d 6.4% 4.8% 9.0% 5.2% 5.4% Skew 10d 12.5% 8.9% 18.1% 9.7% 11.4% Call IV 25d 11.9% 9.3% 16.2% 10.0% 10.9% Put IV 25d 18.3% 14.2% 24.4% 15.2% 16.3% Bid-Ask Spread % 1.76 1.47 2.66 1.63 1.47 Gamma HHI 0.04 0.03 0.08 0.03 0.04 Net GEX -1.60B -8.46B 4.78B 847.3M 152.2M Net DEX 7.90B -28.86B 73.27B -12.42B -11.77B Net VEX -393.8M -424.9M -358.7M -366.4M -403.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 0.94 1.97 1.46 1.64 Total Volume 3,128,697.455 1,927,971 5,862,194 1,927,971 4,293,473 Total OI 22,111,395.545 19,088,020 24,654,493 20,720,381 23,734,672
Daily Data (22 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 2016-06-01 $210.15 $206.00 12.2% 3.5% 10.0% 10.2% 12.8% 5.2% -0.3% 847.3M -12.42B -366.4M 1.46 1.63 N/A N/A 783,047 1,144,924 7,594,910 13,125,471 2016-06-02 $210.74 $207.00 11.7% 3.2% 9.7% 7.9% 12.8% 5.0% -0.2% 1.90B -16.57B -367.2M 1.37 1.66 N/A N/A 891,471 1,217,367 7,851,704 13,288,452 2016-06-03 $210.39 $208.00 11.1% 3.2% 9.7% 5.6% 13.0% 4.8% -0.2% 1.67B -16.31B -360.4M 1.42 1.65 N/A N/A 1,137,995 1,616,432 8,134,623 13,627,023 2016-06-06 $211.44 $208.00 11.2% 3.3% 9.8% 6.0% 13.0% 4.8% 0.3% 3.08B -22.20B -358.7M 1.25 1.58 N/A N/A 1,047,941 1,306,820 7,822,525 13,181,374 2016-06-07 $211.64 $208.00 11.5% 3.2% 9.8% 7.1% 13.0% 4.9% -0.2% 3.26B -22.85B -366.8M 1.15 1.72 N/A N/A 984,084 1,132,604 8,190,754 13,557,152 2016-06-08 $212.31 $208.00 11.2% 3.3% 8.9% 5.9% 12.6% 4.9% 0.4% 4.78B -28.86B -373.7M 1.28 1.74 N/A N/A 1,023,463 1,313,669 8,523,773 13,828,304 2016-06-09 $212.14 $208.00 11.7% 3.4% 8.2% 8.3% 13.3% 5.1% 0.2% 3.92B -26.47B -376.4M 1.57 1.56 N/A N/A 967,320 1,519,276 8,754,624 14,287,415 2016-06-10 $210.02 $209.00 13.7% 3.9% 9.2% 17.2% 15.8% 6.4% -0.0% -4.58B 472.3M -400.2M 1.50 1.66 N/A N/A 1,514,066 2,271,544 8,948,560 14,648,194 2016-06-13 $208.38 $209.00 16.5% 4.7% 9.1% 29.7% 18.7% 7.9% -0.3% -3.09B 16.50B -409.1M 1.32 1.90 N/A N/A 1,142,154 1,511,247 8,348,593 14,174,106 2016-06-14 $208.00 $209.00 16.4% 4.7% 8.6% 29.4% 18.3% 7.5% -0.1% -3.85B 20.64B -408.6M 1.50 1.70 N/A N/A 1,351,130 2,026,853 8,554,269 14,637,834 2016-06-15 $207.62 $209.00 15.9% 4.6% 8.6% 27.1% 16.5% 7.4% 0.2% -4.72B 24.04B -413.7M 0.98 1.93 N/A N/A 1,348,033 1,315,862 8,868,153 15,108,454 2016-06-16 $208.39 $209.00 15.3% 4.4% 8.1% 24.5% 17.0% 6.2% -0.3% -4.40B 14.24B -394.4M 1.33 1.90 N/A N/A 1,702,815 2,269,088 9,077,709 15,409,238 2016-06-17 $206.60 $209.00 16.1% 4.6% 8.8% 27.8% 16.8% 7.2% 0.3% -6.53B 34.41B -409.2M 0.94 1.67 N/A N/A 1,781,373 1,676,198 8,868,643 15,785,850 2016-06-20 $207.78 $209.00 15.1% 4.4% 8.8% 23.6% 16.8% 7.3% 0.0% -2.00B 16.63B -400.8M 1.97 1.62 N/A N/A 743,265 1,462,181 7,139,714 11,948,306 2016-06-21 $208.50 $209.00 15.4% 4.5% 8.8% 24.9% 16.2% 7.4% 0.0% -1.43B 12.05B -405.5M 1.27 1.70 N/A N/A 931,669 1,184,177 7,350,658 12,301,240 2016-06-22 $208.22 $209.00 17.5% 5.2% 7.4% 34.1% 17.8% 8.3% -0.3% -1.20B 14.35B -424.9M 1.21 1.95 N/A N/A 1,551,717 1,878,152 7,737,699 12,664,728 2016-06-23 $210.66 $209.00 14.2% 4.2% 8.1% 19.6% 15.2% 7.0% 0.0% 1.79B -8.16B -417.9M 1.12 2.66 N/A N/A 1,508,349 1,688,291 8,279,777 13,343,199 2016-06-24 $204.00 $209.00 19.5% 5.8% 14.1% 43.3% 21.2% 9.0% -0.2% -8.46B 56.35B -423.4M 1.72 1.97 N/A N/A 2,155,202 3,706,992 8,641,944 13,837,512 2016-06-27 $199.62 $209.00 19.9% 6.0% 15.7% 44.9% 20.9% 7.8% 0.0% -7.68B 73.27B -392.9M 1.60 1.71 N/A N/A 1,683,723 2,694,590 7,752,073 13,043,783 2016-06-28 $203.06 $208.00 16.3% 4.8% 17.2% 28.9% 16.9% 5.9% -0.0% -6.06B 44.36B -391.1M 1.33 1.74 N/A N/A 1,578,404 2,105,918 8,199,652 13,621,316 2016-06-29 $206.58 $207.00 14.4% 4.1% 18.4% 20.5% 16.2% 5.6% 0.1% -2.51B 12.05B -399.2M 1.64 1.62 N/A N/A 1,389,032 2,279,433 8,556,286 14,100,436 2016-06-30 $209.10 $207.50 13.3% 3.7% 19.0% 15.4% 14.6% 5.4% 0.1% 152.2M -11.77B -403.5M 1.64 1.47 N/A N/A 1,628,071 2,665,402 8,900,755 14,833,917
« May 2016 | All History | Jul 2016 » Home SPY History June 2016