SPY Options History — May 2019 In May 2019, SPY traded between $275.61 and $294.01. ATM implied volatility averaged 15.1%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.9% (HV 20d: 12.2%). Max pain ranged from $281.00 to $289.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.64.
Notable Days 2019-05-07 : Highest Volume — 4,430,353 contracts2019-05-07 : Largest IV spike — 48.1% change2019-05-13 : Highest IV Rank — 46.0%2019-05-13 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $285.34 $275.61 $294.01 $292.60 $275.61 Max Pain $283.41 $281.00 $289.00 $289.00 $282.50 ATM IV 15.1% 10.4% 18.3% 11.2% 17.6% Expected Move 4.4% 2.9% 5.3% 3.2% 5.2% HV 20d 12.2% 4.9% 15.9% 4.9% 15.9% HV 60d 10.6% 8.8% 11.9% 8.8% 11.9% IV Rank 31.8% 11.4% 46.0% 14.7% 42.9% IV Percentile 69.4% 37.7% 87.7% 45.6% 82.5% Term Structure -0.0% -0.8% 0.8% -0.4% -0.1% VWIV 16.4% 10.8% 19.6% 12.2% 18.6% Skew 25d 6.0% 4.3% 8.0% 4.5% 5.6% Skew 10d 11.0% 8.6% 15.2% 10.0% 9.9% Call IV 25d 12.1% 8.7% 14.9% 9.3% 14.9% Put IV 25d 18.1% 13.0% 22.5% 13.8% 20.5% Bid-Ask Spread % 1.30 1.11 1.65 1.44 1.21 Gamma HHI 0.03 0.02 0.06 0.04 0.06 Net GEX -3.51B -8.49B 6.01B 1.64B -8.49B Net DEX 16.16B -51.20B 70.38B -35.60B 70.38B Net VEX -523.9M -565.6M -503.0M -503.4M -505.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 1.25 2.04 1.43 1.85 Total Volume 3,040,124.818 1,797,412 4,430,353 2,529,254 3,661,464 Total OI 19,162,203.455 17,878,725 21,307,241 17,878,725 19,601,244
Daily Data (22 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 2019-05-01 $292.60 $289.00 11.2% 3.2% 4.9% 14.7% 12.2% 4.5% -0.4% 1.64B -35.60B -503.4M 1.43 1.44 N/A N/A 1,041,130 1,488,124 6,622,403 11,256,322 2019-05-02 $290.92 $289.00 11.9% 3.4% 5.5% 17.8% 12.8% 5.1% -0.3% -701.7M -17.51B -520.2M 1.25 1.35 N/A N/A 1,195,015 1,496,993 6,650,552 11,414,325 2019-05-03 $294.01 $289.00 10.4% 2.9% 6.5% 11.4% 10.8% 4.3% 0.2% 6.01B -51.20B -505.2M 1.28 1.23 N/A N/A 1,001,842 1,283,329 6,953,424 11,669,206 2019-05-06 $292.80 $281.00 12.3% 3.8% 6.6% 19.7% 14.8% 5.7% 0.2% 866.5M -30.46B -514.2M 1.82 1.26 N/A N/A 1,107,395 2,020,630 6,512,516 11,367,285 2019-05-07 $286.96 $281.00 18.2% 5.1% 9.9% 45.7% 18.9% 8.0% 0.0% -3.81B 16.83B -561.2M 1.83 1.62 N/A N/A 1,563,350 2,867,003 6,562,244 11,766,262 2019-05-08 $288.42 $282.00 16.9% 4.8% 9.9% 40.1% 18.8% 8.0% -0.5% -3.07B 6.02B -565.6M 1.44 1.36 N/A N/A 1,173,573 1,689,516 7,052,510 12,463,179 2019-05-09 $286.85 $283.00 17.1% 4.9% 10.1% 40.7% 19.6% 7.6% -0.5% -3.80B 16.63B -565.6M 1.92 1.40 N/A N/A 1,407,240 2,708,238 7,048,860 12,464,935 2019-05-10 $287.49 $283.00 14.5% 4.3% 10.1% 29.2% 17.1% 6.2% 0.2% -3.36B 8.16B -546.6M 1.71 1.65 N/A N/A 1,532,278 2,619,055 7,414,443 13,054,887 2019-05-13 $280.65 $283.00 18.3% 5.3% 12.9% 46.0% 19.4% 7.2% 0.1% -6.97B 57.74B -528.6M 1.58 1.34 N/A N/A 1,581,156 2,495,052 7,037,304 12,350,487 2019-05-14 $283.48 $282.00 16.6% 4.9% 13.5% 38.3% 17.3% 6.7% 0.1% -4.77B 32.27B -527.7M 1.64 1.34 N/A N/A 1,045,183 1,718,871 7,411,105 12,751,284 2019-05-15 $285.30 $282.00 15.0% 4.5% 13.8% 31.4% 16.6% 6.0% -0.3% -3.83B 15.95B -526.0M 1.63 1.37 N/A N/A 996,498 1,620,164 7,597,295 13,195,299 2019-05-16 $287.38 $282.00 13.7% 4.2% 14.1% 25.8% 15.6% 5.5% -0.1% -1.89B -2.75B -525.4M 1.63 1.38 N/A N/A 1,162,496 1,894,009 7,522,188 13,129,475 2019-05-17 $286.04 $283.00 14.1% 4.3% 14.1% 27.6% 15.5% 5.8% 0.2% -4.81B 13.94B -531.0M 1.73 1.39 N/A N/A 1,280,661 2,210,629 7,702,905 13,604,336 2019-05-20 $284.10 $283.00 15.0% 4.5% 14.3% 31.4% 16.1% 5.7% 0.8% -4.85B 23.60B -519.0M 1.54 1.21 N/A N/A 877,670 1,353,721 6,437,745 11,492,101 2019-05-21 $286.46 $283.00 14.0% 4.1% 14.3% 27.3% 15.3% 5.1% 0.8% -1.87B 4.63B -511.6M 1.71 1.12 N/A N/A 664,173 1,133,239 6,514,984 11,590,952 2019-05-22 $285.98 $283.00 14.0% 4.0% 14.3% 26.9% 15.5% 5.3% -0.8% -2.74B 8.84B -511.6M 1.57 1.16 N/A N/A 818,312 1,285,502 6,649,258 11,892,012 2019-05-23 $281.58 $283.00 16.1% 4.7% 15.2% 36.3% 17.0% 5.8% -0.7% -6.37B 41.78B -520.6M 1.50 1.16 N/A N/A 1,311,404 1,966,198 6,695,868 11,950,649 2019-05-24 $282.85 $283.00 14.8% 4.4% 15.3% 30.7% 15.9% 5.5% 0.1% -3.87B 29.43B -518.4M 1.69 1.13 N/A N/A 887,744 1,500,241 7,053,079 12,259,891 2019-05-28 $280.49 $283.00 16.5% 5.0% 15.4% 38.0% 17.0% 5.7% 0.1% -6.66B 44.83B -503.7M 1.75 1.11 N/A N/A 898,256 1,574,752 6,797,477 12,001,693 2019-05-29 $278.49 $283.00 16.9% 5.0% 15.4% 40.0% 18.0% 5.9% -0.0% -7.71B 54.91B -503.0M 2.04 1.25 N/A N/A 1,370,478 2,794,406 6,916,869 11,961,783 2019-05-30 $278.99 $282.50 16.3% 4.9% 15.5% 37.2% 17.3% 5.8% 0.0% -6.08B 47.00B -510.9M 1.58 1.17 N/A N/A 1,003,880 1,581,876 7,065,045 12,112,795 2019-05-31 $275.61 $282.50 17.6% 5.2% 15.9% 42.9% 18.6% 5.6% -0.1% -8.49B 70.38B -505.3M 1.85 1.21 N/A N/A 1,285,303 2,376,161 7,276,395 12,324,849
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