SPY Options History — October 2019 In October 2019, SPY traded between $288.24 and $303.98. ATM implied volatility averaged 13.8%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.1% (HV 20d: 13.7%). Max pain ranged from $295.00 to $300.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.62.
Notable Days 2019-10-02 : Highest Volume — 5,615,430 contracts2019-10-08 : Largest IV spike — 19.0% change2019-10-02 : Highest IV Rank — 47.9%2019-10-02 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $297.20 $288.24 $303.98 $293.54 $302.65 Max Pain $297.04 $295.00 $300.00 $298.00 $300.00 ATM IV 13.8% 10.6% 19.2% 16.3% 11.2% Expected Move 3.9% 2.9% 5.7% 4.7% 3.1% HV 20d 13.7% 11.0% 15.4% 11.2% 11.2% HV 60d 15.9% 14.8% 16.5% 14.9% 14.9% IV Rank 19.5% 3.8% 47.9% 34.6% 6.6% IV Percentile 43.2% 9.5% 89.7% 68.7% 17.9% Term Structure -0.0% -0.5% 0.3% 0.3% -0.4% VWIV 14.8% 11.4% 20.1% 16.5% 12.1% Skew 25d 5.6% 4.0% 7.6% 7.4% 4.7% Skew 10d 9.8% 7.2% 12.9% 12.7% 8.2% Call IV 25d 11.2% 9.0% 15.2% 12.7% 9.5% Put IV 25d 16.8% 13.2% 22.5% 20.1% 14.1% Bid-Ask Spread % 1.08 0.86 1.66 0.93 0.93 Gamma HHI 0.04 0.03 0.07 0.03 0.04 Net GEX 1.37B -6.95B 9.38B -4.19B 859.2M Net DEX -9.77B -50.60B 60.69B 27.73B -32.08B Net VEX -518.0M -547.1M -489.7M -530.9M -505.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.62 1.18 2.40 1.35 1.77 Total Volume 2,680,618.696 1,582,897 5,615,430 3,121,249 2,481,221 Total OI 20,894,947.043 18,892,202 23,023,603 18,892,202 21,495,929
Daily Data (23 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 2019-10-01 $293.54 $298.00 16.3% 4.7% 11.2% 34.6% 16.5% 7.4% 0.3% -4.19B 27.73B -530.9M 1.35 0.93 N/A N/A 1,327,808 1,793,441 6,559,754 12,332,448 2019-10-02 $288.24 $297.00 19.2% 5.7% 12.4% 47.9% 20.1% 7.2% -0.5% -6.95B 60.69B -533.3M 1.91 1.04 N/A N/A 1,929,947 3,685,483 7,022,540 12,650,034 2019-10-03 $289.65 $296.00 18.1% 5.2% 11.4% 42.1% 19.2% 7.4% -0.5% -4.54B 41.72B -544.2M 1.80 1.07 N/A N/A 1,384,113 2,491,186 7,381,336 12,834,194 2019-10-04 $294.15 $296.00 15.4% 4.5% 12.8% 27.1% 17.3% 6.7% 0.2% 473.0M 4.66B -539.5M 1.59 1.22 N/A N/A 1,357,290 2,159,414 7,590,447 13,293,303 2019-10-07 $293.65 $296.00 15.7% 4.6% 12.8% 28.4% 18.1% 7.2% 0.2% -1.50B 10.91B -534.3M 1.61 1.33 N/A N/A 1,063,267 1,711,909 7,473,985 13,107,921 2019-10-08 $289.32 $296.00 18.7% 5.3% 13.8% 42.8% 19.4% 7.6% 0.1% -5.15B 43.59B -541.8M 1.52 1.25 N/A N/A 1,317,564 2,004,934 7,619,100 13,145,453 2019-10-09 $291.43 $295.00 17.5% 5.0% 13.7% 37.0% 18.0% 7.4% -0.4% -2.74B 25.00B -546.1M 1.53 1.53 N/A N/A 891,383 1,361,969 7,974,272 13,511,730 2019-10-10 $293.01 $295.00 16.4% 4.7% 13.6% 31.7% 17.4% 7.0% -0.4% -1.55B 12.48B -547.1M 1.33 1.20 N/A N/A 1,051,636 1,396,741 7,945,967 13,538,560 2019-10-11 $297.39 $296.00 14.1% 4.1% 14.8% 20.8% 16.1% 5.8% 0.2% 5.05B -25.03B -537.0M 1.44 1.66 N/A N/A 1,822,405 2,631,396 8,227,548 13,863,361 2019-10-14 $295.98 $296.00 13.4% 3.9% 14.8% 17.5% 15.6% 5.7% 0.2% 346.2M -5.41B -509.8M 1.99 0.96 N/A N/A 668,002 1,327,043 8,004,233 13,724,849 2019-10-15 $299.11 $296.00 11.9% 3.4% 15.3% 10.1% 12.6% 4.7% 0.3% 4.80B -33.13B -503.9M 1.31 1.00 N/A N/A 1,244,416 1,633,739 7,880,097 13,662,080 2019-10-16 $298.32 $296.00 12.4% 3.6% 15.3% 12.5% 13.2% 4.8% 0.0% 2.08B -23.63B -510.7M 1.18 1.02 N/A N/A 901,811 1,065,371 8,192,479 14,221,277 2019-10-17 $299.42 $297.00 12.1% 3.5% 15.4% 11.1% 13.4% 4.6% 0.0% 4.41B -32.49B -509.0M 1.64 1.05 N/A N/A 914,516 1,502,360 8,176,614 14,200,751 2019-10-18 $298.51 $297.00 12.2% 3.5% 15.1% 11.7% 13.4% 5.0% 0.2% 939.0M -21.86B -519.9M 1.47 1.06 N/A N/A 953,361 1,400,482 8,340,450 14,683,153 2019-10-21 $300.01 $297.00 12.2% 3.4% 15.2% 11.3% 13.3% 4.8% 0.3% 3.88B -27.50B -505.6M 1.50 1.00 N/A N/A 633,574 949,323 7,075,320 12,354,864 2019-10-22 $299.17 $297.00 12.5% 3.5% 14.7% 13.0% 12.3% 4.8% 0.3% 2.34B -20.41B -507.4M 1.54 1.06 N/A N/A 740,637 1,139,878 7,100,421 12,489,486 2019-10-23 $299.57 $298.00 12.1% 3.3% 14.5% 11.3% 12.7% 4.9% -0.2% 2.00B -19.76B -510.2M 1.50 1.01 N/A N/A 678,094 1,018,352 7,335,356 12,885,890 2019-10-24 $300.32 $298.00 11.8% 3.2% 14.5% 9.4% 12.4% 4.6% -0.2% 3.85B -26.61B -502.6M 1.40 0.94 N/A N/A 685,061 958,571 7,276,601 12,923,356 2019-10-25 $301.71 $298.00 10.6% 2.9% 14.2% 4.0% 11.7% 4.1% 0.3% 9.38B -42.00B -495.2M 1.69 0.89 N/A N/A 1,021,104 1,724,799 7,461,558 13,175,759 2019-10-28 $303.38 $299.00 11.2% 3.0% 14.1% 6.7% 11.4% 4.0% -0.1% 7.02B -50.60B -489.7M 1.42 0.94 N/A N/A 836,552 1,189,211 7,318,637 12,924,384 2019-10-29 $303.02 $299.00 11.3% 3.1% 13.3% 7.5% 11.9% 4.3% -0.1% 4.55B -41.94B -499.1M 2.31 0.86 N/A N/A 555,550 1,281,013 7,362,565 13,107,156 2019-10-30 $303.98 $299.00 10.6% 2.9% 11.0% 3.8% 11.9% 4.2% -0.1% 6.18B -48.94B -490.4M 2.40 1.00 N/A N/A 813,774 1,954,529 7,485,066 13,653,498 2019-10-31 $302.65 $300.00 11.2% 3.1% 11.2% 6.6% 12.1% 4.7% -0.4% 859.2M -32.08B -505.9M 1.77 0.93 N/A N/A 895,955 1,585,266 7,451,627 14,044,302
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