SPY Options History — November 2017 In November 2017, SPY traded between $256.38 and $265.03. ATM implied volatility averaged 8.1%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 3.3% (HV 20d: 4.7%). Max pain ranged from $251.00 to $255.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.52.
Notable Days 2017-11-28 : Highest Volume — 5,159,743 contracts2017-11-15 : Largest IV spike — 21.6% change2017-11-15 : Highest IV Rank — 69.5%2017-11-15 : Largest Expected Move — 3.1%Monthly Statistics Metric Avg Min Max Open Close Price $259.26 $256.38 $265.03 $257.51 $265.03 Max Pain $254.10 $251.00 $255.00 $254.00 $255.00 ATM IV 8.1% 7.0% 10.9% 7.7% 8.9% Expected Move 2.6% 2.2% 3.1% 2.2% 3.1% HV 20d 4.7% 3.8% 6.2% 4.3% 6.2% HV 60d 5.5% 4.9% 6.7% 6.7% 5.1% IV Rank 27.2% 7.2% 69.5% 12.8% 41.1% IV Percentile 34.2% 8.3% 90.5% 24.2% 58.3% Term Structure 0.0% -0.8% 0.9% -0.7% -0.3% VWIV 10.0% 8.5% 12.1% 8.5% 10.8% Skew 25d 3.6% 2.5% 5.3% 3.6% 3.3% Skew 10d 6.8% 4.8% 11.6% 7.5% 6.2% Call IV 25d 6.8% 5.8% 8.7% 6.5% 7.8% Put IV 25d 10.4% 8.8% 14.1% 10.1% 11.1% Bid-Ask Spread % 1.50 1.27 2.02 1.42 2.02 Gamma HHI 0.06 0.04 0.14 0.05 0.09 Net GEX 6.75B -5.67B 19.73B 4.65B 17.74B Net DEX -49.05B -106.83B -8.35B -46.03B -106.83B Net VEX -435.0M -478.9M -378.2M -435.2M -438.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 0.73 2.13 1.57 1.02 Total Volume 2,723,780.429 1,571,787 5,159,743 2,795,941 4,757,945 Total OI 24,944,734.048 21,770,061 27,307,320 24,429,937 25,604,384
Daily Data (21 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 2017-11-01 $257.51 $254.00 7.7% 2.2% 4.3% 12.8% 8.5% 3.6% -0.7% 4.65B -46.03B -435.2M 1.57 1.42 N/A N/A 1,087,876 1,708,065 8,112,676 16,317,261 2017-11-02 $257.63 $251.00 7.5% 2.5% 3.9% 10.8% 10.4% 3.3% -0.6% 3.13B -41.66B -449.7M 1.85 1.37 N/A N/A 793,952 1,470,016 8,226,451 16,511,752 2017-11-03 $258.27 $251.00 7.1% 2.5% 3.9% 7.8% 9.2% 3.1% 0.3% 9.59B -55.65B -434.9M 1.50 1.33 N/A N/A 1,029,690 1,549,221 8,389,431 16,798,360 2017-11-06 $258.86 $252.00 7.0% 2.4% 3.8% 7.2% 9.0% 2.7% 0.3% 7.95B -58.73B -420.2M 2.05 1.33 N/A N/A 714,199 1,462,540 8,222,890 16,126,290 2017-11-07 $258.62 $253.00 7.4% 2.5% 3.8% 14.4% 10.6% 3.0% 0.3% 5.84B -53.19B -429.5M 1.74 1.38 N/A N/A 938,087 1,629,009 8,404,677 16,790,646 2017-11-08 $259.06 $254.00 7.4% 2.5% 3.8% 16.8% 10.3% 3.0% 0.4% 7.89B -55.05B -444.0M 1.81 1.32 N/A N/A 760,467 1,377,909 8,551,183 17,257,669 2017-11-09 $258.27 $254.00 8.3% 2.7% 4.0% 31.9% 10.5% 3.8% 0.4% 1.89B -39.80B -458.9M 2.13 1.42 N/A N/A 1,192,674 2,543,144 8,484,278 17,237,852 2017-11-10 $258.07 $254.00 8.5% 2.7% 4.0% 35.4% 11.3% 4.1% 0.4% 2.60B -39.02B -476.6M 1.93 1.35 N/A N/A 927,882 1,792,590 8,717,751 18,021,738 2017-11-13 $258.31 $254.00 8.7% 2.8% 4.0% 38.6% 10.6% 4.2% 0.8% 2.54B -39.36B -455.7M 1.62 1.27 N/A N/A 667,297 1,081,035 8,504,763 17,403,544 2017-11-14 $257.75 $254.00 9.0% 2.7% 4.1% 41.9% 10.5% 4.4% 0.9% 75.0M -32.34B -460.9M 1.47 1.41 N/A N/A 847,167 1,243,846 8,629,655 17,778,245 2017-11-15 $256.38 $255.00 10.9% 3.1% 4.6% 69.5% 12.1% 5.3% -0.0% -5.67B -8.35B -478.9M 1.79 1.66 N/A N/A 1,055,247 1,885,285 8,832,114 18,082,642 2017-11-16 $258.61 $255.00 8.8% 2.5% 5.5% 39.4% 10.8% 4.4% -0.6% 8.03B -50.74B -440.9M 1.54 1.58 N/A N/A 1,048,845 1,618,903 8,883,616 17,999,678 2017-11-17 $257.93 $255.00 8.6% 2.5% 5.4% 37.0% 10.8% 4.2% -0.5% 6.36B -34.41B -445.6M 1.57 1.57 N/A N/A 1,095,635 1,715,215 8,994,446 18,312,874 2017-11-20 $258.26 $255.00 8.2% 2.4% 5.3% 30.3% 11.1% 4.5% 0.1% 1.65B -22.97B -429.5M 1.53 1.53 N/A N/A 620,065 951,722 7,218,505 14,551,556 2017-11-21 $259.92 $255.00 7.2% 2.2% 5.7% 17.4% 8.5% 3.3% 0.0% 9.08B -46.37B -395.8M 1.38 1.68 N/A N/A 1,023,572 1,411,759 7,403,584 14,946,537 2017-11-22 $259.88 $255.00 7.3% 2.2% 5.4% 18.8% 8.6% 3.3% -0.2% 8.61B -42.20B -412.7M 1.19 1.62 N/A N/A 835,320 996,234 7,685,374 15,302,442 2017-11-24 $260.36 $255.00 7.4% 2.3% 5.4% 20.0% 8.9% 2.8% -0.3% 10.13B -49.93B -402.3M 1.80 1.72 N/A N/A 656,513 1,178,754 7,801,044 15,345,466 2017-11-27 $260.35 $255.00 7.5% 2.4% 5.0% 20.6% 9.1% 2.9% 0.4% 6.16B -45.92B -378.2M 0.76 1.36 N/A N/A 1,451,946 1,103,857 7,613,455 14,876,083 2017-11-28 $262.65 $255.00 7.8% 2.6% 5.7% 25.1% 9.1% 2.5% 0.7% 13.80B -76.42B -401.4M 0.73 1.60 N/A N/A 2,983,472 2,176,271 8,649,863 15,199,143 2017-11-29 $262.83 $255.00 8.4% 2.8% 5.7% 33.5% 9.7% 3.3% -0.8% 19.73B -85.15B -446.1M 0.97 1.46 N/A N/A 1,933,414 1,882,749 10,226,289 15,823,208 2017-11-30 $265.03 $255.00 8.9% 3.1% 6.2% 41.1% 10.8% 3.3% -0.3% 17.74B -106.83B -438.2M 1.02 2.02 N/A N/A 2,358,971 2,398,974 9,737,431 15,866,953
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