SPY Options History — September 2018

In September 2018, SPY traded between $287.57 and $293.68. ATM implied volatility averaged 9.0%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.3% (HV 20d: 6.8%). Max pain ranged from $281.00 to $290.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.48.

Notable Days

  • 2018-09-20: Highest Volume — 3,778,223 contracts
  • 2018-09-17: Largest IV spike — 15.3% change
  • 2018-09-06: Highest IV Rank — 18.2%
  • 2018-09-07: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$290.23$287.57$293.68$289.74$290.59
Max Pain$286.95$281.00$290.00$281.00$290.00
ATM IV9.0%8.0%10.2%9.4%8.9%
Expected Move2.7%2.3%3.0%2.9%2.6%
HV 20d6.8%5.4%7.9%7.7%5.8%
HV 60d7.7%7.2%8.2%8.1%7.2%
IV Rank12.7%7.4%18.2%14.5%12.0%
IV Percentile43.5%25.8%60.3%52.0%41.3%
Term Structure0.0%-0.5%0.3%0.0%0.2%
VWIV10.8%9.4%12.2%11.4%10.6%
Skew 25d3.9%2.9%5.1%4.5%3.7%
Skew 10d7.5%5.6%9.8%9.8%7.2%
Call IV 25d7.8%7.1%8.5%8.2%7.4%
Put IV 25d11.7%10.3%13.5%12.7%11.2%
Bid-Ask Spread %1.511.221.721.221.37
Gamma HHI0.040.030.090.040.04
Net GEX1.89B-4.80B11.70B3.28B-4.35B
Net DEX-37.43B-79.89B-12.29B-46.36B-12.29B
Net VEX-460.0M-505.3M-417.4M-487.5M-478.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.711.981.351.98
Total Volume2,169,800.0531,432,3303,778,2232,016,1471,994,011
Total OI22,269,269.42118,939,49323,998,40722,206,65620,543,936

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$289.74$281.009.4%2.9%7.7%14.5%11.4%4.5%0.0%3.28B-46.36B-487.5M1.351.22N/AN/A856,9021,159,2458,371,86513,834,791
2018-09-05$289.04$281.009.7%3.0%7.7%15.9%10.9%4.4%-0.5%1.36B-38.28B-476.3M1.531.24N/AN/A819,6441,255,5488,523,54013,936,166
2018-09-06$288.45$286.0010.2%3.0%7.8%18.2%12.2%4.8%-0.2%-564.7M-30.02B-486.3M1.661.72N/AN/A964,0431,598,8308,636,95514,061,231
2018-09-07$287.57$285.0010.1%3.0%7.9%17.8%11.8%5.1%0.2%-4.80B-18.21B-505.3M1.501.60N/AN/A1,001,3881,500,8268,848,54214,515,138
2018-09-10$288.18$286.009.7%2.9%7.2%16.0%11.8%4.7%0.2%674.1M-30.97B-480.5M1.751.60N/AN/A606,4951,060,5488,649,19214,108,142
2018-09-11$289.22$286.009.2%2.7%7.1%13.3%11.5%4.1%0.3%3.48B-43.50B-454.4M1.541.67N/AN/A698,2101,072,4578,612,91114,187,420
2018-09-12$289.46$286.008.9%2.6%6.9%11.9%10.7%4.0%-0.5%3.49B-43.82B-454.4M1.451.56N/AN/A829,8051,204,6878,784,35914,571,100
2018-09-13$290.49$286.008.5%2.5%6.1%9.9%11.5%3.5%-0.1%5.97B-53.50B-451.0M1.511.72N/AN/A883,7761,331,9368,801,74014,561,284
2018-09-14$290.88$287.008.0%2.4%5.4%7.4%10.8%3.2%0.2%7.53B-59.40B-442.4M1.361.70N/AN/A903,8871,232,6638,974,09214,772,438
2018-09-17$289.07$287.009.2%2.7%6.0%13.3%10.7%4.2%0.2%509.3M-33.82B-444.5M1.721.65N/AN/A799,8411,378,4408,767,03214,407,767
2018-09-18$291.21$287.008.7%2.5%6.4%10.9%10.6%3.6%0.2%6.13B-58.74B-430.0M1.741.57N/AN/A774,4161,346,5648,839,17614,645,682
2018-09-19$291.39$287.008.3%2.4%6.4%9.3%10.6%3.8%-0.1%5.55B-54.09B-444.3M1.541.57N/AN/A717,1091,106,8768,897,97915,100,428
2018-09-20$293.68$288.008.0%2.3%6.8%7.7%9.4%2.9%-0.2%11.70B-79.89B-417.4M0.711.53N/AN/A2,204,8091,573,4148,839,81115,081,987
2018-09-21$292.14$289.008.4%2.4%7.1%9.6%9.9%3.2%0.2%-228.4M-32.72B-447.7M1.371.49N/AN/A1,214,3561,662,0097,909,67815,569,879
2018-09-24$291.06$290.009.2%2.6%7.0%13.2%10.0%3.8%0.2%-837.7M-21.08B-449.2M1.401.29N/AN/A830,0271,159,9977,055,75011,883,743
2018-09-25$290.91$290.009.1%2.6%6.5%13.1%10.3%3.7%0.2%329.1M-21.47B-453.0M1.331.35N/AN/A615,869816,4617,242,29212,003,346
2018-09-26$290.78$290.009.2%2.6%6.5%13.4%9.7%4.0%0.2%-1.21B-18.61B-465.7M1.391.47N/AN/A791,5671,100,7257,355,30612,300,754
2018-09-27$290.50$290.009.2%2.6%6.1%13.5%10.3%3.8%0.0%-2.06B-14.36B-472.8M1.321.31N/AN/A928,6551,230,1657,524,00912,396,658
2018-09-28$290.59$290.008.9%2.6%5.8%12.0%10.6%3.7%0.2%-4.35B-12.29B-478.0M1.981.37N/AN/A668,7191,325,2927,775,47512,768,461