SPY Options History — September 2017

In September 2017, SPY traded between $246.07 and $251.17. ATM implied volatility averaged 7.4%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 0.2% (HV 20d: 7.6%). Max pain ranged from $245.00 to $249.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2017-09-14: Highest Volume — 3,522,169 contracts
2017-09-05: Largest IV spike — 24.5% change
2017-09-05: Highest IV Rank — 24.7%
2017-09-05: Largest Expected Move — 2.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$249.04	$246.07	$251.17	$248.05	$251.17
Max Pain	$247.55	$245.00	$249.00	$245.00	$249.00
ATM IV	7.4%	6.6%	9.3%	7.5%	7.2%
Expected Move	2.2%	1.9%	2.9%	2.2%	1.9%
HV 20d	7.6%	5.9%	9.7%	9.3%	5.9%
HV 60d	7.4%	6.8%	7.8%	7.4%	6.8%
IV Rank	10.1%	4.6%	24.7%	10.9%	9.1%
IV Percentile	9.8%	0.4%	41.7%	7.5%	7.9%
Term Structure	0.5%	-0.2%	1.5%	0.3%	0.7%
VWIV	9.0%	7.7%	12.0%	8.0%	7.7%
Skew 25d	3.9%	2.9%	5.7%	3.8%	2.9%
Skew 10d	7.3%	5.3%	11.3%	6.7%	5.3%
Call IV 25d	6.2%	5.5%	7.3%	6.1%	5.8%
Put IV 25d	10.1%	8.7%	13.1%	10.0%	8.7%
Bid-Ask Spread %	2.63	1.79	4.01	1.79	2.29
Gamma HHI	0.06	0.04	0.12	0.08	0.12
Net GEX	4.48B	-4.66B	15.75B	6.17B	11.23B
Net DEX	-18.41B	-48.12B	10.79B	-28.40B	-37.51B
Net VEX	-434.1M	-460.8M	-413.1M	-432.2M	-413.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.62	2.07	1.90	2.07
Total Volume	2,455,072.85	1,608,534	3,522,169	2,812,885	2,973,464
Total OI	22,894,669.45	19,718,568	25,665,488	24,065,539	22,665,607

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
2017-09-01	$248.05	$245.00	7.5%	2.2%	9.3%	10.9%	8.0%	3.8%	0.3%	6.17B	-28.40B	-432.2M	1.90	1.79	N/A	N/A	969,615	1,843,270	7,367,445	16,698,094
2017-09-05	$246.07	$246.00	9.3%	2.9%	9.7%	24.7%	12.0%	5.7%	0.2%	-4.66B	10.79B	-460.8M	1.86	2.43	N/A	N/A	1,082,319	2,007,852	7,111,875	15,951,292
2017-09-06	$246.89	$246.00	8.2%	2.6%	9.7%	16.5%	10.9%	5.4%	1.4%	-1.89B	-3.85B	-441.6M	1.62	2.65	N/A	N/A	914,692	1,479,162	7,351,491	16,484,645
2017-09-07	$246.85	$246.00	8.3%	2.6%	9.7%	17.2%	10.8%	5.1%	1.5%	-723.6M	-1.76B	-442.7M	1.59	2.63	N/A	N/A	754,541	1,196,965	7,413,131	16,472,486
2017-09-08	$246.56	$246.00	8.8%	2.6%	8.5%	20.5%	11.1%	5.7%	1.5%	-3.31B	2.08B	-450.8M	1.79	2.83	N/A	N/A	1,019,362	1,821,744	7,555,214	16,788,879
2017-09-11	$249.10	$246.00	6.6%	2.3%	9.1%	4.6%	9.7%	4.3%	0.8%	11.68B	-35.85B	-431.6M	1.22	2.87	N/A	N/A	1,306,528	1,599,466	7,620,512	16,611,785
2017-09-12	$249.96	$247.00	6.8%	2.2%	8.7%	5.5%	8.9%	3.5%	0.2%	13.83B	-45.86B	-431.0M	1.25	3.89	N/A	N/A	1,292,399	1,610,930	7,909,558	17,033,448
2017-09-13	$250.13	$247.00	6.8%	2.1%	8.7%	6.1%	8.8%	3.6%	0.3%	15.75B	-48.12B	-419.6M	1.42	2.58	N/A	N/A	942,327	1,340,685	8,265,871	17,399,617
2017-09-14	$250.01	$247.00	6.7%	2.1%	8.7%	5.1%	8.3%	3.5%	0.3%	12.41B	-37.61B	-425.3M	0.62	3.40	N/A	N/A	2,177,595	1,344,574	8,009,782	17,225,661
2017-09-15	$249.13	$248.00	6.7%	2.1%	7.0%	5.3%	8.5%	3.5%	-0.2%	-819.3M	-8.47B	-425.1M	2.02	2.54	N/A	N/A	905,132	1,826,708	6,839,537	17,698,982
2017-09-18	$249.71	$248.00	6.8%	2.1%	7.0%	5.9%	8.6%	3.3%	0.6%	4.93B	-18.66B	-424.3M	1.80	2.54	N/A	N/A	709,929	1,280,526	6,120,428	13,598,140
2017-09-19	$249.91	$248.00	7.1%	2.1%	7.0%	8.2%	8.6%	3.3%	0.3%	4.70B	-20.20B	-423.6M	2.03	2.16	N/A	N/A	647,031	1,315,581	6,264,779	14,060,123
2017-09-20	$250.15	$248.00	7.2%	2.1%	6.2%	8.7%	8.0%	3.5%	0.1%	5.90B	-23.08B	-423.3M	1.53	2.67	N/A	N/A	1,015,769	1,552,421	6,418,065	14,560,630
2017-09-21	$249.35	$249.00	7.1%	2.1%	6.2%	8.4%	8.4%	3.6%	-0.1%	1.53B	-11.03B	-438.5M	1.67	1.96	N/A	N/A	737,848	1,231,516	6,563,101	14,677,451
2017-09-22	$249.59	$249.00	7.0%	2.0%	6.0%	7.1%	8.1%	3.5%	-0.1%	1.76B	-13.73B	-440.1M	1.72	2.15	N/A	N/A	736,412	1,265,116	6,744,762	15,032,388
2017-09-25	$248.91	$249.00	7.1%	2.2%	6.2%	7.9%	8.8%	3.6%	0.7%	-675.1M	-3.83B	-431.4M	1.99	2.55	N/A	N/A	692,052	1,378,312	6,617,480	14,643,216
2017-09-26	$249.00	$249.00	7.4%	2.2%	6.1%	10.3%	8.3%	3.7%	0.7%	-460.9M	-3.80B	-441.2M	1.49	2.53	N/A	N/A	645,662	962,872	6,776,744	14,944,412
2017-09-27	$250.08	$249.00	7.5%	2.1%	6.2%	11.3%	7.8%	3.5%	0.2%	7.32B	-20.28B	-441.0M	0.94	4.01	N/A	N/A	1,473,388	1,391,186	6,995,052	15,198,109
2017-09-28	$250.28	$249.00	7.2%	2.0%	6.1%	9.0%	8.0%	3.4%	0.5%	4.91B	-19.12B	-445.5M	1.22	2.21	N/A	N/A	746,557	909,949	7,034,296	15,169,301
2017-09-29	$251.17	$249.00	7.2%	1.9%	5.9%	9.1%	7.7%	2.9%	0.7%	11.23B	-37.51B	-413.1M	2.07	2.29	N/A	N/A	967,069	2,006,395	7,179,877	15,485,730