SPY Options History — November 2019 In November 2019, SPY traded between $305.82 and $315.27. ATM implied volatility averaged 10.6%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.0% (HV 20d: 6.6%). Max pain ranged from $293.00 to $300.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.65.
Notable Days 2019-11-20 : Highest Volume — 3,225,816 contracts2019-11-11 : Largest IV spike — 10.4% change2019-11-21 : Highest IV Rank — 10.6%2019-11-11 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $310.14 $305.82 $315.27 $305.82 $314.27 Max Pain $297.10 $293.00 $300.00 $300.00 $300.00 ATM IV 10.6% 9.8% 12.0% 10.0% 10.5% Expected Move 3.3% 2.7% 3.5% 2.7% 3.3% HV 20d 6.6% 5.1% 10.6% 10.6% 5.6% HV 60d 11.9% 10.0% 14.6% 14.6% 10.0% IV Rank 4.1% 0.0% 10.6% 1.0% 3.5% IV Percentile 12.9% 0.0% 36.9% 2.4% 11.5% Term Structure 0.1% -0.4% 0.9% 0.3% -0.0% VWIV 12.9% 10.8% 14.3% 10.8% 12.5% Skew 25d 4.4% 3.5% 5.5% 3.6% 5.0% Skew 10d 7.6% 6.5% 8.8% 6.5% 8.1% Call IV 25d 9.0% 8.0% 10.0% 8.8% 8.8% Put IV 25d 13.4% 12.2% 15.6% 12.4% 13.8% Bid-Ask Spread % 1.15 0.95 1.29 0.95 1.28 Gamma HHI 0.05 0.03 0.09 0.07 0.04 Net GEX 4.28B -1.49B 9.12B 8.02B 1.98B Net DEX -64.78B -86.76B -41.02B -64.88B -68.10B Net VEX -477.2M -501.2M -454.6M -492.8M -483.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.65 1.24 2.24 1.85 1.62 Total Volume 2,185,310.65 1,288,865 3,225,816 3,136,591 1,288,865 Total OI 21,823,399.6 20,016,845 23,706,797 22,048,200 22,240,195
Daily Data (20 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 2019-11-01 $305.82 $300.00 10.0% 2.7% 10.6% 1.0% 10.8% 3.6% 0.3% 8.02B -64.88B -492.8M 1.85 0.95 N/A N/A 1,102,177 2,034,414 7,629,952 14,418,248 2019-11-04 $307.15 $293.00 10.4% 3.5% 10.5% 2.8% 13.0% 3.8% 0.3% 8.02B -67.12B -483.0M 1.56 1.20 N/A N/A 1,000,612 1,557,612 7,425,050 14,035,249 2019-11-05 $307.33 $294.00 10.6% 3.5% 8.4% 4.1% 14.3% 3.8% 0.1% 5.22B -62.13B -498.9M 1.38 1.29 N/A N/A 730,900 1,005,862 7,451,620 14,303,073 2019-11-06 $306.93 $294.00 10.8% 3.5% 8.4% 4.7% 13.9% 4.1% -0.2% 4.43B -58.23B -494.2M 1.86 1.23 N/A N/A 673,159 1,251,652 7,589,189 14,621,671 2019-11-07 $307.80 $295.00 10.7% 3.5% 8.3% 4.4% 13.4% 3.9% -0.2% 5.00B -64.12B -486.0M 1.50 1.17 N/A N/A 1,051,151 1,573,905 7,523,272 14,437,762 2019-11-08 $308.68 $295.00 9.9% 3.4% 6.9% 0.6% 12.2% 3.5% 0.5% 5.43B -69.31B -480.6M 1.89 1.20 N/A N/A 647,979 1,222,528 7,665,104 14,894,454 2019-11-11 $308.21 $295.00 11.0% 3.5% 6.6% 5.6% 14.2% 4.0% 0.3% 1.21B -60.72B -472.3M 1.97 1.20 N/A N/A 592,900 1,165,440 7,556,920 14,557,181 2019-11-12 $308.70 $295.00 10.8% 3.5% 5.8% 5.0% 13.2% 4.0% 0.4% 2.94B -63.54B -475.9M 1.67 1.19 N/A N/A 721,704 1,204,031 7,552,679 14,718,560 2019-11-13 $309.20 $295.00 11.2% 3.5% 5.6% 6.8% 14.1% 4.4% -0.1% 3.19B -66.75B -472.2M 1.83 1.14 N/A N/A 816,751 1,496,046 7,680,747 15,052,714 2019-11-14 $309.42 $296.00 11.2% 3.5% 5.6% 6.5% 13.3% 4.5% -0.1% 3.76B -66.75B -474.5M 1.72 1.17 N/A N/A 736,021 1,268,253 7,666,445 15,263,381 2019-11-15 $311.30 $296.00 10.1% 3.2% 5.5% 1.4% 12.2% 4.0% 0.2% 9.12B -85.96B -461.6M 1.40 1.17 N/A N/A 1,128,103 1,578,033 7,888,376 15,818,421 2019-11-18 $311.82 $297.00 10.4% 3.3% 5.4% 2.9% 13.0% 4.2% 0.9% 4.77B -65.50B -457.8M 1.37 1.14 N/A N/A 831,231 1,141,681 6,728,815 13,288,030 2019-11-19 $312.20 $297.00 10.9% 3.3% 5.1% 5.2% 13.1% 4.5% 0.9% 4.39B -65.17B -465.1M 1.40 1.15 N/A N/A 858,151 1,200,520 6,823,772 13,311,670 2019-11-20 $310.68 $300.00 11.5% 3.3% 5.7% 8.2% 12.4% 5.4% -0.4% -726.3M -46.19B -485.9M 1.54 1.14 N/A N/A 1,272,040 1,953,776 6,960,216 13,837,246 2019-11-21 $310.26 $300.00 12.0% 3.5% 5.8% 10.6% 14.2% 5.5% -0.3% -707.3M -41.02B -501.2M 2.24 1.17 N/A N/A 623,221 1,397,260 7,015,223 14,093,861 2019-11-22 $310.86 $300.00 11.0% 3.2% 5.6% 6.0% 13.5% 5.2% -0.1% -1.49B -47.98B -491.1M 1.52 1.10 N/A N/A 779,208 1,181,346 7,179,343 14,682,003 2019-11-25 $313.04 $300.00 10.1% 3.0% 5.8% 1.7% 11.6% 4.6% -0.2% 6.34B -70.41B -456.9M 1.63 1.05 N/A N/A 828,446 1,351,929 7,144,128 14,137,094 2019-11-26 $313.93 $300.00 9.8% 2.9% 5.7% 0.0% 11.4% 4.8% 0.0% 6.20B -75.07B -454.6M 1.92 1.05 N/A N/A 675,561 1,297,507 7,208,887 14,150,778 2019-11-27 $315.27 $300.00 9.8% 3.0% 5.8% 0.1% 11.6% 4.3% -0.1% 8.57B -86.76B -454.9M 1.24 1.07 N/A N/A 1,100,189 1,366,049 7,337,524 14,579,139 2019-11-29 $314.27 $300.00 10.5% 3.3% 5.6% 3.5% 12.5% 5.0% -0.0% 1.98B -68.10B -483.5M 1.62 1.28 N/A N/A 491,438 797,427 7,479,470 14,760,725
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