SPY Options History — December 2016

In December 2016, SPY traded between $219.30 and $228.00. ATM implied volatility averaged 10.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.2% (HV 20d: 8.1%). Max pain ranged from $215.00 to $223.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.41.

Notable Days

2016-12-07: Highest Volume — 3,885,070 contracts
2016-12-05: Largest IV drop — 13.3% change
2016-12-30: Highest IV Rank — 17.2%
2016-12-01: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$224.57	$219.30	$228.00	$219.30	$223.03
Max Pain	$219.71	$215.00	$223.00	$216.00	$223.00
ATM IV	10.3%	9.5%	12.1%	12.0%	12.1%
Expected Move	3.1%	2.8%	4.0%	4.0%	3.4%
HV 20d	8.1%	6.7%	9.9%	9.9%	8.7%
HV 60d	9.3%	8.6%	11.0%	11.0%	8.8%
IV Rank	6.7%	1.6%	17.2%	16.5%	17.2%
IV Percentile	13.2%	2.8%	42.1%	34.1%	42.1%
Term Structure	0.2%	-0.5%	0.4%	-0.5%	0.1%
VWIV	11.6%	10.6%	14.6%	14.6%	11.8%
Skew 25d	3.2%	1.9%	4.9%	4.9%	4.3%
Skew 10d	5.9%	3.4%	9.5%	9.5%	7.5%
Call IV 25d	9.2%	8.1%	10.3%	10.0%	10.3%
Put IV 25d	12.4%	11.0%	14.9%	14.9%	14.5%
Bid-Ask Spread %	1.54	1.32	1.99	1.38	1.55
Gamma HHI	0.05	0.03	0.09	0.03	0.09
Net GEX	3.80B	-4.45B	9.36B	-416.2M	-4.45B
Net DEX	-33.64B	-80.54B	9.08B	-10.68B	9.08B
Net VEX	-347.9M	-369.3M	-323.3M	-367.2M	-369.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.75	2.23	1.50	1.67
Total Volume	2,420,922.476	1,324,604	3,885,070	2,504,573	2,206,741
Total OI	22,117,467.571	17,768,943	25,599,453	22,458,012	20,780,485

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
2016-12-01	$219.30	$216.00	12.0%	4.0%	9.9%	16.5%	14.6%	4.9%	-0.5%	-416.2M	-10.68B	-367.2M	1.50	1.38	N/A	N/A	1,003,728	1,500,845	8,123,044	14,334,968
2016-12-02	$219.60	$216.00	11.3%	3.8%	9.3%	12.5%	14.1%	4.8%	0.1%	567.0M	-13.24B	-365.4M	1.53	1.53	N/A	N/A	907,816	1,392,016	8,337,322	14,738,927
2016-12-05	$220.87	$215.00	9.8%	3.0%	9.2%	3.4%	12.1%	4.1%	0.3%	4.02B	-28.26B	-329.8M	1.46	1.48	N/A	N/A	865,815	1,265,516	8,102,350	14,435,215
2016-12-06	$221.49	$215.00	9.5%	3.0%	6.7%	2.0%	11.8%	3.8%	0.3%	6.20B	-34.14B	-331.1M	1.66	1.54	N/A	N/A	649,759	1,078,759	8,242,609	14,696,445
2016-12-07	$224.41	$216.00	9.8%	3.0%	7.5%	3.6%	11.6%	3.4%	0.1%	9.36B	-63.99B	-330.5M	1.28	1.68	N/A	N/A	1,706,385	2,178,685	8,395,447	15,006,230
2016-12-08	$225.11	$217.00	10.3%	3.1%	7.1%	6.3%	11.4%	3.1%	-0.0%	8.68B	-65.81B	-342.6M	0.88	1.52	N/A	N/A	1,734,358	1,518,894	8,577,571	15,433,112
2016-12-09	$226.34	$217.00	9.5%	3.0%	7.2%	1.9%	10.9%	3.0%	0.2%	9.18B	-76.23B	-343.2M	1.10	1.60	N/A	N/A	1,504,858	1,660,004	8,879,056	15,872,581
2016-12-12	$226.16	$217.00	10.2%	3.1%	7.1%	6.0%	11.8%	3.2%	0.3%	7.49B	-64.43B	-343.1M	1.26	1.61	N/A	N/A	911,200	1,147,220	8,798,760	15,564,732
2016-12-13	$228.00	$218.00	10.5%	3.2%	7.3%	7.9%	11.9%	2.5%	0.3%	8.68B	-80.54B	-339.4M	0.87	1.46	N/A	N/A	1,744,099	1,512,883	8,941,883	15,846,342
2016-12-14	$226.48	$218.00	10.5%	3.1%	7.7%	7.9%	11.8%	2.9%	-0.0%	7.47B	-64.28B	-340.8M	1.37	1.81	N/A	N/A	1,388,397	1,898,011	9,277,918	16,321,535
2016-12-15	$226.87	$219.00	9.8%	2.9%	7.6%	3.8%	10.6%	1.9%	-0.0%	9.01B	-69.39B	-323.3M	0.75	1.99	N/A	N/A	2,115,526	1,592,885	9,133,127	16,398,128
2016-12-16	$224.93	$223.00	10.1%	2.9%	8.4%	5.1%	10.8%	2.9%	-0.1%	-1.86B	556.6M	-338.5M	1.31	1.57	N/A	N/A	1,239,381	1,626,866	6,869,480	16,917,684
2016-12-19	$225.32	$223.00	9.5%	2.8%	8.3%	1.6%	10.9%	2.6%	0.4%	1.72B	-13.77B	-341.6M	1.40	1.78	N/A	N/A	783,478	1,095,489	5,911,075	11,857,868
2016-12-20	$226.19	$223.00	9.7%	2.8%	8.3%	3.0%	11.2%	2.4%	0.4%	3.67B	-23.86B	-339.9M	1.34	1.54	N/A	N/A	992,014	1,333,526	6,179,513	12,256,383
2016-12-21	$225.94	$223.00	9.8%	2.8%	8.3%	3.7%	11.1%	2.4%	0.2%	3.44B	-24.37B	-356.3M	1.11	1.43	N/A	N/A	909,476	1,007,727	6,684,112	12,861,551
2016-12-22	$225.34	$223.00	9.9%	2.8%	8.4%	4.0%	11.4%	2.8%	0.2%	1.16B	-18.94B	-366.6M	2.06	1.42	N/A	N/A	638,709	1,314,659	6,804,213	13,070,172
2016-12-23	$225.57	$223.00	9.9%	2.8%	8.3%	4.2%	10.7%	2.7%	0.2%	3.35B	-22.80B	-360.4M	1.54	1.40	N/A	N/A	521,229	803,375	6,953,901	13,587,827
2016-12-27	$226.34	$223.00	10.1%	2.8%	8.1%	5.2%	10.6%	2.9%	0.2%	4.32B	-29.91B	-346.1M	2.23	1.32	N/A	N/A	435,954	970,813	6,698,837	13,042,277
2016-12-28	$224.38	$223.00	11.0%	3.0%	8.8%	10.8%	11.1%	3.6%	0.3%	-692.2M	-6.87B	-364.0M	1.51	1.37	N/A	N/A	782,189	1,184,198	6,827,294	13,368,515
2016-12-29	$224.29	$223.00	11.4%	3.1%	8.8%	13.1%	12.2%	3.9%	0.3%	-1.07B	-4.45B	-367.5M	1.76	1.39	N/A	N/A	621,504	1,094,385	6,803,323	13,535,007
2016-12-30	$223.03	$223.00	12.1%	3.4%	8.7%	17.2%	11.8%	4.3%	0.1%	-4.45B	9.08B	-369.3M	1.67	1.55	N/A	N/A	827,730	1,379,011	6,962,585	13,817,900