SPY Options History — March 2020 In March 2020, SPY traded between $221.72 and $311.29. ATM implied volatility averaged 52.0%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 4.9% (HV 20d: 56.9%). Max pain ranged from $280.00 to $319.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.56.
Notable Days 2020-03-18 : Highest Volume — 7,529,659 contracts2020-03-12 : Largest IV spike — 37.8% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 22.1%Monthly Statistics Metric Avg Min Max Open Close Price $264.64 $221.72 $311.29 $305.36 $258.05 Max Pain $302.77 $280.00 $319.00 $318.00 $280.00 ATM IV 52.0% 26.3% 77.0% 28.5% 45.9% Expected Move 15.2% 8.3% 22.1% 9.2% 13.9% HV 20d 56.9% 32.6% 79.8% 32.8% 76.5% HV 60d 35.1% 20.2% 47.9% 20.2% 47.9% IV Rank 77.7% 50.2% 100.0% 56.7% 54.5% IV Percentile 98.4% 94.0% 100.0% 99.2% 94.0% Term Structure -0.6% -2.7% 0.7% 0.0% 0.2% VWIV 55.2% 31.9% 76.7% 34.5% 53.5% Skew 25d 20.1% 12.6% 26.5% 15.4% 20.9% Skew 10d 35.0% 21.9% 46.3% 25.3% 38.6% Call IV 25d 41.5% 21.2% 61.3% 21.5% 35.6% Put IV 25d 61.6% 33.8% 87.0% 36.9% 56.6% Bid-Ask Spread % 2.21 1.46 3.69 1.56 1.68 Gamma HHI 0.03 0.02 0.04 0.02 0.03 Net GEX -2.54B -4.92B -904.0M -3.18B -1.36B Net DEX 137.82B 43.48B 213.44B 83.37B 89.33B Net VEX -556.9M -680.9M -364.7M -620.8M -593.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 1.25 2.14 1.45 1.46 Total Volume 5,865,707.227 4,534,419 7,529,659 5,481,489 5,249,779 Total OI 24,399,800.091 20,895,956 28,353,530 20,895,956 26,535,223
Daily Data (22 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 2020-03-02 $305.36 $318.00 28.5% 9.2% 32.8% 56.7% 34.5% 15.4% 0.0% -3.18B 83.37B -620.8M 1.45 1.56 N/A N/A 2,236,588 3,244,901 9,026,900 11,869,056 2020-03-03 $302.77 $317.00 32.0% 10.5% 32.6% 66.7% 37.9% 15.6% -0.0% -3.24B 89.84B -637.9M 1.42 1.80 N/A N/A 2,091,329 2,974,506 9,049,288 11,924,302 2020-03-04 $311.29 $317.00 26.3% 8.3% 33.8% 50.2% 31.9% 12.6% -0.6% -1.12B 43.48B -672.2M 1.35 1.84 N/A N/A 1,997,785 2,693,799 9,397,641 12,510,508 2020-03-05 $301.35 $319.00 36.2% 9.8% 35.0% 78.6% 35.1% 17.2% -1.0% -3.62B 96.73B -680.9M 1.74 2.40 N/A N/A 1,652,709 2,881,710 9,234,897 12,580,244 2020-03-06 $295.60 $318.00 37.5% 10.5% 35.2% 82.5% 38.5% 17.8% 0.2% -4.92B 125.55B -655.8M 2.14 3.69 N/A N/A 1,992,782 4,257,362 9,537,543 12,981,233 2020-03-09 $278.20 $317.00 47.6% 13.2% 40.2% 100.0% 47.9% 17.6% -0.1% -4.32B 171.54B -575.1M 1.86 2.50 N/A N/A 2,131,601 3,966,599 9,376,070 12,678,610 2020-03-10 $286.12 $315.00 43.4% 12.1% 42.0% 89.2% 44.0% 18.0% -1.3% -3.38B 135.48B -613.2M 1.49 2.12 N/A N/A 2,162,624 3,225,114 9,660,357 12,678,625 2020-03-11 $274.71 $315.00 49.2% 13.8% 43.3% 100.0% 49.2% 18.1% -2.0% -3.93B 168.93B -573.9M 1.53 1.85 N/A N/A 2,239,964 3,434,127 10,137,386 13,486,432 2020-03-12 $251.77 $314.00 67.9% 18.8% 50.8% 100.0% 63.7% 25.1% -2.7% -3.11B 211.20B -472.6M 1.36 2.09 N/A N/A 3,093,733 4,207,136 10,323,861 13,754,608 2020-03-13 $262.41 $310.00 55.4% 15.7% 54.4% 78.9% 55.3% 21.3% 0.7% -2.94B 188.96B -508.4M 1.47 3.60 N/A N/A 2,725,892 3,994,626 11,441,382 14,129,193 2020-03-16 $245.01 $309.00 74.1% 21.2% 57.6% 100.0% 73.3% 25.1% -0.1% -2.60B 201.28B -474.7M 1.58 3.21 N/A N/A 2,603,882 4,110,049 11,191,546 14,440,710 2020-03-17 $251.54 $307.00 68.5% 19.7% 59.4% 91.3% 69.4% 26.5% 0.1% -2.25B 181.99B -529.1M 1.43 2.13 N/A N/A 2,259,418 3,237,132 11,397,111 14,344,451 2020-03-18 $233.34 $305.00 77.0% 22.1% 62.6% 100.0% 76.7% 25.6% -2.1% -2.41B 207.08B -459.3M 1.44 2.53 N/A N/A 3,088,072 4,441,587 11,777,256 15,077,556 2020-03-19 $244.11 $300.00 64.7% 18.7% 66.4% 82.0% 68.1% 23.8% -1.5% -2.30B 191.60B -485.0M 1.42 2.46 N/A N/A 2,348,223 3,325,088 11,937,519 15,154,323 2020-03-20 $231.42 $300.00 58.5% 17.1% 67.7% 72.9% 58.6% 20.7% 0.2% -2.66B 213.44B -402.0M 1.55 2.26 N/A N/A 2,688,813 4,157,410 12,369,376 15,984,154 2020-03-23 $221.72 $291.00 57.4% 17.3% 68.2% 71.2% 59.4% 17.2% -0.1% -2.41B 163.85B -364.7M 1.25 1.97 N/A N/A 2,712,928 3,394,300 9,870,309 13,592,182 2020-03-24 $241.40 $285.00 54.8% 16.7% 77.3% 67.4% 61.2% 14.8% -0.5% -1.54B 119.50B -504.8M 1.47 2.12 N/A N/A 2,216,198 3,260,754 10,230,004 13,685,067 2020-03-25 $251.79 $284.00 56.6% 17.2% 79.7% 70.2% 64.3% 19.6% -1.1% -1.06B 95.15B -585.4M 1.61 1.80 N/A N/A 2,547,684 4,105,526 10,487,497 14,550,120 2020-03-26 $256.95 $280.00 55.2% 16.9% 79.8% 68.0% 66.3% 23.4% -0.9% -1.15B 86.64B -607.8M 2.03 1.46 N/A N/A 1,869,379 3,799,407 10,459,953 14,988,224 2020-03-27 $255.85 $280.00 56.8% 17.4% 78.9% 70.4% 65.9% 23.7% -0.0% -1.53B 92.13B -615.3M 1.48 1.84 N/A N/A 2,206,909 3,262,783 10,756,386 16,120,865 2020-03-30 $261.30 $280.00 49.4% 15.1% 76.5% 59.6% 58.8% 21.8% 0.2% -904.0M 74.99B -619.1M 1.70 1.66 N/A N/A 1,832,449 3,122,902 10,521,689 15,545,945 2020-03-31 $258.05 $280.00 45.9% 13.9% 76.5% 54.5% 53.5% 20.9% 0.2% -1.36B 89.33B -593.4M 1.46 1.68 N/A N/A 2,136,171 3,113,608 10,665,466 15,869,757
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