SPY Options History — January 2017

In January 2017, SPY traded between $224.84 and $229.47. ATM implied volatility averaged 9.5%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.8% (HV 20d: 7.7%). Max pain ranged from $223.00 to $225.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.62.

Notable Days

2017-01-25: Highest Volume — 3,971,821 contracts
2017-01-20: Largest IV drop — 12.2% change
2017-01-03: Highest IV Rank — 10.8%
2017-01-05: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$227.06	$224.84	$229.47	$224.84	$227.51
Max Pain	$224.82	$223.00	$225.50	$223.00	$225.50
ATM IV	9.5%	8.4%	11.0%	11.0%	9.5%
Expected Move	2.8%	2.4%	3.0%	3.0%	2.8%
HV 20d	7.7%	6.8%	9.3%	9.1%	6.9%
HV 60d	8.6%	8.5%	9.0%	8.9%	8.5%
IV Rank	3.0%	0.0%	10.8%	10.8%	6.5%
IV Percentile	6.1%	0.0%	26.6%	26.6%	7.1%
Term Structure	0.2%	-0.2%	0.3%	0.2%	0.3%
VWIV	10.7%	8.8%	12.3%	11.5%	10.4%
Skew 25d	3.3%	2.2%	4.3%	3.9%	3.5%
Skew 10d	6.1%	4.2%	7.7%	7.6%	6.6%
Call IV 25d	8.2%	7.5%	9.4%	9.4%	8.1%
Put IV 25d	11.5%	10.0%	13.3%	13.3%	11.6%
Bid-Ask Spread %	2.60	1.29	3.95	1.42	3.95
Gamma HHI	0.05	0.03	0.09	0.03	0.04
Net GEX	1.68B	-9.15B	7.42B	689.1M	-1.38B
Net DEX	-18.93B	-41.91B	3.86B	-13.45B	883.6M
Net VEX	-346.9M	-382.1M	-331.9M	-348.9M	-382.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.99	2.88	1.24	1.40
Total Volume	2,458,115.85	1,511,106	3,971,821	1,858,829	2,182,496
Total OI	19,974,734.2	16,188,083	24,189,458	18,813,513	19,131,050

Daily Data (20 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
2017-01-03	$224.84	$223.00	11.0%	3.0%	9.1%	10.8%	11.5%	3.9%	0.2%	689.1M	-13.45B	-348.9M	1.24	1.42	N/A	N/A	831,182	1,027,647	6,396,076	12,417,437
2017-01-04	$226.64	$223.00	10.0%	2.7%	9.3%	4.5%	9.7%	3.3%	0.1%	4.27B	-33.29B	-331.9M	1.12	1.29	N/A	N/A	953,586	1,071,230	6,603,376	12,626,168
2017-01-05	$226.30	$225.00	9.8%	3.0%	9.3%	3.5%	12.3%	3.1%	0.1%	3.16B	-28.15B	-341.4M	1.97	1.37	N/A	N/A	617,598	1,215,350	6,790,366	12,730,414
2017-01-06	$227.51	$225.00	9.6%	2.9%	8.3%	2.1%	10.8%	2.6%	0.1%	5.80B	-41.91B	-335.0M	1.45	1.35	N/A	N/A	1,188,703	1,723,960	6,947,257	13,253,562
2017-01-09	$226.66	$225.00	9.7%	2.9%	8.4%	2.9%	11.8%	3.1%	0.3%	2.73B	-22.43B	-339.5M	1.78	1.33	N/A	N/A	543,159	967,947	6,643,642	13,054,948
2017-01-10	$226.70	$225.00	9.8%	2.9%	8.2%	3.6%	11.2%	2.9%	0.3%	2.75B	-22.55B	-335.1M	1.30	1.32	N/A	N/A	803,103	1,042,043	6,788,139	13,472,186
2017-01-11	$226.95	$225.00	9.7%	2.9%	8.2%	2.7%	11.5%	3.0%	0.2%	3.26B	-24.84B	-339.1M	1.66	2.39	N/A	N/A	1,016,004	1,685,369	7,012,621	13,828,076
2017-01-12	$226.60	$225.00	9.7%	2.9%	7.7%	3.0%	11.3%	3.3%	0.2%	1.47B	-18.89B	-346.2M	1.31	2.55	N/A	N/A	1,075,297	1,413,280	7,084,468	13,998,608
2017-01-13	$227.18	$225.00	9.3%	2.8%	7.3%	0.6%	11.0%	3.2%	0.3%	5.26B	-28.17B	-348.4M	1.49	2.72	N/A	N/A	973,670	1,450,526	7,314,323	14,420,741
2017-01-17	$226.15	$225.00	10.0%	2.9%	7.5%	4.5%	11.1%	3.8%	0.3%	-542.8M	-11.56B	-342.3M	1.75	2.77	N/A	N/A	723,696	1,268,985	7,129,255	14,467,729
2017-01-18	$226.75	$225.00	9.5%	2.7%	6.9%	1.8%	11.0%	3.9%	0.1%	1.37B	-18.62B	-339.1M	2.88	2.81	N/A	N/A	764,985	2,201,009	7,339,220	14,981,645
2017-01-19	$225.90	$225.00	10.3%	3.0%	7.0%	6.3%	11.4%	4.3%	-0.2%	-9.15B	-792.1M	-356.2M	1.89	2.93	N/A	N/A	926,225	1,747,826	7,343,843	16,257,242
2017-01-20	$226.51	$225.00	9.0%	2.6%	6.9%	0.0%	10.5%	3.9%	0.1%	-1.42B	-15.36B	-345.5M	1.50	2.55	N/A	N/A	1,578,989	2,368,446	7,589,788	16,599,670
2017-01-23	$226.28	$225.00	9.2%	2.7%	6.9%	1.4%	10.5%	3.9%	0.2%	-3.49B	3.86B	-343.2M	1.76	3.22	N/A	N/A	813,268	1,429,247	5,519,681	10,668,402
2017-01-24	$227.75	$225.00	9.0%	2.6%	7.2%	0.1%	10.0%	3.0%	0.2%	2.22B	-13.43B	-341.8M	1.50	3.64	N/A	N/A	1,048,928	1,574,362	5,725,117	11,156,812
2017-01-25	$229.47	$225.00	8.6%	2.5%	7.6%	0.0%	8.8%	2.3%	0.1%	7.42B	-34.24B	-332.2M	0.99	3.16	N/A	N/A	1,993,213	1,978,608	6,019,348	11,722,619
2017-01-26	$229.24	$225.00	8.7%	2.5%	7.6%	0.8%	9.2%	2.2%	0.1%	5.99B	-29.71B	-359.0M	1.79	3.69	N/A	N/A	732,085	1,312,605	6,499,587	12,181,695
2017-01-27	$228.88	$225.00	8.4%	2.4%	6.8%	0.0%	9.3%	2.5%	0.2%	3.64B	-24.12B	-358.9M	1.95	3.71	N/A	N/A	723,122	1,410,579	6,721,977	12,689,370
2017-01-30	$227.45	$225.00	9.4%	2.7%	7.3%	5.7%	10.6%	3.7%	0.2%	-507.2M	-1.85B	-371.0M	1.69	3.80	N/A	N/A	1,035,116	1,748,873	6,435,247	11,932,979
2017-01-31	$227.51	$225.50	9.5%	2.8%	6.9%	6.5%	10.4%	3.5%	0.3%	-1.38B	883.6M	-382.1M	1.40	3.95	N/A	N/A	909,905	1,272,591	6,605,590	12,525,460