SPY Options History — August 2017 In August 2017, SPY traded between $243.06 and $247.81. ATM implied volatility averaged 9.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.3% (HV 20d: 6.8%). Max pain ranged from $244.00 to $245.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.92.
Notable Days 2017-08-10 : Highest Volume — 4,964,853 contracts2017-08-08 : Largest IV spike — 41.8% change2017-08-17 : Highest IV Rank — 46.0%2017-08-11 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $245.70 $243.06 $247.81 $247.25 $247.45 Max Pain $244.65 $244.00 $245.00 $245.00 $245.00 ATM IV 9.1% 6.0% 12.1% 7.8% 8.2% Expected Move 2.7% 1.9% 3.5% 2.0% 2.4% HV 20d 6.8% 3.3% 9.2% 6.1% 9.2% HV 60d 7.1% 6.5% 7.4% 6.9% 7.4% IV Rank 22.5% 0.0% 46.0% 8.7% 16.5% IV Percentile 37.3% 0.0% 83.7% 11.1% 21.4% Term Structure 0.1% -1.2% 1.2% -0.9% 0.3% VWIV 10.7% 7.8% 13.5% 7.8% 8.8% Skew 25d 4.9% 3.5% 6.9% 3.5% 3.9% Skew 10d 9.3% 6.4% 14.3% 6.4% 7.7% Call IV 25d 7.1% 5.7% 9.4% 5.8% 6.6% Put IV 25d 12.0% 9.4% 15.8% 9.4% 10.5% Bid-Ask Spread % 2.40 1.70 3.56 1.90 1.87 Gamma HHI 0.05 0.03 0.08 0.06 0.05 Net GEX -3.33B -12.51B 3.45B 3.44B 2.73B Net DEX 6.97B -25.24B 49.30B -23.72B -17.70B Net VEX -453.5M -503.4M -398.8M -399.6M -443.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.92 1.46 2.26 1.89 1.46 Total Volume 2,683,323.478 1,472,369 4,964,853 1,610,146 3,082,173 Total OI 22,602,721.087 19,841,515 26,000,838 19,841,515 23,179,147
Daily Data (23 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 2017-08-01 $247.25 $245.00 7.8% 2.0% 6.1% 8.7% 7.8% 3.5% -0.9% 3.44B -23.72B -399.6M 1.89 1.90 N/A N/A 556,491 1,053,655 6,110,981 13,730,534 2017-08-02 $247.27 $245.00 7.2% 1.9% 6.0% 4.2% 7.9% 3.7% 1.2% 3.32B -20.87B -419.0M 1.81 2.74 N/A N/A 815,856 1,472,706 6,293,443 14,016,026 2017-08-03 $246.92 $244.00 7.8% 2.4% 4.6% 8.4% 10.4% 4.2% 1.0% 467.7M -13.64B -427.6M 2.20 1.82 N/A N/A 537,542 1,185,248 6,254,548 14,176,756 2017-08-04 $247.23 $244.00 7.9% 2.4% 4.1% 9.3% 10.1% 3.9% 1.1% 1.25B -20.52B -417.9M 2.01 1.75 N/A N/A 804,912 1,616,686 6,340,898 14,577,030 2017-08-07 $247.81 $244.00 6.0% 2.3% 4.1% 0.0% 9.2% 3.6% 1.2% 3.45B -25.24B -398.8M 1.97 1.70 N/A N/A 533,175 1,050,740 6,084,697 14,368,963 2017-08-08 $247.26 $244.00 8.6% 2.6% 4.1% 19.0% 10.1% 4.3% -1.2% -26.5M -14.72B -419.8M 1.99 1.79 N/A N/A 1,074,044 2,131,925 6,283,194 14,794,072 2017-08-09 $247.14 $244.00 8.6% 2.7% 3.3% 19.8% 11.1% 4.9% 0.1% -2.50B -9.26B -444.8M 1.92 1.78 N/A N/A 1,204,988 2,318,248 6,532,707 15,496,340 2017-08-10 $243.95 $244.00 11.7% 3.5% 5.8% 42.5% 12.6% 6.6% -0.3% -9.33B 39.64B -496.3M 1.67 2.29 N/A N/A 1,858,928 3,105,925 6,692,192 15,892,611 2017-08-11 $244.28 $244.00 11.8% 3.5% 5.5% 43.4% 13.1% 6.9% -0.3% -7.65B 31.11B -503.4M 2.13 2.03 N/A N/A 1,207,342 2,571,843 7,205,434 16,593,517 2017-08-14 $246.52 $244.00 8.4% 2.6% 6.4% 17.9% 11.0% 5.0% 0.8% -2.27B -4.61B -460.8M 2.19 2.50 N/A N/A 824,359 1,807,142 6,934,199 16,581,899 2017-08-15 $246.83 $245.00 8.5% 2.6% 6.4% 18.9% 11.1% 5.3% 0.8% -1.08B -10.30B -454.2M 2.07 2.22 N/A N/A 714,230 1,478,814 7,101,167 16,982,361 2017-08-16 $246.83 $245.00 8.8% 2.5% 6.1% 21.3% 10.5% 4.6% -0.3% -993.7M -9.20B -448.4M 2.09 2.30 N/A N/A 946,719 1,974,031 7,296,390 17,390,430 2017-08-17 $243.47 $245.00 12.1% 3.5% 7.8% 46.0% 13.5% 6.4% -0.5% -11.11B 48.58B -499.7M 2.15 2.82 N/A N/A 1,433,709 3,083,463 7,382,212 17,762,655 2017-08-18 $243.26 $245.00 11.6% 3.4% 7.8% 41.7% 12.6% 5.8% -0.5% -12.51B 49.30B -488.0M 1.84 2.43 N/A N/A 1,464,653 2,689,065 7,657,122 18,343,716 2017-08-21 $243.06 $245.00 10.9% 3.2% 7.8% 36.4% 12.6% 5.1% -0.1% -8.64B 41.43B -475.6M 1.82 2.74 N/A N/A 764,649 1,393,502 6,480,684 15,308,556 2017-08-22 $245.50 $245.00 9.5% 2.7% 8.6% 26.1% 10.5% 4.7% 0.1% -3.38B 9.50B -456.6M 1.77 2.43 N/A N/A 944,044 1,672,300 6,749,228 15,599,836 2017-08-23 $244.81 $245.00 9.5% 2.8% 8.7% 26.1% 11.4% 4.7% -0.3% -6.75B 19.51B -477.4M 2.06 2.91 N/A N/A 653,250 1,348,038 6,989,991 16,039,679 2017-08-24 $244.09 $245.00 10.0% 3.0% 8.7% 29.7% 11.2% 5.3% -0.7% -7.51B 30.09B -484.6M 1.75 2.65 N/A N/A 655,755 1,145,830 6,844,878 16,011,271 2017-08-25 $244.80 $245.00 8.8% 2.6% 8.8% 20.9% 10.4% 4.8% -0.1% -4.78B 19.39B -467.0M 1.70 3.18 N/A N/A 869,107 1,477,362 7,004,011 16,298,758 2017-08-28 $244.49 $245.00 8.5% 2.7% 8.8% 19.0% 9.7% 4.9% 1.0% -5.87B 21.77B -452.4M 1.56 3.23 N/A N/A 575,821 896,548 6,748,756 15,596,162 2017-08-29 $244.93 $245.00 9.0% 2.7% 8.8% 22.4% 10.8% 5.0% 0.3% -5.01B 16.44B -447.2M 2.26 3.56 N/A N/A 671,762 1,515,659 6,919,980 15,886,178 2017-08-30 $245.85 $245.00 8.6% 2.6% 8.9% 19.1% 10.1% 4.9% 0.4% -1.72B 3.22B -449.5M 1.75 2.70 N/A N/A 921,550 1,612,651 7,058,090 16,271,286 2017-08-31 $247.45 $245.00 8.2% 2.4% 9.2% 16.5% 8.8% 3.9% 0.3% 2.73B -17.70B -443.0M 1.46 1.87 N/A N/A 1,251,157 1,831,016 7,052,575 16,126,572
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