SPY Options History — November 2018 In November 2018, SPY traded between $263.25 and $280.63. ATM implied volatility averaged 17.2%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.7% (HV 20d: 20.8%). Max pain ranged from $275.00 to $280.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.36.
Notable Days 2018-11-28 : Highest Volume — 4,117,401 contracts2018-11-12 : Largest IV spike — 20.4% change2018-11-20 : Highest IV Rank — 68.0%2018-11-20 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $272.19 $263.25 $280.63 $273.18 $276.00 Max Pain $276.29 $275.00 $280.00 $280.00 $275.00 ATM IV 17.2% 14.1% 20.6% 16.9% 16.6% Expected Move 5.3% 4.4% 6.1% 5.3% 5.4% HV 20d 20.8% 18.4% 22.3% 22.0% 18.4% HV 60d 15.3% 14.0% 16.9% 14.0% 16.9% IV Rank 51.3% 36.6% 68.0% 49.9% 48.3% IV Percentile 87.3% 77.4% 96.4% 88.5% 81.3% Term Structure -0.0% -0.9% 1.1% -0.3% -0.0% VWIV 19.3% 16.5% 22.0% 20.2% 19.7% Skew 25d 5.3% 4.0% 6.5% 5.7% 4.8% Skew 10d 10.3% 7.3% 12.5% 11.5% 8.7% Call IV 25d 14.8% 12.1% 17.4% 14.3% 14.2% Put IV 25d 20.1% 16.6% 23.2% 20.0% 19.0% Bid-Ask Spread % 1.63 1.37 2.01 1.37 1.58 Gamma HHI 0.03 0.02 0.04 0.03 0.03 Net GEX -2.96B -7.45B 4.16B -3.45B 4.16B Net DEX 38.68B -26.40B 86.93B 40.32B -9.65B Net VEX -464.0M -514.6M -415.7M -514.6M -461.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.36 0.77 1.81 1.53 0.77 Total Volume 2,976,328.524 1,843,230 4,117,401 2,844,498 2,934,449 Total OI 23,982,154.238 21,221,358 26,406,968 24,445,792 24,196,423
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 2018-11-01 $273.18 $280.00 16.9% 5.3% 22.0% 49.9% 20.2% 5.7% -0.3% -3.45B 40.32B -514.6M 1.53 1.37 N/A N/A 1,126,293 1,718,205 10,511,290 13,934,502 2018-11-02 $271.81 $279.00 17.2% 5.6% 22.0% 51.6% 20.1% 5.5% 0.2% -5.38B 53.53B -509.7M 1.25 1.87 N/A N/A 1,592,143 1,992,449 10,755,316 14,438,695 2018-11-05 $273.26 $276.00 17.8% 5.3% 22.2% 54.2% 19.4% 5.7% -0.2% -3.32B 40.22B -502.0M 1.43 1.62 N/A N/A 1,011,587 1,444,525 10,259,097 13,921,084 2018-11-06 $274.29 $276.00 17.4% 5.3% 22.3% 52.4% 19.4% 5.6% 0.1% -2.70B 31.90B -507.7M 1.58 1.63 N/A N/A 717,381 1,136,654 10,349,593 14,113,469 2018-11-07 $280.63 $276.00 14.1% 4.4% 21.6% 36.6% 17.2% 4.4% -0.2% 3.93B -26.40B -478.9M 1.39 1.46 N/A N/A 1,553,851 2,165,858 10,504,082 14,426,265 2018-11-08 $279.72 $276.00 14.2% 4.4% 20.4% 36.8% 16.8% 4.9% -0.4% 720.3M -11.45B -477.2M 1.60 1.62 N/A N/A 1,009,848 1,619,349 10,384,605 14,522,199 2018-11-09 $278.48 $277.00 14.5% 4.5% 20.4% 38.3% 16.5% 5.3% 0.3% -1.52B 4.04B -483.2M 1.51 1.43 N/A N/A 1,275,013 1,925,371 10,678,852 14,901,189 2018-11-12 $273.02 $277.00 17.4% 5.2% 21.6% 52.7% 19.4% 6.5% 0.2% -6.72B 56.37B -465.9M 1.81 1.57 N/A N/A 1,102,081 1,995,610 10,262,137 14,451,648 2018-11-13 $272.06 $277.00 17.7% 5.3% 20.7% 53.7% 19.3% 6.2% 0.2% -6.42B 59.89B -463.2M 1.42 1.59 N/A N/A 1,127,737 1,606,895 10,356,501 14,419,512 2018-11-14 $270.86 $276.00 18.2% 5.4% 20.7% 56.5% 20.4% 5.9% -0.1% -7.39B 68.16B -463.0M 1.70 1.87 N/A N/A 1,334,465 2,269,871 10,641,882 14,630,059 2018-11-15 $272.48 $277.00 17.7% 5.4% 20.5% 53.8% 20.0% 5.8% -0.5% -5.23B 51.79B -468.5M 1.19 2.01 N/A N/A 1,844,942 2,187,191 10,840,419 14,631,217 2018-11-16 $274.12 $277.00 16.0% 4.9% 20.6% 45.5% 18.0% 5.0% 0.3% -1.18B 35.20B -462.0M 1.15 1.62 N/A N/A 1,515,033 1,748,340 11,562,775 14,844,193 2018-11-19 $268.60 $276.00 18.5% 5.6% 21.8% 57.7% 19.2% 5.6% 1.1% -5.04B 60.57B -443.6M 1.20 1.68 N/A N/A 1,330,898 1,602,994 9,467,182 11,754,176 2018-11-20 $264.72 $276.00 20.6% 6.1% 22.3% 68.0% 22.0% 5.8% 1.1% -6.43B 82.06B -440.5M 1.62 1.87 N/A N/A 1,463,068 2,366,547 9,719,590 11,981,354 2018-11-21 $265.35 $276.00 19.2% 5.5% 21.2% 61.2% 19.2% 5.3% -0.9% -6.41B 77.01B -433.4M 1.37 1.68 N/A N/A 1,192,251 1,628,348 10,222,978 12,439,442 2018-11-23 $263.25 $275.00 19.3% 5.9% 21.1% 61.7% 21.1% 5.3% -0.2% -7.45B 86.93B -427.6M 1.53 1.78 N/A N/A 727,254 1,115,976 10,311,080 12,529,979 2018-11-26 $267.33 $275.00 17.1% 5.2% 20.6% 50.9% 19.3% 4.6% -0.2% -4.17B 57.25B -415.7M 1.25 1.56 N/A N/A 992,336 1,243,540 9,964,804 12,157,183 2018-11-27 $268.08 $275.00 17.1% 5.3% 19.6% 51.0% 19.0% 4.5% -0.1% -3.64B 50.95B -418.1M 1.10 1.57 N/A N/A 909,303 1,000,935 10,127,146 12,172,791 2018-11-28 $273.92 $275.00 16.6% 5.3% 19.3% 48.5% 18.8% 4.0% -0.4% 2.25B 4.68B -445.6M 0.89 1.44 N/A N/A 2,177,284 1,940,117 10,468,042 12,346,470 2018-11-29 $274.79 $275.00 16.6% 5.3% 18.4% 48.6% 19.7% 4.5% -0.3% 3.25B -1.03B -461.2M 1.29 1.48 N/A N/A 1,248,141 1,608,766 10,881,153 12,544,865 2018-11-30 $276.00 $275.00 16.6% 5.4% 18.4% 48.3% 19.7% 4.8% -0.0% 4.16B -9.65B -461.6M 0.77 1.58 N/A N/A 1,661,241 1,273,208 11,099,862 13,096,561
« Oct 2018 | All History | Dec 2018 » Home SPY History November 2018