SPY Options History — July 2017 In July 2017, SPY traded between $240.53 and $247.34. ATM implied volatility averaged 8.0%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.3% (HV 20d: 7.6%). Max pain ranged from $243.00 to $245.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.66.
Notable Days 2017-07-27 : Highest Volume — 3,306,795 contracts2017-07-06 : Largest IV spike — 17.3% change2017-07-03 : Highest IV Rank — 25.9%2017-07-06 : Largest Expected Move — 2.9%Monthly Statistics Metric Avg Min Max Open Close Price $245.07 $240.53 $247.34 $242.21 $247.18 Max Pain $244.13 $243.00 $245.00 $243.00 $245.00 ATM IV 8.0% 6.9% 10.0% 10.0% 8.5% Expected Move 2.3% 1.9% 2.9% 2.6% 2.1% HV 20d 7.6% 6.1% 8.6% 6.9% 6.1% HV 60d 7.2% 6.9% 7.6% 7.1% 6.9% IV Rank 10.1% 1.7% 25.9% 25.9% 14.6% IV Percentile 12.5% 0.4% 50.0% 50.0% 24.2% Term Structure 0.1% -1.0% 1.5% -0.9% -0.9% VWIV 8.9% 7.3% 11.7% 9.2% 8.3% Skew 25d 3.5% 2.8% 5.1% 3.9% 3.8% Skew 10d 6.7% 4.9% 10.1% 7.1% 6.9% Call IV 25d 6.4% 5.9% 8.0% 7.3% 6.1% Put IV 25d 9.9% 8.7% 13.1% 11.2% 9.8% Bid-Ask Spread % 2.34 1.49 3.27 3.27 3.00 Gamma HHI 0.07 0.04 0.13 0.04 0.06 Net GEX 4.05B -7.84B 14.06B -2.71B 3.54B Net DEX -19.09B -50.11B 27.75B 5.78B -21.73B Net VEX -401.0M -432.8M -380.9M -424.3M -409.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 1.16 2.18 1.80 1.97 Total Volume 2,017,037.2 1,285,160 3,306,795 1,386,584 1,473,820 Total OI 19,261,088 17,674,381 21,737,488 17,674,381 19,430,325
Daily Data (20 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 2017-07-03 $242.21 $243.00 10.0% 2.6% 6.9% 25.9% 9.2% 3.9% -0.9% -2.71B 5.78B -424.3M 1.80 3.27 N/A N/A 494,689 891,895 5,480,187 12,194,194 2017-07-05 $242.92 $243.00 8.4% 2.4% 7.0% 13.7% 9.2% 3.8% -0.8% -1.66B 1.56B -414.9M 1.70 2.96 N/A N/A 627,932 1,066,364 5,615,908 12,448,215 2017-07-06 $240.53 $244.00 9.9% 2.9% 7.7% 25.3% 11.7% 5.1% 0.0% -7.84B 27.75B -432.8M 1.78 2.41 N/A N/A 804,934 1,435,972 5,610,704 12,569,821 2017-07-07 $242.23 $244.00 8.6% 2.7% 8.2% 15.3% 10.3% 4.1% 0.1% -2.75B 6.71B -420.2M 1.91 2.33 N/A N/A 735,917 1,405,045 5,827,366 12,916,235 2017-07-10 $242.68 $244.00 8.1% 2.5% 8.2% 11.0% 10.1% 3.7% 0.4% -1.60B 576.8M -399.5M 1.42 2.36 N/A N/A 660,736 935,729 5,655,405 12,664,268 2017-07-11 $242.21 $244.00 8.7% 2.6% 8.2% 15.8% 9.8% 3.8% 0.2% -3.87B 6.48B -405.1M 1.16 2.16 N/A N/A 991,207 1,148,198 5,732,704 12,945,737 2017-07-12 $244.10 $244.00 7.8% 2.4% 8.4% 8.9% 9.7% 3.8% -0.2% 4.33B -17.84B -399.2M 1.77 2.35 N/A N/A 842,536 1,487,377 5,961,897 13,142,925 2017-07-13 $244.46 $244.00 7.6% 2.3% 8.4% 7.2% 9.0% 3.5% -0.2% 4.60B -21.35B -396.4M 2.18 1.84 N/A N/A 511,017 1,112,519 6,017,604 13,231,193 2017-07-14 $245.82 $244.00 7.2% 2.1% 8.6% 3.9% 8.7% 2.8% 0.8% 7.71B -37.91B -386.5M 1.25 1.84 N/A N/A 1,163,233 1,452,706 6,104,651 13,611,224 2017-07-17 $245.52 $244.00 7.6% 2.1% 8.4% 6.9% 8.9% 3.1% -0.2% 6.34B -29.55B -394.0M 1.56 1.95 N/A N/A 546,586 855,410 6,191,482 13,310,499 2017-07-18 $245.62 $244.00 7.4% 2.1% 7.8% 5.7% 8.7% 3.2% -0.2% 6.84B -30.76B -389.2M 1.93 1.85 N/A N/A 517,658 997,176 6,379,897 13,547,952 2017-07-19 $246.91 $244.00 7.3% 2.1% 7.6% 4.9% 8.4% 2.9% 0.8% 13.07B -48.27B -383.7M 1.34 2.03 N/A N/A 1,203,204 1,618,244 6,491,554 13,920,790 2017-07-20 $247.12 $244.00 7.5% 2.1% 7.6% 6.8% 8.3% 2.8% 0.9% 14.06B -50.11B -389.4M 1.42 2.70 N/A N/A 881,401 1,249,525 6,784,511 14,424,712 2017-07-21 $246.66 $244.00 7.4% 2.0% 7.7% 5.6% 8.3% 2.8% 1.0% 11.42B -39.02B -395.5M 1.65 1.49 N/A N/A 941,941 1,557,016 6,886,170 14,851,318 2017-07-24 $246.93 $244.00 7.8% 2.0% 7.7% 8.9% 7.3% 3.1% -0.9% 6.16B -27.92B -388.7M 1.45 2.91 N/A N/A 524,477 760,683 5,767,593 12,201,353 2017-07-25 $247.34 $244.50 7.4% 1.9% 7.7% 6.0% 8.2% 2.8% -1.0% 8.01B -33.59B -380.9M 1.78 1.92 N/A N/A 696,089 1,236,544 5,972,630 12,464,106 2017-07-26 $247.24 $245.00 6.9% 2.0% 7.2% 1.7% 8.1% 3.1% 1.3% 6.32B -30.74B -385.8M 1.32 2.11 N/A N/A 898,750 1,188,757 6,142,200 12,932,655 2017-07-27 $246.84 $245.00 7.4% 2.1% 6.9% 5.4% 8.4% 3.4% 1.3% 3.95B -20.91B -407.6M 1.75 2.65 N/A N/A 1,201,257 2,105,538 6,312,419 13,112,723 2017-07-28 $246.98 $245.00 7.7% 2.0% 6.2% 8.1% 8.2% 3.6% 1.5% 5.09B -20.87B -417.3M 2.06 2.68 N/A N/A 692,727 1,425,935 6,536,563 13,830,070 2017-07-31 $247.18 $245.00 8.5% 2.1% 6.1% 14.6% 8.3% 3.8% -0.9% 3.54B -21.73B -409.5M 1.97 3.00 N/A N/A 496,831 976,989 6,001,532 13,428,793
« Jun 2017 | All History | Aug 2017 » Home SPY History July 2017