SPY Options History — November 2016

In November 2016, SPY traded between $208.51 and $221.52. ATM implied volatility averaged 13.0%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.4% (HV 20d: 9.6%). Max pain ranged from $213.00 to $215.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.57.

Notable Days

2016-11-09: Highest Volume — 5,845,255 contracts
2016-11-07: Largest IV drop — 18.1% change
2016-11-04: Highest IV Rank — 58.9%
2016-11-02: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$216.67	$208.51	$221.52	$211.06	$220.80
Max Pain	$214.17	$213.00	$215.50	$215.00	$215.50
ATM IV	13.0%	10.3%	19.3%	16.3%	10.8%
Expected Move	4.0%	3.2%	5.6%	5.4%	3.6%
HV 20d	9.6%	7.0%	10.4%	7.2%	9.6%
HV 60d	10.6%	9.6%	11.0%	9.6%	10.9%
IV Rank	22.3%	6.6%	58.9%	41.2%	9.4%
IV Percentile	39.3%	8.7%	86.5%	76.2%	16.3%
Term Structure	-0.1%	-1.6%	1.2%	0.0%	-0.1%
VWIV	15.2%	11.8%	20.4%	19.9%	13.2%
Skew 25d	5.1%	3.7%	8.5%	6.6%	4.3%
Skew 10d	9.6%	6.2%	15.2%	12.1%	8.7%
Call IV 25d	10.9%	8.8%	15.6%	13.2%	9.1%
Put IV 25d	16.0%	12.9%	24.1%	19.7%	13.5%
Bid-Ask Spread %	1.67	1.18	2.98	2.98	1.46
Gamma HHI	0.04	0.03	0.08	0.04	0.04
Net GEX	628.0M	-9.93B	8.19B	-8.44B	2.63B
Net DEX	-3.02B	-42.47B	78.10B	54.94B	-29.22B
Net VEX	-385.8M	-436.4M	-351.8M	-423.4M	-357.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	1.08	2.27	2.25	1.27
Total Volume	2,824,611.333	1,549,226	5,845,255	3,689,445	2,073,414
Total OI	23,923,635.286	20,906,438	26,482,866	22,530,528	22,784,519

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
2016-11-01	$211.06	$215.00	16.3%	5.4%	7.2%	41.2%	19.9%	6.6%	0.0%	-8.44B	54.94B	-423.4M	2.25	2.98	N/A	N/A	1,136,769	2,552,676	7,401,238	15,129,290
2016-11-02	$210.13	$215.00	16.7%	5.6%	7.0%	43.7%	19.9%	6.4%	-0.3%	-9.35B	63.23B	-421.9M	1.88	1.22	N/A	N/A	1,051,108	1,981,093	7,732,169	15,618,424
2016-11-03	$208.61	$213.00	18.8%	5.3%	7.2%	55.9%	19.5%	7.7%	-0.5%	-9.52B	75.79B	-432.8M	2.27	1.66	N/A	N/A	981,448	2,226,808	7,770,402	15,727,334
2016-11-04	$208.51	$213.00	19.3%	5.4%	7.2%	58.9%	20.4%	8.5%	-0.7%	-9.93B	78.10B	-436.4M	1.92	1.46	N/A	N/A	1,298,618	2,495,883	8,016,993	16,307,845
2016-11-07	$212.70	$213.00	15.8%	4.6%	10.4%	38.4%	19.2%	7.4%	0.0%	-4.87B	34.53B	-417.4M	1.78	1.62	N/A	N/A	1,158,933	2,062,714	7,824,387	16,004,602
2016-11-08	$214.46	$213.00	14.4%	4.4%	9.8%	30.4%	17.0%	7.1%	0.1%	-2.78B	15.82B	-416.1M	2.07	1.86	N/A	N/A	1,126,738	2,330,136	8,187,850	16,637,757
2016-11-09	$216.41	$213.00	12.5%	3.9%	10.3%	19.2%	15.8%	5.4%	0.2%	1.57B	-11.00B	-401.8M	1.87	1.58	N/A	N/A	2,039,942	3,805,313	8,493,657	17,576,623
2016-11-10	$216.85	$213.00	12.4%	3.9%	10.2%	18.6%	15.4%	5.2%	0.3%	1.15B	-12.12B	-402.0M	1.55	1.41	N/A	N/A	1,693,053	2,629,704	8,324,935	17,154,182
2016-11-11	$216.51	$213.00	12.4%	3.8%	10.3%	18.4%	14.9%	4.7%	0.4%	991.0M	-8.17B	-398.7M	1.72	1.26	N/A	N/A	1,151,973	1,984,706	8,694,571	17,563,252
2016-11-14	$216.31	$214.00	12.4%	3.9%	10.1%	18.6%	14.9%	4.8%	1.2%	-215.1M	-3.37B	-380.7M	1.42	1.30	N/A	N/A	851,914	1,213,231	8,304,043	16,462,497
2016-11-15	$218.14	$214.00	12.1%	3.6%	10.3%	17.0%	13.5%	3.7%	1.0%	4.09B	-26.62B	-369.6M	1.15	1.40	N/A	N/A	1,206,592	1,390,861	8,492,534	16,775,932
2016-11-16	$217.89	$214.00	12.6%	3.6%	10.3%	19.6%	13.5%	4.0%	-1.6%	4.33B	-24.02B	-371.2M	1.42	1.50	N/A	N/A	938,537	1,336,527	8,777,573	17,107,286
2016-11-17	$218.93	$214.00	12.0%	3.5%	10.3%	16.1%	13.1%	3.8%	-1.2%	6.36B	-35.60B	-367.2M	1.25	1.31	N/A	N/A	1,125,246	1,401,595	8,776,227	17,123,574
2016-11-18	$218.67	$215.00	11.3%	3.3%	10.3%	12.2%	13.0%	3.8%	-1.3%	4.36B	-33.39B	-366.1M	1.29	1.18	N/A	N/A	1,164,014	1,503,835	8,985,819	17,497,047
2016-11-21	$219.90	$215.00	10.7%	3.2%	10.4%	8.6%	12.5%	4.3%	0.3%	4.84B	-28.86B	-353.6M	1.25	2.17	N/A	N/A	929,397	1,159,595	7,427,853	13,478,585
2016-11-22	$220.68	$215.00	10.8%	3.2%	10.3%	9.1%	12.5%	4.0%	-0.3%	6.72B	-35.92B	-359.0M	1.22	1.56	N/A	N/A	1,034,510	1,267,075	7,751,419	13,879,044
2016-11-23	$220.72	$215.00	10.8%	3.3%	10.2%	9.1%	11.8%	3.7%	-0.3%	6.81B	-38.20B	-359.1M	1.08	1.68	N/A	N/A	947,307	1,025,606	8,056,804	14,306,548
2016-11-25	$221.52	$215.00	10.3%	3.2%	10.1%	6.6%	13.2%	3.7%	-0.3%	8.19B	-42.47B	-363.0M	1.27	2.72	N/A	N/A	693,465	882,423	8,091,537	14,158,508
2016-11-28	$220.50	$215.00	10.7%	3.5%	10.2%	8.8%	12.6%	4.5%	0.4%	3.55B	-27.62B	-353.1M	1.51	1.57	N/A	N/A	762,271	1,152,582	7,819,380	13,846,440
2016-11-29	$220.67	$215.00	10.7%	3.5%	10.2%	8.6%	12.9%	4.4%	-0.1%	2.71B	-29.16B	-351.8M	1.48	2.23	N/A	N/A	625,849	923,377	8,019,168	14,308,493
2016-11-30	$220.80	$215.50	10.8%	3.6%	9.6%	9.4%	13.2%	4.3%	-0.1%	2.63B	-29.22B	-357.0M	1.27	1.46	N/A	N/A	912,918	1,160,496	8,190,585	14,593,934