SPY Options History — September 2016 In September 2016, SPY traded between $213.01 and $218.95. ATM implied volatility averaged 11.9%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.2% (HV 20d: 10.8%). Max pain ranged from $215.00 to $218.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.61.
Notable Days 2016-09-09 : Highest Volume — 5,423,351 contracts2016-09-09 : Largest IV spike — 42.8% change2016-09-13 : Highest IV Rank — 36.5%2016-09-13 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $215.84 $213.01 $218.95 $217.24 $216.90 Max Pain $216.48 $215.00 $218.00 $215.00 $216.00 ATM IV 11.9% 9.4% 15.5% 11.4% 10.9% Expected Move 3.4% 2.6% 4.4% 3.3% 3.1% HV 20d 10.8% 4.6% 14.4% 5.2% 14.4% HV 60d 11.6% 9.6% 13.6% 12.2% 9.8% IV Rank 15.9% 0.9% 36.5% 12.7% 10.1% IV Percentile 26.9% 1.2% 65.1% 16.7% 15.5% Term Structure 0.0% -0.4% 0.3% -0.1% 0.2% VWIV 13.1% 9.7% 16.6% 11.1% 12.4% Skew 25d 5.3% 4.4% 6.6% 5.7% 5.1% Skew 10d 9.4% 5.7% 12.2% 10.3% 9.6% Call IV 25d 9.7% 7.6% 13.0% 8.9% 8.7% Put IV 25d 15.0% 12.8% 19.6% 14.6% 13.8% Bid-Ask Spread % 1.21 1.02 1.42 1.39 1.13 Gamma HHI 0.05 0.03 0.06 0.04 0.05 Net GEX -3.66B -9.72B 2.92B -2.11B -1.02B Net DEX 16.98B -20.87B 49.72B 2.52B 6.86B Net VEX -419.7M -440.4M -388.1M -416.0M -432.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.61 0.96 2.28 0.96 1.60 Total Volume 2,857,903.19 1,783,079 5,423,351 3,152,232 2,685,314 Total OI 24,248,962.095 21,024,555 26,637,495 24,467,355 24,728,476
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 2016-09-01 $217.24 $215.00 11.4% 3.3% 5.2% 12.7% 11.1% 5.7% -0.1% -2.11B 2.52B -416.0M 0.96 1.39 N/A N/A 1,611,348 1,540,884 9,256,014 15,211,341 2016-09-02 $218.28 $215.00 9.7% 2.6% 4.7% 2.9% 9.7% 5.2% -0.4% 1.70B -12.95B -404.0M 1.56 1.41 N/A N/A 1,046,427 1,634,760 9,524,607 15,612,543 2016-09-06 $218.80 $217.00 9.5% 2.9% 4.7% 1.5% 11.4% 5.2% 0.3% 2.49B -17.67B -391.9M 1.66 1.23 N/A N/A 669,475 1,113,604 9,042,709 15,233,514 2016-09-07 $218.95 $218.00 9.4% 2.8% 4.7% 0.9% 11.7% 5.1% 0.0% 2.92B -20.87B -388.1M 1.21 1.18 N/A N/A 956,929 1,161,959 9,251,795 15,586,874 2016-09-08 $218.61 $218.00 9.6% 2.8% 4.6% 2.5% 12.3% 5.3% 0.1% 1.18B -13.70B -394.4M 1.40 1.22 N/A N/A 922,648 1,294,635 9,421,687 15,728,319 2016-09-09 $213.83 $218.00 13.8% 3.9% 8.9% 26.6% 14.6% 6.5% -0.2% -8.17B 49.72B -426.9M 1.45 1.34 N/A N/A 2,209,290 3,214,061 9,398,515 16,152,858 2016-09-12 $216.59 $218.00 12.0% 3.4% 10.2% 16.3% 14.2% 5.8% 0.2% -3.00B 12.21B -406.1M 1.64 1.26 N/A N/A 1,415,007 2,324,190 9,101,790 15,937,089 2016-09-13 $213.01 $217.00 15.5% 4.4% 11.6% 36.5% 16.6% 6.6% 0.1% -8.49B 49.69B -427.2M 1.81 1.38 N/A N/A 1,376,273 2,491,188 9,280,040 16,341,911 2016-09-14 $213.14 $217.00 15.0% 4.3% 11.5% 34.0% 16.2% 6.5% -0.2% -9.72B 49.59B -430.5M 1.64 1.42 N/A N/A 1,080,466 1,767,617 9,599,174 16,890,567 2016-09-15 $215.48 $216.00 12.9% 3.8% 12.3% 21.4% 14.0% 5.3% -0.1% -5.69B 19.79B -412.8M 1.14 1.31 N/A N/A 1,483,408 1,688,275 9,594,956 16,994,839 2016-09-16 $213.61 $217.00 13.4% 3.8% 12.6% 24.4% 14.1% 5.6% -0.1% -9.31B 46.01B -425.6M 1.83 1.07 N/A N/A 1,228,845 2,252,498 9,350,209 17,287,286 2016-09-19 $213.59 $216.00 13.5% 3.9% 12.6% 24.9% 14.1% 4.4% 0.2% -5.52B 34.50B -430.7M 1.29 1.09 N/A N/A 959,390 1,241,801 7,481,520 13,543,035 2016-09-20 $213.83 $216.00 13.6% 3.9% 12.6% 25.4% 15.1% 4.5% 0.2% -4.97B 32.54B -434.3M 1.75 1.13 N/A N/A 851,313 1,486,494 7,837,091 13,896,953 2016-09-21 $215.94 $216.00 11.7% 3.4% 13.1% 14.6% 13.1% 5.1% 0.0% -1.97B 12.70B -424.8M 1.84 1.11 N/A N/A 1,134,188 2,087,254 8,177,392 14,630,739 2016-09-22 $217.31 $216.00 10.2% 2.9% 13.3% 5.5% 11.4% 4.6% 0.1% 855.6M -1.35B -421.9M 1.56 1.11 N/A N/A 1,099,802 1,721,191 8,268,444 14,722,768 2016-09-23 $216.07 $216.00 10.7% 3.0% 13.4% 8.5% 10.8% 4.9% 0.1% -4.56B 14.57B -426.8M 1.73 1.13 N/A N/A 796,409 1,381,465 8,444,364 15,230,220 2016-09-26 $214.23 $216.00 12.9% 3.7% 13.7% 21.6% 13.7% 5.4% 0.1% -6.66B 34.86B -434.2M 2.28 1.02 N/A N/A 711,073 1,623,900 7,723,404 14,649,628 2016-09-27 $215.45 $216.00 11.5% 3.3% 13.8% 13.5% 12.7% 4.8% 0.2% -5.47B 21.46B -426.1M 1.67 1.09 N/A N/A 736,131 1,226,144 7,925,820 15,136,926 2016-09-28 $216.59 $216.00 10.9% 3.1% 13.9% 9.8% 11.8% 4.9% 0.2% -2.71B 8.73B -418.0M 1.45 1.16 N/A N/A 1,071,620 1,557,835 8,051,795 15,319,071 2016-09-29 $215.16 $216.00 12.7% 3.7% 14.1% 20.1% 14.3% 5.6% 0.1% -6.54B 27.40B -440.4M 2.21 1.22 N/A N/A 984,100 2,176,756 8,124,330 15,537,591 2016-09-30 $216.90 $216.00 10.9% 3.1% 14.4% 10.1% 12.4% 5.1% 0.2% -1.02B 6.86B -432.0M 1.60 1.13 N/A N/A 1,033,491 1,651,823 8,352,570 16,375,906
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