SPY Options History — April 2017

In April 2017, SPY traded between $233.03 and $238.73. ATM implied volatility averaged 10.6%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.1% (HV 20d: 6.5%). Max pain ranged from $236.00 to $237.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.64.

Notable Days

  • 2017-04-05: Highest Volume — 3,840,423 contracts
  • 2017-04-24: Largest IV drop — 17.8% change
  • 2017-04-12: Highest IV Rank — 43.3%
  • 2017-04-17: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$235.55$233.03$238.73$235.40$238.03
Max Pain$236.21$236.00$237.00$237.00$237.00
ATM IV10.6%7.9%13.1%10.1%7.9%
Expected Move3.0%2.3%3.7%2.5%2.3%
HV 20d6.5%4.3%7.3%7.3%6.7%
HV 60d7.2%7.0%7.5%7.2%7.4%
IV Rank22.8%0.7%43.3%18.7%0.7%
IV Percentile41.5%0.8%80.2%33.7%0.8%
Term Structure-0.1%-1.4%1.0%-0.1%-0.7%
VWIV11.4%8.7%16.0%9.7%9.2%
Skew 25d4.5%2.1%6.4%3.7%3.4%
Skew 10d8.4%4.4%12.3%6.9%6.4%
Call IV 25d8.7%7.0%10.3%8.4%7.0%
Put IV 25d13.2%9.9%16.5%12.2%10.4%
Bid-Ask Spread %3.653.094.573.903.59
Gamma HHI0.040.030.060.030.05
Net GEX-3.41B-10.39B6.94B-3.77B2.20B
Net DEX12.31B-28.48B43.69B11.90B-16.27B
Net VEX-453.6M-477.5M-429.4M-444.3M-435.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.982.891.611.72
Total Volume2,768,650.684836,9123,840,4232,327,2572,285,816
Total OI22,778,407.36820,019,98926,554,58120,019,98923,062,470

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$235.40$237.0010.1%2.5%7.3%18.7%9.7%3.7%-0.1%-3.77B11.90B-444.3M1.613.90N/AN/A890,0021,437,2556,507,91113,512,078
2017-04-04$235.46$236.509.7%2.4%7.2%15.1%9.1%3.8%-0.1%-3.79B11.68B-440.3M1.603.88N/AN/A696,9561,118,5546,644,99413,852,215
2017-04-05$235.12$236.5010.0%2.7%7.2%18.0%9.7%3.9%0.4%-4.61B15.14B-444.7M1.494.57N/AN/A1,541,5082,298,9156,810,02614,186,127
2017-04-06$235.30$236.0010.1%3.0%7.1%18.8%11.3%4.1%0.6%-4.85B16.15B-447.3M1.363.48N/AN/A1,071,2231,459,3216,999,88314,412,950
2017-04-07$235.26$236.0010.5%3.1%7.1%22.4%11.6%4.5%0.7%-5.88B18.30B-462.9M1.553.43N/AN/A947,4301,465,3717,216,37014,852,045
2017-04-10$235.35$236.0011.7%3.3%7.1%31.7%11.9%5.5%-0.2%-4.49B16.29B-452.1M1.963.09N/AN/A918,5761,800,9386,987,22614,575,404
2017-04-11$234.66$236.0012.5%3.5%7.0%39.1%13.1%6.0%0.4%-6.65B26.70B-476.2M1.463.18N/AN/A1,204,0041,762,3727,204,53915,416,232
2017-04-12$233.94$236.0013.1%3.6%6.0%43.3%14.1%6.2%-0.9%-9.05B35.69B-477.5M1.483.31N/AN/A1,194,1951,764,3087,528,25715,740,407
2017-04-13$233.10$236.0013.0%3.7%6.0%42.5%13.3%6.4%-1.4%-10.39B43.69B-477.5M1.654.03N/AN/A1,223,3932,019,0957,701,36116,054,815
2017-04-17$233.03$236.0012.0%3.7%5.9%34.4%16.0%6.1%1.0%-9.72B42.76B-466.4M2.893.15N/AN/A215,231621,6817,532,35015,942,686
2017-04-18$234.01$236.0011.7%3.4%6.1%32.4%12.9%5.9%0.6%-7.41B31.06B-455.9M1.583.29N/AN/A1,169,5491,842,7957,799,39216,342,828
2017-04-19$233.20$236.0012.6%3.6%4.3%39.6%13.6%5.5%-1.2%-9.37B39.47B-469.2M1.683.50N/AN/A1,105,5071,852,7958,138,46116,803,904
2017-04-20$235.64$236.0010.8%3.1%5.7%24.2%11.2%5.0%0.4%-1.55B8.33B-460.8M2.013.70N/AN/A1,246,5042,499,3228,159,79717,098,985
2017-04-21$234.86$236.0011.4%3.3%5.8%29.9%12.8%5.5%-0.2%-5.89B22.74B-476.9M1.923.64N/AN/A1,279,5882,450,6888,379,12718,175,454
2017-04-24$237.25$236.009.4%2.5%6.7%12.9%9.9%3.2%-0.8%2.41B-10.27B-429.4M1.774.01N/AN/A1,088,7661,928,6946,576,53014,859,052
2017-04-25$238.73$236.008.1%2.4%7.0%2.0%9.2%2.1%0.5%6.94B-28.48B-432.8M0.984.06N/AN/A1,696,2311,659,0156,778,27415,345,316
2017-04-26$238.59$236.008.4%2.4%6.7%4.9%9.4%2.3%-0.5%5.62B-26.66B-432.4M1.234.06N/AN/A1,154,3531,419,2477,225,98215,786,247
2017-04-27$238.60$237.008.1%2.3%6.7%2.4%8.7%2.6%-0.5%5.44B-24.29B-436.4M1.243.54N/AN/A1,017,3861,257,7797,310,37815,269,667
2017-04-28$238.03$237.007.9%2.3%6.7%0.7%9.2%3.4%-0.7%2.20B-16.27B-435.0M1.723.59N/AN/A839,1391,446,6777,520,69915,541,771