SPY Options History — February 2018

In February 2018, SPY traded between $258.98 and $281.43. ATM implied volatility averaged 16.7%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 3.8% (HV 20d: 20.5%). Max pain ranged from $270.00 to $275.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.43.

Notable Days

2018-02-05: Highest Volume — 8,286,604 contracts
2018-02-05: Largest IV spike — 89.2% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$270.53	$258.98	$281.43	$281.43	$271.91
Max Pain	$271.63	$270.00	$275.00	$274.00	$271.00
ATM IV	16.7%	11.5%	27.2%	11.5%	14.3%
Expected Move	4.8%	3.5%	7.3%	3.5%	4.5%
HV 20d	20.5%	8.1%	23.8%	8.1%	23.8%
HV 60d	12.9%	6.6%	14.8%	6.6%	14.8%
IV Rank	56.3%	26.5%	100.0%	77.8%	39.3%
IV Percentile	96.7%	88.9%	100.0%	94.4%	94.8%
Term Structure	-0.3%	-0.9%	0.6%	0.1%	-0.5%
VWIV	18.4%	12.5%	25.7%	12.5%	16.5%
Skew 25d	7.2%	3.5%	16.5%	3.5%	6.9%
Skew 10d	13.7%	7.1%	24.2%	7.1%	14.2%
Call IV 25d	14.2%	9.9%	21.5%	9.9%	12.8%
Put IV 25d	21.3%	13.4%	35.7%	13.4%	19.7%
Bid-Ask Spread %	3.03	1.44	9.38	2.87	2.20
Gamma HHI	0.03	0.02	0.04	0.03	0.03
Net GEX	-3.32B	-9.15B	4.79B	789.8M	-5.59B
Net DEX	31.89B	-59.18B	147.26B	-59.18B	18.19B
Net VEX	-633.7M	-732.8M	-571.4M	-582.7M	-607.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.81	1.72	1.30	1.41
Total Volume	4,819,460.684	2,894,620	8,286,604	2,905,655	3,925,551
Total OI	27,159,224.632	24,337,771	31,334,173	24,384,607	26,023,301

Daily Data (19 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
2018-02-01	$281.43	$274.00	11.5%	3.5%	8.1%	77.8%	12.5%	3.5%	0.1%	789.8M	-59.18B	-582.7M	1.30	2.87	N/A	N/A	1,263,826	1,641,829	9,229,053	15,155,554
2018-02-02	$275.58	$275.00	14.4%	4.1%	11.4%	100.0%	14.9%	5.9%	0.1%	-7.95B	22.06B	-626.3M	1.46	1.80	N/A	N/A	2,910,420	4,257,116	9,593,280	15,573,487
2018-02-05	$266.08	$275.00	27.2%	7.1%	16.9%	100.0%	24.5%	16.5%	-0.9%	-6.63B	102.38B	-691.4M	1.72	9.38	N/A	N/A	3,045,127	5,241,477	9,966,334	15,426,581
2018-02-06	$268.86	$274.00	22.0%	5.8%	17.3%	75.6%	23.4%	8.2%	-0.5%	-5.48B	65.62B	-732.8M	1.29	6.22	N/A	N/A	3,238,502	4,187,702	11,041,611	16,376,519
2018-02-07	$268.52	$273.00	16.8%	4.7%	17.3%	51.0%	20.4%	7.6%	-0.6%	-7.35B	77.52B	-671.2M	1.47	3.32	N/A	N/A	2,006,369	2,949,547	11,689,627	16,918,362
2018-02-08	$258.98	$273.00	25.9%	7.3%	21.3%	93.9%	25.7%	12.3%	-0.7%	-8.45B	147.26B	-687.4M	1.56	4.41	N/A	N/A	1,889,780	2,953,409	11,521,266	17,013,302
2018-02-09	$261.91	$272.00	22.1%	6.3%	21.6%	76.1%	24.5%	10.2%	-0.8%	-9.15B	128.39B	-670.2M	1.54	4.43	N/A	N/A	2,288,075	3,513,251	12,019,904	17,357,635
2018-02-12	$265.23	$271.00	18.3%	5.3%	22.1%	57.8%	20.8%	8.0%	0.3%	-6.25B	79.27B	-645.7M	0.81	2.86	N/A	N/A	2,881,927	2,321,841	11,723,415	16,755,707
2018-02-13	$266.16	$270.00	17.7%	5.1%	22.2%	55.0%	20.3%	7.6%	0.5%	-3.66B	68.23B	-643.5M	1.63	1.97	N/A	N/A	1,228,811	1,997,385	13,287,178	17,264,425
2018-02-14	$269.76	$270.00	15.2%	4.4%	22.6%	43.6%	17.9%	5.6%	-0.5%	-1.61B	26.70B	-623.6M	1.47	2.27	N/A	N/A	1,966,805	2,897,257	13,609,353	17,724,820
2018-02-15	$272.62	$270.00	14.9%	4.3%	23.0%	42.0%	16.7%	4.8%	-0.5%	565.3M	-9.67B	-642.9M	1.31	1.80	N/A	N/A	2,185,571	2,858,044	12,549,321	17,886,767
2018-02-16	$273.60	$270.00	14.1%	4.1%	23.0%	38.1%	15.8%	5.5%	0.1%	3.41B	-22.84B	-629.5M	1.41	2.44	N/A	N/A	2,132,538	3,013,843	12,855,739	18,305,068
2018-02-20	$271.74	$270.00	15.0%	4.5%	22.8%	42.7%	17.4%	6.9%	-0.0%	-2.34B	8.23B	-613.4M	1.60	1.90	N/A	N/A	1,113,346	1,781,274	9,629,428	14,708,343
2018-02-21	$270.38	$270.00	15.4%	4.6%	22.7%	44.4%	16.6%	6.3%	-0.5%	-4.74B	20.02B	-607.9M	1.48	2.09	N/A	N/A	1,546,314	2,294,535	9,784,201	15,196,167
2018-02-22	$270.37	$270.00	14.8%	4.5%	22.7%	41.4%	16.7%	6.4%	-0.5%	-4.95B	21.63B	-604.1M	1.54	2.08	N/A	N/A	1,417,629	2,187,386	9,403,843	15,240,499
2018-02-23	$274.51	$271.00	11.9%	3.6%	23.6%	27.7%	14.4%	4.6%	-0.0%	1.95B	-22.95B	-583.1M	1.47	1.44	N/A	N/A	1,706,964	2,503,100	9,670,450	15,755,652
2018-02-26	$277.60	$271.00	11.6%	3.7%	23.6%	26.5%	14.2%	3.8%	0.6%	4.79B	-50.45B	-571.4M	1.44	1.93	N/A	N/A	1,609,450	2,312,926	9,324,376	15,302,635
2018-02-27	$274.90	$271.00	13.9%	4.3%	23.8%	37.0%	16.3%	5.5%	-0.4%	-496.7M	-14.57B	-606.1M	1.27	2.18	N/A	N/A	1,896,007	2,404,819	9,441,398	15,700,667
2018-02-28	$271.91	$271.00	14.3%	4.5%	23.8%	39.3%	16.5%	6.9%	-0.5%	-5.59B	18.19B	-607.6M	1.41	2.20	N/A	N/A	1,630,320	2,295,231	9,692,725	16,330,576