SPY Options History — April 2020 In April 2020, SPY traded between $245.00 and $294.49. ATM implied volatility averaged 36.4%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 23.0% (HV 20d: 59.4%). Max pain ranged from $276.00 to $280.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.57.
Notable Days 2020-04-09 : Highest Volume — 6,590,900 contracts2020-04-20 : Largest IV spike — 15.3% change2020-04-01 : Highest IV Rank — 66.3%2020-04-01 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $275.58 $245.00 $294.49 $245.00 $289.98 Max Pain $278.29 $276.00 $280.00 $280.00 $280.00 ATM IV 36.4% 26.0% 54.0% 54.0% 28.6% Expected Move 10.5% 7.6% 16.4% 16.4% 8.4% HV 20d 59.4% 36.3% 79.4% 76.8% 36.3% HV 60d 52.2% 48.9% 53.6% 48.9% 53.6% IV Rank 40.5% 25.4% 66.3% 66.3% 29.2% IV Percentile 89.0% 82.9% 95.2% 95.2% 84.5% Term Structure -0.3% -1.4% 0.4% -1.4% -0.6% VWIV 40.4% 30.4% 59.0% 59.0% 32.3% Skew 25d 15.1% 11.7% 21.2% 21.2% 13.0% Skew 10d 26.5% 20.5% 36.1% 36.1% 23.5% Call IV 25d 29.3% 21.0% 42.6% 42.6% 23.2% Put IV 25d 44.4% 32.7% 63.8% 63.8% 36.2% Bid-Ask Spread % 1.31 1.09 1.62 1.62 1.09 Gamma HHI 0.03 0.02 0.04 0.04 0.02 Net GEX -583.0M -2.62B 2.08B -2.35B -949.4M Net DEX 30.99B -29.17B 117.76B 117.76B 713.3M Net VEX -663.8M -706.0M -543.5M -553.1M -699.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.57 1.27 1.90 1.69 1.36 Total Volume 4,498,663.81 3,457,239 6,590,900 5,274,817 3,841,946 Total OI 25,534,040 22,965,373 28,415,908 25,566,391 24,451,274
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 2020-04-01 $245.00 $280.00 54.0% 16.4% 76.8% 66.3% 59.0% 21.2% -1.4% -2.35B 117.76B -553.1M 1.69 1.62 N/A N/A 1,961,472 3,313,345 9,880,983 15,685,408 2020-04-02 $250.47 $280.00 46.7% 13.2% 77.3% 55.6% 48.6% 19.7% -1.2% -1.88B 102.49B -569.7M 1.90 1.46 N/A N/A 1,434,561 2,719,525 9,890,269 15,640,142 2020-04-03 $246.33 $280.00 44.0% 12.6% 77.3% 51.6% 45.8% 17.3% 0.3% -2.62B 115.68B -543.5M 1.67 1.61 N/A N/A 1,701,661 2,848,565 10,130,444 16,170,090 2020-04-06 $263.70 $279.00 37.8% 10.9% 79.4% 42.6% 43.2% 17.3% 0.4% -555.9M 59.70B -615.6M 1.68 1.40 N/A N/A 1,931,222 3,247,814 9,951,326 15,673,094 2020-04-07 $268.18 $276.00 39.6% 11.2% 78.9% 45.2% 42.3% 16.8% 0.2% -496.1M 47.57B -647.5M 1.41 1.53 N/A N/A 2,423,341 3,416,470 10,077,622 15,933,614 2020-04-08 $273.02 $276.00 38.4% 10.9% 78.0% 43.4% 42.8% 16.2% -0.9% 52.2M 30.02B -675.7M 1.60 1.43 N/A N/A 1,833,669 2,928,753 10,450,976 16,549,059 2020-04-09 $278.61 $276.00 36.8% 10.5% 71.1% 41.2% 40.5% 14.7% -0.9% 136.7M 11.97B -695.9M 1.51 1.51 N/A N/A 2,625,765 3,965,135 10,352,848 16,879,161 2020-04-13 $275.58 $276.00 37.2% 10.7% 70.0% 41.7% 41.2% 14.4% 0.3% -683.9M 30.84B -663.1M 1.46 1.37 N/A N/A 1,685,034 2,464,470 10,351,779 16,763,279 2020-04-14 $283.96 $276.00 33.3% 9.6% 65.3% 36.0% 38.3% 12.4% 0.2% 336.2M -2.45B -677.7M 1.75 1.25 N/A N/A 1,599,700 2,806,976 10,338,494 16,603,155 2020-04-15 $278.23 $278.00 36.3% 10.4% 65.6% 40.3% 39.5% 14.6% -0.8% -1.17B 25.38B -673.7M 1.64 1.18 N/A N/A 1,678,943 2,758,576 10,537,991 17,304,312 2020-04-16 $278.80 $277.00 36.0% 10.4% 58.4% 39.9% 39.4% 14.8% -0.8% -452.4M 21.93B -682.5M 1.27 1.15 N/A N/A 1,619,588 2,059,484 10,556,301 17,192,525 2020-04-17 $285.71 $277.00 32.6% 9.5% 57.2% 35.0% 37.4% 13.7% 0.4% 917.1M -9.33B -699.4M 1.57 1.19 N/A N/A 1,912,744 3,002,806 10,840,465 17,575,443 2020-04-20 $282.22 $278.00 37.6% 11.0% 53.0% 42.2% 41.4% 15.9% 0.2% -902.4M 16.37B -706.0M 1.84 1.27 N/A N/A 1,527,920 2,818,940 8,579,335 14,386,038 2020-04-21 $273.96 $279.00 40.7% 11.9% 51.5% 46.9% 43.5% 15.4% 0.3% -1.99B 48.24B -690.2M 1.48 1.34 N/A N/A 1,839,695 2,713,979 8,593,142 14,514,762 2020-04-22 $280.21 $278.00 37.1% 10.7% 43.7% 41.6% 42.3% 15.4% -1.2% -681.6M 23.58B -703.0M 1.58 1.19 N/A N/A 1,342,312 2,114,927 8,947,630 14,931,646 2020-04-23 $280.18 $279.00 35.4% 10.2% 41.8% 39.1% 38.5% 15.1% -1.1% -1.10B 26.49B -701.6M 1.56 1.22 N/A N/A 1,495,016 2,330,619 8,882,165 14,962,613 2020-04-24 $283.57 $279.00 30.6% 8.8% 41.5% 32.0% 34.9% 12.8% -1.0% -643.6M 11.18B -696.6M 1.60 1.22 N/A N/A 1,619,736 2,585,228 9,070,410 15,385,480 2020-04-27 $288.08 $280.00 27.5% 8.1% 41.5% 27.6% 35.1% 11.7% 0.4% 975.0M -4.52B -682.0M 1.64 1.13 N/A N/A 1,367,255 2,237,261 8,859,781 14,930,596 2020-04-28 $286.80 $280.00 28.3% 8.4% 41.3% 28.7% 31.8% 12.6% 0.4% -264.0M 6.38B -679.7M 1.35 1.10 N/A N/A 1,530,870 2,059,357 8,811,057 15,132,904 2020-04-29 $294.49 $280.00 26.0% 7.6% 41.4% 25.4% 30.4% 11.8% -0.5% 2.08B -29.17B -684.5M 1.47 1.16 N/A N/A 2,065,979 3,041,281 8,970,188 15,477,039 2020-04-30 $289.98 $280.00 28.6% 8.4% 36.3% 29.2% 32.3% 13.0% -0.6% -949.4M 713.3M -699.2M 1.36 1.09 N/A N/A 1,625,812 2,216,134 8,943,467 15,507,807
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