SPY Options History — July 2019 In July 2019, SPY traded between $295.35 and $302.10. ATM implied volatility averaged 10.9%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.2% (HV 20d: 7.7%). Max pain ranged from $290.00 to $296.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.45.
Notable Days 2019-07-31 : Highest Volume — 2,910,549 contracts2019-07-30 : Largest IV spike — 13.0% change2019-07-31 : Highest IV Rank — 19.6%2019-07-31 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $298.94 $295.35 $302.10 $295.35 $298.76 Max Pain $293.68 $290.00 $296.00 $290.00 $295.00 ATM IV 10.9% 9.9% 12.3% 11.7% 12.3% Expected Move 3.1% 2.6% 3.5% 3.1% 3.5% HV 20d 7.7% 6.4% 10.7% 10.7% 7.0% HV 60d 12.2% 12.1% 12.4% 12.1% 12.2% IV Rank 13.7% 9.3% 19.6% 16.9% 19.6% IV Percentile 32.6% 17.9% 45.6% 40.9% 45.6% Term Structure 0.1% -0.4% 0.5% 0.5% -0.4% VWIV 12.2% 9.6% 13.5% 11.8% 13.5% Skew 25d 4.3% 3.8% 5.1% 4.4% 5.1% Skew 10d 8.5% 7.2% 10.6% 8.5% 10.6% Call IV 25d 9.1% 8.3% 10.0% 9.8% 10.0% Put IV 25d 13.4% 12.2% 15.1% 14.3% 15.1% Bid-Ask Spread % 1.13 0.96 1.28 1.03 1.17 Gamma HHI 0.04 0.03 0.07 0.05 0.03 Net GEX 2.99B -4.61B 8.06B 5.46B -2.32B Net DEX -37.28B -61.69B -12.13B -31.29B -12.13B Net VEX -503.3M -530.3M -483.2M -484.8M -530.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 1.03 1.94 1.21 1.66 Total Volume 2,027,516.864 1,406,987 2,910,549 2,794,551 2,910,549 Total OI 18,410,589.5 17,166,400 20,592,732 17,423,908 18,378,555
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 2019-07-01 $295.35 $290.00 11.7% 3.1% 10.7% 16.9% 11.8% 4.4% 0.5% 5.46B -31.29B -484.8M 1.21 1.03 N/A N/A 1,261,720 1,532,831 6,166,864 11,257,044 2019-07-02 $295.98 $290.00 10.9% 2.7% 8.6% 13.6% 10.8% 4.4% 0.4% 4.35B -32.35B -488.9M 1.94 1.08 N/A N/A 674,748 1,307,881 6,143,817 11,468,796 2019-07-03 $298.32 $290.00 10.8% 2.6% 8.4% 13.3% 9.6% 3.8% -0.2% 6.98B -53.13B -484.6M 1.03 1.12 N/A N/A 965,508 995,685 6,313,200 11,992,261 2019-07-05 $298.10 $291.00 10.8% 3.2% 8.2% 13.3% 12.5% 3.9% 0.2% 6.28B -49.79B -483.2M 1.33 1.28 N/A N/A 1,015,163 1,349,731 6,303,641 11,889,055 2019-07-08 $296.99 $292.00 11.5% 3.4% 7.9% 16.3% 13.5% 4.6% 0.1% 2.72B -34.71B -485.8M 1.51 1.20 N/A N/A 700,354 1,060,214 6,064,055 11,565,544 2019-07-09 $296.90 $292.00 11.9% 3.4% 7.9% 17.9% 12.9% 4.8% 0.2% 2.30B -33.37B -494.8M 1.44 1.15 N/A N/A 624,312 900,835 6,139,399 11,698,482 2019-07-10 $298.54 $293.00 10.9% 3.2% 8.0% 13.7% 13.2% 4.2% -0.2% 5.64B -48.16B -492.3M 1.14 1.24 N/A N/A 1,184,471 1,353,287 6,374,220 12,058,532 2019-07-11 $298.90 $293.00 10.8% 3.2% 7.8% 13.1% 12.6% 4.2% -0.2% 5.63B -48.36B -498.3M 1.50 1.22 N/A N/A 869,462 1,301,734 6,507,693 12,170,439 2019-07-12 $300.48 $294.00 10.3% 3.0% 7.9% 10.7% 11.6% 3.9% 0.2% 8.06B -61.69B -489.9M 1.72 1.21 N/A N/A 827,381 1,419,792 6,652,207 12,627,748 2019-07-15 $300.62 $294.00 10.5% 3.0% 7.9% 11.9% 12.2% 4.1% -0.2% 4.82B -54.75B -493.6M 1.37 1.16 N/A N/A 698,646 957,506 6,579,327 12,650,126 2019-07-16 $300.04 $295.00 10.4% 3.0% 8.0% 11.1% 12.6% 4.1% 0.2% 4.10B -47.77B -499.3M 1.57 1.16 N/A N/A 661,912 1,040,686 6,583,524 12,801,229 2019-07-17 $298.29 $295.00 11.3% 3.2% 7.9% 15.3% 12.4% 4.7% -0.2% -887.6M -29.33B -515.9M 1.59 1.15 N/A N/A 721,527 1,148,065 6,729,460 13,165,203 2019-07-18 $298.60 $295.00 11.0% 3.2% 7.8% 13.8% 12.6% 4.5% -0.2% 1.06B -33.86B -514.5M 1.42 1.17 N/A N/A 931,288 1,323,850 6,725,087 13,234,744 2019-07-19 $297.82 $295.00 11.3% 3.3% 7.4% 15.3% 12.6% 4.9% 0.2% -4.61B -24.42B -521.2M 1.40 1.22 N/A N/A 1,152,953 1,615,924 6,892,075 13,700,657 2019-07-22 $297.76 $295.00 11.2% 3.2% 7.2% 14.9% 12.8% 4.8% 0.2% -2.50B -12.67B -517.6M 1.46 1.10 N/A N/A 704,179 1,027,582 5,953,002 11,213,398 2019-07-23 $299.89 $295.00 10.5% 3.0% 7.4% 11.6% 12.1% 3.9% 0.2% 2.83B -30.25B -511.9M 1.17 1.15 N/A N/A 759,532 885,628 6,038,001 11,265,384 2019-07-24 $301.21 $295.00 10.2% 2.9% 6.4% 10.3% 11.2% 3.8% -0.1% 6.49B -43.53B -503.9M 1.36 1.10 N/A N/A 778,371 1,057,210 6,258,291 11,526,883 2019-07-25 $299.88 $295.00 10.7% 3.1% 6.7% 12.7% 11.9% 4.1% -0.2% 1.01B -26.95B -519.1M 1.34 1.07 N/A N/A 890,517 1,197,169 6,219,502 11,656,267 2019-07-26 $302.10 $295.00 9.9% 2.9% 7.0% 9.3% 11.6% 3.9% 0.2% 5.81B -46.27B -511.2M 1.57 1.02 N/A N/A 755,759 1,183,203 6,333,114 11,986,184 2019-07-29 $301.67 $296.00 10.2% 2.9% 7.1% 10.4% 10.7% 4.5% 0.3% 1.89B -38.08B -507.5M 1.59 0.97 N/A N/A 560,900 890,319 6,194,578 11,621,196 2019-07-30 $300.54 $296.00 11.5% 3.4% 6.6% 16.2% 13.5% 4.7% 0.2% 610.7M -27.24B -525.1M 1.61 0.96 N/A N/A 538,734 868,253 6,203,777 11,730,408 2019-07-31 $298.76 $295.00 12.3% 3.5% 7.0% 19.6% 13.5% 5.1% -0.4% -2.32B -12.13B -530.3M 1.66 1.17 N/A N/A 1,095,116 1,815,433 6,391,593 11,986,962
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