SPY Options History — July 2018

In July 2018, SPY traded between $270.90 and $283.77. ATM implied volatility averaged 9.7%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.8% (HV 20d: 9.0%). Max pain ranged from $273.00 to $279.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2018-07-27: Highest Volume — 2,939,951 contracts
2018-07-09: Largest IV drop — 16.3% change
2018-07-03: Highest IV Rank — 31.1%
2018-07-03: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$278.81	$270.90	$283.77	$271.28	$281.28
Max Pain	$276.10	$273.00	$279.00	$275.00	$279.00
ATM IV	9.7%	8.6%	12.6%	12.5%	9.9%
Expected Move	2.9%	2.5%	3.7%	3.6%	2.7%
HV 20d	9.0%	7.1%	10.3%	8.4%	8.2%
HV 60d	10.0%	8.9%	11.1%	11.1%	8.9%
IV Rank	17.6%	12.2%	31.1%	30.6%	18.1%
IV Percentile	55.4%	41.3%	78.2%	78.2%	57.1%
Term Structure	-0.0%	-1.0%	0.9%	-0.0%	-0.4%
VWIV	11.2%	9.6%	14.1%	14.1%	11.1%
Skew 25d	4.2%	3.1%	5.5%	5.3%	4.2%
Skew 10d	8.3%	5.8%	11.3%	10.9%	8.1%
Call IV 25d	8.2%	7.5%	10.1%	10.1%	8.2%
Put IV 25d	12.4%	10.8%	15.5%	15.4%	12.4%
Bid-Ask Spread %	1.66	1.07	4.10	1.07	1.43
Gamma HHI	0.04	0.03	0.08	0.03	0.03
Net GEX	3.42B	-6.17B	11.36B	-5.66B	-88.0M
Net DEX	-26.22B	-55.80B	28.06B	24.27B	-21.72B
Net VEX	-459.1M	-490.0M	-435.9M	-487.2M	-461.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	1.34	2.07	1.59	1.65
Total Volume	2,140,775.095	1,625,394	2,939,951	2,398,592	1,874,555
Total OI	19,695,904.667	17,350,279	22,060,667	19,084,212	18,942,297

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
2018-07-02	$271.28	$275.00	12.5%	3.6%	8.4%	30.6%	14.1%	5.3%	-0.0%	-5.66B	24.27B	-487.2M	1.59	1.07	N/A	N/A	925,868	1,472,724	7,393,107	11,691,105
2018-07-03	$270.90	$275.00	12.6%	3.7%	8.4%	31.1%	13.9%	5.5%	0.2%	-6.17B	28.06B	-490.0M	1.84	4.10	N/A	N/A	620,362	1,140,568	7,319,182	11,901,407
2018-07-05	$272.90	$273.00	11.3%	3.4%	8.5%	24.8%	12.8%	5.3%	-1.0%	-3.47B	10.02B	-479.7M	1.43	1.70	N/A	N/A	788,781	1,124,318	7,307,228	11,915,888
2018-07-06	$275.27	$273.00	10.3%	3.1%	9.1%	20.1%	12.3%	4.4%	0.2%	1.98B	-13.40B	-471.4M	1.60	1.72	N/A	N/A	991,428	1,587,086	7,549,563	12,206,363
2018-07-09	$277.79	$273.00	8.6%	2.8%	9.7%	12.2%	10.8%	3.8%	0.9%	6.03B	-33.90B	-440.0M	1.47	1.64	N/A	N/A	965,055	1,414,762	7,343,980	11,902,043
2018-07-10	$278.80	$274.00	9.3%	2.8%	9.7%	15.6%	11.8%	4.1%	0.3%	6.29B	-38.96B	-448.9M	1.36	1.68	N/A	N/A	984,845	1,344,157	7,460,787	12,101,402
2018-07-11	$277.08	$275.00	10.3%	3.0%	9.9%	20.0%	11.4%	4.3%	-0.2%	537.2M	-18.14B	-462.9M	1.74	1.73	N/A	N/A	948,322	1,649,562	7,746,193	12,596,494
2018-07-12	$279.16	$275.00	9.4%	2.8%	10.3%	15.9%	11.0%	3.8%	-0.2%	7.72B	-41.17B	-459.6M	1.34	1.56	N/A	N/A	926,836	1,245,115	7,849,188	12,758,323
2018-07-13	$279.57	$276.00	8.8%	2.7%	10.3%	13.2%	11.2%	3.5%	0.2%	8.95B	-43.12B	-454.5M	1.42	1.53	N/A	N/A	894,389	1,267,695	8,059,881	13,111,103
2018-07-16	$279.35	$276.00	9.3%	2.7%	10.0%	15.3%	10.2%	3.7%	0.3%	5.36B	-36.95B	-445.9M	1.34	1.56	N/A	N/A	730,859	977,819	7,922,536	12,727,486
2018-07-17	$280.88	$276.00	8.6%	2.5%	10.1%	12.3%	9.8%	3.3%	0.3%	9.43B	-51.21B	-439.0M	1.43	1.47	N/A	N/A	879,998	1,261,024	7,975,359	12,866,580
2018-07-18	$281.03	$277.00	8.7%	2.5%	9.9%	12.8%	9.8%	3.1%	-0.2%	11.36B	-52.38B	-443.5M	1.51	1.56	N/A	N/A	652,280	982,430	8,157,045	13,344,474
2018-07-19	$280.20	$277.00	9.4%	2.7%	9.9%	15.9%	10.2%	3.8%	-0.2%	6.03B	-41.98B	-444.7M	1.51	1.54	N/A	N/A	824,110	1,240,491	8,143,920	13,458,861
2018-07-20	$279.90	$277.00	9.1%	2.6%	9.3%	14.4%	10.5%	4.0%	0.2%	6.07B	-34.15B	-456.3M	1.69	1.61	N/A	N/A	887,348	1,496,594	8,266,077	13,794,590
2018-07-23	$280.20	$277.00	9.3%	2.7%	9.2%	15.3%	10.8%	4.0%	0.2%	2.02B	-23.14B	-447.4M	1.41	1.47	N/A	N/A	674,270	951,124	6,465,472	10,884,807
2018-07-24	$281.22	$277.00	9.6%	2.7%	7.1%	16.8%	10.0%	4.7%	-0.3%	4.06B	-31.34B	-452.7M	1.46	1.49	N/A	N/A	924,221	1,350,025	6,637,303	10,976,361
2018-07-25	$283.77	$278.00	8.6%	2.5%	7.5%	12.3%	9.6%	3.6%	-0.5%	8.54B	-55.80B	-435.9M	1.39	1.60	N/A	N/A	848,991	1,180,733	6,850,647	11,427,667
2018-07-26	$283.25	$278.00	8.9%	2.6%	7.1%	13.5%	10.1%	3.9%	-0.8%	6.68B	-45.61B	-469.1M	1.48	1.42	N/A	N/A	716,782	1,059,497	7,008,409	11,712,902
2018-07-27	$281.44	$278.00	10.0%	2.8%	7.8%	18.9%	10.8%	4.2%	0.2%	2.9M	-24.35B	-477.7M	1.59	1.60	N/A	N/A	1,133,482	1,806,469	7,111,828	12,034,682
2018-07-30	$279.76	$279.00	10.3%	3.0%	8.2%	20.5%	12.1%	4.8%	0.2%	-3.91B	-5.74B	-472.9M	2.07	1.35	N/A	N/A	721,153	1,490,149	6,912,132	11,779,326
2018-07-31	$281.28	$279.00	9.9%	2.7%	8.2%	18.1%	11.1%	4.2%	-0.4%	-88.0M	-21.72B	-461.7M	1.65	1.43	N/A	N/A	706,587	1,167,968	6,949,567	11,992,730