SPDR S&P 500

SPY

233.86

-0.17

-0.1%

After Hours:

233.94

+0.08

0.0%

Stock Price
Open: 234.38
Prev. Close: 234.03
Low/Hi: 232.96 - 235.04
52-Week: 198.65 - 240.32
Volumes
Equity: 107,532,274
90-Day Avg: 78,973,395
Option: 4,415,346
90-Day Avg: 2,577,151
Volatility
Today: 9.3
20-Day: 8.0
52-Week: 9.3
30-Day IV: 10.8 +0.0
IV Rank: 0.74 (Moderate)
Fundamental
Dividend: 16-Jun $1.054 (Est.)
Div. Yield: 1.9%
Net Expense Ratio: 0.0945%
Stock Type: ETF | Family: SPDR State Street Global Advisors | Category: Large Blend

SPY Symbol Review Report

Report Date: 24-Mar-2017

Price Performance:

On the day, SPY has moved -0.1%, while DIA has moved -0.3%.

Over the last two weeks, SPY has moved -1.6%, and DIA has moved -1.6%.

Volume:

SPY's stock volume on the day is 107,532,274, which is 1.4x relative to the 90-day average of 78,973,395

DIA's relative volume on the day is 1.0x, trading 4,050,347 shares against an average of 3,873,263 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 9.3 for the day. The 20-day average is 6.8, and the 52-week average is 8.3.

The 1-Day OHLC Volatility for DIA is 8.6, while the average over the last 20 days is 6.8, and for the last 52 weeks is 8.1.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 10.8, and has moved -0.4% from the previous day. Its IV Ranking is 0.74, which is considered Moderate.

As a comparison, the current IV30 for DIA is 10.4, down slightly -1.0% from the previous day. DIA's IV Rank is Moderate at 0.67.

Over the last 52 weeks, the IV30 Range is 8.1 - 20.7.

Over the same span, DIA's IV30 Range is 8.4 - 19.7.

Based on the IV30, a synthetic put to protect downside risk would cost 1.2%, compared to a 52-week range of 0.9% - 2.3%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Mar-17 0.37 0.2% 233.50 234.25
29-Mar-17 2.54 1.1% 231.34 236.41
31-Mar-17 2.97 1.3% 230.90 236.85
05-Apr-17 3.83 1.6% 230.04 237.71
07-Apr-17 4.19 1.8% 229.68 238.07
12-Apr-17 4.65 2.0% 229.22 238.53
13-Apr-17 4.82 2.1% 229.05 238.70
19-Apr-17 5.26 2.2% 228.62 239.13
21-Apr-17 5.52 2.4% 228.36 239.39
26-Apr-17 6.03 2.6% 227.84 239.91
28-Apr-17 6.33 2.7% 227.55 240.20
05-May-17 6.92 3.0% 226.96 240.79
19-May-17 8.32 3.6% 225.56 242.19
16-Jun-17 11.06 4.7% 222.81 244.94
30-Jun-17 12.00 5.1% 221.87 245.88
21-Jul-17 13.35 5.7% 220.53 247.22
15-Sep-17 17.13 7.3% 216.74 251.01
29-Sep-17 17.92 7.7% 215.95 251.80
15-Dec-17 22.27 9.5% 211.61 256.14
29-Dec-17 22.80 9.8% 211.07 256.68
19-Jan-18 23.63 10.1% 210.25 257.50
16-Mar-18 26.91 11.5% 206.97 260.78
15-Jun-18 31.26 13.4% 202.61 265.14
20-Jul-18 32.55 13.9% 201.32 266.43
21-Sep-18 35.27 15.1% 198.60 269.15
21-Dec-18 38.70 16.5% 195.17 272.58
18-Jan-19 39.45 16.9% 194.42 273.33
15-Mar-19 41.39 17.7% 192.48 275.27
20-Dec-19 50.27 21.5% 183.61 284.14

Volatility Skew:

The current downside put implied volatility is trading 38.5% 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 44.6% higher than the upside call.

Option Volume:

On the day, SPY traded 4,415,346 contracts, with 66.0% being put options. This represents a relative volume of 1.7x compared to the last 90 days, when the average volume was 2,577,151 and 58.6% 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 9,507 0.7% 13,325,199 159,468 11.0% 47,031,761 151,070 10.4% 5,410,691 320,045 22.1% 65,767,651
Put 53,737 3.7% 42,793,820 382,058 26.3% 79,204,049 695,135 47.9% 23,522,518 1,130,930 77.9% 145,520,387
Total 1,450,975 211,288,038

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 21Apr17 P 210 218,359 464 0.22 0.16 0.28 78,254 22.4 +2.9%
SPY 31Mar17 P 232 113,475 2,626 0.83 0.69 1.58 77,564 12.3 -13.3%
SPY 31Mar17 P 233 44,901 1,489 1.15 0.88 1.95 51,158 11.7 -13.7%
SPY 21Apr17 C 240 37,838 367 0.43 0.38 0.60 226,747 8.6 -2.9%
SPY 31Mar17 P 230 36,185 698 0.45 0.40 1.01 108,548 13.4 -13.3%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 24Mar17 C 237 331,637 297,488 +34,149 +11.5% 0
SPY 31Mar17 P 232 77,564 52,513 +25,051 +47.7% 113,475
SPY 21Apr17 C 260 59,676 37,693 +21,983 +58.3% 4,950
SPY 24Mar17 P 231 60,349 42,091 +18,258 +43.4% 0
SPY 31Mar17 C 238 53,782 36,592 +17,190 +47.0% 14,820

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 24Mar17 C 236 228,868 280,931 -52,063 -18.5% 0
SPY 24Mar17 P 238 12,528 23,187 -10,659 -46.0% 0
SPY 21Apr17 C 245 176,245 183,839 -7,594 -4.1% 646
SPY 29Mar17 P 228 3,563 10,533 -6,970 -66.2% 0
SPY 19May17 P 215 45,009 51,724 -6,715 -13.0% 0

Upcoming Dividend:

The next dividend for SPY is on 16-Jun-2017. The amount has not yet been determined, but the indicative dividend yield is 1.93%.