SPY Options History — December 2017

In December 2017, SPY traded between $263.15 and $268.11. ATM implied volatility averaged 7.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.6% (HV 20d: 6.1%). Max pain ranged from $255.00 to $265.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.32.

Notable Days

2017-12-01: Highest Volume — 4,636,877 contracts
2017-12-19: Largest IV spike — 14.7% change
2017-12-01: Highest IV Rank — 40.0%
2017-12-01: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$266.15	$263.15	$268.11	$264.42	$267.00
Max Pain	$260.00	$255.00	$265.00	$256.00	$265.00
ATM IV	7.6%	6.6%	8.8%	8.8%	7.5%
Expected Move	2.3%	2.0%	3.0%	3.0%	2.1%
HV 20d	6.1%	4.6%	6.6%	6.4%	4.6%
HV 60d	5.0%	4.9%	5.2%	5.2%	5.1%
IV Rank	22.6%	8.4%	40.0%	40.0%	21.6%
IV Percentile	26.3%	1.2%	57.1%	57.1%	27.4%
Term Structure	0.3%	-0.8%	1.3%	-0.8%	0.1%
VWIV	8.7%	7.8%	11.2%	11.2%	9.3%
Skew 25d	3.0%	1.9%	4.1%	3.8%	3.7%
Skew 10d	5.8%	4.0%	7.2%	7.0%	6.8%
Call IV 25d	6.6%	6.0%	7.7%	7.7%	6.0%
Put IV 25d	9.6%	8.5%	11.5%	11.5%	9.7%
Bid-Ask Spread %	1.66	1.43	2.05	2.05	1.85
Gamma HHI	0.11	0.08	0.26	0.08	0.26
Net GEX	16.95B	12.10B	26.68B	17.49B	16.21B
Net DEX	-74.44B	-114.93B	-47.85B	-94.26B	-48.26B
Net VEX	-429.9M	-465.3M	-391.0M	-465.3M	-428.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.75	2.16	1.45	2.16
Total Volume	2,516,551.05	1,433,005	4,636,877	4,636,877	2,430,456
Total OI	24,604,090.5	20,094,535	27,849,012	26,923,090	22,574,570

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
2017-12-01	$264.42	$256.00	8.8%	3.0%	6.4%	40.0%	11.2%	3.8%	-0.8%	17.49B	-94.26B	-465.3M	1.45	2.05	N/A	N/A	1,894,709	2,742,168	10,353,629	16,569,461
2017-12-04	$264.32	$255.00	8.5%	2.6%	6.4%	35.4%	10.2%	4.1%	0.4%	15.85B	-86.29B	-449.7M	1.31	1.76	N/A	N/A	1,424,851	1,868,547	10,232,172	15,876,366
2017-12-05	$263.32	$255.00	8.0%	2.5%	6.6%	28.4%	9.4%	3.6%	0.7%	12.66B	-68.59B	-447.4M	1.50	1.79	N/A	N/A	1,013,101	1,518,936	10,451,512	16,454,587
2017-12-06	$263.15	$255.00	8.3%	2.5%	6.6%	32.4%	9.5%	3.5%	0.0%	12.10B	-66.64B	-446.7M	1.50	1.54	N/A	N/A	820,208	1,234,420	10,684,706	16,845,671
2017-12-07	$264.03	$255.00	7.7%	2.3%	6.6%	24.1%	8.9%	3.0%	0.1%	15.56B	-80.59B	-435.9M	1.16	1.63	N/A	N/A	927,103	1,079,618	10,599,709	16,727,363
2017-12-08	$265.26	$256.00	7.1%	2.2%	6.6%	15.6%	8.6%	2.8%	-0.1%	22.26B	-101.94B	-426.9M	1.09	1.52	N/A	N/A	1,234,591	1,342,360	10,827,045	17,021,967
2017-12-11	$266.30	$256.00	6.7%	2.1%	6.6%	9.6%	8.4%	2.7%	0.4%	26.15B	-110.94B	-402.5M	1.23	1.54	N/A	N/A	816,523	1,003,546	10,401,816	16,438,114
2017-12-12	$266.82	$257.00	7.1%	2.1%	6.6%	14.9%	9.0%	2.5%	0.2%	26.68B	-114.93B	-416.3M	0.92	1.73	N/A	N/A	1,181,226	1,088,916	10,514,774	16,787,500
2017-12-13	$266.68	$257.00	7.4%	2.1%	6.5%	19.0%	8.4%	2.3%	0.5%	23.98B	-109.57B	-409.1M	0.93	1.43	N/A	N/A	1,369,962	1,276,741	10,431,961	17,105,246
2017-12-14	$265.77	$257.00	7.3%	2.1%	6.3%	18.3%	8.1%	2.6%	0.2%	17.46B	-82.89B	-414.5M	0.75	1.69	N/A	N/A	1,773,549	1,322,941	9,824,244	17,190,429
2017-12-15	$266.28	$262.00	7.3%	2.1%	5.7%	18.0%	7.8%	2.2%	0.2%	19.12B	-47.85B	-395.8M	1.28	1.70	N/A	N/A	1,670,825	2,139,240	7,726,700	17,611,038
2017-12-18	$268.11	$262.00	6.6%	2.1%	5.8%	8.4%	8.0%	1.9%	0.8%	18.31B	-76.24B	-391.0M	1.15	1.51	N/A	N/A	1,511,485	1,740,708	7,025,651	13,068,884
2017-12-19	$267.31	$264.00	7.6%	2.2%	6.1%	22.1%	8.5%	2.6%	0.3%	13.87B	-57.91B	-439.5M	1.58	1.71	N/A	N/A	810,409	1,280,223	7,292,342	13,750,724
2017-12-20	$267.15	$264.00	7.5%	2.1%	5.8%	20.7%	7.8%	2.6%	0.8%	14.59B	-56.86B	-434.0M	1.15	1.71	N/A	N/A	1,179,578	1,359,380	7,463,772	14,046,841
2017-12-21	$267.53	$264.00	7.3%	2.1%	5.8%	18.2%	7.9%	2.4%	-0.6%	15.53B	-60.73B	-430.9M	1.40	1.48	N/A	N/A	1,023,019	1,436,486	7,426,034	14,186,943
2017-12-22	$267.38	$265.00	8.0%	2.1%	5.9%	27.4%	8.3%	3.0%	1.1%	13.19B	-58.13B	-449.8M	1.71	1.61	N/A	N/A	772,606	1,320,377	7,678,433	14,689,490
2017-12-26	$267.05	$265.00	8.4%	2.3%	5.9%	33.8%	8.1%	3.2%	-0.8%	12.63B	-50.40B	-441.8M	1.33	1.71	N/A	N/A	686,192	915,338	7,402,824	14,365,237
2017-12-27	$267.34	$265.00	7.9%	2.2%	5.2%	26.1%	8.4%	3.9%	1.3%	13.14B	-55.36B	-433.6M	1.09	1.64	N/A	N/A	807,224	880,454	7,539,733	14,657,247
2017-12-28	$267.86	$265.00	7.3%	2.0%	5.2%	18.4%	8.3%	3.5%	0.2%	12.18B	-60.51B	-438.2M	1.79	1.60	N/A	N/A	513,868	919,137	7,524,698	14,712,377
2017-12-29	$267.00	$265.00	7.5%	2.1%	4.6%	21.6%	9.3%	3.7%	0.1%	16.21B	-48.26B	-428.6M	2.16	1.85	N/A	N/A	770,031	1,660,425	7,567,039	15,007,531