SPY Options History — December 2018

In December 2018, SPY traded between $235.39 and $278.91. ATM implied volatility averaged 21.6%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.2% (HV 20d: 21.8%). Max pain ranged from $260.00 to $275.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.48.

Notable Days

2018-12-20: Highest Volume — 6,864,035 contracts
2018-12-04: Largest IV spike — 26.8% change
2018-12-24: Highest IV Rank — 100.0%
2018-12-24: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$257.42	$235.39	$278.91	$278.91	$249.39
Max Pain	$270.85	$260.00	$275.00	$275.00	$260.00
ATM IV	21.6%	14.1%	30.6%	14.1%	23.3%
Expected Move	6.5%	4.7%	9.3%	4.7%	7.2%
HV 20d	21.8%	18.6%	27.5%	18.6%	26.4%
HV 60d	19.4%	17.0%	22.4%	17.0%	22.4%
IV Rank	69.2%	36.5%	100.0%	36.5%	69.5%
IV Percentile	93.9%	70.2%	100.0%	70.2%	96.4%
Term Structure	-0.2%	-1.1%	0.8%	0.1%	0.0%
VWIV	23.5%	17.5%	31.4%	17.5%	25.3%
Skew 25d	6.0%	4.0%	9.2%	4.0%	6.6%
Skew 10d	12.0%	8.1%	18.1%	8.1%	12.3%
Call IV 25d	19.0%	12.6%	26.2%	12.6%	20.0%
Put IV 25d	25.0%	16.6%	35.3%	16.6%	26.6%
Bid-Ask Spread %	2.06	1.60	3.00	1.84	1.61
Gamma HHI	0.05	0.03	0.08	0.05	0.04
Net GEX	-5.32B	-11.65B	6.95B	6.95B	-2.69B
Net DEX	84.81B	-28.89B	186.66B	-28.89B	48.97B
Net VEX	-382.9M	-438.1M	-317.8M	-429.0M	-355.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.90	2.42	0.90	1.30
Total Volume	4,125,614.35	1,756,180	6,864,035	4,061,341	2,992,174
Total OI	24,491,298.7	20,186,613	28,721,361	23,631,226	20,186,613

Daily Data (20 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
2018-12-03	$278.91	$275.00	14.1%	4.7%	18.6%	36.5%	17.5%	4.0%	0.1%	6.95B	-28.89B	-429.0M	0.90	1.84	N/A	N/A	2,139,720	1,921,621	10,920,202	12,711,024
2018-12-04	$270.67	$275.00	17.9%	6.2%	21.5%	54.9%	21.6%	5.3%	-0.0%	-3.04B	44.89B	-438.1M	1.11	2.38	N/A	N/A	2,432,685	2,709,981	10,920,665	12,881,538
2018-12-05	$270.32	$275.00	18.5%	6.4%	21.5%	58.0%	22.5%	5.6%	-0.4%	-3.24B	47.28B	-430.5M	1.14	2.88	N/A	N/A	2,560,567	2,915,579	10,920,665	12,881,538
2018-12-06	$269.51	$275.00	18.2%	5.3%	19.6%	56.5%	19.9%	6.0%	-0.4%	-4.43B	54.95B	-433.7M	1.45	2.52	N/A	N/A	2,007,951	2,910,452	11,364,223	13,206,982
2018-12-07	$266.03	$275.00	19.5%	5.7%	20.0%	62.7%	21.1%	6.0%	0.2%	-6.42B	77.23B	-432.4M	1.79	2.12	N/A	N/A	629,029	1,127,151	11,987,311	13,722,497
2018-12-10	$264.42	$275.00	19.8%	5.8%	20.0%	64.3%	21.8%	5.7%	0.3%	-5.99B	79.79B	-405.8M	1.26	1.85	N/A	N/A	1,826,753	2,294,916	11,981,039	13,091,320
2018-12-11	$264.86	$275.00	18.9%	5.5%	19.0%	59.6%	20.0%	5.2%	0.3%	-5.18B	75.06B	-404.5M	1.38	2.15	N/A	N/A	1,358,315	1,879,780	12,145,440	13,333,834
2018-12-12	$266.64	$275.00	18.3%	5.3%	19.2%	56.7%	19.5%	4.9%	-0.3%	-3.69B	60.82B	-406.2M	1.26	1.78	N/A	N/A	1,273,651	1,606,408	12,321,787	13,566,880
2018-12-13	$265.54	$275.00	17.6%	5.2%	19.2%	53.5%	19.5%	4.6%	-0.3%	-5.12B	69.60B	-394.8M	1.62	1.89	N/A	N/A	974,073	1,578,242	12,247,904	13,518,801
2018-12-14	$259.86	$275.00	19.1%	5.7%	20.3%	60.7%	20.5%	4.7%	0.4%	-9.61B	109.02B	-382.1M	1.30	1.80	N/A	N/A	1,556,083	2,023,311	12,473,540	13,951,812
2018-12-17	$253.74	$274.00	22.0%	6.4%	21.4%	74.7%	23.7%	5.6%	0.4%	-9.44B	132.82B	-354.1M	1.85	2.10	N/A	N/A	1,454,566	2,693,806	12,381,714	13,384,004
2018-12-18	$255.78	$273.00	21.9%	6.3%	20.9%	74.4%	22.3%	5.4%	0.3%	-7.55B	114.76B	-371.1M	1.46	1.74	N/A	N/A	1,532,747	2,235,965	12,804,329	13,607,101
2018-12-19	$251.08	$272.00	22.0%	6.3%	21.2%	74.6%	21.9%	5.4%	-0.9%	-10.13B	144.15B	-343.2M	1.43	3.00	N/A	N/A	2,143,709	3,061,932	13,243,582	14,055,473
2018-12-20	$246.74	$271.00	24.0%	7.0%	21.8%	84.7%	25.4%	6.2%	-1.0%	-11.65B	163.38B	-339.4M	2.42	2.08	N/A	N/A	2,004,899	4,859,136	13,452,967	14,252,584
2018-12-21	$241.35	$270.00	25.9%	7.6%	22.7%	93.6%	25.9%	7.6%	-1.1%	-9.46B	186.66B	-335.0M	2.19	2.43	N/A	N/A	2,008,306	4,388,727	13,964,357	14,757,004
2018-12-24	$235.39	$265.00	30.6%	9.3%	22.6%	100.0%	31.4%	9.2%	-0.3%	-5.61B	121.88B	-317.8M	1.82	1.60	N/A	N/A	1,315,424	2,387,787	10,570,420	10,103,717
2018-12-26	$244.56	$262.00	26.7%	8.1%	27.5%	84.0%	30.2%	7.5%	-0.8%	-4.03B	75.46B	-345.1M	1.50	1.82	N/A	N/A	1,916,741	2,871,994	10,740,774	9,714,174
2018-12-27	$246.37	$260.00	27.6%	8.5%	26.1%	87.5%	31.3%	7.7%	-0.9%	-3.22B	61.24B	-369.8M	1.33	1.79	N/A	N/A	1,450,722	1,934,791	11,004,400	9,950,829
2018-12-28	$247.15	$260.00	25.5%	7.9%	26.1%	78.7%	27.7%	7.4%	0.8%	-2.86B	57.13B	-369.4M	1.07	1.77	N/A	N/A	1,707,647	1,824,946	11,256,970	10,245,960
2018-12-31	$249.39	$260.00	23.3%	7.2%	26.4%	69.5%	25.3%	6.6%	0.0%	-2.69B	48.97B	-355.2M	1.30	1.61	N/A	N/A	1,302,733	1,689,441	10,236,645	9,949,968