SPY Options History — June 2017 In June 2017, SPY traded between $241.64 and $244.56. ATM implied volatility averaged 7.8%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.9% (HV 20d: 6.9%). Max pain ranged from $237.00 to $243.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.53.
Notable Days 2017-06-09 : Highest Volume — 3,992,974 contracts2017-06-27 : Largest IV spike — 15.0% change2017-06-29 : Highest IV Rank — 19.8%2017-06-29 : Largest Expected Move — 2.7%Monthly Statistics Metric Avg Min Max Open Close Price $243.28 $241.64 $244.56 $242.98 $242.58 Max Pain $241.32 $237.00 $243.00 $237.00 $243.00 ATM IV 7.8% 6.7% 9.2% 7.4% 8.0% Expected Move 2.4% 2.2% 2.7% 2.5% 2.4% HV 20d 6.9% 5.0% 7.9% 7.6% 6.9% HV 60d 6.9% 6.3% 7.2% 7.1% 7.1% IV Rank 7.9% 0.0% 19.8% 0.3% 9.9% IV Percentile 6.7% 0.0% 26.2% 0.4% 7.9% Term Structure 0.1% -1.2% 1.5% -1.0% -1.2% VWIV 9.2% 8.2% 10.0% 9.6% 9.4% Skew 25d 3.6% 2.9% 4.4% 3.9% 3.7% Skew 10d 6.7% 5.5% 8.2% 6.9% 6.8% Call IV 25d 6.7% 6.2% 7.3% 6.3% 6.8% Put IV 25d 10.3% 9.5% 11.6% 10.1% 10.6% Bid-Ask Spread % 3.29 2.09 4.81 3.70 2.09 Gamma HHI 0.06 0.04 0.11 0.07 0.04 Net GEX 1.78B -6.06B 8.14B 7.53B -2.31B Net DEX -21.39B -58.64B 16.09B -43.99B 3.09B Net VEX -405.1M -424.0M -377.7M -398.9M -420.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 0.94 1.98 1.48 1.91 Total Volume 2,318,509.864 1,489,136 3,992,974 2,392,907 2,348,297 Total OI 20,954,047.955 17,104,554 23,981,006 21,951,902 19,840,166
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 2017-06-01 $242.98 $237.00 7.4% 2.5% 7.6% 0.3% 9.6% 3.9% -1.0% 7.53B -43.99B -398.9M 1.48 3.70 N/A N/A 964,312 1,428,595 6,992,146 14,959,756 2017-06-02 $244.09 $237.00 7.1% 2.5% 7.7% 0.0% 9.1% 3.1% -0.5% 8.14B -58.64B -401.4M 1.26 3.63 N/A N/A 1,248,946 1,568,392 7,203,143 15,465,966 2017-06-05 $244.09 $240.00 6.7% 2.3% 7.7% 0.0% 9.6% 3.1% 0.6% 6.69B -51.62B -394.8M 1.98 2.81 N/A N/A 543,943 1,075,052 7,063,747 14,953,001 2017-06-06 $243.34 $240.00 7.7% 2.5% 7.8% 7.4% 9.0% 3.5% 0.9% 3.25B -39.99B -410.6M 1.01 3.05 N/A N/A 1,118,508 1,134,910 7,243,060 15,301,646 2017-06-07 $243.89 $240.00 7.6% 2.4% 7.8% 7.1% 9.6% 3.5% -0.2% 6.52B -47.10B -414.1M 1.96 3.23 N/A N/A 716,215 1,406,083 7,532,255 15,621,407 2017-06-08 $243.69 $240.00 7.5% 2.3% 7.8% 5.8% 9.4% 3.6% -0.4% 4.50B -45.35B -406.4M 1.50 3.35 N/A N/A 706,683 1,059,277 7,460,222 15,847,161 2017-06-09 $243.09 $241.00 7.7% 2.5% 7.9% 7.6% 9.7% 4.2% -0.8% 128.4M -34.18B -415.8M 1.65 3.75 N/A N/A 1,509,590 2,483,384 7,600,324 16,057,488 2017-06-12 $242.93 $241.00 7.0% 2.4% 7.8% 2.6% 9.7% 4.4% 1.2% 1.46B -26.38B -405.5M 1.63 3.48 N/A N/A 796,466 1,299,925 7,197,345 15,801,858 2017-06-13 $244.43 $241.00 7.1% 2.3% 7.9% 2.9% 9.4% 3.5% 0.5% 6.75B -46.69B -390.5M 1.64 3.47 N/A N/A 731,178 1,202,706 7,314,176 16,209,539 2017-06-14 $244.02 $241.00 7.4% 2.3% 7.9% 5.7% 9.2% 3.8% -0.1% 4.76B -38.78B -399.4M 1.20 4.81 N/A N/A 1,154,420 1,384,514 7,391,928 16,589,078 2017-06-15 $243.56 $242.00 7.4% 2.2% 5.0% 5.2% 9.1% 3.0% -0.3% 6.97B -34.85B -377.7M 0.94 4.45 N/A N/A 1,588,806 1,496,397 7,287,313 16,347,401 2017-06-16 $242.41 $242.00 8.5% 2.5% 5.4% 13.3% 8.7% 3.8% 1.5% -6.06B 5.88B -400.1M 1.60 2.84 N/A N/A 1,068,244 1,704,839 6,122,181 16,749,900 2017-06-19 $244.56 $242.00 7.3% 2.2% 6.0% 4.9% 8.2% 2.9% 0.5% 4.53B -20.22B -388.2M 1.64 3.11 N/A N/A 855,428 1,399,101 5,186,662 11,917,892 2017-06-20 $243.15 $242.00 8.2% 2.5% 6.2% 11.5% 9.6% 3.5% 1.1% -1.47B -2.39B -414.3M 1.53 2.80 N/A N/A 794,761 1,215,554 5,362,385 12,437,619 2017-06-21 $242.97 $242.00 8.6% 2.5% 6.2% 14.4% 10.0% 3.5% 0.0% -3.05B -424.2M -416.0M 1.54 2.68 N/A N/A 874,171 1,342,872 5,574,999 12,701,626 2017-06-22 $242.99 $243.00 8.3% 2.4% 6.2% 11.9% 9.0% 3.4% 0.1% -1.00B -2.18B -406.3M 1.64 2.26 N/A N/A 564,916 924,220 5,542,575 12,762,282 2017-06-23 $243.04 $243.00 8.0% 2.3% 5.9% 9.7% 8.8% 3.5% 0.1% 11.4M -2.41B -402.3M 1.62 3.38 N/A N/A 756,747 1,223,097 5,681,409 12,986,612 2017-06-26 $243.45 $243.00 7.6% 2.2% 5.9% 7.0% 8.3% 3.5% 0.2% -1.1M -5.41B -400.4M 1.39 3.46 N/A N/A 728,751 1,009,608 5,461,273 12,719,841 2017-06-27 $241.86 $243.00 8.8% 2.5% 6.4% 15.6% 9.0% 3.9% 0.2% -4.28B 10.63B -408.8M 1.29 3.57 N/A N/A 958,613 1,239,613 5,561,568 12,860,430 2017-06-28 $243.49 $243.00 8.0% 2.2% 6.8% 10.4% 9.2% 3.5% -0.6% 1.69B -5.65B -415.9M 1.57 3.62 N/A N/A 771,275 1,213,296 5,887,305 13,154,751 2017-06-29 $241.64 $243.00 9.2% 2.7% 7.0% 19.8% 9.8% 4.2% 0.8% -5.70B 16.09B -424.0M 1.59 2.82 N/A N/A 1,311,264 2,084,248 5,786,576 13,251,043 2017-06-30 $242.58 $243.00 8.0% 2.4% 6.9% 9.9% 9.4% 3.7% -1.2% -2.31B 3.09B -420.2M 1.91 2.09 N/A N/A 806,975 1,541,322 6,103,210 13,736,956
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