SPY Options History — May 2018

In May 2018, SPY traded between $262.40 and $272.99. ATM implied volatility averaged 11.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.0% (HV 20d: 12.5%). Max pain ranged from $265.00 to $269.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.45.

Notable Days

2018-05-03: Highest Volume — 4,098,813 contracts
2018-05-29: Largest IV spike — 28.6% change
2018-05-03: Highest IV Rank — 37.2%
2018-05-03: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$269.90	$262.40	$272.99	$264.28	$270.95
Max Pain	$267.07	$265.00	$269.00	$267.00	$269.00
ATM IV	11.5%	9.8%	13.9%	13.3%	11.1%
Expected Move	3.5%	3.0%	4.3%	4.0%	3.6%
HV 20d	12.5%	8.9%	16.8%	16.8%	10.7%
HV 60d	17.9%	16.7%	20.7%	20.7%	17.0%
IV Rank	25.7%	18.1%	37.2%	34.3%	24.0%
IV Percentile	72.9%	64.3%	83.7%	82.9%	69.4%
Term Structure	0.1%	-0.6%	1.1%	0.1%	-0.1%
VWIV	13.4%	11.4%	16.3%	14.8%	13.7%
Skew 25d	4.0%	2.8%	6.3%	3.8%	5.3%
Skew 10d	8.2%	5.2%	13.5%	7.6%	9.7%
Call IV 25d	9.9%	8.4%	12.1%	11.3%	9.3%
Put IV 25d	13.9%	11.8%	16.9%	15.1%	14.6%
Bid-Ask Spread %	1.30	1.13	1.63	1.13	1.36
Gamma HHI	0.03	0.03	0.04	0.03	0.03
Net GEX	238.1M	-6.77B	6.01B	-4.64B	-2.04B
Net DEX	-9.95B	-47.87B	43.43B	28.29B	1.46B
Net VEX	-496.6M	-528.9M	-471.6M	-523.3M	-482.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	1.06	1.99	1.73	1.74
Total Volume	2,883,374.136	1,850,996	4,098,813	2,494,723	2,753,553
Total OI	22,088,660.682	20,130,968	25,308,848	20,422,542	21,601,598

Daily Data (22 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
2018-05-01	$264.28	$267.00	13.3%	4.0%	16.8%	34.3%	14.8%	3.8%	0.1%	-4.64B	28.29B	-523.3M	1.73	1.13	N/A	N/A	913,438	1,581,285	7,420,689	13,001,853
2018-05-02	$263.41	$267.00	13.3%	4.0%	16.0%	34.4%	14.5%	4.0%	-0.2%	-6.68B	36.11B	-521.4M	1.36	1.15	N/A	N/A	963,962	1,315,180	7,705,808	13,369,761
2018-05-03	$262.40	$266.00	13.9%	4.3%	15.9%	37.2%	16.3%	4.0%	-0.2%	-6.77B	43.43B	-521.6M	1.73	1.46	N/A	N/A	1,500,205	2,598,608	7,738,332	13,330,699
2018-05-04	$266.26	$265.00	12.3%	3.9%	14.3%	29.7%	14.8%	3.7%	0.1%	-691.1M	6.13B	-528.9M	1.47	1.28	N/A	N/A	1,557,922	2,286,075	8,097,491	13,894,433
2018-05-07	$266.84	$265.00	12.3%	3.9%	13.9%	29.7%	14.5%	3.7%	0.3%	-1.07B	2.71B	-513.5M	1.50	1.40	N/A	N/A	1,033,265	1,546,196	7,703,820	13,773,407
2018-05-08	$266.75	$265.00	12.4%	3.9%	13.3%	30.2%	14.7%	3.7%	0.1%	-2.15B	6.25B	-512.0M	1.14	1.32	N/A	N/A	1,110,274	1,265,701	7,740,978	13,870,507
2018-05-09	$269.08	$265.00	11.6%	3.7%	13.5%	26.3%	13.4%	3.2%	-0.2%	3.21B	-19.76B	-502.4M	1.26	1.28	N/A	N/A	1,411,150	1,772,929	8,243,276	14,173,272
2018-05-10	$271.88	$266.00	10.6%	3.4%	13.5%	21.5%	13.2%	2.8%	-0.2%	6.01B	-45.66B	-484.5M	1.19	1.37	N/A	N/A	1,767,416	2,104,768	8,267,206	14,409,616
2018-05-11	$272.49	$266.00	10.2%	3.4%	13.2%	19.9%	13.5%	2.9%	0.5%	5.66B	-47.87B	-500.5M	1.54	1.33	N/A	N/A	1,266,994	1,953,993	8,583,896	14,978,542
2018-05-14	$272.82	$267.00	10.4%	3.2%	12.7%	20.5%	12.4%	3.1%	0.9%	4.33B	-42.75B	-481.2M	1.71	1.31	N/A	N/A	1,026,045	1,756,765	8,384,625	14,891,645
2018-05-15	$270.42	$267.00	12.3%	3.7%	12.6%	29.5%	13.6%	4.3%	1.1%	-1.10B	-12.45B	-501.6M	1.99	1.42	N/A	N/A	1,091,419	2,169,242	8,463,896	15,184,456
2018-05-16	$272.08	$267.00	11.7%	3.4%	12.8%	26.8%	12.8%	3.9%	-0.6%	2.65B	-34.18B	-488.4M	1.50	1.33	N/A	N/A	1,053,277	1,577,406	8,730,864	15,678,820
2018-05-17	$271.90	$268.00	11.2%	3.3%	12.6%	24.6%	11.7%	3.9%	-0.5%	2.01B	-30.46B	-484.0M	1.30	1.21	N/A	N/A	1,188,300	1,540,545	8,980,045	15,698,290
2018-05-18	$271.53	$268.00	10.8%	3.2%	12.0%	22.8%	12.3%	4.0%	0.2%	-18.7M	-24.11B	-501.3M	1.37	1.21	N/A	N/A	1,181,033	1,614,098	9,325,838	15,983,010
2018-05-21	$272.99	$268.00	10.5%	3.2%	12.0%	21.4%	11.9%	3.8%	-0.1%	3.40B	-24.83B	-479.7M	1.06	1.17	N/A	N/A	1,290,317	1,374,125	7,641,554	12,489,414
2018-05-22	$272.69	$268.00	10.6%	3.2%	10.0%	21.6%	12.0%	4.0%	-0.0%	1.86B	-19.26B	-490.9M	1.46	1.21	N/A	N/A	752,359	1,098,637	7,877,472	12,618,858
2018-05-23	$272.86	$268.00	10.1%	3.1%	9.9%	19.1%	12.1%	4.2%	-0.1%	1.43B	-19.34B	-485.6M	1.63	1.26	N/A	N/A	1,016,027	1,657,368	8,058,294	12,897,752
2018-05-24	$272.74	$268.00	9.8%	3.0%	8.9%	18.1%	11.4%	4.1%	-0.3%	2.04B	-18.47B	-471.6M	1.26	1.27	N/A	N/A	1,000,788	1,256,563	8,127,716	12,965,999
2018-05-25	$271.98	$269.00	10.0%	3.1%	9.0%	18.6%	12.2%	4.5%	0.1%	140.5M	-9.42B	-479.8M	1.28	1.27	N/A	N/A	1,007,115	1,284,999	8,278,208	13,282,340
2018-05-29	$268.92	$268.50	12.8%	4.2%	9.8%	32.1%	15.5%	6.3%	-0.1%	-5.01B	21.46B	-488.5M	1.39	1.63	N/A	N/A	1,505,976	2,087,641	8,120,690	12,914,553
2018-05-30	$272.48	$268.00	11.1%	3.4%	10.6%	23.9%	13.3%	5.7%	0.6%	2.67B	-16.16B	-481.5M	1.36	1.21	N/A	N/A	1,357,910	1,843,362	8,380,798	13,070,214
2018-05-31	$270.95	$269.00	11.1%	3.6%	10.7%	24.0%	13.7%	5.3%	-0.1%	-2.04B	1.46B	-482.2M	1.74	1.36	N/A	N/A	1,005,866	1,747,687	8,420,783	13,180,815