SPY Options History — September 2019 In September 2019, SPY traded between $290.90 and $301.83. ATM implied volatility averaged 13.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.8% (HV 20d: 14.8%). Max pain ranged from $292.00 to $298.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.64.
Notable Days 2019-09-24 : Highest Volume — 4,055,722 contracts2019-09-24 : Largest IV spike — 19.6% change2019-09-03 : Highest IV Rank — 40.0%2019-09-03 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $298.10 $290.90 $301.83 $290.90 $297.08 Max Pain $295.05 $292.00 $298.00 $292.00 $298.00 ATM IV 13.0% 10.8% 17.0% 17.0% 14.4% Expected Move 3.8% 3.2% 5.3% 5.3% 4.1% HV 20d 14.8% 9.5% 20.3% 19.7% 10.4% HV 60d 14.6% 14.3% 14.8% 14.3% 14.8% IV Rank 21.4% 12.6% 40.0% 40.0% 26.0% IV Percentile 40.3% 17.5% 74.6% 74.6% 54.0% Term Structure 0.1% -0.7% 0.4% 0.1% 0.3% VWIV 14.9% 12.1% 20.7% 20.7% 15.9% Skew 25d 6.1% 4.2% 8.6% 8.6% 6.9% Skew 10d 10.9% 7.2% 14.8% 14.8% 12.0% Call IV 25d 10.6% 9.3% 13.2% 13.2% 11.2% Put IV 25d 16.7% 14.1% 21.8% 21.8% 18.1% Bid-Ask Spread % 1.15 0.95 1.47 1.09 0.96 Gamma HHI 0.03 0.02 0.05 0.02 0.03 Net GEX 1.05B -5.90B 7.45B -2.82B -701.6M Net DEX -21.83B -66.79B 22.96B 18.17B 2.29B Net VEX -519.5M -553.1M -476.9M -553.1M -524.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 0.84 2.14 2.07 2.14 Total Volume 2,705,659.8 1,621,874 4,055,722 2,614,509 1,902,136 Total OI 21,345,155 18,639,144 23,225,581 20,657,055 19,843,929
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 2019-09-03 $290.90 $292.00 17.0% 5.3% 19.7% 40.0% 20.7% 8.6% 0.1% -2.82B 18.17B -553.1M 2.07 1.09 N/A N/A 851,333 1,763,176 7,182,799 13,474,256 2019-09-04 $293.90 $292.00 14.8% 4.5% 19.8% 30.3% 17.3% 7.6% -0.7% 986.4M -7.88B -539.2M 2.07 0.95 N/A N/A 701,510 1,450,874 7,182,178 13,664,545 2019-09-05 $297.96 $292.00 12.8% 3.9% 20.3% 21.6% 16.2% 6.5% -0.1% 4.08B -38.42B -531.4M 1.71 1.20 N/A N/A 1,200,784 2,055,032 7,236,679 13,948,610 2019-09-06 $298.26 $292.00 11.9% 3.7% 19.4% 17.7% 16.0% 5.8% 0.3% 4.84B -42.24B -522.1M 1.11 1.28 N/A N/A 1,228,236 1,363,397 7,413,048 14,637,698 2019-09-09 $297.99 $292.00 12.2% 3.7% 19.3% 18.7% 15.0% 6.1% 0.4% 1.94B -33.64B -517.5M 1.72 1.19 N/A N/A 833,239 1,436,616 7,499,012 13,899,833 2019-09-10 $297.28 $293.00 12.5% 3.8% 18.4% 20.0% 14.7% 6.1% 0.1% 1.44B -25.90B -519.6M 1.91 1.20 N/A N/A 835,759 1,599,200 7,487,751 13,842,583 2019-09-11 $299.62 $294.00 11.7% 3.5% 18.0% 16.7% 14.3% 5.6% -0.1% 5.77B -49.84B -517.5M 1.56 1.24 N/A N/A 1,002,828 1,565,496 7,716,401 14,839,716 2019-09-12 $301.83 $294.00 11.0% 3.3% 14.7% 13.3% 13.1% 5.3% -0.1% 7.45B -66.79B -502.8M 1.19 1.29 N/A N/A 1,381,430 1,644,267 7,732,692 14,687,943 2019-09-13 $301.24 $294.00 10.8% 3.3% 14.8% 12.6% 12.4% 5.0% 0.4% 4.15B -57.48B -515.8M 1.40 1.20 N/A N/A 1,072,367 1,501,006 7,899,002 15,269,143 2019-09-16 $300.14 $295.00 11.9% 3.5% 14.4% 17.4% 13.4% 5.5% 0.3% 1.22B -40.42B -512.2M 1.77 1.26 N/A N/A 846,416 1,500,191 7,803,358 14,675,600 2019-09-17 $300.95 $295.00 11.8% 3.4% 13.8% 16.7% 14.8% 5.1% 0.3% 3.97B -45.97B -512.5M 1.35 1.20 N/A N/A 690,137 931,737 7,718,711 14,844,404 2019-09-18 $301.01 $295.00 11.5% 3.3% 13.5% 15.4% 12.6% 4.7% -0.2% 4.90B -49.86B -479.5M 1.74 1.47 N/A N/A 1,266,269 2,199,538 7,878,626 15,204,485 2019-09-19 $301.21 $296.00 11.3% 3.2% 13.4% 14.4% 12.1% 4.2% -0.2% 4.67B -53.09B -476.9M 0.84 1.20 N/A N/A 1,579,562 1,325,099 7,907,844 15,317,737 2019-09-20 $298.45 $297.00 13.1% 3.8% 13.9% 22.6% 14.2% 5.9% 0.2% -5.06B 4.16B -512.5M 2.10 1.10 N/A N/A 1,084,354 2,282,040 6,913,663 15,749,219 2019-09-23 $298.71 $298.00 12.5% 3.6% 9.5% 18.5% 14.2% 6.0% 0.3% -2.24B -826.0M -515.1M 1.88 0.96 N/A N/A 748,774 1,405,928 6,156,584 12,482,560 2019-09-24 $295.57 $298.00 14.9% 4.3% 10.4% 28.3% 16.3% 6.7% 0.2% -4.28B 19.97B -532.2M 1.89 1.17 N/A N/A 1,403,636 2,652,086 6,225,599 12,566,223 2019-09-25 $297.73 $298.00 14.0% 3.9% 10.6% 23.7% 14.7% 6.4% -0.4% -1.50B 3.06B -530.6M 1.38 1.01 N/A N/A 1,171,613 1,621,786 6,626,685 13,128,647 2019-09-26 $297.23 $298.00 13.9% 3.9% 10.6% 23.7% 13.9% 6.3% -0.3% -1.86B 5.24B -533.4M 1.49 1.04 N/A N/A 971,321 1,444,918 6,879,822 12,975,337 2019-09-27 $294.90 $298.00 15.4% 4.5% 10.2% 30.4% 16.2% 6.8% 0.4% -5.90B 22.96B -542.4M 1.52 1.07 N/A N/A 1,427,543 2,171,562 7,126,506 13,263,672 2019-09-30 $297.08 $298.00 14.4% 4.1% 10.4% 26.0% 15.9% 6.9% 0.3% -701.6M 2.29B -524.6M 2.14 0.96 N/A N/A 605,834 1,296,302 6,946,637 12,897,292
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