SPY Options History — August 2019 In August 2019, SPY traded between $284.49 and $295.62. ATM implied volatility averaged 17.1%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.6% (HV 20d: 17.7%). Max pain ranged from $291.00 to $295.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.67.
Notable Days 2019-08-05 : Highest Volume — 5,862,587 contracts2019-08-05 : Largest IV spike — 31.5% change2019-08-14 : Highest IV Rank — 57.4%2019-08-14 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $289.77 $284.49 $295.62 $295.62 $292.35 Max Pain $292.14 $291.00 $295.00 $295.00 $292.00 ATM IV 17.1% 14.6% 20.9% 15.1% 16.1% Expected Move 5.1% 4.3% 6.1% 4.6% 4.9% HV 20d 17.7% 7.5% 22.6% 7.5% 22.3% HV 60d 13.7% 11.6% 15.2% 11.6% 14.4% IV Rank 40.4% 29.2% 57.4% 31.9% 36.2% IV Percentile 76.4% 60.7% 94.4% 68.3% 67.5% Term Structure -0.1% -0.9% 1.0% -0.6% 0.1% VWIV 19.0% 16.4% 21.9% 17.1% 19.8% Skew 25d 7.5% 6.4% 8.6% 6.9% 8.1% Skew 10d 12.9% 10.9% 15.4% 13.6% 13.6% Call IV 25d 13.4% 11.6% 16.6% 12.1% 12.5% Put IV 25d 20.9% 18.1% 25.2% 19.0% 20.6% Bid-Ask Spread % 1.17 0.98 1.41 1.41 1.15 Gamma HHI 0.03 0.02 0.04 0.03 0.02 Net GEX -3.70B -9.01B 1.17B -5.45B 582.3M Net DEX 28.39B -956.8M 76.29B 14.93B 3.28B Net VEX -559.2M -575.4M -543.5M -557.1M -575.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 1.35 2.11 1.79 2.11 Total Volume 3,198,836.818 1,535,394 5,862,587 4,072,592 3,028,727 Total OI 19,848,250.682 18,355,697 21,704,310 18,355,697 21,269,617
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 2019-08-01 $295.62 $295.00 15.1% 4.6% 7.5% 31.9% 17.1% 6.9% -0.6% -5.45B 14.93B -557.1M 1.79 1.41 N/A N/A 1,458,981 2,613,611 6,332,060 12,023,637 2019-08-02 $292.89 $295.00 15.9% 4.7% 8.1% 35.3% 17.8% 7.0% -0.6% -9.01B 35.67B -558.8M 1.61 1.23 N/A N/A 1,659,599 2,665,151 6,666,355 12,260,633 2019-08-05 $284.60 $293.00 20.9% 5.9% 12.8% 57.3% 21.1% 8.6% 0.1% -6.93B 76.29B -549.7M 1.80 1.28 N/A N/A 2,091,915 3,770,672 6,537,593 11,826,491 2019-08-06 $287.32 $293.00 18.2% 5.3% 13.4% 45.8% 19.4% 8.2% -0.0% -5.72B 51.66B -553.0M 1.64 1.03 N/A N/A 1,323,433 2,169,710 6,820,864 12,137,056 2019-08-07 $288.35 $293.00 17.7% 5.2% 13.3% 43.3% 19.7% 8.0% -0.4% -5.01B 41.89B -558.3M 1.61 1.22 N/A N/A 1,413,663 2,271,604 7,093,205 12,505,490 2019-08-08 $293.43 $293.00 14.7% 4.5% 14.9% 30.2% 17.6% 6.9% -0.3% -1.95B 1.00B -557.1M 1.67 1.15 N/A N/A 1,154,021 1,923,496 7,148,385 12,672,123 2019-08-09 $292.71 $292.00 14.9% 4.6% 14.8% 30.6% 17.7% 6.9% 0.2% -2.44B 7.24B -565.3M 1.38 1.22 N/A N/A 1,287,607 1,781,998 7,356,555 13,456,209 2019-08-12 $288.18 $292.00 18.5% 5.5% 15.6% 46.7% 20.2% 8.0% 0.2% -6.02B 43.26B -563.6M 1.62 0.98 N/A N/A 1,134,302 1,842,018 7,061,227 12,953,859 2019-08-13 $292.24 $292.00 16.2% 4.9% 16.6% 36.2% 19.2% 7.2% 0.3% -2.88B 9.60B -560.0M 1.90 1.22 N/A N/A 1,048,520 1,988,854 7,129,215 13,053,124 2019-08-14 $284.49 $292.00 20.9% 6.1% 18.9% 57.4% 21.9% 7.9% -0.9% -8.25B 71.19B -563.4M 1.47 1.35 N/A N/A 2,086,714 3,066,827 7,209,347 13,548,362 2019-08-15 $285.02 $292.00 19.8% 5.9% 18.9% 52.2% 20.9% 7.6% -0.5% -6.85B 59.12B -569.6M 1.35 1.12 N/A N/A 1,291,882 1,743,594 7,663,220 13,486,579 2019-08-16 $288.83 $292.00 16.6% 5.1% 19.7% 38.3% 19.2% 6.9% 0.4% -3.45B 26.33B -566.0M 1.62 1.28 N/A N/A 1,157,963 1,880,547 7,988,725 13,715,585 2019-08-19 $292.65 $291.00 14.6% 4.5% 20.4% 29.2% 17.5% 6.5% 1.0% 78.2M -353.5M -544.5M 1.62 1.19 N/A N/A 934,968 1,510,671 6,679,386 12,059,092 2019-08-20 $290.79 $291.00 15.8% 4.6% 20.2% 34.7% 17.9% 6.4% 0.8% -2.01B 14.61B -549.1M 1.55 1.21 N/A N/A 812,015 1,256,522 6,705,932 12,164,484 2019-08-21 $292.32 $291.00 15.1% 4.3% 20.3% 31.6% 16.4% 6.4% -0.5% -298.9M 1.88B -543.5M 1.49 1.01 N/A N/A 868,723 1,293,047 6,897,356 12,464,067 2019-08-22 $292.73 $292.00 15.3% 4.5% 20.3% 32.6% 17.1% 7.0% -0.8% -505.4M 2.38B -551.4M 1.67 1.03 N/A N/A 777,955 1,299,050 6,930,604 12,427,555 2019-08-23 $285.11 $292.00 19.3% 5.7% 21.9% 50.3% 20.1% 7.5% 0.0% -6.72B 59.47B -558.7M 1.73 1.31 N/A N/A 1,775,898 3,068,950 7,088,580 12,752,097 2019-08-26 $286.79 $291.00 18.4% 5.5% 22.1% 46.4% 19.8% 8.1% 0.0% -4.27B 41.29B -555.4M 1.87 1.08 N/A N/A 534,809 1,000,585 7,199,149 12,588,725 2019-08-27 $287.26 $291.00 18.6% 5.6% 22.1% 47.0% 19.8% 8.2% -0.2% -3.53B 37.56B -562.7M 1.55 1.08 N/A N/A 978,310 1,521,162 7,233,325 12,683,139 2019-08-28 $288.68 $291.00 17.5% 5.2% 22.2% 42.4% 19.5% 8.2% -0.4% -1.94B 27.20B -572.1M 1.60 1.06 N/A N/A 842,607 1,350,089 7,487,622 13,002,175 2019-08-29 $292.54 $291.00 15.6% 4.7% 22.6% 33.7% 18.3% 7.8% -0.6% 1.17B -956.8M -567.4M 2.09 1.10 N/A N/A 873,055 1,820,585 7,439,744 12,942,967 2019-08-30 $292.35 $292.00 16.1% 4.9% 22.3% 36.2% 19.8% 8.1% 0.1% 582.3M 3.28B -575.4M 2.11 1.15 N/A N/A 973,271 2,055,456 7,587,183 13,682,434
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