SPY Options History — October 2018 In October 2018, SPY traded between $260.88 and $291.63. ATM implied volatility averaged 15.9%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.0% (HV 20d: 13.0%). Max pain ranged from $280.00 to $290.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.65.
Notable Days 2018-10-11 : Highest Volume — 6,910,917 contracts2018-10-10 : Largest IV spike — 37.5% change2018-10-29 : Highest IV Rank — 81.1%2018-10-29 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $278.19 $260.88 $291.63 $291.16 $271.73 Max Pain $285.96 $280.00 $290.00 $290.00 $280.00 ATM IV 15.9% 8.8% 23.3% 9.0% 18.4% Expected Move 4.8% 2.4% 7.8% 2.5% 5.9% HV 20d 13.0% 5.7% 21.9% 5.8% 21.9% HV 60d 9.8% 6.8% 13.9% 7.0% 13.9% IV Rank 45.4% 11.4% 81.1% 12.5% 57.1% IV Percentile 82.8% 35.3% 99.2% 42.9% 93.3% Term Structure -0.1% -0.8% 1.2% 0.3% -0.5% VWIV 17.9% 9.3% 27.0% 9.7% 22.9% Skew 25d 6.4% 3.6% 8.4% 3.7% 6.0% Skew 10d 12.8% 6.7% 16.1% 6.8% 11.6% Call IV 25d 13.2% 7.4% 19.7% 7.5% 15.5% Put IV 25d 19.6% 11.2% 27.6% 11.2% 21.5% Bid-Ask Spread % 1.80 1.24 2.67 1.24 1.66 Gamma HHI 0.04 0.03 0.05 0.03 0.03 Net GEX -7.01B -12.32B 2.18B 1.91B -3.54B Net DEX 54.90B -26.30B 126.58B -22.85B 48.71B Net VEX -501.1M -527.1M -454.5M -455.1M -517.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.65 1.42 1.97 1.48 1.60 Total Volume 3,862,202.13 1,711,214 6,910,917 2,043,528 4,027,918 Total OI 22,775,079.174 19,082,046 26,042,308 19,082,046 24,945,739
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 2018-10-01 $291.16 $290.00 9.0% 2.5% 5.8% 12.5% 9.7% 3.7% 0.3% 1.91B -22.85B -455.1M 1.48 1.24 N/A N/A 823,925 1,219,603 7,376,928 11,705,118 2018-10-02 $291.56 $290.00 8.8% 2.4% 5.8% 11.4% 9.4% 4.1% 0.1% 2.18B -25.88B -454.5M 1.53 1.25 N/A N/A 675,609 1,035,605 7,493,203 11,934,891 2018-10-03 $291.63 $290.00 9.0% 2.5% 5.7% 12.4% 9.3% 3.6% -0.1% 572.1M -26.30B -456.4M 1.61 1.26 N/A N/A 981,091 1,576,742 7,716,934 12,254,444 2018-10-04 $288.81 $290.00 10.9% 3.4% 6.7% 21.8% 13.1% 5.1% -0.3% -6.00B 7.80B -497.7M 1.71 1.71 N/A N/A 1,449,760 2,479,354 7,798,140 12,687,392 2018-10-05 $287.61 $290.00 11.9% 3.7% 6.8% 26.4% 14.5% 6.1% -0.1% -9.89B 23.67B -509.2M 1.80 1.44 N/A N/A 1,319,556 2,372,322 8,221,562 13,286,247 2018-10-08 $288.08 $290.00 11.7% 3.6% 6.8% 24.7% 14.8% 6.5% 1.2% -6.26B 12.30B -497.5M 1.61 1.47 N/A N/A 1,229,794 1,983,377 8,101,937 13,143,204 2018-10-09 $287.52 $290.00 12.8% 3.6% 6.7% 30.4% 14.2% 6.4% 0.5% -7.01B 14.30B -498.8M 1.47 1.46 N/A N/A 972,305 1,431,029 8,197,602 13,524,572 2018-10-10 $279.22 $290.00 17.7% 5.0% 12.2% 53.8% 17.7% 7.9% -0.2% -12.32B 91.37B -519.5M 1.92 2.45 N/A N/A 2,027,175 3,895,742 8,474,236 13,888,273 2018-10-11 $273.86 $289.00 20.9% 5.8% 13.5% 69.6% 20.1% 8.4% -0.8% -11.39B 115.33B -517.9M 1.81 2.67 N/A N/A 2,459,549 4,451,368 8,840,820 13,882,211 2018-10-12 $275.67 $288.00 18.5% 5.2% 13.9% 57.7% 19.4% 7.8% -0.1% -11.57B 99.06B -527.1M 1.62 2.31 N/A N/A 2,104,101 3,409,619 9,739,916 14,460,987 2018-10-15 $275.78 $287.00 16.9% 4.8% 13.9% 50.2% 17.9% 7.6% -0.0% -10.53B 86.49B -501.1M 1.48 1.75 N/A N/A 1,365,472 2,026,017 10,055,272 14,169,999 2018-10-16 $280.27 $286.00 14.7% 4.2% 15.0% 39.2% 16.3% 6.1% 0.1% -6.67B 39.01B -504.9M 1.66 1.52 N/A N/A 1,284,638 2,133,802 10,186,784 14,297,259 2018-10-17 $279.95 $285.00 14.7% 4.2% 15.0% 39.4% 16.0% 5.7% -0.4% -7.71B 41.99B -510.1M 1.63 1.61 N/A N/A 1,462,009 2,377,069 10,386,423 14,815,120 2018-10-18 $276.61 $285.00 16.5% 4.8% 14.9% 48.0% 18.5% 6.8% -0.5% -10.54B 73.72B -513.3M 1.97 1.83 N/A N/A 1,476,302 2,913,299 10,526,175 14,682,891 2018-10-19 $276.68 $285.00 16.1% 4.7% 14.9% 46.2% 17.4% 7.0% 0.1% -8.83B 68.95B -516.4M 1.64 1.73 N/A N/A 1,519,630 2,497,012 10,977,766 15,064,542 2018-10-22 $275.60 $284.00 16.2% 4.8% 14.9% 46.7% 17.9% 6.7% -0.3% -6.87B 57.40B -504.2M 1.50 1.61 N/A N/A 1,055,264 1,583,937 9,084,576 12,333,219 2018-10-23 $274.02 $284.00 17.3% 5.2% 14.9% 52.0% 19.8% 6.8% -0.4% -6.91B 64.88B -506.4M 1.81 1.97 N/A N/A 1,550,406 2,800,631 9,187,898 12,484,866 2018-10-24 $268.63 $283.00 19.5% 6.0% 16.0% 62.6% 21.6% 7.2% -0.5% -8.41B 97.13B -489.0M 1.58 2.17 N/A N/A 1,464,454 2,308,196 9,625,763 12,915,747 2018-10-25 $270.85 $281.00 19.0% 6.0% 16.6% 60.3% 22.6% 6.6% -0.6% -6.76B 73.20B -521.7M 1.69 1.97 N/A N/A 1,500,352 2,539,496 9,836,734 13,143,319 2018-10-26 $265.25 $280.00 21.7% 7.0% 17.6% 73.4% 26.6% 7.5% -0.1% -9.03B 111.34B -508.2M 1.93 2.17 N/A N/A 1,970,987 3,808,081 10,292,055 13,850,966 2018-10-29 $260.88 $280.00 23.3% 7.8% 17.9% 81.1% 27.0% 7.9% 0.0% -8.69B 126.58B -489.3M 1.43 2.26 N/A N/A 1,613,911 2,310,312 10,119,154 13,953,524 2018-10-30 $267.08 $280.00 20.6% 6.8% 20.6% 68.0% 25.3% 6.6% 0.0% -6.89B 84.59B -509.8M 1.42 1.99 N/A N/A 1,383,992 1,959,836 10,269,465 13,892,948 2018-10-31 $271.73 $280.00 18.4% 5.9% 21.9% 57.1% 22.9% 6.0% -0.5% -3.54B 48.71B -517.3M 1.60 1.66 N/A N/A 1,551,338 2,476,580 10,690,344 14,255,395
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