SPDR S&P 500

SPY

237.17

+2.58

+1.1%

Stock Price
Open: 237.18
Prev. Close: 234.59
Low/Hi: 234.56 - 237.41
52-Week: 198.65 - 240.32
Volumes
Equity: 116,570,150
90-Day Avg: 79,543,719
Option: 3,002,695
90-Day Avg: 2,693,968
Volatility
Today: 18.2
20-Day: 8.4
52-Week: 9.0
30-Day IV: 8.1 -3.4
IV Rank: 0.35 (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

Report Date: 24-Apr-2017

Price Performance:

On the day, SPY has moved +1.1%, while DIA has moved +1.0%.

Over the last two weeks, SPY has moved +0.8%, and DIA has moved +0.5%.

Volume:

SPY's stock volume on the day is 116,570,150, which is 1.5x relative to the 90-day average of 79,543,719

DIA's relative volume on the day is 0.9x, trading 3,195,216 shares against an average of 3,700,631 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 18.2 for the day. The 20-day average is 7.8, and the 52-week average is 8.0.

The 1-Day OHLC Volatility for DIA is 16.0, while the average over the last 20 days is 8.0, and for the last 52 weeks is 8.0.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 8.1, and has moved -29.4% from the previous day. Its IV Ranking is 0.35, which is considered Subdued.

As a comparison, the current IV30 for DIA is 7.8, down -29.7% from the previous day. DIA's IV Rank is Subdued at 0.29.

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 0.9%, compared to a 52-week range of 0.9% - 2.3%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
26-Apr-17 1.10 0.5% 236.08 238.27
28-Apr-17 1.62 0.7% 235.56 238.79
03-May-17 2.22 0.9% 234.95 239.40
05-May-17 2.54 1.1% 234.63 239.72
10-May-17 3.37 1.4% 233.80 240.55
12-May-17 3.53 1.5% 233.65 240.70
17-May-17 4.01 1.7% 233.17 241.18
19-May-17 4.15 1.7% 233.03 241.32
24-May-17 4.62 1.9% 232.55 241.80
26-May-17 4.77 2.0% 232.40 241.95
02-Jun-17 5.34 2.3% 231.83 242.52
16-Jun-17 7.10 3.0% 230.07 244.28
30-Jun-17 7.96 3.4% 229.21 245.14
21-Jul-17 9.37 3.9% 227.81 246.54
18-Aug-17 11.39 4.8% 225.79 248.56
15-Sep-17 13.39 5.6% 223.79 250.56
29-Sep-17 14.31 6.0% 222.86 251.49
15-Dec-17 18.81 7.9% 218.36 255.99
29-Dec-17 19.41 8.2% 217.77 256.58
19-Jan-18 20.27 8.5% 216.91 257.44
16-Mar-18 23.48 9.9% 213.70 260.66
29-Mar-18 24.03 10.1% 213.15 261.21
15-Jun-18 27.77 11.7% 209.40 264.95
20-Jul-18 29.28 12.3% 207.90 266.45
21-Sep-18 31.98 13.5% 205.19 269.16
21-Dec-18 35.64 15.0% 201.54 272.81
18-Jan-19 36.36 15.3% 200.82 273.53
15-Mar-19 38.59 16.3% 198.58 275.77
20-Dec-19 47.71 20.1% 189.46 284.89

Volatility Skew:

The current downside put implied volatility is trading 35.7% 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 44.8% higher than the upside call.

Option Volume:

On the day, SPY traded 3,002,695 contracts, with 64.7% being put options. This represents a relative volume of 1.1x compared to the last 90 days, when the average volume was 2,693,968 and 59.8% 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 25,954 2.2% 13,131,397 214,144 17.9% 45,585,419 130,603 10.9% 4,783,866 370,701 31.0% 63,500,682
Put 6,704 0.6% 4,884,966 206,834 17.3% 41,470,443 609,677 51.1% 24,656,426 823,215 69.0% 71,011,835
Total 1,193,916 134,512,517

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 19May17 C 240 68,563 1,041 0.83 0.75 1.09 327,821 7.2 -19.8%
SPY 19May17 P 230 67,537 1,048 0.59 0.57 0.85 246,426 11.3 -18.3%
SPY 28Apr17 P 237 60,000 1,673 0.75 0.70 1.13 5,258 6.9 -41.7%
SPY 19May17 P 235 41,363 1,390 1.33 1.30 1.79 151,925 8.9 -20.7%
SPY 28Apr17 C 238 36,169 1,036 0.43 0.36 0.68 40,561 6.3 -43.5%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 28Apr17 C 241 88,821 42,442 +46,379 +109.3% 2,870
SPY 19May17 P 240 214,312 170,753 +43,559 +25.5% 4,940
SPY 19May17 C 240 327,821 285,487 +42,334 +14.8% 68,563
SPY 28Apr17 C 239 65,063 25,517 +39,546 +155.0% 16,254
SPY 28Apr17 P 230 132,418 98,456 +33,962 +34.5% 19,581

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 21Apr17 P 210 0 274,000 -274,000 -100.0% 0
SPY 21Apr17 C 240 0 225,911 -225,911 -100.0% 0
SPY 21Apr17 P 230 0 193,949 -193,949 -100.0% 0
SPY 21Apr17 C 245 0 172,496 -172,496 -100.0% 0
SPY 21Apr17 P 220 0 168,795 -168,795 -100.0% 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%.