SPDR S&P 500

SPY

266.75

-0.03

0.0%

After Hours:

267.21

+0.46

+0.2%

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Stock Price
Open: 267.06
Prev. Close: 266.78
Low/Hi: 266.65 - 267.56
52-Week: 222.73 - 267.32
Volumes
Equity: 95,720,583
90-Day Avg: 67,341,705
Option: 2,403,627
90-Day Avg: 2,527,674
Volatility
Todays Stock Vol: 4.2
20-Day (HV): 7.5
52-Week (HV): 6.9
30-Day IV: 7.5 +0.3
IV Pct Rank: 23% Subdued
Fundamental
Dividend: 15-Dec $1.27 (Est.)
Div. Yield: 1.8%
Net Expense Ratio: 0.0945%
Stock Info
Type: ETF
Family: SPDR State Street Global Advisors
Category: Large Blend

SPY Symbol Review Report

Report Date: 13-Dec-2017

Price Performance:

On the day, SPY has moved 0.0%, while DIA has moved +0.4%.

Over the last two weeks, SPY has moved +1.5%, and DIA has moved +2.9%.

Volume:

SPY's stock volume on the day is 95,720,583, which is 1.4x relative to the 90-day average of 67,341,705

DIA's relative volume on the day is 1.3x, trading 3,706,840 shares against an average of 2,763,398 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 4.2 for the day. The 20-day average is 6.5, and the 52-week average is 6.2.

The 1-Day OHLC Volatility for DIA is 5.3, while the average over the last 20 days is 7.6, and for the last 52 weeks is 6.1.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 7.5, and has moved +3.7% from the previous day. Its IV % Rank is 0.23, which is considered Subdued.

As a comparison, the current IV30 for DIA is 9.2, up slightly +1.3% from the previous day. DIA's IV % Rank is Moderate at 0.60.

Over the last 52 weeks, the IV30 Range is 6.4 - 13.5.

Over the same span, DIA's IV30 Range is 6.4 - 12.9.

Based on the IV30, a synthetic put to protect downside risk would cost 0.8%, compared to a 52-week range of 0.7% - 1.5%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
13-Dec-17 0.17 0.1% 266.62 266.97
15-Dec-17 2.03 0.8% 264.76 268.83
20-Dec-17 2.53 0.9% 264.26 269.33
22-Dec-17 2.84 1.1% 263.96 269.63
27-Dec-17 3.14 1.2% 263.65 269.94
29-Dec-17 3.52 1.3% 263.28 270.31
03-Jan-18 4.03 1.5% 262.77 270.82
05-Jan-18 4.14 1.6% 262.65 270.94
10-Jan-18 4.39 1.6% 262.41 271.18
12-Jan-18 4.65 1.7% 262.15 271.44
17-Jan-18 4.90 1.8% 261.89 271.70
19-Jan-18 5.18 1.9% 261.62 271.97
26-Jan-18 5.76 2.2% 261.04 272.55
16-Feb-18 7.60 2.8% 259.19 274.40
16-Mar-18 10.36 3.9% 256.43 277.16
29-Mar-18 11.37 4.3% 255.43 278.16
20-Apr-18 12.96 4.9% 253.84 279.75
15-Jun-18 17.24 6.5% 249.56 284.03
29-Jun-18 18.16 6.8% 248.63 284.96
20-Jul-18 19.42 7.3% 247.37 286.22
21-Sep-18 23.57 8.8% 243.23 290.36
28-Sep-18 23.95 9.0% 242.84 290.75
21-Dec-18 28.63 10.7% 238.17 295.42
18-Jan-19 29.66 11.1% 237.14 296.45
15-Mar-19 32.70 12.3% 234.10 299.49
21-Jun-19 37.39 14.0% 229.40 304.19
20-Dec-19 44.64 16.7% 222.16 311.43
17-Jan-20 45.26 17.0% 221.54 312.05

Volatility Skew:

The current downside put implied volatility is trading 16.0% higher than the upside call volatility, which represents a bullish tone when compared to the past year. Over the last year, the downside put has traded on average 42.3% higher than the upside call.

Option Volume:

On the day, SPY traded 2,403,627 contracts, with 46.5% being put options. This represents a relative volume of 1.0x compared to the last 90 days, when the average volume was 2,527,674 and 60.5% puts.

Order Flow:

In the Money At the Money Out of the Money Total
Option Type Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional $
Call 198,270 8.2% 166,706,699 431,614 17.9% 93,141,787 663,865 27.5% 22,893,793 1,293,749 53.6% 282,742,279
Put 152,513 6.3% 18,475,395 275,582 11.4% 51,597,778 692,742 28.7% 33,736,705 1,120,837 46.4% 103,809,878
Total 2,414,586 386,552,157

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 22Dec17 C 270 120,850 1,738 0.16 0.11 0.27 86,328 7.6 +2.4%
SPY 13Dec17 P 267 89,226 2,402 0.24 0.03 0.48 11,185 8.8 +20.3%
SPY 15Dec17 C 267 55,923 1,342 0.43 0.37 0.94 95,033 7.5 +4.4%
SPY 15Dec17 C 268 51,867 714 0.13 0.12 0.45 90,468 7.7 +3.4%
SPY 15Dec17 P 264 45,767 402 0.24 0.13 0.29 55,773 8.3 +6.4%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 19Jan18 C 270 244,299 125,102 +119,197 +95.3% 40,859
SPY 29Mar18 C 285 61,429 26,279 +35,150 +133.8% 100
SPY 29Dec17 C 268 255,370 233,942 +21,428 +9.2% 14,417
SPY 19Jan18 P 250 176,912 160,005 +16,907 +10.6% 23,264
SPY 19Jan18 P 244 37,413 23,953 +13,460 +56.2% 57

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 20Dec17 C 263 13,614 114,698 -101,084 -88.1% 30
SPY 15Dec17 C 267 95,033 141,813 -46,780 -33.0% 55,923
SPY 15Dec17 C 266 67,967 99,701 -31,734 -31.8% 13,732
SPY 29Mar18 C 290 13,018 43,996 -30,978 -70.4% 517
SPY 15Dec17 C 256 68,719 97,514 -28,795 -29.5% 2,215

Upcoming Dividend:

The next dividend for SPY is on 15-Dec-2017. The amount has not yet been determined, but the indicative dividend yield is 1.79%.

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