SPY Options History — August 2018 In August 2018, SPY traded between $281.16 and $291.70. ATM implied volatility averaged 9.1%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.6% (HV 20d: 7.5%). Max pain ranged from $277.00 to $281.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.55.
Notable Days 2018-08-15 : Highest Volume — 4,261,215 contracts2018-08-15 : Largest IV spike — 16.7% change2018-08-15 : Highest IV Rank — 21.9%2018-08-15 : Largest Expected Move — 3.3%Monthly Statistics Metric Avg Min Max Open Close Price $285.77 $281.16 $291.70 $281.16 $290.15 Max Pain $279.50 $277.00 $281.00 $279.00 $281.00 ATM IV 9.1% 7.8% 11.0% 9.7% 9.2% Expected Move 2.8% 2.2% 3.3% 2.8% 2.8% HV 20d 7.5% 6.2% 8.3% 8.1% 7.7% HV 60d 8.5% 8.0% 8.9% 8.9% 8.1% IV Rank 13.2% 6.8% 21.9% 17.5% 13.3% IV Percentile 45.9% 24.2% 65.9% 55.2% 48.4% Term Structure 0.0% -0.6% 0.9% -0.3% 0.1% VWIV 11.2% 8.9% 14.1% 11.1% 10.7% Skew 25d 3.5% 2.3% 5.2% 4.1% 4.2% Skew 10d 6.9% 4.3% 10.8% 7.3% 9.1% Call IV 25d 7.9% 7.1% 9.0% 8.1% 8.1% Put IV 25d 11.4% 9.5% 14.2% 12.1% 12.2% Bid-Ask Spread % 1.49 1.27 3.49 1.64 1.45 Gamma HHI 0.05 0.03 0.07 0.03 0.04 Net GEX 4.26B -5.68B 8.44B -1.15B 4.43B Net DEX -42.85B -81.28B -5.14B -17.34B -56.40B Net VEX -478.9M -528.1M -438.9M -466.4M -493.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.55 0.97 2.22 1.57 1.47 Total Volume 2,374,316.435 1,627,145 4,261,215 2,126,901 2,629,620 Total OI 21,393,140 19,476,231 23,965,784 19,476,231 23,113,635
Daily Data (23 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 2018-08-01 $281.16 $279.00 9.7% 2.8% 8.1% 17.5% 11.1% 4.1% -0.3% -1.15B -17.34B -466.4M 1.57 1.64 N/A N/A 828,387 1,298,514 7,116,466 12,359,765 2018-08-02 $282.36 $279.00 8.9% 2.5% 7.9% 13.7% 9.7% 3.6% -0.1% 2.74B -29.14B -471.0M 1.88 1.34 N/A N/A 740,174 1,390,936 7,231,732 12,512,920 2018-08-03 $283.51 $279.50 8.2% 2.2% 7.6% 10.3% 8.9% 3.4% -0.4% 6.27B -45.62B -449.7M 1.82 1.42 N/A N/A 681,300 1,237,532 7,423,939 12,849,051 2018-08-06 $284.66 $277.00 7.9% 2.7% 7.1% 9.1% 11.9% 2.7% 0.2% 6.73B -50.46B -451.1M 1.32 1.48 N/A N/A 860,175 1,132,459 7,229,490 12,579,948 2018-08-07 $285.63 $278.00 7.9% 2.6% 7.1% 8.8% 10.6% 2.5% 0.2% 8.01B -57.86B -438.9M 1.20 3.49 N/A N/A 1,156,760 1,384,442 7,329,494 12,871,998 2018-08-08 $285.84 $279.00 7.8% 2.6% 6.5% 6.8% 10.9% 2.3% 0.2% 8.44B -58.54B -439.6M 1.82 1.38 N/A N/A 605,477 1,102,421 7,724,623 13,482,062 2018-08-09 $285.46 $279.00 8.2% 2.7% 6.2% 8.6% 11.5% 2.5% -0.1% 6.43B -53.17B -459.5M 1.81 1.38 N/A N/A 578,663 1,048,482 7,646,009 13,625,470 2018-08-10 $283.10 $279.00 9.6% 3.0% 7.0% 15.1% 11.8% 4.2% 0.2% -1.56B -21.59B -479.8M 2.13 1.53 N/A N/A 1,034,553 2,200,038 7,745,682 14,095,446 2018-08-13 $282.39 $279.00 10.4% 3.2% 7.1% 19.4% 13.9% 4.7% -0.0% -3.95B -11.18B -498.6M 1.92 1.54 N/A N/A 925,732 1,773,076 7,585,014 14,236,831 2018-08-14 $284.04 $279.00 9.4% 2.9% 7.1% 14.3% 11.8% 3.9% 0.2% 592.4M -26.72B -490.5M 1.63 1.44 N/A N/A 721,549 1,174,451 7,638,598 14,257,924 2018-08-15 $281.72 $280.00 11.0% 3.3% 7.8% 21.9% 14.1% 5.2% 0.6% -5.68B -5.14B -495.4M 1.70 1.55 N/A N/A 1,579,158 2,682,057 7,812,764 14,579,264 2018-08-16 $284.16 $279.00 9.6% 3.0% 8.2% 15.3% 12.1% 4.1% -0.5% 4.79B -37.42B -483.9M 1.33 1.36 N/A N/A 1,341,956 1,784,862 8,067,863 14,859,885 2018-08-17 $285.16 $280.00 8.9% 2.8% 8.3% 11.8% 11.0% 3.7% 0.2% 7.25B -50.54B -476.6M 0.97 1.36 N/A N/A 1,694,173 1,640,561 8,424,620 15,541,164 2018-08-20 $285.92 $280.00 8.8% 2.8% 8.3% 11.3% 11.6% 3.3% 0.9% 5.31B -36.20B -489.7M 1.12 1.31 N/A N/A 880,640 983,118 7,792,738 12,282,507 2018-08-21 $286.61 $280.00 9.1% 2.7% 8.3% 12.8% 11.2% 3.2% 0.9% 6.43B -47.47B -464.9M 1.18 1.33 N/A N/A 966,767 1,138,748 8,080,499 12,385,731 2018-08-22 $286.45 $280.00 9.6% 2.7% 7.7% 15.2% 11.0% 3.4% -0.5% 5.10B -39.88B -490.7M 1.68 1.27 N/A N/A 717,226 1,206,047 8,326,224 12,645,024 2018-08-23 $285.72 $280.00 9.5% 2.8% 7.7% 15.0% 10.9% 3.6% -0.6% 3.34B -33.18B -492.8M 2.22 1.39 N/A N/A 662,687 1,474,403 8,312,792 12,778,478 2018-08-24 $287.51 $280.00 9.0% 2.7% 7.5% 12.2% 11.4% 2.9% -0.5% 8.33B -48.70B -503.6M 1.46 1.27 N/A N/A 1,033,908 1,510,306 8,375,434 13,405,330 2018-08-27 $289.61 $280.00 8.8% 2.6% 7.4% 11.7% 10.1% 3.4% 0.2% 8.23B -67.91B -481.6M 1.33 1.32 N/A N/A 1,041,539 1,387,183 8,249,661 13,156,789 2018-08-28 $289.84 $280.00 9.0% 2.7% 7.2% 12.4% 10.9% 3.0% 0.2% 6.33B -60.18B -496.1M 1.52 1.31 N/A N/A 660,716 1,007,539 8,222,787 13,462,128 2018-08-29 $291.70 $280.00 8.9% 2.6% 7.4% 11.8% 9.9% 2.9% 0.5% 8.44B -81.28B -472.6M 1.21 1.33 N/A N/A 1,046,867 1,269,144 8,320,731 13,798,597 2018-08-30 $290.07 $281.00 9.7% 2.9% 7.8% 15.8% 11.5% 3.8% -0.3% 3.23B -49.75B -528.1M 1.36 1.42 N/A N/A 1,015,462 1,379,470 8,457,664 14,047,449 2018-08-31 $290.15 $281.00 9.2% 2.8% 7.7% 13.3% 10.7% 4.2% 0.1% 4.43B -56.40B -493.6M 1.47 1.45 N/A N/A 1,062,604 1,567,016 8,671,555 14,442,080
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