SPY Options History — December 2019

In December 2019, SPY traded between $309.15 and $322.70. ATM implied volatility averaged 10.8%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.0% (HV 20d: 7.8%). Max pain ranged from $300.00 to $317.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2019-12-12: Highest Volume — 3,669,919 contracts
  • 2019-12-03: Largest IV spike — 15.7% change
  • 2019-12-30: Highest IV Rank — 20.8%
  • 2019-12-03: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$317.51$309.15$322.70$312.12$321.67
Max Pain$306.62$300.00$317.00$300.00$317.00
ATM IV10.8%8.7%14.0%12.1%11.4%
Expected Move3.2%2.6%4.5%3.8%3.2%
HV 20d7.8%5.5%8.5%5.5%7.6%
HV 60d9.9%8.0%10.5%10.1%8.0%
IV Rank8.2%0.0%20.8%11.3%18.2%
IV Percentile21.7%0.0%59.5%40.1%32.9%
Term Structure0.1%-0.3%0.5%0.1%0.5%
VWIV12.5%9.9%16.1%14.3%13.0%
Skew 25d5.0%3.0%6.9%6.2%5.5%
Skew 10d8.9%5.6%11.5%10.0%10.1%
Call IV 25d9.0%7.9%11.0%9.6%9.1%
Put IV 25d14.0%11.1%17.9%15.7%14.6%
Bid-Ask Spread %1.200.951.431.140.95
Gamma HHI0.060.030.160.050.05
Net GEX5.26B-3.14B12.78B-1.89B4.40B
Net DEX-61.94B-113.60B-18.04B-44.06B-32.13B
Net VEX-482.9M-529.4M-426.1M-485.4M-523.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.691.931.331.39
Total Volume2,383,079.6671,027,7123,669,9192,989,8642,039,807
Total OI21,456,683.57117,442,64224,223,18621,331,25718,780,591

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$312.12$300.0012.1%3.8%5.5%11.3%14.3%6.2%0.1%-1.89B-44.06B-485.4M1.331.14N/AN/A1,285,8241,704,0407,294,97814,036,279
2019-12-03$309.15$301.0014.0%4.5%6.5%20.4%16.1%6.9%-0.1%-3.14B-18.04B-510.2M1.931.26N/AN/A1,022,1311,976,5697,477,65014,075,233
2019-12-04$311.77$301.0012.5%4.0%7.1%13.0%14.8%6.2%-0.2%1.50B-44.99B-495.9M1.810.97N/AN/A826,3161,496,0837,692,14314,417,117
2019-12-05$312.11$300.0012.3%3.7%7.1%12.0%14.7%5.9%-0.2%149.0M-48.10B-489.7M1.281.14N/AN/A677,976867,5067,674,99714,519,880
2019-12-06$315.11$300.0010.8%3.4%7.7%5.0%13.1%5.1%0.3%9.56B-80.50B-468.8M1.511.29N/AN/A1,259,0501,896,9777,815,09414,774,320
2019-12-09$314.11$301.0012.1%3.7%7.8%11.1%14.0%6.2%0.4%432.1M-60.38B-478.6M1.581.40N/AN/A737,1071,166,1027,661,41314,443,599
2019-12-10$313.43$302.0012.7%3.8%7.8%13.9%14.8%6.3%0.4%549.3M-51.53B-485.3M1.541.36N/AN/A658,9311,014,8827,708,55114,585,139
2019-12-11$314.24$302.0012.2%3.6%7.9%11.8%14.3%6.1%-0.1%2.24B-60.98B-475.1M1.871.31N/AN/A701,3161,310,0247,849,05914,884,086
2019-12-12$317.29$302.0010.6%3.2%8.5%3.9%12.4%5.0%0.1%6.10B-92.09B-449.8M1.491.26N/AN/A1,476,7692,193,1507,816,11415,177,679
2019-12-13$317.30$304.009.2%2.8%8.5%0.0%11.0%4.2%0.3%9.00B-96.67B-449.5M1.661.32N/AN/A1,332,4852,211,7738,331,12115,892,065
2019-12-16$319.51$304.008.7%2.6%8.5%0.0%9.9%3.1%0.3%12.78B-113.60B-426.1M1.201.38N/AN/A1,504,9061,802,0948,084,82715,428,778
2019-12-17$319.71$304.008.8%2.6%8.5%0.4%10.1%3.0%0.4%8.40B-107.74B-445.0M1.081.31N/AN/A861,559929,0698,109,81815,356,186
2019-12-18$319.93$305.009.2%2.6%8.5%2.4%10.8%3.4%-0.3%10.24B-109.75B-448.9M1.201.35N/AN/A840,4401,007,0718,385,77515,647,998
2019-12-19$320.68$306.009.0%2.6%8.2%1.3%11.0%3.5%-0.2%12.07B-111.55B-457.7M0.691.43N/AN/A2,008,9811,393,1358,415,31915,602,356
2019-12-20$320.98$314.009.3%2.7%8.2%2.9%10.5%4.0%-0.2%8.50B-41.54B-485.6M1.811.19N/AN/A925,6681,679,1616,191,00616,213,524
2019-12-23$321.21$315.009.6%2.8%8.2%4.1%11.0%4.3%0.3%4.85B-35.65B-498.2M1.641.08N/AN/A713,0791,171,7825,597,20711,845,435
2019-12-24$321.10$315.009.8%2.8%8.0%4.8%10.6%4.4%0.3%5.02B-33.16B-512.0M1.351.05N/AN/A437,609590,1035,804,14312,076,272
2019-12-26$322.49$315.009.7%2.7%8.0%5.3%10.6%4.4%0.1%9.21B-47.28B-505.1M1.871.05N/AN/A469,986881,1635,847,94612,211,480
2019-12-27$322.70$315.0010.5%3.1%7.9%9.8%11.9%4.9%0.4%8.15B-44.96B-521.8M0.921.01N/AN/A1,244,4161,140,7915,948,87512,468,904
2019-12-30$321.02$316.0012.2%3.5%8.1%20.8%13.1%5.7%0.3%2.35B-26.04B-529.4M1.400.96N/AN/A1,080,6121,508,2306,137,76712,309,631
2019-12-31$321.67$317.0011.4%3.2%7.6%18.2%13.0%5.5%0.5%4.40B-32.13B-523.6M1.390.95N/AN/A853,6501,186,1576,264,62112,515,970