SPDR S&P 500

SPY

246.99

+1.33

+0.5%

Premarket:

247.20

+0.21

+0.1%

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Stock Price
Open: 246.02
Prev. Close: 245.66
Low/Hi: 246.01 - 247.00
52-Week: 208.38 - 247.00
Volumes
Equity: 51,034,260
90-Day Avg: 72,091,338
Option: 2,905,740
90-Day Avg: 2,546,766
Volatility
Today: 6.6
20-Day: 7.4
52-Week: 7.9
30-Day IV: 7.1 +0.1
IV Pct Rank: 3.2% (Subdued)
Fundamental
Dividend: 18-Sep $1.058 (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: 19-Jul-2017

Price Performance:

On the day, SPY has moved +0.5%, while DIA has moved +0.3%.

Over the last two weeks, SPY has moved +1.7%, and DIA has moved +0.8%.

Volume:

SPY's stock volume on the day is 50,215,934, which is 0.7x relative to the 90-day average of 72,091,338

DIA's relative volume on the day is 0.6x, trading 1,785,820 shares against an average of 2,793,111 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 6.6 for the day. The 20-day average is 6.8, and the 52-week average is 7.1.

The 1-Day OHLC Volatility for DIA is 3.4, while the average over the last 20 days is 6.1, and for the last 52 weeks is 6.9.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 7.1, and has moved +1.2% from the previous day. Its IV Ranking is 0.03, which is considered Subdued.

As a comparison, the current IV30 for DIA is 6.7, down -2.7% from the previous day. DIA's IV Rank is Subdued at 0.00.

Over the last 52 weeks, the IV30 Range is 6.9 - 19.6.

Over the same span, DIA's IV30 Range is 6.9 - 19.7.

Based on the IV30, a synthetic put to protect downside risk would cost 0.8%, compared to a 52-week range of 0.8% - 2.2%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
19-Jul-17 0.09 0.0% 246.90 247.07
21-Jul-17 1.02 0.4% 245.96 248.01
26-Jul-17 1.70 0.7% 245.29 248.68
28-Jul-17 2.02 0.8% 244.96 249.01
02-Aug-17 2.48 1.0% 244.51 249.46
04-Aug-17 2.76 1.1% 244.23 249.74
09-Aug-17 3.15 1.3% 243.83 250.14
11-Aug-17 3.38 1.4% 243.60 250.37
16-Aug-17 3.94 1.6% 243.04 250.93
18-Aug-17 4.19 1.7% 242.79 251.18
23-Aug-17 4.58 1.9% 242.41 251.56
25-Aug-17 4.64 1.9% 242.34 251.63
01-Sep-17 5.26 2.1% 241.73 252.24
15-Sep-17 6.76 2.7% 240.22 253.75
29-Sep-17 7.94 3.2% 239.05 254.92
20-Oct-17 9.34 3.8% 237.64 256.33
15-Dec-17 13.67 5.5% 233.31 260.66
29-Dec-17 14.37 5.8% 232.62 261.35
19-Jan-18 15.56 6.3% 231.42 262.55
16-Mar-18 18.97 7.7% 228.01 265.96
29-Mar-18 19.61 7.9% 227.38 266.59
15-Jun-18 24.01 9.7% 222.98 270.99
29-Jun-18 24.62 10.0% 222.37 271.60
20-Jul-18 25.65 10.4% 221.34 272.63
21-Sep-18 28.81 11.7% 218.17 275.80
21-Dec-18 32.89 13.3% 214.10 279.87
18-Jan-19 33.60 13.6% 213.38 280.59
15-Mar-19 36.14 14.6% 210.85 283.12
21-Jun-19 39.96 16.2% 207.03 286.94
20-Dec-19 46.43 18.8% 200.55 293.42

Volatility Skew:

The current downside put implied volatility is trading 39.3% higher than the upside call volatility, which represents a slightly bullish tone when compared to the past year. Over the last year, the downside put has traded on average 43.6% higher than the upside call.

Option Volume:

On the day, SPY traded 2,905,740 contracts, with 57.9% being put options. This represents a relative volume of 1.1x compared to the last 90 days, when the average volume was 2,546,766 and 60.3% 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 182,154 6.6% 61,674,596 612,766 22.0% 76,880,271 397,931 14.3% 9,472,986 1,192,851 42.9% 148,027,853
Put 37,208 1.3% 20,425,345 468,867 16.9% 111,143,055 1,081,995 38.9% 50,443,917 1,588,070 57.1% 182,012,317
Total 2,780,921 330,040,170

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 21Jul17 C 247 160,857 1,274 0.50 0.52 0.20 235,252 5.7 -1.5%
SPY 28Jul17 C 250 89,110 245 0.12 0.13 0.07 98,676 5.6 -3.6%
SPY 28Jul17 C 249 86,484 153 0.26 0.28 0.14 11,099 5.6 -1.5%
SPY 18Aug17 C 249 85,883 346 1.15 1.15 0.74 37,833 6.5 +6.9%
SPY 18Aug17 P 247 60,227 383 1.97 2.32 1.94 15,697 7.0 +8.3%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 2Aug17 C 250 32,675 2,264 +30,411 +1343.2% 1,148
SPY 18Aug17 P 243 97,863 74,541 +23,322 +31.3% 14,646
SPY 18Aug17 P 233 49,548 32,849 +16,699 +50.8% 9,132
SPY 21Jul17 P 242 115,985 102,262 +13,723 +13.4% 15,089
SPY 21Jul17 P 228.5 23,624 10,459 +13,165 +125.9% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 21Jul17 C 247 235,252 244,504 -9,252 -3.8% 160,857
SPY 28Jul17 P 245 18,069 23,203 -5,134 -22.1% 25,692
SPY 15Sep17 P 215 77,865 82,550 -4,685 -5.7% 579
SPY 4Aug17 P 245 5,563 9,584 -4,021 -42.0% 3,693
SPY 21Jul17 P 234.5 15,049 18,913 -3,864 -20.4% 23

Upcoming Dividend:

The next dividend for SPY is on 18-Sep-2017. The amount has not yet been determined, but the indicative dividend yield is 1.88%.