SPY Options History — October 2016

In October 2016, SPY traded between $212.53 and $216.11. ATM implied volatility averaged 13.0%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.8% (HV 20d: 10.3%). Max pain ranged from $215.00 to $216.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.77.

Notable Days

2016-10-28: Highest Volume — 4,158,658 contracts
2016-10-11: Largest IV spike — 15.7% change
2016-10-31: Highest IV Rank — 34.2%
2016-10-31: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$214.15	$212.53	$216.11	$215.87	$212.59
Max Pain	$215.83	$215.00	$216.00	$216.00	$215.00
ATM IV	13.0%	11.5%	15.1%	11.7%	15.1%
Expected Move	3.9%	3.3%	4.9%	3.4%	4.9%
HV 20d	10.3%	7.0%	14.6%	14.4%	7.0%
HV 60d	9.5%	9.3%	9.7%	9.3%	9.5%
IV Rank	22.3%	13.3%	34.2%	14.3%	34.2%
IV Percentile	44.3%	21.4%	70.2%	23.8%	70.2%
Term Structure	0.1%	-0.4%	1.6%	0.2%	0.1%
VWIV	14.7%	12.5%	18.6%	13.1%	18.6%
Skew 25d	5.4%	4.9%	6.3%	5.3%	6.3%
Skew 10d	9.7%	8.6%	11.7%	9.6%	11.7%
Call IV 25d	10.5%	9.0%	12.1%	9.3%	12.1%
Put IV 25d	15.8%	13.8%	18.4%	14.5%	18.4%
Bid-Ask Spread %	1.09	0.89	1.24	0.97	1.10
Gamma HHI	0.04	0.03	0.06	0.04	0.04
Net GEX	-7.46B	-9.98B	-4.83B	-5.27B	-6.41B
Net DEX	31.68B	15.06B	50.42B	19.13B	39.39B
Net VEX	-413.5M	-432.4M	-383.6M	-426.2M	-420.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	1.40	2.25	1.52	1.88
Total Volume	2,423,595.048	1,593,927	4,158,658	1,941,733	2,218,724
Total OI	23,361,511.952	20,114,592	25,923,520	22,544,836	21,757,708

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
2016-10-03	$215.87	$216.00	11.7%	3.4%	14.4%	14.3%	13.1%	5.3%	0.2%	-5.27B	19.13B	-426.2M	1.52	0.97	N/A	N/A	771,223	1,170,510	7,687,861	14,856,975
2016-10-04	$214.70	$216.00	12.4%	3.6%	14.5%	18.9%	13.2%	5.2%	0.2%	-7.27B	30.51B	-427.8M	1.59	1.06	N/A	N/A	1,059,660	1,684,737	7,880,704	15,078,247
2016-10-05	$215.69	$216.00	11.7%	3.3%	14.6%	14.7%	12.5%	5.2%	1.3%	-4.83B	18.63B	-423.5M	1.74	0.89	N/A	N/A	685,383	1,191,853	8,078,748	15,390,778
2016-10-06	$215.82	$216.00	11.5%	3.7%	14.6%	13.4%	15.6%	4.9%	1.6%	-5.47B	17.88B	-419.8M	1.87	1.18	N/A	N/A	686,995	1,282,279	8,048,249	15,413,523
2016-10-07	$215.22	$216.00	12.3%	3.8%	12.2%	17.8%	15.5%	4.9%	1.6%	-7.84B	24.84B	-422.0M	2.00	1.09	N/A	N/A	1,080,899	2,162,940	8,186,569	15,742,586
2016-10-10	$216.11	$216.00	12.3%	3.6%	11.4%	17.8%	13.8%	5.4%	0.2%	-5.06B	15.06B	-412.8M	1.59	1.09	N/A	N/A	729,606	1,156,968	7,939,810	15,439,099
2016-10-11	$213.40	$216.00	14.2%	4.1%	10.7%	29.1%	15.1%	5.6%	0.1%	-9.10B	45.90B	-429.6M	1.80	1.17	N/A	N/A	1,295,526	2,335,432	8,204,129	15,682,386
2016-10-12	$213.83	$216.00	14.0%	4.0%	10.7%	28.0%	15.2%	5.7%	-0.3%	-8.86B	40.28B	-429.8M	1.80	1.11	N/A	N/A	768,465	1,379,741	8,555,083	16,161,293
2016-10-13	$213.15	$216.00	14.9%	4.2%	10.0%	33.2%	15.8%	5.9%	-0.3%	-9.90B	47.06B	-432.4M	2.10	1.16	N/A	N/A	1,000,156	2,098,893	8,481,887	16,066,487
2016-10-14	$213.49	$216.00	14.1%	4.1%	9.5%	28.8%	15.5%	5.7%	-0.3%	-8.84B	41.80B	-426.6M	1.69	1.09	N/A	N/A	1,048,218	1,769,224	8,610,567	16,500,465
2016-10-17	$212.53	$216.00	14.6%	4.1%	9.7%	31.5%	15.5%	5.6%	-0.2%	-9.98B	50.42B	-415.7M	1.70	1.08	N/A	N/A	589,300	1,004,627	8,388,145	16,027,311
2016-10-18	$213.78	$216.00	13.4%	3.9%	9.9%	24.5%	15.4%	5.4%	0.1%	-8.90B	35.38B	-408.7M	2.10	1.11	N/A	N/A	606,478	1,271,490	8,506,648	16,186,249
2016-10-19	$214.45	$216.00	13.0%	3.7%	9.3%	22.0%	13.7%	5.5%	-0.4%	-7.99B	26.11B	-396.8M	1.97	1.04	N/A	N/A	680,291	1,338,307	8,666,521	16,422,041
2016-10-20	$213.92	$216.00	12.4%	3.6%	9.0%	18.5%	13.8%	5.1%	-0.1%	-9.28B	33.57B	-393.5M	2.25	1.08	N/A	N/A	811,358	1,829,157	8,706,794	16,435,586
2016-10-21	$213.90	$216.00	12.0%	3.5%	8.8%	16.3%	12.9%	4.9%	-0.1%	-8.53B	34.19B	-396.2M	1.68	1.06	N/A	N/A	1,026,562	1,723,224	8,884,950	17,038,570
2016-10-24	$214.89	$216.00	11.5%	3.3%	8.4%	13.3%	12.8%	5.0%	-0.2%	-4.95B	17.18B	-383.6M	1.40	1.08	N/A	N/A	810,555	1,136,951	6,357,458	13,757,134
2016-10-25	$214.12	$216.00	12.3%	3.7%	8.3%	18.0%	13.7%	4.9%	-0.3%	-6.07B	24.51B	-395.6M	1.66	1.09	N/A	N/A	671,187	1,114,415	6,703,908	14,083,462
2016-10-26	$213.95	$215.00	12.6%	3.8%	8.0%	19.6%	14.3%	5.2%	0.0%	-6.31B	26.71B	-400.7M	1.46	1.13	N/A	N/A	917,107	1,341,830	6,957,621	14,381,622
2016-10-27	$213.20	$215.50	13.4%	4.1%	7.8%	24.6%	14.8%	5.3%	-0.1%	-7.36B	34.37B	-405.5M	1.47	1.06	N/A	N/A	926,857	1,359,710	7,014,171	14,348,978
2016-10-28	$212.55	$215.00	14.5%	4.5%	7.1%	30.7%	17.0%	6.1%	-0.2%	-8.41B	42.31B	-417.4M	1.93	1.24	N/A	N/A	1,420,148	2,738,510	7,284,725	14,676,703
2016-10-31	$212.59	$215.00	15.1%	4.9%	7.0%	34.2%	18.6%	6.3%	0.1%	-6.41B	39.39B	-420.3M	1.88	1.10	N/A	N/A	769,473	1,449,251	7,125,191	14,632,517