SPDR S&P 500

SPY

249.44

+0.05

0.0%

After Hours:

249.54

+0.10

0.0%

Please Login or Register

Login|Register FREE

Stock Price
Open: 249.05
Prev. Close: 249.39
Low/Hi: 249.02 - 249.63
52-Week: 208.38 - 250.32
Volumes
Equity: 44,126,891
90-Day Avg: 66,079,693
Option: 1,696,751
90-Day Avg: 2,441,757
Volatility
Todays Stock Vol: 3.1
20-Day (HV): 6.3
52-Week (HV): 7.7
30-Day IV: 6.9 -0.1
IV Pct Rank: 4% Subdued
Fundamental
Dividend: 15-Dec $1.27 (Est.)
Div. Yield: 1.9%
Net Expense Ratio: 0.0945%
Stock Type: ETF
Family: SPDR State Street Global Advisors
Category: Large Blend
Stock Type: ETF | Family: SPDR State Street Global Advisors | Category: Large Blend

SPY Symbol Review Report

Report Date: 22-Sep-2017

Price Performance:

On the day, SPY has moved 0.0%, while DIA has moved -0.1%.

Over the last two weeks, SPY has moved +1.2%, and DIA has moved +2.3%.

Volume:

SPY's stock volume on the day is 44,126,891, which is 0.7x relative to the 90-day average of 66,079,693

DIA's relative volume on the day is 1.0x, trading 2,446,091 shares against an average of 2,547,160 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 3.1 for the day. The 20-day average is 5.6, and the 52-week average is 6.9.

The 1-Day OHLC Volatility for DIA is 3.1, while the average over the last 20 days is 5.7, and for the last 52 weeks is 6.6.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 6.9, and has moved -1.7% from the previous day. Its IV Ranking is 0.04, which is considered Subdued.

As a comparison, the current IV30 for DIA is 6.9, down slightly -0.2% from the previous day. DIA's IV Rank is Subdued at 0.09.

Over the last 52 weeks, the IV30 Range is 6.4 - 19.6.

Over the same span, DIA's IV30 Range is 6.4 - 19.7.

Based on the IV30, a synthetic put to protect downside risk would cost 0.7%, compared to a 52-week range of 0.7% - 2.2%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
22-Sep-17 0.12 0.0% 249.48 249.73
27-Sep-17 1.24 0.5% 248.36 250.85
29-Sep-17 1.66 0.7% 247.95 251.26
04-Oct-17 2.17 0.9% 247.43 251.78
06-Oct-17 2.49 1.0% 247.12 252.09
11-Oct-17 2.92 1.2% 246.68 252.53
13-Oct-17 3.19 1.3% 246.42 252.79
18-Oct-17 3.57 1.4% 246.04 253.17
20-Oct-17 3.87 1.6% 245.73 253.48
25-Oct-17 4.24 1.7% 245.36 253.84
27-Oct-17 4.47 1.8% 245.13 254.08
03-Nov-17 5.18 2.1% 244.42 254.79
17-Nov-17 6.64 2.7% 242.97 256.24
15-Dec-17 9.56 3.8% 240.04 259.17
29-Dec-17 10.56 4.2% 239.04 260.17
19-Jan-18 11.91 4.8% 237.70 261.51
16-Feb-18 14.19 5.7% 235.42 263.79
16-Mar-18 16.25 6.5% 233.35 265.86
29-Mar-18 17.14 6.9% 232.47 266.74
15-Jun-18 22.07 8.8% 227.53 271.68
29-Jun-18 22.87 9.2% 226.74 272.47
20-Jul-18 24.00 9.6% 225.61 273.60
21-Sep-18 27.32 10.9% 222.29 276.92
21-Dec-18 31.49 12.6% 218.12 281.09
18-Jan-19 32.24 12.9% 217.37 281.84
15-Mar-19 34.82 13.9% 214.79 284.42
21-Jun-19 38.79 15.5% 210.81 288.40
20-Dec-19 45.12 18.1% 204.49 294.72

Volatility Skew:

The current downside put implied volatility is trading 51.8% 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 44.3% higher than the upside call.

Option Volume:

On the day, SPY traded 1,696,751 contracts, with 65.1% being put options. This represents a relative volume of 0.7x compared to the last 90 days, when the average volume was 2,441,757 and 61.8% 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 92,803 5.4% 19,085,439 305,867 17.9% 48,205,625 198,991 11.7% 3,708,719 597,661 35.1% 70,999,783
Put 30,296 1.8% 8,835,144 408,037 23.9% 74,615,185 669,152 39.2% 39,423,557 1,107,485 64.9% 122,873,886
Total 1,705,146 193,873,669

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 29Sep17 C 250 81,347 1,025 0.64 0.48 0.67 116,797 5.6 -9.7%
SPY 22Sep17 P 249 77,422 1,777 0.01 0.01 0.29 51,872 20.3 +259.7%
SPY 29Sep17 P 248 72,198 701 0.39 0.37 0.64 32,954 7.2 -1.0%
SPY 4Oct17 C 250.5 41,596 54 0.65 0.53 0.66 1,300 5.6 -5.5%
SPY 20Oct17 P 249 39,233 549 1.63 1.62 1.94 45,350 7.1 -0.2%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 15Dec17 C 257 51,077 14,610 +36,467 +249.6% 488
SPY 16Mar18 P 233 27,886 3,286 +24,600 +748.6% 25,022
SPY 17Nov17 P 250 69,778 45,807 +23,971 +52.3% 3,696
SPY 17Nov17 C 250 77,395 53,711 +23,684 +44.1% 3,536
SPY 29Sep17 C 250 116,797 95,425 +21,372 +22.4% 81,347

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 29Sep17 C 252 142,790 158,535 -15,745 -9.9% 36,677
SPY 20Oct17 C 255 149,068 160,393 -11,325 -7.1% 11,942
SPY 20Oct17 P 235 168,828 174,439 -5,611 -3.2% 7,949
SPY 17Nov17 P 220 46,376 51,829 -5,453 -10.5% 286
SPY 15Jun18 P 235 7,762 11,577 -3,815 -33.0% 165

Upcoming Dividend:

The next dividend for SPY is on 15-Dec-2017. The amount has not yet been determined, but the indicative dividend yield is 1.92%.