SPY Options History — October 2017 In October 2017, SPY traded between $252.19 and $257.51. ATM implied volatility averaged 7.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 3.1% (HV 20d: 4.2%). Max pain ranged from $249.00 to $254.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.74.
Notable Days 2017-10-25 : Highest Volume — 3,576,706 contracts2017-10-30 : Largest IV spike — 29.2% change2017-10-25 : Highest IV Rank — 21.6%2017-10-25 : Largest Expected Move — 2.6%Monthly Statistics Metric Avg Min Max Open Close Price $255.17 $252.19 $257.51 $252.19 $257.14 Max Pain $251.50 $249.00 $254.00 $249.00 $254.00 ATM IV 7.3% 6.4% 8.9% 7.9% 8.1% Expected Move 2.1% 1.8% 2.6% 1.8% 2.2% HV 20d 4.2% 3.4% 6.0% 6.0% 4.3% HV 60d 6.6% 6.5% 6.7% 6.7% 6.7% IV Rank 9.4% 3.0% 21.6% 14.1% 15.9% IV Percentile 14.0% 0.4% 49.2% 20.6% 33.7% Term Structure 0.1% -0.8% 1.0% -0.8% -0.8% VWIV 8.5% 6.9% 10.2% 6.9% 10.0% Skew 25d 3.4% 2.5% 4.7% 3.0% 3.7% Skew 10d 6.5% 4.6% 8.8% 5.4% 6.7% Call IV 25d 6.0% 5.5% 6.7% 6.0% 6.2% Put IV 25d 9.5% 8.2% 11.4% 9.0% 9.9% Bid-Ask Spread % 2.37 1.31 3.42 2.02 1.35 Gamma HHI 0.08 0.04 0.23 0.06 0.04 Net GEX 6.08B -5.06B 15.24B 9.25B 3.22B Net DEX -48.21B -71.48B -16.98B -42.06B -38.84B Net VEX -411.7M -460.4M -381.4M -399.2M -432.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 1.20 2.85 1.53 1.99 Total Volume 2,439,350.273 1,722,218 3,576,706 2,510,973 1,722,218 Total OI 23,839,550.182 21,168,018 26,712,270 21,168,018 23,970,595
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 2017-10-02 $252.19 $249.00 7.9% 1.8% 6.0% 14.1% 6.9% 3.0% -0.8% 9.25B -42.06B -399.2M 1.53 2.02 N/A N/A 990,506 1,520,467 6,664,284 14,503,734 2017-10-03 $252.75 $249.50 6.7% 1.9% 5.0% 4.9% 7.1% 2.8% 1.0% 10.99B -48.00B -398.4M 1.44 1.81 N/A N/A 913,923 1,317,864 6,923,266 14,856,319 2017-10-04 $253.07 $249.50 6.9% 1.8% 4.9% 6.3% 7.4% 3.1% -0.6% 15.24B -51.46B -405.3M 1.87 2.07 N/A N/A 944,565 1,767,390 7,173,928 15,209,733 2017-10-05 $254.59 $250.00 6.4% 2.1% 5.2% 3.0% 8.5% 2.5% 0.1% 11.65B -66.20B -381.4M 1.80 2.65 N/A N/A 1,167,871 2,099,068 7,105,504 15,320,405 2017-10-06 $254.32 $250.00 6.6% 2.2% 5.1% 4.3% 9.0% 2.7% -0.2% 5.93B -60.99B -391.8M 2.19 2.70 N/A N/A 1,013,400 2,215,742 7,356,875 16,129,989 2017-10-09 $253.89 $250.00 6.8% 2.2% 4.1% 5.6% 8.3% 3.0% 0.6% 3.22B -42.24B -410.5M 1.28 3.05 N/A N/A 894,781 1,147,362 7,039,131 15,875,034 2017-10-10 $254.46 $250.00 7.1% 2.2% 4.0% 8.0% 8.7% 2.9% 0.6% 5.71B -50.78B -402.2M 1.61 2.92 N/A N/A 757,784 1,219,256 7,346,557 16,156,283 2017-10-11 $254.96 $250.00 6.8% 2.1% 4.1% 6.1% 9.3% 3.1% 0.2% 9.19B -56.49B -405.7M 1.72 2.61 N/A N/A 761,485 1,311,588 7,506,490 16,620,056 2017-10-12 $254.55 $251.00 6.8% 2.1% 4.1% 6.1% 8.4% 3.2% 0.2% 5.53B -50.08B -409.3M 1.59 3.30 N/A N/A 756,592 1,205,034 7,529,570 16,731,787 2017-10-13 $254.80 $251.00 6.6% 2.0% 3.8% 4.4% 8.8% 3.1% 0.3% 5.62B -53.90B -400.1M 1.67 3.23 N/A N/A 850,043 1,416,614 7,608,994 17,068,808 2017-10-16 $255.30 $251.00 6.8% 2.0% 3.8% 6.2% 8.1% 3.3% 0.3% 7.70B -56.43B -392.4M 2.53 3.11 N/A N/A 549,720 1,392,879 7,443,605 16,696,703 2017-10-17 $255.47 $252.00 7.1% 2.1% 3.8% 8.5% 9.4% 3.5% 0.3% 6.89B -56.97B -398.0M 2.85 3.04 N/A N/A 478,574 1,366,113 7,566,063 17,391,914 2017-10-18 $255.63 $252.00 6.8% 1.9% 3.8% 5.7% 7.9% 3.4% 0.4% 6.15B -59.23B -392.9M 1.78 3.42 N/A N/A 759,594 1,354,092 7,668,136 17,942,959 2017-10-19 $255.62 $252.00 7.0% 2.0% 3.4% 7.4% 8.3% 3.6% 0.5% 5.37B -54.67B -401.0M 2.20 3.30 N/A N/A 917,179 2,019,783 7,683,018 18,117,939 2017-10-20 $256.82 $252.00 7.2% 1.9% 3.7% 8.8% 8.2% 3.3% 1.0% 13.98B -71.48B -399.6M 1.44 3.24 N/A N/A 1,454,967 2,098,654 7,888,854 18,823,416 2017-10-23 $256.09 $253.00 7.7% 2.3% 3.7% 12.8% 8.2% 3.8% -0.1% 1.46B -31.62B -426.6M 1.20 1.63 N/A N/A 1,390,712 1,665,879 6,851,487 15,235,555 2017-10-24 $256.37 $253.00 7.9% 2.3% 3.7% 14.3% 9.3% 4.5% 0.1% 1.16B -34.47B -440.2M 1.37 1.37 N/A N/A 765,815 1,052,733 7,549,275 16,074,010 2017-10-25 $255.35 $253.00 8.9% 2.6% 4.0% 21.6% 10.2% 4.7% 0.1% -5.06B -16.98B -460.4M 1.70 1.38 N/A N/A 1,325,291 2,251,415 7,798,574 16,457,488 2017-10-26 $255.83 $253.00 8.4% 2.5% 4.0% 18.0% 9.3% 4.5% 0.7% -297.6M -27.78B -452.1M 1.62 1.34 N/A N/A 734,522 1,189,291 7,900,303 16,473,707 2017-10-27 $257.51 $254.00 6.7% 2.1% 4.3% 5.2% 8.4% 3.6% -0.8% 7.82B -51.54B -431.2M 1.52 1.37 N/A N/A 1,149,939 1,749,768 7,981,463 16,840,087 2017-10-30 $257.01 $254.00 8.7% 2.2% 4.4% 20.0% 8.5% 3.9% -0.8% 2.97B -38.42B -426.3M 1.29 1.31 N/A N/A 873,856 1,131,377 7,734,677 15,653,529 2017-10-31 $257.14 $254.00 8.1% 2.2% 4.3% 15.9% 10.0% 3.7% -0.8% 3.22B -38.84B -432.6M 1.99 1.35 N/A N/A 576,364 1,145,854 7,987,294 15,983,301
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