SPY Options History — April 2019 In April 2019, SPY traded between $285.79 and $293.98. ATM implied volatility averaged 10.5%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.8% (HV 20d: 8.6%). Max pain ranged from $281.00 to $289.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.35.
Notable Days 2019-04-12 : Highest Volume — 2,638,567 contracts2019-04-09 : Largest IV spike — 9.6% change2019-04-03 : Highest IV Rank — 16.9%2019-04-03 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $289.75 $285.79 $293.98 $285.79 $293.73 Max Pain $285.07 $281.00 $289.00 $281.00 $289.00 ATM IV 10.5% 9.8% 11.7% 11.2% 10.3% Expected Move 3.1% 2.8% 3.5% 3.4% 3.0% HV 20d 8.6% 4.5% 12.0% 12.0% 4.5% HV 60d 10.1% 8.8% 12.2% 12.2% 8.8% IV Rank 11.7% 8.7% 16.9% 14.9% 10.6% IV Percentile 33.6% 26.2% 44.0% 38.5% 33.7% Term Structure 0.0% -0.5% 0.4% 0.4% 0.2% VWIV 11.9% 10.6% 13.5% 13.2% 11.4% Skew 25d 3.8% 3.4% 4.4% 3.7% 4.1% Skew 10d 7.7% 6.9% 9.1% 7.0% 9.1% Call IV 25d 9.0% 8.4% 9.9% 9.7% 8.7% Put IV 25d 12.8% 11.9% 14.0% 13.4% 12.8% Bid-Ask Spread % 1.29 1.12 1.43 1.40 1.16 Gamma HHI 0.06 0.03 0.13 0.04 0.05 Net GEX 5.73B 2.68B 10.93B 4.44B 4.88B Net DEX -46.72B -59.56B -34.84B -39.34B -49.38B Net VEX -444.7M -475.0M -424.5M -426.1M -475.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.95 1.84 1.45 1.84 Total Volume 2,019,473.857 1,336,665 2,638,567 2,505,446 2,286,474 Total OI 17,218,955.143 15,867,096 19,218,728 15,867,096 17,070,392
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-04-01 $285.79 $281.00 11.2% 3.4% 12.0% 14.9% 13.2% 3.7% 0.4% 4.44B -39.34B -426.1M 1.45 1.40 N/A N/A 1,021,131 1,484,315 5,474,282 10,392,814 2019-04-02 $286.15 $281.00 10.9% 3.3% 12.0% 13.7% 13.4% 3.4% 0.3% 3.88B -39.15B -424.5M 1.76 1.42 N/A N/A 526,079 926,278 5,541,492 10,590,881 2019-04-03 $286.46 $281.00 11.7% 3.5% 11.5% 16.9% 12.9% 3.9% -0.4% 3.89B -38.90B -436.5M 1.32 1.43 N/A N/A 1,111,477 1,470,977 5,721,982 10,902,775 2019-04-04 $287.01 $282.00 11.1% 3.4% 10.8% 14.6% 13.5% 3.8% -0.2% 3.89B -40.59B -438.3M 1.32 1.37 N/A N/A 865,110 1,137,970 5,799,831 11,099,722 2019-04-05 $288.42 $283.00 10.4% 3.2% 10.7% 11.1% 12.7% 3.6% 0.2% 7.00B -51.22B -436.7M 1.51 1.37 N/A N/A 926,313 1,400,988 6,011,536 11,553,692 2019-04-08 $288.70 $283.00 10.6% 3.1% 9.5% 12.2% 12.7% 3.8% 0.1% 5.80B -47.47B -427.5M 1.40 1.37 N/A N/A 678,850 952,767 5,825,808 11,081,951 2019-04-09 $287.24 $283.00 11.6% 3.4% 9.7% 16.6% 13.4% 4.4% 0.2% 2.68B -34.84B -443.5M 1.32 1.33 N/A N/A 859,764 1,135,277 5,835,654 11,180,796 2019-04-10 $288.14 $284.00 11.0% 3.2% 9.5% 13.9% 12.2% 4.1% -0.2% 5.13B -42.91B -438.4M 1.31 1.38 N/A N/A 723,576 944,625 6,018,283 11,502,823 2019-04-11 $288.08 $284.00 10.7% 3.2% 9.5% 12.6% 11.5% 4.1% -0.2% 4.93B -41.61B -440.0M 1.22 1.27 N/A N/A 862,157 1,055,789 6,046,924 11,557,111 2019-04-12 $289.99 $285.00 9.8% 2.9% 9.6% 8.7% 11.1% 3.5% 0.3% 10.93B -59.56B -436.1M 1.13 1.32 N/A N/A 1,237,476 1,401,091 6,284,456 11,820,713 2019-04-15 $289.82 $285.00 10.0% 2.9% 9.6% 9.5% 10.6% 3.6% 0.2% 5.78B -53.38B -428.4M 1.07 1.28 N/A N/A 891,273 956,129 6,206,725 11,774,786 2019-04-16 $289.93 $286.00 10.1% 2.9% 9.5% 10.1% 11.0% 3.7% 0.2% 6.62B -53.78B -434.7M 0.95 1.27 N/A N/A 919,203 871,466 6,404,586 11,873,925 2019-04-17 $289.70 $286.00 10.3% 2.9% 9.5% 10.7% 11.3% 3.6% -0.2% 4.76B -48.64B -450.9M 1.17 1.27 N/A N/A 1,054,880 1,232,415 6,786,322 12,162,749 2019-04-18 $289.99 $287.00 10.0% 2.9% 9.0% 9.5% 11.2% 3.7% -0.2% 6.98B -51.04B -455.1M 1.48 1.21 N/A N/A 928,796 1,376,740 6,834,816 12,383,912 2019-04-22 $290.26 $287.00 10.2% 2.9% 5.5% 10.3% 11.3% 3.7% 0.3% 3.67B -36.32B -449.0M 1.55 1.22 N/A N/A 523,331 813,334 6,071,527 9,851,122 2019-04-23 $292.64 $287.00 9.8% 2.8% 5.8% 8.7% 11.0% 3.6% 0.4% 6.96B -51.79B -443.5M 1.31 1.22 N/A N/A 983,761 1,287,729 6,109,299 9,944,829 2019-04-24 $292.82 $288.00 10.3% 2.9% 5.8% 10.6% 11.8% 3.8% -0.3% 6.56B -51.50B -454.8M 1.20 1.21 N/A N/A 815,813 975,769 6,343,271 10,430,303 2019-04-25 $292.74 $288.00 10.3% 2.9% 5.8% 10.7% 12.0% 3.9% -0.5% 6.27B -47.24B -466.7M 1.30 1.12 N/A N/A 792,316 1,032,174 6,410,142 10,520,699 2019-04-26 $293.07 $288.00 10.0% 2.9% 5.8% 9.6% 11.1% 3.9% -0.3% 9.33B -51.29B -464.6M 1.27 1.15 N/A N/A 931,814 1,180,623 6,528,655 10,796,251 2019-04-29 $293.98 $288.50 10.1% 2.9% 5.7% 10.1% 11.6% 3.9% 0.2% 5.88B -51.06B -469.6M 1.45 1.29 N/A N/A 746,722 1,086,179 6,371,108 10,479,113 2019-04-30 $293.73 $289.00 10.3% 3.0% 4.5% 10.6% 11.4% 4.1% 0.2% 4.88B -49.38B -475.0M 1.84 1.16 N/A N/A 803,821 1,482,653 6,434,030 10,636,362
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