SPDR S&P 500

SPY

239.88

+0.36

+0.2%

Stock Price
Open: 239.95
Prev. Close: 239.52
Low/Hi: 239.51 - 240.24
52-Week: 198.65 - 240.67
Volumes
Equity: 24,589,492
90-Day Avg: 77,475,548
Option: 1,259,828
90-Day Avg: 2,781,371
Volatility
Today: 3.8
20-Day: 6.8
52-Week: 8.8
30-Day IV: 8.1 +0.0
IV Rank: 0.40 (Subdued)
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

Price Performance:

Today, SPY has moved +0.2%, while DIA has moved +0.2%.

Over the last two weeks, SPY has moved +0.2%, and DIA has moved -0.3%.

Volume:

SPY's stock volume today is 24,569,708, which is 0.3x relative to the 90-day average of 77,475,548

DIA's relative volume today is 0.4x, trading 1,266,994 shares against an average of 3,399,295 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 3.8 for today. The 20-day average is 5.8, and the 52-week average is 7.7.

The 1-Day OHLC Volatility for DIA is 3.9, while the average over the last 20 days is 6.2, and for the last 52 weeks is 7.6.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 8.1, and has moved +0.2% from yesterday. Its IV Ranking is 0.40, which is considered Subdued.

As a comparison, the current IV30 for DIA is 8.1, down slightly -0.1% from the previous day. DIA's IV Rank is Subdued at 0.38.

Over the last 52 weeks, the IV30 Range is 7.2 - 20.7.

Over the same span, DIA's IV30 Range is 7.1 - 19.7.

Based on the IV30, a synthetic put to protect downside risk would cost 0.9%, compared to a 52-week range of 0.8% - 2.3%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-May-17 0.80 0.3% 239.10 240.71
26-May-17 1.30 0.5% 238.61 241.20
31-May-17 1.92 0.8% 237.99 241.82
02-Jun-17 2.37 1.0% 237.53 242.28
07-Jun-17 2.87 1.2% 237.04 242.77
09-Jun-17 3.17 1.3% 236.74 243.07
14-Jun-17 3.82 1.6% 236.09 243.72
16-Jun-17 4.55 1.9% 235.35 244.46
21-Jun-17 4.80 2.0% 235.10 244.71
23-Jun-17 5.00 2.1% 234.90 244.91
28-Jun-17 5.34 2.2% 234.56 245.25
30-Jun-17 5.58 2.3% 234.33 245.48
21-Jul-17 7.17 3.0% 232.73 247.08
18-Aug-17 9.54 4.0% 230.36 249.45
15-Sep-17 11.95 5.0% 227.95 251.86
29-Sep-17 12.97 5.4% 226.94 252.87
15-Dec-17 17.93 7.5% 221.98 257.83
29-Dec-17 18.65 7.8% 221.26 258.55
19-Jan-18 19.65 8.2% 220.25 259.56
16-Mar-18 23.12 9.6% 216.78 263.03
29-Mar-18 23.83 9.9% 216.08 263.73
15-Jun-18 27.82 11.6% 212.09 267.72
20-Jul-18 29.49 12.3% 210.41 269.40
21-Sep-18 32.31 13.5% 207.60 272.21
21-Dec-18 36.31 15.1% 203.60 276.21
18-Jan-19 36.67 15.3% 203.23 276.58
15-Mar-19 39.19 16.3% 200.71 279.10
20-Dec-19 48.74 20.3% 191.17 288.64

Volatility Skew:

The current downside put implied volatility is trading 50.0% higher than the upside call volatility, which represents a bearish tone when compared to the past year. Over the last year, the downside put has traded on average 44.7% higher than the upside call.

Option Volume:

On the day, SPY traded 1,259,828 contracts, with 66.4% being put options. This represents a relative volume of 0.5x compared to the last 90 days, when the average volume was 2,781,371 and 60.7% 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 0 0.0% 0 0 0.0% 0 0 0.0% 0 0 0.0% 0
Put 0 0.0% 0 0 0.0% 0 0 0.0% 0 0 0.0% 0
Total 0 0

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 24May17 P 240 42,698 1,043 0.43 0.33 0.72 8,648 5.7 +14.3%
SPY 24May17 P 239.5 35,124 773 0.26 0.20 0.45 5,965 6.3 +17.3%
SPY 24May17 C 240 26,879 1,043 0.37 0.18 0.58 17,202 5.9 +13.0%
SPY 24May17 P 239 26,188 643 0.16 0.13 0.29 18,691 7.0 +18.9%
SPY 26May17 P 239 23,795 545 0.38 0.31 0.54 30,437 6.8 +6.2%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 2Jun17 C 243 37,236 22,974 +14,262 +62.1% 777
SPY 9Jun17 P 239 22,292 10,226 +12,066 +118.0% 2,074
SPY 30Jun17 P 225 222,527 210,510 +12,017 +5.7% 2,543
SPY 9Jun17 C 239 21,565 10,055 +11,510 +114.5% 86
SPY 16Jun17 P 239 52,826 43,622 +9,204 +21.1% 16,710

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 16Jun17 C 245 145,184 157,826 -12,642 -8.0% 2,489
SPY 26May17 P 232 53,759 61,956 -8,197 -13.2% 59
SPY 16Jun17 P 230 194,947 202,274 -7,327 -3.6% 5,906
SPY 16Jun17 C 243 161,786 167,665 -5,879 -3.5% 1,531
SPY 30Jun17 P 215 37,259 42,266 -5,007 -11.9% 45

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 1.89%.