SPY Options History — March 2017

In March 2017, SPY traded between $233.83 and $240.15. ATM implied volatility averaged 9.3%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.1% (HV 20d: 8.3%). Max pain ranged from $231.00 to $237.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.58.

Notable Days

  • 2017-03-01: Highest Volume — 4,636,277 contracts
  • 2017-03-14: Largest IV spike — 15.1% change
  • 2017-03-23: Highest IV Rank — 24.6%
  • 2017-03-01: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$236.64$233.83$240.15$240.15$236.23
Max Pain$235.52$231.00$237.00$231.00$237.00
ATM IV9.3%7.9%10.8%10.0%9.7%
Expected Move2.7%2.4%3.2%3.2%2.4%
HV 20d8.3%7.1%9.6%7.1%7.2%
HV 60d7.5%7.1%7.8%7.6%7.2%
IV Rank10.8%0.0%24.6%13.8%15.6%
IV Percentile14.3%0.0%44.0%23.8%24.6%
Term Structure0.2%-0.6%1.1%-0.0%0.3%
VWIV10.3%8.6%12.3%11.6%8.9%
Skew 25d3.1%1.9%3.9%2.7%3.3%
Skew 10d6.2%3.5%8.4%4.9%6.3%
Call IV 25d8.2%7.4%9.3%9.0%8.3%
Put IV 25d11.4%9.5%13.2%11.7%11.6%
Bid-Ask Spread %3.192.284.323.033.88
Gamma HHI0.050.030.070.060.03
Net GEX-1.46B-8.47B6.82B6.29B-858.7M
Net DEX-10.63B-70.68B31.73B-70.68B-564.8M
Net VEX-428.6M-468.7M-395.1M-395.3M-443.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.581.031.961.491.87
Total Volume2,797,154.131,566,7634,636,2774,636,2772,458,103
Total OI21,792,775.17417,906,13923,811,25922,077,90321,777,444

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$240.15$231.0010.0%3.2%7.1%13.8%11.6%2.7%-0.0%6.29B-70.68B-395.3M1.493.03N/AN/A1,862,4242,773,8536,986,52115,091,382
2017-03-02$238.41$232.009.7%2.9%8.0%11.2%10.6%2.7%-0.6%2.58B-44.04B-432.4M1.403.03N/AN/A1,117,1871,563,7587,133,19815,319,889
2017-03-03$238.36$232.008.8%2.6%8.0%3.5%9.9%2.4%-0.5%3.14B-44.14B-418.8M1.552.28N/AN/A1,069,0551,658,5247,319,29715,679,799
2017-03-06$238.06$235.008.3%2.7%7.8%0.0%10.5%2.9%0.7%1.32B-35.11B-414.0M1.842.79N/AN/A621,2941,140,6847,002,66915,126,256
2017-03-07$236.91$235.009.2%2.7%7.9%7.7%10.6%3.0%-0.5%-1.22B-20.73B-418.3M1.612.80N/AN/A735,9071,184,3747,098,20715,425,707
2017-03-08$236.65$235.009.2%2.7%8.0%7.1%11.0%3.2%0.7%-2.95B-17.05B-419.5M1.542.84N/AN/A941,4671,449,4897,286,03015,741,490
2017-03-09$236.93$235.009.5%2.8%8.0%10.1%10.7%3.5%0.9%-1.36B-19.61B-420.5M1.892.93N/AN/A841,1901,588,4387,207,45115,881,765
2017-03-10$237.46$235.009.2%2.7%7.9%7.3%11.0%3.7%1.1%189.2M-24.98B-422.6M1.513.02N/AN/A1,109,7341,672,7697,360,62316,323,582
2017-03-13$237.80$235.007.9%2.6%7.8%0.0%10.6%3.5%0.7%1.49B-27.78B-414.7M1.673.12N/AN/A586,090980,6736,976,59315,695,368
2017-03-14$236.90$235.009.1%2.7%7.8%10.0%10.3%3.4%0.8%-550.7M-18.29B-423.8M1.643.22N/AN/A847,3571,388,2227,200,89415,984,957
2017-03-15$239.17$235.008.5%2.5%8.4%4.9%9.8%2.8%-0.2%6.82B-48.86B-406.9M1.283.63N/AN/A1,318,2651,692,2397,399,20416,362,380
2017-03-16$238.41$236.007.9%2.4%8.3%0.0%9.0%1.9%-0.2%4.16B-39.03B-395.1M1.033.39N/AN/A1,519,2331,563,8217,382,43416,428,825
2017-03-17$237.35$236.008.8%2.5%8.5%8.3%9.2%2.8%1.0%-5.69B941.9M-413.0M1.892.47N/AN/A1,074,9712,030,5726,031,08416,981,174
2017-03-20$236.85$237.009.2%2.5%8.6%11.4%9.1%3.2%-0.6%-3.47B3.31B-419.8M1.962.72N/AN/A642,6461,256,8265,398,11412,508,025
2017-03-21$233.85$237.009.7%2.9%9.3%15.6%10.3%3.5%0.5%-8.47B31.73B-439.0M1.563.37N/AN/A1,732,1192,700,1935,617,53112,909,518
2017-03-22$234.32$237.0010.2%2.9%9.3%19.4%11.3%3.6%0.0%-7.79B27.83B-459.6M1.293.07N/AN/A1,749,7982,250,7206,200,93813,582,644
2017-03-23$233.87$237.0010.8%3.1%9.3%24.6%11.2%3.9%-0.2%-4.91B29.89B-468.7M1.403.03N/AN/A1,165,4571,632,1766,778,49013,691,962
2017-03-24$233.98$237.0010.5%3.0%9.3%22.1%12.3%3.9%-0.3%-8.42B31.37B-468.4M1.874.32N/AN/A1,500,4382,802,7107,010,08114,005,609
2017-03-27$233.83$237.009.9%2.9%9.3%17.3%11.3%3.8%0.5%-7.24B28.34B-447.6M1.933.49N/AN/A942,7081,814,9476,261,51213,851,932
2017-03-28$235.43$237.009.6%2.6%9.6%14.1%9.8%2.8%-0.1%-2.63B7.39B-440.0M1.453.61N/AN/A1,103,5191,595,1546,522,79314,086,835
2017-03-29$235.59$237.009.3%2.5%7.5%12.1%9.2%2.9%0.1%-3.07B6.44B-440.9M1.313.39N/AN/A1,089,1441,423,1296,748,76214,542,842
2017-03-30$236.25$237.009.3%2.4%7.2%12.3%8.6%2.9%0.4%-1.05B-813.1M-436.5M1.434.05N/AN/A882,4361,260,7326,728,35214,583,666
2017-03-31$236.23$237.009.7%2.4%7.2%15.6%8.9%3.3%0.3%-858.7M-564.8M-443.2M1.873.88N/AN/A856,1421,601,9616,908,82814,868,616