SPY Options History — June 2019 In June 2019, SPY traded between $273.98 and $295.99. ATM implied volatility averaged 13.9%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.4% (HV 20d: 14.2%). Max pain ranged from $282.00 to $290.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.46.
Notable Days 2019-06-20 : Highest Volume — 4,109,574 contracts2019-06-04 : Largest IV drop — 12.6% change2019-06-03 : Highest IV Rank — 45.3%2019-06-03 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $288.99 $273.98 $295.99 $273.98 $292.46 Max Pain $286.20 $282.00 $290.00 $282.00 $290.00 ATM IV 13.9% 12.0% 18.1% 18.1% 13.4% Expected Move 4.0% 3.4% 5.5% 5.5% 3.9% HV 20d 14.2% 11.0% 17.4% 15.1% 11.0% HV 60d 12.2% 11.9% 12.6% 11.9% 12.0% IV Rank 26.6% 18.3% 45.3% 45.3% 24.3% IV Percentile 58.4% 44.4% 85.7% 85.7% 52.8% Term Structure -0.0% -0.4% 0.4% -0.3% 0.4% VWIV 15.4% 14.0% 19.5% 19.5% 14.2% Skew 25d 4.7% 3.8% 5.4% 5.4% 4.9% Skew 10d 8.7% 7.2% 9.7% 9.7% 9.4% Call IV 25d 12.1% 10.8% 15.5% 15.5% 11.2% Put IV 25d 16.7% 14.8% 20.9% 20.9% 16.1% Bid-Ask Spread % 1.25 1.03 1.57 1.33 1.57 Gamma HHI 0.03 0.02 0.07 0.05 0.03 Net GEX 850.2M -8.91B 8.88B -8.91B 792.2M Net DEX -14.79B -68.40B 71.32B 71.32B -10.76B Net VEX -501.7M -518.1M -480.5M -489.7M -518.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.79 1.75 1.75 1.59 Total Volume 2,509,440.55 1,577,324 4,109,574 3,547,263 1,989,733 Total OI 19,694,875.8 16,712,530 21,375,052 18,965,892 18,391,214
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 2019-06-03 $273.98 $282.00 18.1% 5.5% 15.1% 45.3% 19.5% 5.4% -0.3% -8.91B 71.32B -489.7M 1.75 1.33 N/A N/A 1,287,560 2,259,703 7,029,288 11,936,604 2019-06-04 $279.82 $282.00 15.8% 4.8% 17.4% 35.2% 17.3% 5.3% -0.1% -2.80B 29.30B -502.6M 1.72 1.08 N/A N/A 1,006,119 1,728,761 7,123,149 11,944,843 2019-06-05 $282.46 $282.00 14.9% 4.5% 16.5% 30.9% 16.1% 4.9% -0.2% -547.5M 9.63B -504.4M 1.70 1.05 N/A N/A 1,155,623 1,961,417 7,257,527 12,532,299 2019-06-06 $284.95 $284.00 14.0% 4.0% 16.8% 27.2% 15.5% 4.8% -0.4% 430.1M -5.94B -507.6M 1.36 1.47 N/A N/A 1,106,045 1,508,495 7,236,438 12,633,320 2019-06-07 $287.79 $284.00 13.8% 4.0% 17.1% 26.1% 15.6% 4.7% -0.4% 3.71B -28.28B -512.3M 1.41 1.37 N/A N/A 1,529,054 2,148,668 7,454,407 12,959,304 2019-06-10 $289.10 $285.00 13.8% 4.0% 17.1% 26.3% 15.6% 4.5% 0.1% 3.12B -32.11B -505.0M 1.52 1.47 N/A N/A 1,160,546 1,761,642 7,310,576 12,748,521 2019-06-11 $288.82 $285.00 14.1% 4.0% 14.5% 27.4% 16.0% 4.7% 0.1% 1.68B -23.32B -514.3M 1.73 1.34 N/A N/A 902,547 1,560,627 7,321,881 13,139,225 2019-06-12 $288.14 $285.00 14.0% 4.0% 14.2% 27.3% 15.6% 5.0% -0.3% -498.0M -15.36B -513.8M 1.61 1.24 N/A N/A 706,030 1,133,608 7,426,896 13,614,108 2019-06-13 $288.96 $285.00 13.9% 4.0% 14.1% 26.7% 16.0% 4.9% -0.4% 1.50B -21.77B -509.9M 1.70 1.21 N/A N/A 661,366 1,122,252 7,379,035 13,561,889 2019-06-14 $289.57 $286.00 13.1% 3.8% 13.9% 23.1% 15.3% 4.6% 0.3% 2.85B -27.00B -499.5M 1.58 1.19 N/A N/A 728,862 1,153,765 7,505,282 13,863,776 2019-06-17 $289.55 $286.00 13.2% 3.8% 13.8% 23.7% 14.9% 4.6% 0.2% 1.06B -23.86B -484.7M 1.35 1.19 N/A N/A 696,425 939,622 7,172,336 13,286,377 2019-06-18 $292.32 $286.00 13.2% 3.8% 13.8% 23.6% 15.0% 4.5% 0.2% 3.62B -43.60B -485.3M 1.18 1.28 N/A N/A 1,372,447 1,612,746 7,159,821 13,246,381 2019-06-19 $293.57 $286.00 12.0% 3.4% 13.6% 18.3% 14.2% 4.1% -0.2% 5.81B -54.42B -480.5M 1.22 1.24 N/A N/A 1,293,895 1,581,700 7,519,714 13,782,426 2019-06-20 $295.99 $287.00 12.0% 3.5% 13.8% 18.3% 14.8% 3.8% -0.3% 8.88B -68.40B -482.0M 0.79 1.44 N/A N/A 2,292,370 1,817,204 7,567,433 13,807,619 2019-06-21 $294.74 $289.00 12.7% 3.7% 12.4% 21.4% 14.5% 3.8% 0.2% 1.06B -25.69B -494.9M 1.36 1.24 N/A N/A 1,062,055 1,444,128 6,487,452 14,387,040 2019-06-24 $293.76 $290.00 13.2% 3.8% 12.6% 23.5% 14.0% 4.3% 0.2% 500.6M -18.31B -496.6M 1.42 1.18 N/A N/A 651,312 926,012 5,648,961 11,063,569 2019-06-25 $291.07 $290.00 14.4% 4.2% 12.7% 29.0% 15.4% 4.7% 0.2% -2.10B -482.2M -510.5M 1.53 1.08 N/A N/A 882,598 1,350,760 5,769,229 11,222,085 2019-06-26 $290.85 $290.00 14.2% 4.1% 12.2% 28.3% 14.4% 4.9% -0.0% -3.05B 782.8M -510.2M 1.22 1.03 N/A N/A 927,842 1,131,228 6,035,335 11,564,212 2019-06-27 $291.85 $290.00 13.9% 3.9% 12.3% 26.7% 14.6% 4.9% 0.3% -88.7M -7.63B -512.6M 1.43 1.05 N/A N/A 673,696 960,348 6,186,718 11,621,226 2019-06-28 $292.46 $290.00 13.4% 3.9% 11.0% 24.3% 14.2% 4.9% 0.4% 792.2M -10.76B -518.1M 1.59 1.57 N/A N/A 769,178 1,220,555 6,442,240 11,948,974
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