SPY Options History — January 2019 In January 2019, SPY traded between $244.89 and $269.61. ATM implied volatility averaged 16.7%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 7.0% (HV 20d: 23.8%). Max pain ranged from $255.00 to $265.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.57.
Notable Days 2019-01-04 : Highest Volume — 4,329,817 contracts2019-01-22 : Largest IV spike — 20.9% change2019-01-03 : Highest IV Rank — 67.6%2019-01-03 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $260.00 $244.89 $269.61 $249.42 $269.61 Max Pain $257.71 $255.00 $265.00 $260.00 $265.00 ATM IV 16.7% 14.0% 22.8% 21.2% 14.0% Expected Move 4.9% 4.2% 6.5% 6.3% 4.2% HV 20d 23.8% 15.9% 28.0% 25.8% 17.0% HV 60d 22.4% 21.2% 23.6% 22.4% 21.4% IV Rank 39.6% 27.0% 67.6% 60.7% 27.0% IV Percentile 72.2% 53.2% 96.0% 93.7% 53.2% Term Structure -0.1% -0.6% 0.4% -0.3% -0.4% VWIV 18.7% 16.1% 23.3% 22.8% 16.1% Skew 25d 5.3% 3.8% 6.6% 6.3% 3.8% Skew 10d 10.5% 8.3% 12.8% 12.0% 8.6% Call IV 25d 14.4% 12.5% 19.8% 18.2% 12.5% Put IV 25d 19.7% 16.3% 26.4% 24.5% 16.3% Bid-Ask Spread % 1.52 1.26 2.93 1.29 1.58 Gamma HHI 0.03 0.02 0.05 0.04 0.03 Net GEX -354.2M -3.89B 3.05B -2.83B 2.62B Net DEX 2.64B -39.90B 65.02B 45.77B -27.88B Net VEX -371.3M -398.0M -340.8M -343.8M -383.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.57 1.11 2.03 1.81 1.63 Total Volume 2,614,985.286 632,260 4,329,817 3,205,533 2,596,433 Total OI 18,069,980.429 16,384,863 20,714,530 16,542,644 17,701,384
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 2019-01-02 $249.42 $260.00 21.2% 6.3% 25.8% 60.7% 22.8% 6.3% -0.3% -2.83B 45.77B -343.8M 1.81 1.29 N/A N/A 1,142,048 2,063,485 7,050,119 9,492,525 2019-01-03 $244.89 $255.00 22.8% 6.5% 24.7% 67.6% 23.3% 6.6% -0.6% -3.89B 65.02B -340.8M 1.37 1.74 N/A N/A 1,282,343 1,755,413 7,216,158 9,769,468 2019-01-04 $252.25 $255.00 19.3% 5.7% 27.5% 52.3% 20.6% 5.4% 0.3% -599.5M 25.26B -360.2M 1.11 1.62 N/A N/A 2,048,770 2,281,047 7,549,518 10,113,704 2019-01-07 $254.93 $255.00 18.6% 5.5% 28.0% 49.3% 21.7% 5.6% 0.3% -579.5M 15.85B -359.9M 1.21 1.60 N/A N/A 518,126 628,139 7,406,884 10,181,087 2019-01-08 $256.73 $255.00 17.9% 5.3% 27.9% 46.1% 19.6% 5.5% 0.3% -219.9M 9.13B -365.8M 1.29 1.52 N/A N/A 1,069,288 1,381,587 7,583,654 10,404,464 2019-01-09 $257.71 $255.00 17.7% 5.1% 27.9% 43.2% 19.0% 5.6% -0.5% 525.2M 3.33B -370.8M 1.63 1.47 N/A N/A 1,122,167 1,825,960 7,779,993 10,883,766 2019-01-10 $259.07 $255.00 17.0% 5.0% 28.0% 40.2% 19.4% 5.5% -0.4% 200.7M -1.98B -371.1M 1.67 1.39 N/A N/A 932,699 1,559,960 7,783,914 11,033,223 2019-01-11 $258.88 $255.00 15.7% 4.7% 27.9% 34.7% 18.0% 5.0% 0.3% -287.8M -1.33B -364.1M 1.71 1.26 N/A N/A 897,940 1,539,432 7,956,308 11,488,957 2019-01-14 $257.71 $256.00 16.0% 4.7% 27.9% 36.1% 20.0% 5.7% 0.3% -2.94B 10.54B -356.7M 2.03 1.36 N/A N/A 658,625 1,334,872 7,558,357 11,296,831 2019-01-15 $260.32 $256.00 15.2% 4.4% 27.1% 32.5% 17.5% 5.5% 0.3% -378.1M -5.47B -351.0M 1.41 1.43 N/A N/A 971,597 1,373,968 7,552,149 11,391,950 2019-01-16 $261.18 $256.00 15.2% 4.4% 25.6% 32.4% 17.6% 5.3% -0.5% 1.11B -10.69B -361.0M 1.72 1.58 N/A N/A 1,057,834 1,823,551 7,794,301 11,752,679 2019-01-17 $262.64 $257.00 14.4% 4.2% 25.5% 29.1% 16.3% 4.9% -0.4% 549.2M -16.18B -370.0M 1.25 1.61 N/A N/A 1,211,371 1,512,301 7,844,919 12,142,390 2019-01-18 $266.08 $257.00 14.2% 4.2% 24.7% 28.2% 16.1% 4.3% -0.5% 3.05B -39.90B -366.3M 1.52 1.48 N/A N/A 1,622,785 2,460,045 8,194,325 12,520,205 2019-01-22 $261.87 $260.00 17.2% 5.1% 24.6% 41.3% 19.3% 5.9% 0.2% -2.07B 9.92B -398.0M 1.69 2.93 N/A N/A 1,082,735 1,832,053 5,842,392 10,542,471 2019-01-23 $263.18 $260.00 17.0% 5.0% 22.7% 40.2% 17.8% 5.8% -0.4% -1000.0M 1.84B -393.9M 1.85 1.35 N/A N/A 1,045,376 1,934,953 5,922,005 10,880,570 2019-01-24 $263.37 $260.00 15.7% 4.7% 20.0% 34.5% 17.8% 5.4% -0.4% -974.0M 731.5M -389.0M 1.57 1.31 N/A N/A 806,880 1,269,158 5,963,017 11,149,386 2019-01-25 $265.79 $260.00 14.4% 4.3% 15.9% 28.8% 16.2% 4.3% 0.3% 1.49B -16.60B -386.4M 1.18 1.40 N/A N/A 1,469,481 1,738,242 6,174,091 11,500,040 2019-01-28 $263.43 $260.00 16.2% 4.9% 16.5% 36.9% 17.9% 5.3% 0.4% -2.17B 4.15B -386.4M 1.99 1.33 N/A N/A 211,557 420,703 6,042,079 11,059,383 2019-01-29 $263.42 $260.00 16.4% 4.9% 16.6% 37.9% 18.4% 5.1% 0.4% -1.42B 3.98B -392.6M 1.70 1.29 N/A N/A 548,535 932,995 6,091,759 11,173,614 2019-01-30 $267.48 $260.00 15.1% 4.5% 17.0% 32.1% 17.2% 4.5% -0.1% 2.38B -20.03B -386.3M 1.57 1.37 N/A N/A 1,148,675 1,801,562 6,228,459 11,457,091 2019-01-31 $269.61 $265.00 14.0% 4.2% 17.0% 27.0% 16.1% 3.8% -0.4% 2.62B -27.88B -383.3M 1.63 1.58 N/A N/A 988,298 1,608,135 6,160,385 11,540,999
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