SPY Options History — January 2018

In January 2018, SPY traded between $268.63 and $286.23. ATM implied volatility averaged 8.8%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 2.9% (HV 20d: 5.9%). Max pain ranged from $265.00 to $274.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.32.

Notable Days

2018-01-16: Highest Volume — 5,197,738 contracts
2018-01-16: Largest IV spike — 22.1% change
2018-01-30: Highest IV Rank — 86.6%
2018-01-30: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$278.30	$268.63	$286.23	$268.63	$281.94
Max Pain	$269.86	$265.00	$274.00	$265.00	$274.00
ATM IV	8.8%	6.7%	12.1%	7.0%	11.7%
Expected Move	2.6%	1.8%	3.7%	2.0%	3.5%
HV 20d	5.9%	4.9%	8.2%	4.9%	8.1%
HV 60d	5.7%	5.1%	6.6%	5.1%	6.6%
IV Rank	40.1%	9.5%	86.6%	13.9%	80.2%
IV Percentile	56.9%	2.8%	97.6%	9.5%	95.6%
Term Structure	0.1%	-0.5%	0.8%	0.2%	0.1%
VWIV	10.3%	7.4%	14.0%	9.1%	13.5%
Skew 25d	2.6%	1.8%	4.0%	3.2%	3.7%
Skew 10d	5.4%	3.7%	7.9%	6.3%	6.7%
Call IV 25d	8.0%	5.8%	10.4%	5.8%	10.0%
Put IV 25d	10.6%	8.6%	14.4%	9.0%	13.7%
Bid-Ask Spread %	1.47	1.28	1.78	1.77	1.40
Gamma HHI	0.06	0.03	0.10	0.08	0.03
Net GEX	7.78B	482.1M	12.07B	4.78B	482.1M
Net DEX	-100.70B	-136.96B	-47.45B	-47.45B	-64.99B
Net VEX	-470.5M	-590.7M	-393.4M	-412.1M	-590.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.88	1.88	1.88	1.46
Total Volume	3,443,602.905	2,211,042	5,197,738	2,211,042	3,465,074
Total OI	23,375,122.667	19,387,339	28,258,861	19,387,339	25,335,840

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
2018-01-02	$268.63	$265.00	7.0%	2.0%	4.9%	13.9%	9.1%	3.2%	0.2%	4.78B	-47.45B	-412.1M	1.88	1.77	N/A	N/A	768,631	1,442,411	6,047,782	13,339,557
2018-01-03	$270.54	$265.00	6.7%	1.8%	5.4%	9.5%	7.4%	2.7%	0.6%	9.03B	-74.00B	-399.6M	1.74	1.67	N/A	N/A	1,037,012	1,805,655	6,365,944	13,983,207
2018-01-04	$271.67	$265.00	7.1%	2.2%	5.1%	16.1%	9.0%	2.2%	0.8%	8.08B	-83.35B	-399.8M	1.14	1.37	N/A	N/A	1,683,489	1,916,618	6,472,358	14,385,201
2018-01-05	$273.46	$266.00	7.2%	2.3%	5.4%	16.3%	9.0%	1.9%	-0.2%	9.65B	-98.36B	-414.7M	1.25	1.32	N/A	N/A	1,421,040	1,780,114	6,985,847	15,048,300
2018-01-08	$273.98	$267.00	7.0%	2.3%	5.3%	14.3%	8.9%	1.9%	0.4%	9.66B	-97.97B	-393.4M	1.49	1.35	N/A	N/A	962,292	1,432,828	6,903,291	14,578,208
2018-01-09	$274.46	$267.00	7.9%	2.4%	5.2%	26.5%	9.0%	1.8%	0.4%	9.10B	-98.89B	-407.6M	1.28	1.47	N/A	N/A	1,295,725	1,660,862	7,165,029	15,083,166
2018-01-10	$274.08	$268.00	7.9%	2.4%	5.3%	26.8%	10.3%	2.2%	-0.2%	7.10B	-92.12B	-436.6M	1.47	1.33	N/A	N/A	1,335,196	1,956,497	7,573,519	15,759,665
2018-01-11	$275.96	$267.00	7.9%	2.3%	5.6%	26.7%	8.9%	1.8%	0.3%	9.48B	-110.85B	-438.5M	1.08	1.34	N/A	N/A	1,293,505	1,393,770	7,730,501	16,188,729
2018-01-12	$277.75	$267.00	8.0%	2.4%	5.8%	28.2%	9.5%	1.9%	-0.4%	12.07B	-126.74B	-440.1M	1.00	1.40	N/A	N/A	2,265,894	2,254,734	8,116,012	16,694,871
2018-01-16	$277.13	$269.00	9.8%	2.7%	5.7%	53.5%	10.3%	3.1%	-0.4%	7.05B	-105.45B	-471.9M	1.23	1.46	N/A	N/A	2,332,134	2,865,604	8,606,403	16,762,623
2018-01-17	$279.43	$270.00	9.5%	2.7%	6.1%	49.5%	10.8%	3.2%	-0.5%	9.47B	-127.27B	-478.4M	1.19	1.66	N/A	N/A	1,628,395	1,935,614	9,138,775	17,987,657
2018-01-18	$279.18	$272.00	9.5%	2.8%	5.9%	49.6%	10.1%	2.9%	-0.5%	6.16B	-121.68B	-500.3M	1.15	1.49	N/A	N/A	1,354,267	1,555,008	9,138,656	18,379,481
2018-01-19	$280.28	$272.00	8.8%	2.6%	5.7%	40.2%	10.4%	2.7%	-0.2%	9.99B	-136.96B	-468.5M	1.29	1.55	N/A	N/A	1,369,950	1,763,896	9,344,062	18,914,799
2018-01-22	$282.69	$273.00	8.2%	2.6%	6.0%	30.9%	10.7%	3.0%	0.8%	8.15B	-98.33B	-476.2M	1.48	1.36	N/A	N/A	1,103,268	1,628,979	7,464,525	12,895,632
2018-01-23	$283.35	$273.00	8.8%	2.7%	5.9%	40.0%	9.7%	2.4%	0.6%	9.67B	-110.90B	-475.0M	0.88	1.34	N/A	N/A	2,132,411	1,876,867	7,818,735	13,489,239
2018-01-24	$283.33	$273.00	9.7%	2.9%	5.9%	52.8%	10.4%	2.2%	-0.3%	8.69B	-106.97B	-504.8M	1.15	1.32	N/A	N/A	2,349,813	2,710,197	8,185,326	14,183,189
2018-01-25	$283.26	$273.00	9.7%	2.9%	5.8%	52.0%	10.8%	2.6%	-0.4%	7.29B	-103.37B	-524.9M	1.22	1.28	N/A	N/A	1,193,848	1,457,038	8,468,649	14,560,890
2018-01-26	$286.23	$273.00	9.6%	2.8%	6.3%	51.2%	10.7%	1.9%	0.1%	10.13B	-136.39B	-508.4M	1.23	1.50	N/A	N/A	1,908,345	2,338,816	8,804,905	14,994,169
2018-01-29	$285.03	$274.00	11.4%	3.5%	6.9%	76.8%	12.8%	3.1%	0.2%	6.38B	-106.42B	-551.2M	1.42	1.78	N/A	N/A	1,337,274	1,902,515	8,773,903	14,743,039
2018-01-30	$282.01	$274.00	12.1%	3.7%	8.2%	86.6%	14.0%	4.0%	0.1%	929.1M	-66.29B	-587.4M	1.79	1.67	N/A	N/A	1,577,152	2,822,923	9,075,633	15,390,259
2018-01-31	$281.94	$274.00	11.7%	3.5%	8.1%	80.2%	13.5%	3.7%	0.1%	482.1M	-64.99B	-590.7M	1.46	1.40	N/A	N/A	1,407,502	2,057,572	9,464,535	15,871,305