SPY Options History — May 2017 In May 2017, SPY traded between $236.28 and $241.91. ATM implied volatility averaged 8.5%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.4% (HV 20d: 7.1%). Max pain ranged from $234.00 to $237.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.68.
Notable Days 2017-05-17 : Highest Volume — 5,027,093 contracts2017-05-17 : Largest IV spike — 44.2% change2017-05-17 : Highest IV Rank — 38.8%2017-05-17 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $239.53 $236.28 $241.91 $239.00 $241.45 Max Pain $235.45 $234.00 $237.00 $237.00 $237.00 ATM IV 8.5% 7.4% 12.2% 7.4% 8.4% Expected Move 2.7% 2.2% 3.5% 2.2% 2.6% HV 20d 7.1% 6.4% 8.8% 6.8% 7.4% HV 60d 7.4% 7.1% 7.9% 7.5% 7.1% IV Rank 9.3% 0.0% 38.8% 0.0% 8.2% IV Percentile 11.7% 0.0% 74.2% 0.0% 8.3% Term Structure 0.3% -1.0% 1.0% 0.7% 0.5% VWIV 10.4% 8.6% 13.3% 8.7% 9.9% Skew 25d 3.5% 2.6% 5.8% 2.8% 4.1% Skew 10d 6.9% 4.8% 13.1% 5.6% 7.7% Call IV 25d 7.2% 6.5% 9.8% 6.8% 6.6% Put IV 25d 10.7% 9.1% 15.6% 9.6% 10.7% Bid-Ask Spread % 2.58 1.44 3.98 3.92 3.83 Gamma HHI 0.05 0.04 0.07 0.06 0.05 Net GEX 2.60B -8.82B 7.16B 4.66B 1.36B Net DEX -18.64B -36.01B 34.59B -24.24B -25.23B Net VEX -434.2M -471.9M -409.2M -433.1M -420.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.68 1.10 1.96 1.45 1.86 Total Volume 2,340,027.864 1,306,838 5,027,093 1,642,620 2,085,252 Total OI 23,108,741.682 20,960,091 25,988,405 21,622,250 22,066,826
Daily Data (22 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 2017-05-01 $239.00 $237.00 7.4% 2.2% 6.8% 0.0% 8.7% 2.8% 0.7% 4.66B -24.24B -433.1M 1.45 3.92 N/A N/A 671,820 970,800 7,073,696 14,548,554 2017-05-02 $238.58 $237.00 8.0% 2.4% 6.7% 4.7% 9.0% 2.8% 0.7% 3.55B -21.06B -423.1M 1.72 3.42 N/A N/A 657,733 1,131,447 7,270,020 14,813,272 2017-05-03 $238.54 $237.00 8.3% 2.4% 6.7% 7.8% 8.6% 3.2% -0.0% 1.01B -15.37B -437.2M 1.10 3.98 N/A N/A 1,096,802 1,203,606 7,468,372 15,188,891 2017-05-04 $238.68 $234.00 8.1% 2.7% 6.7% 5.7% 10.9% 2.9% -0.0% 3.30B -19.19B -437.6M 1.45 2.64 N/A N/A 838,359 1,216,445 7,547,809 15,222,932 2017-05-05 $239.46 $234.00 8.3% 2.8% 6.7% 7.3% 10.8% 3.1% 0.3% 7.16B -32.93B -424.9M 1.94 2.64 N/A N/A 891,607 1,726,989 7,754,295 15,587,369 2017-05-08 $239.41 $234.00 7.6% 2.7% 6.7% 1.9% 10.6% 2.6% 0.0% 4.83B -25.99B -419.6M 1.46 2.23 N/A N/A 834,404 1,216,248 7,425,645 15,286,599 2017-05-09 $239.26 $234.00 7.7% 2.7% 6.8% 3.0% 10.2% 2.7% -0.0% 3.83B -21.68B -430.8M 1.59 1.44 N/A N/A 748,211 1,189,738 7,584,947 15,639,082 2017-05-10 $239.76 $235.00 7.6% 2.6% 6.6% 2.0% 10.8% 2.9% 0.7% 6.84B -29.14B -437.1M 1.67 1.81 N/A N/A 703,965 1,175,866 7,754,619 16,026,573 2017-05-11 $239.45 $235.00 8.1% 2.8% 6.5% 5.7% 11.2% 3.1% 0.9% 4.81B -21.26B -444.1M 1.53 1.80 N/A N/A 915,606 1,404,000 7,782,135 16,178,742 2017-05-12 $238.89 $235.00 8.1% 2.7% 6.4% 5.8% 11.0% 3.3% 0.7% 242.5M -12.72B -449.1M 1.91 1.80 N/A N/A 828,579 1,580,256 7,937,696 16,566,312 2017-05-15 $240.17 $235.00 8.1% 2.6% 6.5% 6.0% 10.0% 3.1% 0.9% 6.90B -32.37B -415.4M 1.62 1.77 N/A N/A 692,426 1,124,038 7,647,927 16,306,171 2017-05-16 $240.08 $235.00 8.5% 2.5% 6.5% 8.8% 10.5% 3.4% 0.9% 5.90B -27.74B -430.0M 1.65 1.74 N/A N/A 723,787 1,192,723 7,811,810 16,698,062 2017-05-17 $236.28 $235.00 12.2% 3.5% 8.8% 38.8% 13.3% 5.8% -0.5% -8.82B 34.59B -471.9M 1.95 2.60 N/A N/A 1,706,649 3,320,444 7,974,061 17,019,916 2017-05-18 $237.13 $235.00 11.3% 3.3% 8.1% 31.7% 12.9% 5.5% -0.4% -5.44B 14.71B -461.9M 1.63 2.26 N/A N/A 1,361,761 2,214,958 8,182,482 17,181,729 2017-05-19 $238.14 $235.00 10.3% 3.0% 8.1% 23.1% 12.3% 4.6% -0.4% -2.94B 1.32B -462.3M 1.91 2.23 N/A N/A 1,455,325 2,784,018 8,389,878 17,598,527 2017-05-22 $239.60 $235.00 8.8% 2.6% 7.6% 11.2% 10.0% 4.0% -0.1% 653.4M -11.77B -438.1M 1.44 2.41 N/A N/A 743,376 1,073,102 6,483,235 14,476,856 2017-05-23 $239.88 $236.00 8.6% 2.6% 7.3% 10.0% 10.6% 3.9% 0.1% 808.2M -13.54B -438.8M 1.96 2.58 N/A N/A 607,043 1,189,093 6,653,282 14,814,049 2017-05-24 $240.59 $236.00 8.1% 2.4% 7.3% 6.0% 9.3% 3.9% 0.2% 3.67B -25.09B -422.6M 1.95 2.49 N/A N/A 590,591 1,152,552 6,792,759 15,152,342 2017-05-25 $241.91 $236.00 8.0% 2.4% 7.6% 4.8% 9.7% 3.1% 1.0% 6.33B -36.01B -424.7M 1.71 3.01 N/A N/A 1,147,616 1,961,081 6,802,058 15,172,272 2017-05-26 $241.74 $236.00 8.0% 2.4% 7.5% 5.5% 9.1% 3.1% 0.8% 4.25B -34.38B -420.2M 1.74 2.74 N/A N/A 747,427 1,298,032 7,103,096 15,727,626 2017-05-30 $241.75 $237.00 8.2% 2.5% 7.4% 6.6% 9.2% 3.7% -1.0% 4.24B -31.05B -409.2M 1.76 3.41 N/A N/A 473,373 833,465 6,959,444 14,720,349 2017-05-31 $241.45 $237.00 8.4% 2.6% 7.4% 8.2% 9.9% 4.1% 0.5% 1.36B -25.23B -420.5M 1.86 3.83 N/A N/A 729,079 1,356,173 7,076,894 14,989,932
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