SPY Options History — March 2019 In March 2019, SPY traded between $274.08 and $284.85. ATM implied volatility averaged 12.1%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.0% (HV 20d: 10.0%). Max pain ranged from $271.00 to $281.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.51.
Notable Days 2019-03-22 : Highest Volume — 3,919,156 contracts2019-03-22 : Largest IV spike — 25.7% change2019-03-25 : Highest IV Rank — 30.4%2019-03-07 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $280.12 $274.08 $284.85 $280.73 $282.55 Max Pain $277.19 $271.00 $281.00 $271.00 $281.00 ATM IV 12.1% 10.1% 14.8% 10.1% 11.6% Expected Move 3.7% 3.0% 4.5% 3.0% 3.6% HV 20d 10.0% 8.2% 11.8% 8.2% 11.6% HV 60d 16.4% 12.8% 19.3% 19.3% 12.8% IV Rank 18.6% 10.1% 30.4% 10.1% 16.7% IV Percentile 45.2% 29.0% 66.3% 29.0% 42.1% Term Structure 0.0% -0.4% 0.3% 0.2% 0.3% VWIV 14.1% 12.2% 17.3% 12.2% 14.1% Skew 25d 4.5% 3.3% 6.0% 4.7% 4.1% Skew 10d 8.9% 6.5% 11.9% 9.4% 8.2% Call IV 25d 10.3% 8.6% 12.4% 8.6% 9.8% Put IV 25d 14.8% 12.3% 17.7% 13.3% 13.9% Bid-Ask Spread % 1.49 1.04 2.18 1.10 1.56 Gamma HHI 0.04 0.03 0.06 0.05 0.04 Net GEX 482.0M -7.95B 5.48B 4.03B 3.21B Net DEX -15.17B -42.69B 19.02B -37.82B -21.52B Net VEX -420.7M -470.9M -380.3M -380.3M -438.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.51 1.16 1.84 1.62 1.53 Total Volume 2,569,171.238 1,501,220 3,919,156 2,445,012 2,280,751 Total OI 17,909,126.571 15,514,112 20,013,979 18,136,663 17,482,949
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 2019-03-01 $280.73 $271.00 10.1% 3.0% 8.2% 10.1% 12.2% 4.7% 0.2% 4.03B -37.82B -380.3M 1.62 1.10 N/A N/A 931,512 1,513,500 5,821,940 12,314,723 2019-03-04 $279.18 $271.00 11.5% 3.6% 8.6% 16.0% 14.4% 5.5% 0.2% -149.8M -20.55B -391.9M 1.55 1.05 N/A N/A 1,380,680 2,144,658 5,653,905 11,800,965 2019-03-05 $279.62 $272.00 11.1% 3.4% 8.5% 14.3% 13.6% 5.2% 0.2% 1.38B -24.21B -395.9M 1.33 1.04 N/A N/A 643,562 857,658 5,893,496 12,175,140 2019-03-06 $277.43 $272.00 12.5% 3.9% 8.9% 20.4% 15.2% 5.7% -0.1% -3.27B -5.32B -405.6M 1.70 1.20 N/A N/A 910,954 1,553,055 6,113,236 12,475,731 2019-03-07 $274.96 $272.00 13.7% 4.5% 9.5% 25.8% 17.3% 6.0% -0.3% -4.78B 12.84B -417.7M 1.76 1.42 N/A N/A 1,193,935 2,107,336 6,114,657 12,682,460 2019-03-08 $274.08 $272.00 13.5% 4.1% 8.8% 24.9% 15.6% 5.6% 0.2% -7.95B 19.02B -421.9M 1.67 1.68 N/A N/A 1,144,333 1,914,536 6,467,800 13,102,654 2019-03-11 $278.49 $277.00 11.6% 3.7% 10.3% 16.7% 13.7% 4.8% 0.2% 1.01B -20.42B -401.5M 1.39 2.18 N/A N/A 955,928 1,330,838 6,332,788 12,658,008 2019-03-12 $279.71 $277.00 10.8% 3.4% 10.3% 13.0% 15.0% 4.3% 0.2% 2.58B -27.57B -396.6M 1.54 1.61 N/A N/A 855,958 1,322,364 6,347,135 12,869,929 2019-03-13 $281.70 $277.00 10.5% 3.3% 9.7% 11.8% 13.4% 4.0% -0.2% 5.48B -42.69B -390.8M 1.28 1.73 N/A N/A 1,169,273 1,493,107 6,413,518 13,374,393 2019-03-14 $281.43 $278.00 10.7% 3.4% 9.7% 12.5% 14.4% 3.8% -0.2% 4.32B -34.82B -400.0M 1.16 1.73 N/A N/A 1,063,865 1,237,904 6,452,805 13,561,174 2019-03-15 $281.29 $278.00 10.6% 3.4% 9.7% 12.1% 13.5% 3.3% 0.2% 3.96B -16.25B -403.1M 1.51 1.50 N/A N/A 996,972 1,500,949 5,759,774 13,947,129 2019-03-18 $282.52 $278.00 10.9% 3.4% 9.4% 13.4% 12.2% 3.5% 0.2% 3.31B -25.19B -405.6M 1.42 1.51 N/A N/A 842,190 1,194,032 4,907,887 10,606,225 2019-03-19 $281.74 $280.00 11.8% 3.5% 9.5% 17.2% 12.5% 3.9% -0.4% 1.09B -17.79B -424.4M 1.42 1.54 N/A N/A 979,064 1,389,209 5,030,981 10,837,316 2019-03-20 $282.02 $280.00 11.7% 3.5% 9.5% 16.8% 13.3% 3.5% -0.4% 852.8M -17.65B -433.2M 1.65 1.51 N/A N/A 1,122,152 1,847,505 5,267,691 11,256,468 2019-03-21 $284.85 $280.00 11.6% 3.5% 9.8% 16.5% 13.0% 3.5% -0.4% 4.19B -36.42B -440.9M 1.39 1.40 N/A N/A 1,116,787 1,551,498 5,394,423 11,343,985 2019-03-22 $279.73 $281.00 14.5% 4.2% 11.8% 29.5% 14.9% 4.9% 0.1% -3.99B 7.50B -470.9M 1.64 1.66 N/A N/A 1,484,225 2,434,931 5,503,998 11,773,678 2019-03-25 $279.32 $281.00 14.8% 4.3% 11.7% 30.4% 15.1% 4.7% 0.2% -2.68B 4.19B -462.8M 1.84 1.51 N/A N/A 1,038,584 1,915,589 5,548,531 11,249,712 2019-03-26 $280.10 $281.00 13.7% 4.0% 11.7% 25.8% 14.1% 4.6% 0.3% -1.24B -2.27B -454.6M 1.25 1.42 N/A N/A 954,115 1,188,224 5,608,528 11,387,036 2019-03-27 $280.26 $281.00 13.5% 4.0% 11.7% 25.1% 14.1% 4.5% -0.3% -1.16B -3.04B -451.9M 1.58 1.48 N/A N/A 1,017,528 1,605,782 5,763,590 11,603,335 2019-03-28 $280.85 $281.00 12.8% 3.8% 11.7% 21.9% 13.7% 4.4% -0.2% -70.7M -8.53B -446.4M 1.44 1.37 N/A N/A 724,894 1,042,659 5,731,816 11,460,149 2019-03-29 $282.55 $281.00 11.6% 3.6% 11.6% 16.7% 14.1% 4.1% 0.3% 3.21B -21.52B -438.3M 1.53 1.56 N/A N/A 900,176 1,380,575 5,876,135 11,606,814
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