SPDR S&P 500

SPY

273.11

+0.08

0.0%

After Hours:

273.34

+0.23

+0.1%

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Stock Price
Open: 272.32
Prev. Close: 273.03
Low/Hi: 272.27 - 275.32
52-Week: 231.61 - 286.63
Volumes
Equity: 152,272,279
90-Day Avg: 90,431,949
Option: 4,856,128
90-Day Avg: 3,058,420
Volatility
Todays Stock Vol: 15.3
20-Day (HV): 14.7
52-Week (HV): 8.0
30-Day IV: 14.3 -0.2
IV Pct Rank: 96% Elevated
Fundamental
Dividend: 16-Mar $1.041 (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: 16-Feb-2018

Price Performance:

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

Over the last two weeks, SPY has moved -0.9%, and DIA has moved -1.2%.

Volume:

SPY's stock volume on the day is 152,272,279, which is 1.7x relative to the 90-day average of 90,431,949

DIA's relative volume on the day is 1.4x, trading 6,364,165 shares against an average of 4,534,243 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 15.3 for the day. The 20-day average is 13.8, and the 52-week average is 6.9.

The 1-Day OHLC Volatility for DIA is 15.3, while the average over the last 20 days is 14.7, and for the last 52 weeks is 6.9.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 14.3, and has moved -1.2% from the previous day. Its IV % Rank is 0.96, which is considered Elevated.

As a comparison, the current IV30 for DIA is 15.4, down slightly -0.5% from the previous day. DIA's IV % Rank is Elevated at 0.96.

Over the last 52 weeks, the IV30 Range is 6.4 - 27.6.

Over the same span, DIA's IV30 Range is 6.4 - 26.7.

Based on the IV30, a synthetic put to protect downside risk would cost 1.6%, compared to a 52-week range of 0.7% - 3.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
16-Feb-18 0.36 0.1% 272.92 273.63
21-Feb-18 3.28 1.2% 270.00 276.55
23-Feb-18 4.40 1.6% 268.87 277.68
26-Feb-18 4.94 1.8% 268.34 278.21
28-Feb-18 5.78 2.1% 267.49 279.06
02-Mar-18 6.33 2.3% 266.94 279.61
05-Mar-18 6.67 2.4% 266.60 279.95
07-Mar-18 7.14 2.6% 266.14 280.41
09-Mar-18 7.57 2.8% 265.70 280.85
12-Mar-18 7.82 2.9% 265.46 281.09
14-Mar-18 8.25 3.0% 265.02 281.53
16-Mar-18 9.01 3.3% 264.26 282.29
19-Mar-18 9.15 3.3% 264.13 282.42
21-Mar-18 9.48 3.5% 263.80 282.75
23-Mar-18 9.77 3.6% 263.50 283.05
26-Mar-18 9.96 3.6% 263.31 283.24
29-Mar-18 10.47 3.8% 262.80 283.75
20-Apr-18 12.90 4.7% 260.38 286.17
18-May-18 16.01 5.9% 257.26 289.29
15-Jun-18 18.81 6.9% 254.47 292.08
29-Jun-18 19.90 7.3% 253.37 293.18
20-Jul-18 21.41 7.8% 251.87 294.68
21-Sep-18 26.29 9.6% 246.99 299.56
28-Sep-18 26.67 9.8% 246.60 299.95
21-Dec-18 31.98 11.7% 241.30 305.25
31-Dec-18 32.30 11.8% 240.97 305.58
18-Jan-19 32.88 12.0% 240.39 306.16
15-Mar-19 36.23 13.3% 237.05 309.50
21-Jun-19 41.21 15.1% 232.07 314.48
20-Sep-19 45.50 16.7% 227.77 318.78
20-Dec-19 49.53 18.1% 223.74 322.81
17-Jan-20 50.45 18.5% 222.83 323.72
18-Dec-20 64.02 23.4% 209.26 337.29

Volatility Skew:

The current downside put implied volatility is trading 37.3% 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 42.7% higher than the upside call.

Option Volume:

On the day, SPY traded 4,856,128 contracts, with 57.7% being put options. This represents a relative volume of 1.6x compared to the last 90 days, when the average volume was 3,058,420 and 56.9% 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 101,586 2.1% 64,580,835 872,730 18.3% 267,512,780 1,038,542 21.8% 54,522,368 2,012,858 42.2% 386,615,983
Put 240,811 5.0% 51,440,143 1,078,346 22.6% 264,098,585 1,439,724 30.2% 90,805,806 2,758,881 57.8% 406,344,534
Total 4,771,739 792,960,517

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 16Feb18 P 273 229,287 4,201 0.06 0.01 1.17 202,976 18.6 +32.0%
SPY 16Feb18 C 273 171,064 3,617 0.33 0.06 2.36 241,249 20.5 +46.6%
SPY 16Feb18 C 275 142,343 3,597 0.01 0.01 0.68 107,359 18.6 +31.0%
SPY 16Feb18 C 274 109,013 4,490 0.02 0.01 1.42 69,338 23.0 +67.5%
SPY 16Feb18 P 270 85,380 1,788 0.01 0.01 0.28 126,537 32.2 +91.1%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 16Mar18 P 262 105,937 49,810 +56,127 +112.7% 6,580
SPY 9Mar18 P 273 57,961 10,350 +47,611 +460.0% 42,823
SPY 9Mar18 C 273 58,694 12,507 +46,187 +369.3% 42,101
SPY 16Mar18 C 277 147,399 107,336 +40,063 +37.3% 8,476
SPY 20Dec19 C 310 40,985 1,139 +39,846 +3498.3% 15

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 16Feb18 P 273 202,976 282,892 -79,916 -28.3% 229,287
SPY 16Feb18 C 273 241,249 298,176 -56,927 -19.1% 171,064
SPY 16Feb18 P 264 76,844 112,090 -35,246 -31.4% 1,205
SPY 23Feb18 P 264 38,761 68,242 -29,481 -43.2% 22,985
SPY 16Feb18 C 270 80,435 104,004 -23,569 -22.7% 9,376

Upcoming Dividend:

The next dividend for SPY is on 16-Mar-2018. The amount has not yet been determined, but the indicative dividend yield is 1.76%.

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