SPY Options History — April 2018

In April 2018, SPY traded between $257.43 and $270.73. ATM implied volatility averaged 15.5%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 6.9% (HV 20d: 22.4%). Max pain ranged from $267.00 to $272.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.50.

Notable Days

2018-04-02: Highest Volume — 5,566,138 contracts
2018-04-16: Largest IV drop — 16.8% change
2018-04-02: Highest IV Rank — 70.0%
2018-04-02: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$265.03	$257.43	$270.73	$257.43	$265.37
Max Pain	$268.17	$267.00	$272.00	$272.00	$267.00
ATM IV	15.5%	12.0%	20.8%	20.8%	13.1%
Expected Move	4.6%	3.4%	6.4%	6.4%	3.9%
HV 20d	22.4%	17.2%	24.5%	21.7%	17.2%
HV 60d	20.5%	19.3%	21.1%	19.3%	21.1%
IV Rank	44.8%	28.5%	70.0%	70.0%	33.5%
IV Percentile	89.6%	81.0%	98.4%	98.4%	82.5%
Term Structure	-0.2%	-0.8%	0.9%	-0.8%	0.1%
VWIV	16.7%	13.0%	22.8%	22.8%	14.6%
Skew 25d	4.7%	3.5%	5.6%	5.5%	4.1%
Skew 10d	9.2%	6.7%	11.6%	11.6%	7.9%
Call IV 25d	13.4%	10.8%	17.6%	17.6%	11.2%
Put IV 25d	18.1%	14.2%	23.1%	23.1%	15.3%
Bid-Ask Spread %	1.69	1.06	2.77	2.03	1.33
Gamma HHI	0.03	0.02	0.05	0.03	0.03
Net GEX	-3.17B	-7.91B	2.64B	-7.91B	-4.01B
Net DEX	25.33B	-26.36B	90.62B	90.62B	21.00B
Net VEX	-564.7M	-603.7M	-525.8M	-583.4M	-531.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	1.16	1.81	1.76	1.81
Total Volume	3,504,418.476	2,409,363	5,566,138	5,566,138	2,409,363
Total OI	22,940,223.905	19,850,707	26,093,014	21,511,093	20,760,556

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
2018-04-02	$257.43	$272.00	20.8%	6.4%	21.7%	70.0%	22.8%	5.5%	-0.8%	-7.91B	90.62B	-583.4M	1.76	2.03	N/A	N/A	2,013,748	3,552,390	7,711,490	13,799,603
2018-04-03	$260.67	$270.50	18.6%	5.9%	21.8%	59.7%	21.4%	5.2%	-0.3%	-6.35B	64.62B	-591.0M	1.43	1.64	N/A	N/A	1,434,507	2,050,286	8,104,663	14,087,560
2018-04-04	$264.35	$270.00	17.4%	5.5%	22.6%	54.0%	20.6%	5.4%	-0.7%	-2.93B	32.97B	-595.9M	1.28	1.77	N/A	N/A	2,033,424	2,610,529	8,410,988	14,476,925
2018-04-05	$265.99	$270.00	16.3%	4.7%	22.7%	48.6%	17.8%	5.0%	-0.1%	-2.33B	20.92B	-595.4M	1.16	1.76	N/A	N/A	1,510,983	1,745,286	8,544,514	14,390,799
2018-04-06	$259.75	$270.00	18.1%	5.3%	24.0%	57.1%	18.2%	5.6%	0.2%	-7.35B	72.37B	-596.1M	1.32	2.53	N/A	N/A	2,071,030	2,734,052	8,932,335	14,701,914
2018-04-09	$262.26	$268.00	18.9%	5.3%	23.2%	61.0%	19.1%	5.5%	-0.6%	-4.39B	45.91B	-597.1M	1.20	1.71	N/A	N/A	1,510,267	1,811,739	8,886,890	14,327,094
2018-04-10	$265.40	$267.00	17.7%	5.1%	23.8%	55.3%	17.9%	4.9%	0.1%	-2.00B	19.77B	-603.7M	1.26	2.01	N/A	N/A	1,533,953	1,931,163	8,962,862	14,459,262
2018-04-11	$263.98	$267.00	17.3%	4.9%	23.7%	53.3%	18.0%	5.1%	-0.7%	-3.97B	33.43B	-593.5M	1.41	1.76	N/A	N/A	1,234,490	1,742,675	9,199,631	14,816,254
2018-04-12	$266.75	$267.00	15.7%	4.5%	24.1%	45.5%	17.1%	4.4%	0.1%	-1.23B	9.78B	-585.0M	1.35	1.50	N/A	N/A	1,175,065	1,583,744	9,194,860	14,932,056
2018-04-13	$265.01	$267.00	15.0%	4.4%	24.2%	42.3%	16.6%	4.3%	0.2%	-3.74B	25.91B	-565.5M	1.71	2.52	N/A	N/A	1,392,028	2,374,698	9,415,514	15,237,988
2018-04-16	$267.79	$267.00	12.5%	3.8%	24.5%	30.4%	15.2%	4.2%	0.9%	-17.8M	1.42B	-544.2M	1.62	1.57	N/A	N/A	1,123,881	1,820,970	9,003,512	14,720,713
2018-04-17	$270.60	$267.00	12.0%	3.4%	24.3%	28.5%	13.1%	3.5%	-0.0%	2.64B	-25.30B	-534.5M	1.21	1.36	N/A	N/A	1,707,062	2,066,095	9,068,653	14,955,312
2018-04-18	$270.73	$267.00	12.1%	3.5%	24.3%	28.8%	13.0%	3.9%	-0.0%	2.62B	-26.36B	-525.8M	1.78	1.41	N/A	N/A	1,139,384	2,022,528	9,465,936	15,641,286
2018-04-19	$269.13	$269.00	12.6%	3.7%	24.4%	31.3%	13.7%	4.1%	-0.7%	-998.9M	-3.27B	-551.4M	1.54	2.77	N/A	N/A	1,291,239	1,986,670	9,558,151	15,960,259
2018-04-20	$266.26	$269.00	14.1%	4.1%	23.0%	38.3%	14.7%	5.3%	0.1%	-6.42B	26.10B	-543.2M	1.45	1.31	N/A	N/A	1,540,543	2,236,545	9,784,803	16,308,211
2018-04-23	$266.25	$268.00	14.3%	4.1%	21.6%	39.4%	15.3%	5.1%	-0.2%	-3.12B	15.93B	-539.9M	1.61	1.44	N/A	N/A	1,001,977	1,610,302	7,330,612	12,520,095
2018-04-24	$261.75	$268.00	16.1%	4.7%	20.4%	47.4%	16.7%	5.3%	0.3%	-6.30B	48.94B	-546.0M	1.74	1.61	N/A	N/A	1,676,087	2,912,123	7,398,418	12,697,182
2018-04-25	$262.97	$267.00	16.0%	4.7%	19.4%	47.0%	16.9%	5.0%	-0.7%	-6.09B	41.03B	-551.5M	1.65	1.36	N/A	N/A	1,224,981	2,026,347	7,764,169	13,270,286
2018-04-26	$266.66	$267.00	13.8%	4.1%	20.0%	37.0%	15.1%	4.3%	-0.7%	-1.69B	7.82B	-545.9M	1.65	1.06	N/A	N/A	1,153,656	1,901,727	7,724,424	13,530,633
2018-04-27	$266.61	$267.00	13.0%	3.8%	19.4%	32.8%	13.8%	4.1%	-0.6%	-957.6M	8.29B	-538.5M	1.53	1.10	N/A	N/A	1,065,318	1,629,933	7,860,151	13,828,138
2018-04-30	$265.37	$267.00	13.1%	3.9%	17.2%	33.5%	14.6%	4.1%	0.1%	-4.01B	21.00B	-531.4M	1.81	1.33	N/A	N/A	857,050	1,552,313	7,524,307	13,236,249