SPY Options History — February 2020 In February 2020, SPY traded between $289.48 and $338.45. ATM implied volatility averaged 17.1%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.3% (HV 20d: 14.8%). Max pain ranged from $316.00 to $325.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.62.
Notable Days 2020-02-28 : Highest Volume — 7,939,293 contracts2020-02-28 : Largest IV spike — 38.7% change2020-02-25 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $327.31 $289.48 $338.45 $324.33 $289.48 Max Pain $320.21 $316.00 $325.00 $325.00 $320.00 ATM IV 17.1% 11.3% 43.7% 16.1% 43.7% Expected Move 5.2% 3.4% 14.2% 4.6% 14.2% HV 20d 14.8% 11.3% 25.6% 11.3% 25.6% HV 60d 10.4% 8.5% 17.0% 8.5% 17.0% IV Rank 51.5% 21.0% 100.0% 60.3% 100.0% IV Percentile 70.9% 36.5% 100.0% 87.7% 100.0% Term Structure -0.2% -1.1% 0.7% 0.1% -0.5% VWIV 19.3% 13.7% 47.5% 17.1% 47.5% Skew 25d 7.3% 4.8% 19.5% 6.8% 19.5% Skew 10d 13.2% 8.8% 32.3% 12.0% 32.3% Call IV 25d 13.8% 9.3% 32.7% 12.6% 32.7% Put IV 25d 21.1% 14.1% 52.2% 19.4% 52.2% Bid-Ask Spread % 1.50 1.10 2.26 1.16 2.26 Gamma HHI 0.04 0.02 0.06 0.03 0.03 Net GEX 1.50B -5.90B 9.16B -2.33B -5.11B Net DEX -22.20B -99.00B 164.84B 1.27B 164.84B Net VEX -574.8M -608.6M -546.4M -588.7M -568.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.62 1.14 2.36 2.12 1.52 Total Volume 3,955,286.526 2,066,826 7,939,293 2,533,116 7,939,293 Total OI 19,414,281.211 17,738,844 21,098,129 17,894,510 21,097,252
Daily Data (19 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 2020-02-03 $324.33 $325.00 16.1% 4.6% 11.3% 60.3% 17.1% 6.8% 0.1% -2.33B 1.27B -588.7M 2.12 1.16 N/A N/A 810,764 1,722,352 6,708,388 11,186,122 2020-02-04 $329.27 $325.00 14.1% 3.8% 12.4% 43.8% 15.3% 5.8% 0.2% 1.80B -38.45B -578.7M 1.97 1.12 N/A N/A 883,449 1,736,888 6,662,901 11,194,271 2020-02-05 $332.65 $325.00 13.2% 3.4% 12.9% 36.6% 13.9% 5.3% -0.5% 5.10B -63.96B -568.0M 1.88 1.18 N/A N/A 1,043,366 1,963,153 6,767,208 11,703,065 2020-02-06 $333.93 $316.00 12.4% 3.7% 12.7% 30.2% 14.4% 5.4% -0.3% 4.96B -69.95B -564.5M 1.56 1.83 N/A N/A 807,767 1,259,059 6,800,174 11,894,803 2020-02-07 $332.54 $317.00 12.8% 3.8% 12.8% 33.6% 15.8% 5.9% 0.1% 1.75B -54.85B -581.3M 2.36 1.53 N/A N/A 848,867 2,000,847 6,985,630 12,310,647 2020-02-10 $333.99 $318.00 12.8% 3.8% 12.8% 33.8% 15.5% 5.7% 0.1% 3.61B -65.78B -560.6M 1.60 1.44 N/A N/A 836,270 1,337,113 6,823,988 12,017,156 2020-02-11 $335.43 $318.00 12.6% 3.8% 12.8% 32.2% 14.9% 5.5% 0.1% 5.31B -78.15B -557.9M 1.14 1.41 N/A N/A 1,440,152 1,640,118 6,971,766 11,908,800 2020-02-12 $337.39 $318.00 11.3% 3.4% 12.9% 21.0% 13.8% 4.8% -0.1% 9.16B -96.52B -546.4M 1.16 1.37 N/A N/A 1,490,484 1,728,797 7,274,852 12,319,273 2020-02-13 $336.80 $319.00 11.8% 3.6% 12.9% 25.0% 13.9% 5.1% -0.3% 4.42B -82.75B -578.4M 1.31 1.49 N/A N/A 1,242,043 1,630,047 7,441,279 12,688,539 2020-02-14 $337.21 $320.00 11.3% 3.5% 12.6% 21.3% 13.7% 4.8% 0.2% 6.56B -87.63B -571.4M 1.71 1.58 N/A N/A 969,007 1,653,847 7,696,767 13,077,240 2020-02-18 $336.73 $320.00 12.3% 3.6% 12.6% 28.9% 14.6% 5.4% 0.7% 3.77B -78.79B -555.4M 1.30 1.46 N/A N/A 1,242,498 1,618,488 7,508,478 12,565,452 2020-02-19 $338.45 $320.00 12.4% 3.6% 12.7% 30.4% 13.7% 5.3% -0.4% 9.05B -99.00B -550.6M 1.43 1.57 N/A N/A 914,727 1,303,891 7,649,470 12,614,079 2020-02-20 $336.82 $320.00 12.9% 3.8% 12.9% 34.5% 14.7% 6.0% -0.5% 3.96B -77.79B -569.7M 1.59 1.50 N/A N/A 1,254,658 2,000,436 7,674,331 12,751,174 2020-02-21 $333.15 $321.00 15.2% 4.5% 13.5% 53.2% 16.8% 7.3% -0.1% -1.63B -39.43B -589.8M 1.72 1.69 N/A N/A 1,604,752 2,767,402 7,888,586 13,209,543 2020-02-24 $323.67 $321.00 20.7% 6.3% 16.7% 97.9% 23.9% 10.0% -0.2% -4.56B 43.04B -608.6M 1.81 1.52 N/A N/A 2,254,871 4,080,118 7,026,123 10,712,721 2020-02-25 $313.74 $321.00 24.6% 7.5% 19.4% 100.0% 26.7% 9.6% -0.2% -5.77B 87.45B -598.6M 1.51 1.10 N/A N/A 3,050,314 4,607,902 7,398,255 11,003,989 2020-02-26 $312.29 $320.00 24.0% 7.4% 18.9% 96.0% 26.2% 9.0% -0.5% -5.90B 84.72B -601.9M 1.60 1.45 N/A N/A 2,410,010 3,848,445 8,242,967 11,327,088 2020-02-27 $300.96 $320.00 31.5% 10.0% 22.5% 100.0% 34.0% 11.9% -1.1% -5.69B 130.00B -582.0M 1.56 1.76 N/A N/A 2,814,104 4,394,145 8,284,253 11,484,713 2020-02-28 $289.48 $320.00 43.7% 14.2% 25.6% 100.0% 47.5% 19.5% -0.5% -5.11B 164.84B -568.6M 1.52 2.26 N/A N/A 3,152,387 4,786,906 9,088,428 12,008,824
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