SPY Options History — July 2016

In July 2016, SPY traded between $208.48 and $217.32. ATM implied volatility averaged 11.0%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 6.2% (HV 20d: 17.2%). Max pain ranged from $207.00 to $213.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.49.

Notable Days

2016-07-08: Highest Volume — 4,971,759 contracts
2016-07-08: Largest IV drop — 15.4% change
2016-07-05: Highest IV Rank — 15.6%
2016-07-05: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$214.66	$208.48	$217.32	$210.13	$217.32
Max Pain	$210.13	$207.00	$213.00	$208.00	$213.00
ATM IV	11.0%	9.8%	13.4%	12.3%	9.8%
Expected Move	3.2%	2.7%	4.0%	3.2%	2.7%
HV 20d	17.2%	8.1%	20.1%	19.1%	8.1%
HV 60d	13.3%	13.0%	13.5%	13.1%	13.0%
IV Rank	4.5%	0.0%	15.6%	10.8%	0.0%
IV Percentile	7.4%	0.0%	35.3%	21.0%	0.0%
Term Structure	0.3%	0.1%	0.5%	0.2%	0.4%
VWIV	12.0%	9.5%	14.5%	12.9%	9.5%
Skew 25d	4.1%	3.3%	5.4%	4.7%	3.7%
Skew 10d	8.0%	6.2%	11.1%	10.2%	6.6%
Call IV 25d	9.3%	8.3%	11.0%	10.1%	8.3%
Put IV 25d	13.4%	11.9%	16.4%	14.8%	12.0%
Bid-Ask Spread %	1.40	1.28	1.60	1.60	1.36
Gamma HHI	0.06	0.03	0.16	0.16	0.08
Net GEX	5.16B	-1.40B	12.37B	6.72B	8.35B
Net DEX	-31.77B	-64.89B	4.36B	-16.50B	-36.21B
Net VEX	-404.4M	-431.5M	-379.7M	-402.7M	-412.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	0.83	2.17	1.49	1.29
Total Volume	2,607,009.45	1,432,217	4,971,759	3,104,092	3,161,338
Total OI	22,346,091.15	19,565,355	25,909,787	22,163,265	23,058,645

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
2016-07-01	$210.13	$208.00	12.3%	3.2%	19.1%	10.8%	12.9%	4.7%	0.2%	6.72B	-16.50B	-402.7M	1.49	1.60	N/A	N/A	1,244,828	1,859,264	8,311,785	13,851,480
2016-07-05	$208.48	$207.00	13.4%	4.0%	19.1%	15.6%	14.5%	5.4%	0.1%	-1.40B	4.36B	-397.0M	2.08	1.37	N/A	N/A	691,401	1,438,049	7,874,295	13,306,993
2016-07-06	$209.74	$207.00	12.9%	3.7%	19.3%	13.6%	14.3%	5.2%	0.1%	786.7M	-6.93B	-390.7M	1.83	1.35	N/A	N/A	860,654	1,576,796	7,991,922	13,815,885
2016-07-07	$209.45	$207.00	12.6%	3.8%	19.2%	12.2%	14.1%	5.2%	0.2%	2.2M	-3.85B	-391.3M	1.20	1.49	N/A	N/A	1,214,312	1,454,346	8,184,822	14,204,093
2016-07-08	$212.79	$208.00	10.7%	3.2%	20.1%	3.4%	13.0%	4.2%	0.3%	8.46B	-40.56B	-379.7M	0.95	1.44	N/A	N/A	2,543,864	2,427,895	8,628,925	14,579,142
2016-07-11	$213.57	$209.00	11.1%	3.2%	19.8%	5.4%	11.8%	4.1%	0.1%	6.81B	-39.06B	-382.0M	0.91	1.40	N/A	N/A	1,446,771	1,315,916	8,538,780	14,035,213
2016-07-12	$214.99	$209.00	10.9%	3.2%	19.6%	4.5%	12.4%	3.6%	0.3%	9.46B	-52.87B	-393.6M	0.83	1.38	N/A	N/A	1,980,504	1,651,158	9,011,808	14,312,252
2016-07-13	$215.03	$209.00	10.6%	3.1%	19.6%	3.2%	12.7%	3.6%	0.3%	9.84B	-52.34B	-395.2M	1.76	1.38	N/A	N/A	929,950	1,635,614	9,546,724	14,847,648
2016-07-14	$216.23	$210.00	10.6%	3.1%	19.6%	3.0%	12.3%	3.3%	0.3%	12.37B	-64.89B	-393.7M	1.19	1.47	N/A	N/A	1,605,761	1,911,083	9,531,240	15,494,302
2016-07-15	$215.86	$210.00	10.2%	3.0%	19.6%	1.2%	11.5%	3.5%	0.4%	7.05B	-55.30B	-405.3M	1.40	1.28	N/A	N/A	1,160,477	1,626,058	9,734,556	16,175,231
2016-07-18	$216.49	$210.00	10.3%	3.0%	19.2%	1.9%	11.3%	3.7%	0.3%	4.03B	-33.35B	-395.5M	1.63	1.46	N/A	N/A	583,472	952,960	7,277,009	12,288,346
2016-07-19	$215.99	$210.00	10.3%	2.9%	19.2%	0.4%	11.7%	3.8%	0.4%	2.91B	-27.38B	-405.4M	1.69	1.39	N/A	N/A	654,986	1,108,432	7,483,212	12,598,683
2016-07-20	$217.21	$211.00	10.1%	2.9%	19.3%	0.0%	10.3%	3.5%	0.3%	5.68B	-39.55B	-402.0M	1.30	1.40	N/A	N/A	1,152,793	1,499,470	7,739,490	12,973,645
2016-07-21	$216.27	$212.00	10.7%	3.0%	19.4%	2.7%	12.8%	4.0%	0.3%	2.78B	-26.72B	-425.2M	2.12	1.43	N/A	N/A	783,176	1,660,876	8,067,106	13,482,546
2016-07-22	$217.16	$212.00	10.1%	2.8%	19.1%	0.0%	10.1%	3.5%	0.5%	5.95B	-36.93B	-421.5M	1.09	1.39	N/A	N/A	1,197,456	1,306,484	8,314,005	13,972,839
2016-07-25	$216.47	$212.00	10.8%	3.0%	14.5%	3.6%	12.6%	4.4%	0.4%	3.04B	-25.21B	-431.5M	2.17	1.36	N/A	N/A	452,431	979,786	7,906,054	13,457,556
2016-07-26	$216.65	$212.50	11.0%	3.1%	11.3%	4.2%	11.8%	4.3%	0.4%	3.20B	-26.67B	-430.8M	2.10	1.41	N/A	N/A	544,586	1,146,075	8,018,015	13,688,437
2016-07-27	$216.45	$213.00	10.6%	3.0%	10.3%	2.7%	11.3%	4.2%	0.4%	3.02B	-25.08B	-416.5M	1.82	1.35	N/A	N/A	669,617	1,218,926	8,116,418	14,022,430
2016-07-28	$216.96	$213.00	10.6%	3.0%	8.9%	2.4%	9.8%	4.0%	0.4%	4.08B	-30.37B	-416.1M	0.85	1.35	N/A	N/A	1,345,169	1,147,455	8,200,296	14,279,995
2016-07-29	$217.32	$213.00	9.8%	2.7%	8.1%	0.0%	9.5%	3.7%	0.4%	8.35B	-36.21B	-412.7M	1.29	1.36	N/A	N/A	1,383,134	1,778,204	8,469,648	14,588,997