SPDR S&P 500

SPY

236.74

+0.30

+0.1%

After Hours:

236.74

0.00

0.0%

Stock Price
Open: 235.46
Prev. Close: 236.44
Low/Hi: 235.41 - 236.79
52-Week: 189.32 - 236.90
Volumes
Equity: 77,141,484
90-Day Avg: 82,740,785
Option: 2,560,129
90-Day Avg: 2,638,390
Volatility
Today: 8.3
20-Day: 6.4
52-Week: 9.7
30-Day IV: 8.6 -0.3
IV Rank: 0.40 (Subdued)
Fundamental
Dividend: 17-Mar $0.99 (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-Feb-2017

Price Performance:

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

Over the last two weeks, SPY has moved +2.3%, and DIA has moved +2.6%.

Volume:

SPY's stock volume on the day is 77,141,484, which is 0.9x relative to the 90-day average of 82,740,785

DIA's relative volume on the day is 1.0x, trading 3,701,900 shares against an average of 3,826,121 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for SPY is 8.3 for the day. The 20-day average is 6.1, and the 52-week average is 8.7.

The 1-Day OHLC Volatility for DIA is 6.3, while the average over the last 20 days is 6.2, and for the last 52 weeks is 8.5.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 8.6, and has moved -3.1% from the previous day. Its IV Ranking is 0.40, which is considered Subdued.

As a comparison, the current IV30 for DIA is 9.2, down slightly -0.2% from the previous day. DIA's IV Rank is Moderate at 0.50.

Over the last 52 weeks, the IV30 Range is 8.5 - 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 1.0%, 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-Feb-17 0.12 0.1% 236.54 236.79
01-Mar-17 1.59 0.7% 235.08 238.25
03-Mar-17 2.05 0.9% 234.61 238.72
08-Mar-17 2.60 1.1% 234.06 239.27
10-Mar-17 2.96 1.3% 233.70 239.63
15-Mar-17 3.71 1.6% 232.95 240.38
17-Mar-17 4.44 1.9% 232.23 241.10
22-Mar-17 4.65 2.0% 232.02 241.31
24-Mar-17 4.84 2.0% 231.82 241.51
29-Mar-17 5.27 2.2% 231.39 241.94
31-Mar-17 5.47 2.3% 231.20 242.13
07-Apr-17 6.12 2.6% 230.55 242.78
21-Apr-17 7.36 3.1% 229.30 244.03
19-May-17 10.81 4.6% 225.86 247.47
16-Jun-17 13.26 5.6% 223.41 249.92
30-Jun-17 14.09 6.0% 222.58 250.75
15-Sep-17 19.03 8.0% 217.64 255.69
29-Sep-17 19.88 8.4% 216.78 256.55
15-Dec-17 23.97 10.1% 212.70 260.63
29-Dec-17 24.48 10.3% 212.19 261.14
19-Jan-18 25.12 10.6% 211.55 261.78
16-Mar-18 28.18 11.9% 208.49 264.84
15-Jun-18 32.27 13.6% 204.40 268.93
21-Sep-18 36.46 15.4% 200.21 273.12
21-Dec-18 39.94 16.9% 196.72 276.61
18-Jan-19 40.73 17.2% 195.94 277.39
20-Dec-19 52.35 22.1% 184.32 289.01

Volatility Skew:

The current downside put implied volatility is trading 33.3% 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 45.5% higher than the upside call.

Option Volume:

On the day, SPY traded 2,560,129 contracts, with 60.1% being put options. This represents a relative volume of 1.0x compared to the last 90 days, when the average volume was 2,638,390 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 240,959 14.5% 51,396,603 204,642 12.3% 56,008,677 179,611 10.8% 7,145,730 625,212 37.6% 114,551,010
Put 22,712 1.4% 4,782,390 284,945 17.1% 89,435,025 731,772 44.0% 34,791,368 1,039,429 62.4% 129,008,783
Total 1,664,641 243,559,793

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
SPY 24Feb17 P 236 93,165 2,969 0.01 0.01 0.92 28,920 9.5 +41.4%
SPY 24Feb17 C 236 78,606 2,691 0.64 0.10 0.84 19,802 10.3 +54.2%
SPY 24Feb17 P 235.5 49,565 1,558 0.01 0.01 0.42 27,151 15.6 +111.0%
SPY 24Feb17 C 236.5 45,221 1,594 0.15 0.01 0.29 22,052 5.5 -9.7%
SPY 24Feb17 P 235 37,716 1,017 0.01 0.01 0.24 40,674 21.3 +162.1%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 22Mar17 P 229 47,356 18,974 +28,382 +149.6% 0
SPY 17Mar17 P 225 235,593 211,925 +23,668 +11.2% 9,552
SPY 1Mar17 P 225 20,094 2,805 +17,289 +616.4% 0
SPY 24Feb17 P 235.5 27,151 10,389 +16,762 +161.3% 49,565
SPY 3Mar17 P 235.5 19,606 3,235 +16,371 +506.1% 29,381

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
SPY 21Apr17 P 215 58,512 65,861 -7,349 -11.2% 5,046
SPY 17Mar17 P 231 93,348 99,640 -6,292 -6.3% 16,658
SPY 17Mar17 P 185 36,807 41,787 -4,980 -11.9% 7
SPY 17Mar17 C 239 60,490 63,541 -3,051 -4.8% 10,489
SPY 15Mar17 C 233 12,595 15,545 -2,950 -19.0% 0

Upcoming Dividend:

The next dividend for SPY is on 17-Mar-2017. The amount has not yet been determined, but the indicative dividend yield is 1.92%.