SPY Options History — June 2018

In June 2018, SPY traded between $270.50 and $278.98. ATM implied volatility averaged 10.2%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.7% (HV 20d: 9.5%). Max pain ranged from $269.00 to $277.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.43.

Notable Days

2018-06-25: Highest Volume — 4,397,273 contracts
2018-06-25: Largest IV spike — 31.9% change
2018-06-27: Highest IV Rank — 37.7%
2018-06-27: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$275.31	$270.50	$278.98	$273.37	$272.08
Max Pain	$274.33	$269.00	$277.00	$269.00	$275.00
ATM IV	10.2%	8.5%	14.0%	10.0%	12.2%
Expected Move	3.1%	2.6%	4.1%	3.2%	3.6%
HV 20d	9.5%	8.4%	11.1%	10.9%	8.7%
HV 60d	15.1%	12.2%	17.1%	17.1%	12.2%
IV Rank	19.8%	11.8%	37.7%	19.0%	29.1%
IV Percentile	62.1%	45.2%	84.1%	64.3%	74.6%
Term Structure	0.0%	-0.5%	0.4%	0.0%	0.2%
VWIV	12.0%	9.8%	15.5%	11.8%	13.9%
Skew 25d	4.4%	3.2%	6.6%	4.6%	5.8%
Skew 10d	9.0%	6.1%	13.6%	9.4%	11.3%
Call IV 25d	8.6%	7.5%	11.3%	8.3%	9.6%
Put IV 25d	13.0%	10.8%	17.6%	12.9%	15.4%
Bid-Ask Spread %	1.33	1.18	1.69	1.36	1.41
Gamma HHI	0.04	0.03	0.07	0.04	0.03
Net GEX	1.61B	-6.95B	10.43B	5.03B	-3.49B
Net DEX	-15.95B	-59.12B	34.45B	-26.68B	18.30B
Net VEX	-465.3M	-501.9M	-441.4M	-477.1M	-494.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	1.01	1.87	1.29	1.87
Total Volume	2,462,192.571	1,737,849	4,397,273	2,913,707	2,609,986
Total OI	20,838,142.857	17,579,888	23,174,545	22,455,679	20,861,825

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
2018-06-01	$273.37	$269.00	10.0%	3.2%	10.9%	19.0%	11.8%	4.6%	0.0%	5.03B	-26.68B	-477.1M	1.29	1.36	N/A	N/A	1,274,057	1,639,650	8,704,274	13,751,405
2018-06-04	$275.00	$271.00	9.2%	2.9%	9.9%	15.1%	12.7%	4.2%	0.1%	5.77B	-35.91B	-457.9M	1.30	1.49	N/A	N/A	892,913	1,159,687	8,380,749	13,369,626
2018-06-05	$275.08	$272.00	9.2%	2.9%	10.0%	15.0%	12.1%	4.1%	-0.0%	5.01B	-35.17B	-451.6M	1.78	1.36	N/A	N/A	625,667	1,112,182	8,287,710	13,407,623
2018-06-06	$277.01	$272.00	8.6%	2.7%	10.1%	12.0%	11.3%	3.7%	-0.1%	8.99B	-51.68B	-448.4M	1.11	1.37	N/A	N/A	1,378,870	1,528,070	8,354,705	13,619,018
2018-06-07	$277.45	$273.00	8.7%	2.8%	9.8%	12.8%	12.4%	3.9%	0.1%	8.11B	-53.86B	-456.7M	1.86	1.33	N/A	N/A	964,817	1,795,206	8,578,702	14,039,134
2018-06-08	$278.04	$273.00	8.5%	2.7%	9.2%	11.8%	11.3%	3.6%	0.3%	10.43B	-57.20B	-458.0M	1.44	1.28	N/A	N/A	850,782	1,224,035	8,632,046	14,345,797
2018-06-11	$278.98	$274.00	8.6%	2.7%	9.2%	12.4%	11.3%	3.3%	0.3%	9.67B	-59.12B	-450.7M	1.11	1.27	N/A	N/A	933,358	1,033,040	8,410,451	13,797,215
2018-06-12	$278.70	$274.00	8.6%	2.6%	9.3%	12.4%	10.1%	3.5%	0.4%	8.84B	-55.41B	-441.4M	1.18	1.34	N/A	N/A	952,351	1,123,579	8,429,203	13,850,211
2018-06-13	$278.43	$275.00	9.0%	2.7%	8.6%	14.2%	10.9%	3.5%	-0.5%	7.27B	-49.88B	-454.4M	1.18	1.38	N/A	N/A	1,216,922	1,430,891	8,524,994	14,237,556
2018-06-14	$278.90	$275.00	8.5%	2.6%	8.4%	11.8%	10.3%	3.2%	-0.1%	7.51B	-51.52B	-447.7M	1.15	1.31	N/A	N/A	1,238,430	1,418,910	8,678,814	14,495,731
2018-06-15	$277.00	$277.00	8.8%	2.7%	8.8%	13.1%	9.8%	3.3%	0.3%	-4.30B	-5.14B	-454.9M	1.85	1.26	N/A	N/A	1,034,999	1,918,996	7,559,007	15,031,007
2018-06-18	$276.32	$276.00	9.5%	2.7%	8.9%	16.3%	10.4%	3.7%	0.1%	-1.88B	-3.43B	-455.6M	1.55	1.33	N/A	N/A	702,627	1,091,763	6,500,005	11,079,883
2018-06-19	$275.21	$276.00	10.3%	3.0%	8.9%	20.4%	10.6%	4.4%	0.3%	-3.06B	3.51B	-453.8M	1.22	1.23	N/A	N/A	1,011,993	1,234,335	6,551,226	11,210,853
2018-06-20	$276.15	$276.00	9.8%	2.8%	8.9%	17.8%	10.3%	4.1%	-0.2%	-54.0M	-7.46B	-451.7M	1.01	1.22	N/A	N/A	1,021,812	1,030,051	6,856,316	11,506,814
2018-06-21	$273.74	$276.00	11.5%	3.3%	9.5%	25.9%	11.7%	5.2%	-0.5%	-4.89B	16.38B	-475.9M	1.27	1.18	N/A	N/A	1,028,379	1,305,795	7,096,941	11,584,326
2018-06-22	$275.18	$276.00	10.3%	3.0%	9.7%	20.0%	10.9%	4.6%	0.2%	-1.66B	2.40B	-470.4M	1.29	1.26	N/A	N/A	803,501	1,037,862	7,321,374	11,889,267
2018-06-25	$271.13	$276.00	13.5%	4.0%	11.1%	35.5%	15.1%	6.6%	0.1%	-6.95B	34.09B	-479.3M	1.50	1.69	N/A	N/A	1,755,505	2,641,768	7,188,163	11,484,412
2018-06-26	$272.04	$275.00	12.3%	3.6%	10.3%	29.6%	14.2%	5.5%	0.1%	-4.38B	21.36B	-488.7M	1.53	1.22	N/A	N/A	823,125	1,262,657	7,721,219	11,808,239
2018-06-27	$270.50	$275.00	14.0%	4.1%	9.4%	37.7%	15.5%	6.3%	-0.1%	-6.65B	34.45B	-500.3M	1.74	1.47	N/A	N/A	1,177,270	2,045,002	7,933,130	12,169,884
2018-06-28	$271.19	$275.00	13.2%	3.9%	9.2%	33.9%	14.8%	5.8%	-0.3%	-5.60B	27.01B	-501.9M	1.74	1.19	N/A	N/A	867,402	1,507,799	8,048,717	12,303,428
2018-06-29	$272.08	$275.00	12.2%	3.6%	8.7%	29.1%	13.9%	5.8%	0.2%	-3.49B	18.30B	-494.6M	1.87	1.41	N/A	N/A	909,143	1,700,843	8,204,256	12,657,569