SPY Options History — January 2020 In January 2020, SPY traded between $321.49 and $331.82. ATM implied volatility averaged 11.9%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 5.0% (HV 20d: 6.9%). Max pain ranged from $317.00 to $326.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.43.
Notable Days 2020-01-31 : Highest Volume — 5,062,861 contracts2020-01-24 : Largest IV spike — 21.4% change2020-01-31 : Highest IV Rank — 67.1%2020-01-31 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $326.92 $321.49 $331.82 $324.10 $321.49 Max Pain $322.57 $317.00 $326.00 $317.00 $326.00 ATM IV 11.9% 9.7% 16.9% 10.4% 16.9% Expected Move 3.5% 2.7% 5.1% 2.7% 5.1% HV 20d 6.9% 5.2% 10.9% 6.6% 10.9% HV 60d 7.1% 6.5% 8.3% 8.1% 8.3% IV Rank 25.7% 8.1% 67.1% 11.7% 67.1% IV Percentile 38.2% 2.8% 91.3% 13.1% 91.3% Term Structure 0.0% -0.4% 0.7% -0.1% 0.7% VWIV 13.3% 10.6% 18.1% 10.6% 18.1% Skew 25d 5.3% 3.9% 7.1% 4.8% 7.0% Skew 10d 9.8% 7.5% 12.5% 8.5% 12.5% Call IV 25d 9.5% 8.3% 13.1% 8.4% 13.1% Put IV 25d 14.9% 12.5% 20.1% 13.2% 20.1% Bid-Ask Spread % 1.15 0.86 1.61 0.91 1.61 Gamma HHI 0.05 0.03 0.13 0.06 0.06 Net GEX 3.00B -10.35B 12.42B 7.43B -10.35B Net DEX -42.48B -99.95B 34.96B -51.57B 34.96B Net VEX -545.6M -605.0M -496.5M -496.5M -605.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 1.03 1.93 1.37 1.93 Total Volume 2,916,715.429 1,731,567 5,062,861 2,209,546 5,062,861 Total OI 18,168,804.619 16,031,384 21,110,074 16,891,681 18,711,577
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 2020-01-02 $324.10 $317.00 10.4% 2.7% 6.6% 11.7% 10.6% 4.8% -0.1% 7.43B -51.57B -496.5M 1.37 0.91 N/A N/A 930,428 1,279,118 5,824,985 11,066,696 2020-01-03 $322.77 $318.00 11.5% 3.2% 6.6% 19.7% 12.4% 6.0% 0.3% 1.28B -31.98B -530.4M 1.60 0.86 N/A N/A 1,144,272 1,828,500 5,992,602 11,568,333 2020-01-06 $323.17 $320.00 11.8% 3.5% 6.6% 25.2% 14.0% 5.8% 0.2% 1.67B -35.79B -521.8M 1.60 1.22 N/A N/A 860,010 1,380,082 5,942,379 11,528,753 2020-01-07 $323.05 $319.00 11.6% 3.4% 5.9% 23.6% 13.8% 5.7% 0.2% 1.88B -33.85B -520.2M 1.09 1.14 N/A N/A 828,505 903,062 6,050,263 11,686,810 2020-01-08 $325.38 $320.00 11.0% 3.2% 6.0% 18.8% 12.4% 5.1% -0.2% 8.36B -58.26B -507.2M 1.13 1.23 N/A N/A 1,425,662 1,610,732 6,174,708 11,970,822 2020-01-09 $326.35 $320.00 10.6% 3.1% 5.9% 15.1% 11.8% 4.7% -0.2% 7.90B -64.17B -511.6M 1.27 1.22 N/A N/A 1,113,820 1,415,716 6,218,324 12,117,232 2020-01-10 $325.62 $320.00 10.3% 3.1% 6.1% 12.8% 11.6% 4.8% 0.3% 5.63B -52.56B -522.2M 1.35 1.17 N/A N/A 1,324,009 1,790,638 6,537,338 12,531,271 2020-01-13 $327.49 $320.00 10.4% 3.1% 5.5% 14.1% 12.0% 4.9% 0.1% 9.00B -66.67B -510.4M 1.49 1.16 N/A N/A 1,117,222 1,659,877 6,471,203 12,375,389 2020-01-14 $327.52 $321.00 10.4% 3.0% 5.5% 13.7% 11.3% 4.6% 0.5% 6.58B -63.60B -518.1M 1.35 1.17 N/A N/A 1,168,513 1,577,909 6,503,189 12,734,607 2020-01-15 $327.67 $321.00 10.6% 3.0% 5.2% 15.4% 10.8% 4.4% -0.4% 6.93B -63.74B -521.4M 1.03 1.17 N/A N/A 1,581,463 1,630,737 6,806,463 13,173,494 2020-01-16 $330.49 $323.00 10.0% 2.9% 5.8% 10.7% 11.7% 3.9% -0.3% 12.42B -90.84B -533.4M 1.16 1.15 N/A N/A 1,137,917 1,319,917 7,010,346 13,458,035 2020-01-17 $331.71 $324.00 9.7% 2.8% 5.8% 8.1% 11.7% 4.0% -0.3% 9.99B -99.95B -538.4M 1.34 1.14 N/A N/A 1,235,332 1,653,686 7,184,734 13,925,340 2020-01-21 $331.39 $325.00 10.8% 3.1% 5.9% 17.5% 12.7% 4.6% 0.2% 4.29B -55.76B -545.4M 1.56 1.10 N/A N/A 1,087,834 1,698,897 6,069,668 9,961,716 2020-01-22 $331.49 $325.00 11.1% 3.2% 5.9% 19.4% 12.0% 4.8% -0.2% 3.55B -53.60B -552.6M 1.09 1.08 N/A N/A 1,104,916 1,202,115 6,169,166 10,345,430 2020-01-23 $331.82 $325.00 10.9% 3.2% 5.9% 18.3% 13.0% 5.1% -0.2% 4.08B -53.91B -561.3M 1.19 1.08 N/A N/A 1,112,266 1,325,320 6,245,726 10,518,662 2020-01-24 $328.44 $326.00 13.3% 3.9% 7.2% 37.4% 14.2% 6.0% 0.2% -3.36B -20.22B -588.3M 1.70 1.18 N/A N/A 1,811,428 3,084,654 6,537,505 10,830,322 2020-01-27 $323.98 $326.00 15.5% 4.5% 8.8% 55.8% 16.9% 7.1% 0.2% -6.88B 17.47B -591.7M 1.74 1.07 N/A N/A 1,496,937 2,598,977 6,480,210 10,888,156 2020-01-28 $327.26 $326.00 14.3% 4.1% 9.5% 45.5% 16.2% 6.3% -0.0% -1.58B -16.89B -593.0M 1.59 1.05 N/A N/A 949,188 1,508,849 6,696,584 10,952,731 2020-01-29 $327.07 $326.00 14.3% 4.1% 9.2% 45.9% 15.5% 6.2% -0.3% -2.72B -16.08B -595.0M 1.58 1.13 N/A N/A 919,370 1,455,782 6,875,171 11,287,657 2020-01-30 $327.08 $326.00 14.1% 4.1% 9.2% 43.8% 15.7% 6.4% -0.3% -3.11B -15.05B -594.0M 1.76 1.31 N/A N/A 1,055,892 1,858,611 6,820,138 11,301,162 2020-01-31 $321.49 $326.00 16.9% 5.1% 10.9% 67.1% 18.1% 7.0% 0.7% -10.35B 34.96B -605.0M 1.93 1.61 N/A N/A 1,726,402 3,336,459 6,982,443 11,729,134
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