SPY Options History — February 2017

In February 2017, SPY traded between $227.74 and $237.11. ATM implied volatility averaged 9.3%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 3.3% (HV 20d: 6.1%). Max pain ranged from $225.00 to $231.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.77.

Notable Days

  • 2017-02-15: Highest Volume — 3,840,169 contracts
  • 2017-02-15: Largest IV spike — 12.6% change
  • 2017-02-28: Highest IV Rank — 19.3%
  • 2017-02-28: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$232.86$227.74$237.11$227.76$236.38
Max Pain$227.34$225.00$231.00$226.00$231.00
ATM IV9.3%8.5%10.6%9.1%10.6%
Expected Move2.9%2.5%3.3%2.5%3.3%
HV 20d6.1%5.2%6.5%6.3%5.2%
HV 60d7.3%7.1%8.3%8.3%7.2%
IV Rank7.3%0.4%19.3%4.1%19.3%
IV Percentile9.0%0.4%32.9%2.0%32.9%
Term Structure0.3%-0.8%1.1%0.1%-0.3%
VWIV11.2%9.6%12.9%9.6%12.5%
Skew 25d3.0%2.2%3.8%3.6%3.4%
Skew 10d5.5%3.5%7.8%7.3%6.3%
Call IV 25d8.2%7.3%9.4%7.9%9.1%
Put IV 25d11.2%10.1%12.5%11.5%12.5%
Bid-Ask Spread %2.821.924.124.122.92
Gamma HHI0.070.040.210.050.04
Net GEX4.99B-637.1M10.92B702.0M1.33B
Net DEX-38.80B-78.17B-3.14B-4.67B-29.44B
Net VEX-372.9M-419.4M-342.3M-368.0M-419.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.973.151.401.84
Total Volume2,706,710.1581,933,4313,840,1692,439,1202,398,947
Total OI21,224,396.78919,037,98824,833,76019,745,31421,125,997

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$227.76$226.009.1%2.5%6.3%4.1%9.6%3.6%0.1%702.0M-4.67B-368.0M1.404.12N/AN/A1,016,6271,422,4936,784,02012,961,294
2017-02-02$227.74$225.009.5%3.1%5.7%6.4%12.9%3.8%0.2%-637.1M-3.14B-378.2M2.082.33N/AN/A685,8091,424,6556,686,58912,910,187
2017-02-03$229.52$225.008.5%2.8%6.3%0.4%11.7%2.8%0.3%6.05B-28.03B-364.1M1.682.53N/AN/A1,142,2221,916,5696,821,95713,476,179
2017-02-06$228.82$225.008.8%2.9%6.1%2.3%12.1%3.2%0.4%2.08B-14.70B-365.7M3.152.53N/AN/A522,2041,646,4736,685,91813,169,109
2017-02-07$228.88$225.009.1%3.0%6.0%3.8%11.7%3.2%0.4%1.46B-14.45B-371.4M2.032.46N/AN/A637,9411,295,4906,795,35613,940,125
2017-02-08$229.35$226.009.0%3.0%6.0%3.5%12.1%3.5%0.6%3.48B-20.48B-365.8M2.272.50N/AN/A673,8381,532,7526,921,88314,262,876
2017-02-09$230.63$226.009.0%2.8%6.2%3.6%10.9%2.9%0.7%7.63B-36.97B-366.1M1.342.38N/AN/A1,305,2541,750,5996,838,02814,506,694
2017-02-10$231.50$226.009.0%2.9%6.3%3.5%11.2%2.5%1.1%7.73B-43.55B-372.3M1.402.71N/AN/A1,235,3841,725,7507,126,71215,050,483
2017-02-13$232.83$226.008.9%2.8%6.5%3.6%10.3%2.5%0.7%9.05B-55.68B-353.3M0.972.95N/AN/A1,606,3931,560,7447,105,06714,843,760
2017-02-14$233.59$226.008.8%2.6%6.1%2.9%10.6%2.2%0.5%10.92B-67.57B-342.3M1.622.91N/AN/A1,056,8521,715,0717,361,02315,305,546
2017-02-15$234.94$227.009.9%2.8%6.3%12.4%11.0%2.2%-0.4%9.95B-78.17B-344.3M1.533.15N/AN/A1,519,0892,321,0807,492,40215,832,489
2017-02-16$234.54$228.009.7%2.8%6.1%11.0%11.1%2.9%-0.2%7.54B-66.88B-360.7M1.962.92N/AN/A1,169,3602,293,6097,568,49216,372,669
2017-02-17$234.82$228.009.3%2.7%6.1%8.0%10.4%3.1%-0.2%10.06B-66.30B-372.0M1.622.99N/AN/A1,186,3641,922,8377,676,45817,157,302
2017-02-21$236.64$229.009.4%2.8%6.3%9.0%10.6%2.6%0.1%5.40B-49.59B-363.1M1.593.14N/AN/A1,103,8661,758,7866,052,09212,985,896
2017-02-22$236.29$230.009.5%2.9%6.3%9.8%11.1%2.9%0.4%3.61B-42.20B-382.7M1.991.92N/AN/A789,5871,570,4396,286,54213,656,255
2017-02-23$236.33$230.009.6%2.8%5.9%10.0%11.0%3.3%0.6%2.94B-38.67B-394.0M1.923.02N/AN/A890,9391,709,1966,352,26013,794,732
2017-02-24$236.59$230.009.4%2.8%5.8%8.5%11.0%3.5%0.7%2.06B-37.65B-408.2M1.562.49N/AN/A1,041,8541,620,6916,543,11614,501,115
2017-02-27$237.11$230.5010.3%3.0%5.7%16.9%11.5%3.3%-0.8%3.45B-39.06B-394.4M1.643.64N/AN/A856,7751,400,9546,348,59713,964,319
2017-02-28$236.38$231.0010.6%3.3%5.2%19.3%12.5%3.4%-0.3%1.33B-29.44B-419.4M1.842.92N/AN/A845,1871,553,7606,682,95214,443,045