SPY Options History — March 2018 In March 2018, SPY traded between $258.50 and $278.90. ATM implied volatility averaged 14.5%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 3.5% (HV 20d: 18.0%). Max pain ranged from $271.00 to $275.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.48.
Notable Days 2018-03-01 : Highest Volume — 6,536,747 contracts2018-03-19 : Largest IV spike — 32.7% change2018-03-23 : Highest IV Rank — 65.5%2018-03-23 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $270.15 $258.50 $278.90 $267.99 $263.79 Max Pain $274.24 $271.00 $275.00 $271.00 $272.00 ATM IV 14.5% 10.4% 19.9% 15.8% 16.9% Expected Move 4.3% 3.3% 6.0% 5.2% 5.1% HV 20d 18.0% 13.8% 24.4% 24.2% 20.2% HV 60d 16.3% 15.1% 18.8% 15.1% 18.8% IV Rank 39.9% 20.9% 65.5% 46.3% 51.5% IV Percentile 92.1% 80.6% 98.4% 97.2% 96.0% Term Structure -0.2% -0.9% 1.0% -0.7% -0.4% VWIV 16.3% 12.6% 21.1% 19.4% 18.5% Skew 25d 5.6% 3.4% 8.5% 7.3% 4.9% Skew 10d 10.9% 7.3% 17.8% 13.6% 10.0% Call IV 25d 12.5% 9.4% 16.4% 13.8% 15.1% Put IV 25d 18.1% 13.4% 24.8% 21.1% 19.9% Bid-Ask Spread % 2.06 1.51 3.09 2.85 2.23 Gamma HHI 0.04 0.03 0.09 0.04 0.03 Net GEX -3.68B -10.20B 9.20B -9.25B -4.94B Net DEX 21.83B -73.47B 113.51B 58.38B 49.20B Net VEX -592.2M -621.5M -558.4M -621.5M -612.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 1.12 1.90 1.52 1.45 Total Volume 4,267,671.381 2,542,258 6,536,747 6,536,747 4,183,846 Total OI 24,629,637.143 20,171,342 27,283,041 25,347,932 23,479,355
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 2018-03-01 $267.99 $271.00 15.8% 5.2% 24.2% 46.3% 19.4% 7.3% -0.7% -9.25B 58.38B -621.5M 1.52 2.85 N/A N/A 2,589,433 3,947,314 9,338,597 16,009,335 2018-03-02 $269.52 $271.00 14.1% 4.6% 24.4% 38.0% 17.9% 6.2% 0.2% -7.58B 38.97B -618.3M 1.77 1.98 N/A N/A 1,949,401 3,448,162 10,028,236 16,761,683 2018-03-05 $272.44 $275.00 14.3% 4.1% 23.7% 39.3% 16.1% 5.4% -0.7% -790.3M 2.72B -607.1M 1.21 1.73 N/A N/A 1,700,913 2,064,485 9,803,482 16,287,726 2018-03-06 $272.58 $275.00 13.1% 4.0% 19.9% 33.4% 16.2% 5.3% 1.0% -1.16B -240.3M -598.9M 1.51 1.69 N/A N/A 1,120,112 1,686,687 9,924,069 16,181,758 2018-03-07 $272.89 $275.00 13.1% 3.9% 19.6% 33.5% 15.6% 5.8% -0.9% -699.4M -180.6M -601.8M 1.59 1.62 N/A N/A 1,375,009 2,181,940 10,100,063 16,513,038 2018-03-08 $273.60 $275.00 12.3% 3.8% 19.6% 29.6% 14.0% 4.8% -0.5% 297.6M -10.96B -586.4M 1.19 1.58 N/A N/A 1,379,805 1,644,467 10,043,261 16,448,714 2018-03-09 $278.61 $275.00 10.4% 3.3% 14.9% 20.9% 14.0% 3.4% 0.3% 9.20B -73.47B -558.4M 1.18 1.66 N/A N/A 2,344,168 2,774,075 10,331,440 16,895,186 2018-03-12 $278.90 $275.00 11.1% 3.4% 14.7% 24.1% 13.7% 3.6% 0.4% 7.79B -59.22B -564.1M 1.30 1.66 N/A N/A 1,469,555 1,907,718 9,727,308 16,335,659 2018-03-13 $276.64 $275.00 12.3% 3.6% 14.7% 29.7% 13.7% 3.8% -0.3% 1.82B -32.38B -558.8M 1.25 1.97 N/A N/A 1,813,210 2,267,550 9,692,337 16,653,720 2018-03-14 $275.23 $275.00 12.5% 3.7% 14.9% 30.6% 14.4% 4.6% -0.1% -2.72B -11.00B -581.3M 1.39 2.04 N/A N/A 1,720,678 2,392,637 9,899,153 17,174,965 2018-03-15 $275.17 $275.00 11.6% 3.5% 14.3% 26.5% 13.6% 4.4% -0.1% -2.48B -4.94B -583.2M 1.12 1.70 N/A N/A 1,638,433 1,836,566 9,876,770 17,406,271 2018-03-16 $274.89 $275.00 10.8% 3.3% 13.8% 22.5% 12.6% 4.1% 0.4% -7.23B 9.92B -568.9M 1.56 1.58 N/A N/A 1,415,934 2,212,730 9,354,291 17,801,468 2018-03-19 $270.74 $275.00 14.3% 4.1% 14.8% 39.2% 15.5% 6.2% 0.0% -7.89B 32.85B -586.5M 1.74 2.66 N/A N/A 1,918,270 3,328,676 7,043,425 13,127,917 2018-03-20 $270.98 $275.00 14.2% 4.0% 14.7% 38.6% 15.8% 6.1% -0.2% -5.17B 26.14B -598.7M 1.28 1.51 N/A N/A 1,112,815 1,429,443 7,494,722 13,649,488 2018-03-21 $270.56 $275.00 14.0% 4.0% 14.6% 37.5% 14.1% 6.1% -0.3% -6.19B 28.93B -591.4M 1.21 1.57 N/A N/A 1,584,544 1,909,851 7,866,613 14,093,347 2018-03-22 $263.96 $275.00 17.9% 5.2% 17.0% 56.1% 18.4% 8.0% -0.9% -8.95B 78.90B -596.2M 1.79 2.69 N/A N/A 1,752,605 3,144,206 7,670,427 13,847,991 2018-03-23 $258.50 $275.00 19.9% 6.0% 17.2% 65.5% 20.5% 8.5% 0.1% -10.20B 113.51B -592.3M 1.90 2.97 N/A N/A 2,166,925 4,118,096 8,095,422 14,470,816 2018-03-26 $265.42 $274.00 16.7% 5.0% 19.6% 50.4% 18.0% 6.1% 0.2% -5.15B 48.51B -602.4M 1.71 2.00 N/A N/A 1,706,262 2,916,549 8,110,565 14,269,210 2018-03-27 $260.73 $273.00 19.2% 5.6% 20.2% 62.2% 20.2% 6.6% -0.4% -7.73B 80.40B -598.5M 1.62 3.09 N/A N/A 1,732,813 2,810,176 8,216,539 14,159,800 2018-03-28 $260.09 $273.00 19.2% 5.8% 19.9% 62.4% 21.1% 6.3% -0.4% -8.27B 82.36B -609.7M 1.88 2.57 N/A N/A 1,712,318 3,212,722 8,510,894 14,527,319 2018-03-29 $263.79 $272.00 16.9% 5.1% 20.2% 51.5% 18.5% 4.9% -0.4% -4.94B 49.20B -612.5M 1.45 2.23 N/A N/A 1,708,578 2,475,268 8,626,453 14,852,902
« Feb 2018 | All History | Apr 2018 » Home SPY History March 2018