SPY Options History — August 2016 In August 2016, SPY traded between $215.55 and $219.15. ATM implied volatility averaged 10.2%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.3% (HV 20d: 5.9%). Max pain ranged from $212.00 to $215.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.41.
Notable Days 2016-08-05 : Highest Volume — 4,435,893 contracts2016-08-05 : Largest IV drop — 10.3% change2016-08-25 : Highest IV Rank — 12.6%2016-08-04 : Largest Expected Move — 3.3%Monthly Statistics Metric Avg Min Max Open Close Price $217.85 $215.55 $219.15 $216.71 $217.41 Max Pain $213.65 $212.00 $215.00 $213.00 $215.00 ATM IV 10.2% 9.2% 11.5% 10.6% 11.0% Expected Move 3.0% 2.6% 3.3% 2.9% 3.1% HV 20d 5.9% 5.1% 8.2% 8.2% 5.2% HV 60d 12.5% 12.2% 13.1% 13.0% 12.2% IV Rank 4.3% 0.0% 12.6% 3.7% 9.9% IV Percentile 5.4% 0.0% 15.5% 3.6% 13.5% Term Structure 0.3% -0.3% 1.0% 0.1% -0.1% VWIV 11.4% 10.1% 12.8% 11.3% 11.5% Skew 25d 4.7% 3.5% 5.9% 4.3% 5.8% Skew 10d 9.1% 7.0% 10.7% 8.6% 10.2% Call IV 25d 8.5% 7.4% 9.6% 8.8% 8.8% Put IV 25d 13.2% 11.2% 15.2% 13.1% 14.6% Bid-Ask Spread % 1.47 1.23 1.86 1.23 1.47 Gamma HHI 0.07 0.04 0.12 0.06 0.04 Net GEX 4.25B -3.91B 13.51B 3.87B -2.04B Net DEX -23.74B -47.25B 3.69B -23.39B 1.27B Net VEX -419.4M -433.6M -404.9M -420.1M -413.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.41 0.53 2.19 2.11 1.42 Total Volume 2,199,503.957 1,383,169 4,435,893 1,799,902 2,046,300 Total OI 24,065,208.87 21,517,544 27,265,862 21,979,962 23,902,758
Daily Data (23 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 2016-08-01 $216.71 $213.00 10.6% 2.9% 8.2% 3.7% 11.3% 4.3% 0.1% 3.87B -23.39B -420.1M 2.11 1.23 N/A N/A 577,912 1,221,990 8,160,673 13,819,289 2016-08-02 $215.55 $213.00 11.4% 3.2% 7.8% 7.4% 10.7% 4.6% 0.1% 893.2M -10.42B -429.2M 1.10 1.27 N/A N/A 1,354,274 1,487,535 8,318,390 14,160,738 2016-08-03 $216.12 $213.00 10.8% 3.0% 7.7% 4.7% 10.4% 4.5% 0.1% 2.36B -17.36B -424.6M 0.90 1.31 N/A N/A 1,107,884 997,762 8,457,966 14,395,188 2016-08-04 $216.34 $212.00 10.4% 3.3% 7.6% 2.8% 12.8% 4.3% 0.2% 2.93B -20.11B -426.9M 1.69 1.49 N/A N/A 543,928 920,327 8,604,052 14,695,619 2016-08-05 $218.11 $212.00 9.3% 3.0% 6.0% 0.0% 11.6% 3.5% 0.3% 13.51B -47.25B -410.1M 0.53 1.52 N/A N/A 2,905,549 1,530,344 8,802,408 14,949,243 2016-08-08 $217.96 $212.00 9.4% 2.9% 6.0% 0.2% 12.2% 4.0% 0.8% 7.84B -38.80B -418.9M 1.72 1.53 N/A N/A 507,971 875,198 9,599,326 14,554,106 2016-08-09 $218.13 $212.00 9.5% 2.9% 5.6% 0.5% 11.6% 4.0% 0.8% 8.05B -39.29B -425.3M 1.72 1.44 N/A N/A 587,037 1,009,591 9,715,570 14,769,851 2016-08-10 $217.52 $212.00 9.9% 3.0% 5.7% 2.6% 12.3% 4.3% 0.6% 5.56B -30.24B -424.8M 2.19 1.47 N/A N/A 471,700 1,032,141 9,849,868 14,974,517 2016-08-11 $218.77 $212.00 9.3% 2.9% 5.8% 0.0% 11.3% 4.0% 0.9% 9.96B -46.52B -420.6M 0.86 1.41 N/A N/A 1,407,031 1,213,687 9,928,303 15,181,141 2016-08-12 $218.48 $213.00 9.4% 2.9% 5.7% 0.5% 11.3% 4.0% 1.0% 9.47B -41.24B -412.7M 0.83 1.39 N/A N/A 1,430,959 1,187,486 10,083,247 15,550,267 2016-08-15 $219.15 $213.00 9.7% 2.9% 5.7% 1.8% 11.0% 4.1% 0.0% 10.76B -47.16B -413.4M 1.35 1.43 N/A N/A 778,006 1,047,116 9,927,641 15,216,928 2016-08-16 $218.15 $214.00 10.7% 3.1% 6.0% 5.9% 12.8% 4.7% 0.4% 6.77B -32.44B -426.2M 1.74 1.44 N/A N/A 788,100 1,370,954 10,065,238 15,539,956 2016-08-17 $218.40 $214.00 10.4% 3.0% 5.6% 4.9% 11.6% 4.5% 0.5% 6.93B -34.13B -414.5M 1.36 1.86 N/A N/A 1,011,440 1,375,992 10,217,241 16,057,306 2016-08-18 $218.77 $214.00 9.6% 2.7% 5.4% 1.1% 10.7% 4.4% 0.6% 8.46B -39.11B -415.4M 1.59 1.77 N/A N/A 740,481 1,175,322 10,274,397 16,460,560 2016-08-19 $218.62 $215.00 9.2% 2.6% 5.2% 0.0% 10.1% 4.2% 0.7% 5.80B -35.17B -412.7M 0.94 1.41 N/A N/A 1,294,128 1,219,633 10,418,625 16,847,237 2016-08-22 $218.51 $215.00 9.8% 2.8% 5.1% 2.5% 10.9% 5.3% 0.1% 1.68B -15.63B -404.9M 1.59 1.51 N/A N/A 686,978 1,092,628 8,282,351 13,235,193 2016-08-23 $218.98 $215.00 10.1% 2.8% 5.1% 3.7% 10.5% 5.3% -0.1% 2.73B -19.24B -404.9M 1.85 1.41 N/A N/A 764,672 1,413,355 8,261,317 13,656,131 2016-08-24 $217.94 $215.00 11.0% 3.1% 5.4% 8.9% 12.2% 5.4% -0.3% -963.4M -2.12B -432.4M 1.68 1.65 N/A N/A 696,333 1,167,823 8,501,401 14,337,192 2016-08-25 $217.50 $215.00 11.5% 3.2% 5.4% 12.6% 11.2% 5.9% -0.1% -2.06B 2.37B -433.6M 0.77 1.32 N/A N/A 1,467,456 1,127,196 8,685,551 14,581,373 2016-08-26 $217.31 $215.00 11.3% 3.2% 5.4% 11.6% 11.8% 5.7% -0.3% -3.91B 3.69B -429.7M 1.30 1.45 N/A N/A 1,734,536 2,260,564 8,935,622 14,856,670 2016-08-29 $218.31 $215.00 10.6% 2.9% 5.6% 7.7% 11.3% 5.9% -0.2% 300.2M -9.44B -417.5M 1.70 1.41 N/A N/A 562,118 954,467 8,659,458 14,465,396 2016-08-30 $217.92 $215.00 10.4% 2.9% 5.2% 6.5% 10.6% 5.1% -0.1% -1.15B -4.20B -414.9M 1.40 1.56 N/A N/A 601,324 841,363 8,834,717 14,709,783 2016-08-31 $217.41 $215.00 11.0% 3.1% 5.2% 9.9% 11.5% 5.8% -0.1% -2.04B 1.27B -413.1M 1.42 1.47 N/A N/A 843,998 1,202,302 9,007,350 14,895,408
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