SPY Options History — February 2019 In February 2019, SPY traded between $269.68 and $279.79. ATM implied volatility averaged 12.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.3% (HV 20d: 11.4%). Max pain ranged from $265.00 to $270.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.63.
Notable Days 2019-02-07 : Highest Volume — 2,926,656 contracts2019-02-15 : Largest IV drop — 8.2% change2019-02-07 : Highest IV Rank — 26.5%2019-02-07 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $275.18 $269.68 $279.79 $269.99 $278.64 Max Pain $267.82 $265.00 $270.50 $265.00 $270.50 ATM IV 12.7% 11.4% 13.9% 13.4% 11.6% Expected Move 3.8% 3.4% 4.2% 4.1% 3.5% HV 20d 11.4% 8.2% 14.9% 14.9% 8.2% HV 60d 20.4% 19.4% 21.4% 21.4% 19.4% IV Rank 21.4% 15.7% 26.5% 24.4% 16.6% IV Percentile 46.7% 37.7% 54.0% 50.8% 38.9% Term Structure 0.0% -0.4% 0.5% 0.3% -0.1% VWIV 14.6% 12.7% 16.7% 16.7% 13.4% Skew 25d 4.3% 3.4% 5.1% 3.8% 5.1% Skew 10d 8.7% 6.8% 10.8% 7.6% 10.8% Call IV 25d 10.9% 9.7% 12.0% 11.7% 9.8% Put IV 25d 15.2% 13.9% 16.6% 15.6% 14.9% Bid-Ask Spread % 1.36 1.04 1.81 1.50 1.22 Gamma HHI 0.04 0.02 0.07 0.04 0.03 Net GEX 2.23B -1.74B 6.69B 2.45B -827.8M Net DEX -32.91B -59.44B -14.52B -30.03B -20.91B Net VEX -379.8M -399.1M -356.4M -377.1M -399.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 1.16 2.06 1.95 1.93 Total Volume 2,227,664.526 1,637,488 2,926,656 2,557,148 1,771,556 Total OI 18,256,736.684 16,389,890 20,574,161 18,395,745 17,751,111
Daily Data (19 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 2019-02-01 $269.99 $265.00 13.4% 4.1% 14.9% 24.4% 16.7% 3.8% 0.3% 2.45B -30.03B -377.1M 1.95 1.50 N/A N/A 866,171 1,690,977 6,346,101 12,049,644 2019-02-04 $271.36 $265.00 13.1% 4.0% 11.7% 23.2% 15.0% 3.5% 0.2% 3.04B -33.72B -364.9M 2.06 1.48 N/A N/A 624,752 1,285,914 6,237,935 11,589,795 2019-02-05 $273.20 $266.00 13.1% 4.0% 11.5% 23.0% 14.5% 3.4% 0.3% 3.57B -43.17B -356.4M 1.61 1.81 N/A N/A 912,686 1,469,305 6,293,829 11,917,603 2019-02-06 $272.68 $266.00 13.1% 3.9% 11.6% 23.3% 15.7% 3.8% -0.4% 2.05B -37.08B -370.3M 1.78 1.41 N/A N/A 624,884 1,109,465 6,410,066 12,421,583 2019-02-07 $269.88 $266.00 13.9% 4.2% 12.5% 26.5% 15.7% 4.6% -0.2% -990.9M -15.36B -384.1M 1.39 1.42 N/A N/A 1,225,998 1,700,658 6,464,057 12,516,520 2019-02-08 $269.68 $266.00 13.3% 4.0% 12.5% 24.0% 15.4% 4.5% 0.3% 309.3M -14.52B -392.2M 1.62 1.42 N/A N/A 971,701 1,575,210 6,781,480 12,886,190 2019-02-11 $270.61 $266.00 13.4% 4.0% 12.5% 24.6% 15.9% 4.4% 0.5% 3.21B -20.75B -381.9M 1.28 1.32 N/A N/A 742,110 947,319 6,665,151 12,412,085 2019-02-12 $273.93 $267.00 13.1% 3.9% 12.7% 23.2% 15.0% 3.7% 0.5% 3.64B -42.02B -375.3M 1.20 1.44 N/A N/A 960,863 1,154,798 6,584,675 12,517,534 2019-02-13 $275.23 $267.00 13.5% 3.9% 12.4% 24.7% 14.8% 4.1% -0.3% 4.77B -48.60B -372.5M 1.45 1.47 N/A N/A 1,083,263 1,571,937 6,717,769 12,808,945 2019-02-14 $275.07 $268.00 13.7% 4.0% 12.5% 25.6% 15.3% 4.4% -0.3% 3.58B -43.51B -385.3M 1.66 1.45 N/A N/A 926,484 1,537,714 6,805,769 13,066,781 2019-02-15 $277.26 $268.00 12.5% 3.7% 12.6% 20.7% 14.3% 4.3% 0.1% 6.69B -59.44B -380.7M 1.72 1.43 N/A N/A 989,994 1,702,853 7,006,929 13,567,232 2019-02-19 $278.29 $268.00 12.6% 3.6% 12.0% 20.8% 14.3% 4.3% 0.1% 2.57B -35.23B -373.8M 1.54 1.33 N/A N/A 676,498 1,045,020 5,391,086 10,998,804 2019-02-20 $278.30 $270.00 12.2% 3.5% 9.9% 19.0% 12.7% 4.3% -0.3% 2.19B -32.91B -373.4M 1.16 1.40 N/A N/A 1,208,634 1,404,405 5,415,120 11,194,083 2019-02-21 $276.96 $270.00 12.3% 3.7% 10.3% 19.9% 15.0% 4.7% -0.3% 131.4M -21.93B -389.1M 1.85 1.32 N/A N/A 741,096 1,371,745 5,459,997 11,389,430 2019-02-22 $278.85 $270.00 11.4% 3.4% 10.4% 15.7% 13.6% 4.2% 0.2% 3.61B -35.61B -380.7M 1.34 1.23 N/A N/A 919,512 1,227,611 5,648,272 11,791,991 2019-02-25 $279.79 $270.00 11.5% 3.5% 10.1% 16.2% 13.5% 4.3% 0.2% 3.33B -35.83B -374.2M 1.69 1.15 N/A N/A 990,266 1,677,409 5,425,749 11,225,640 2019-02-26 $279.71 $270.00 11.8% 3.6% 9.2% 17.5% 13.8% 4.7% 0.2% 702.0M -30.33B -389.7M 1.86 1.04 N/A N/A 573,368 1,064,120 5,548,354 11,756,721 2019-02-27 $279.05 $270.00 12.0% 3.5% 9.4% 18.5% 13.3% 4.9% -0.3% -1.74B -24.33B -394.8M 1.93 1.06 N/A N/A 676,394 1,302,936 5,697,882 12,116,084 2019-02-28 $278.64 $270.50 11.6% 3.5% 8.2% 16.6% 13.4% 5.1% -0.1% -827.8M -20.91B -399.1M 1.93 1.22 N/A N/A 604,840 1,166,716 5,687,941 12,063,170
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