SPY Options History — May 2020 In May 2020, SPY traded between $280.18 and $303.96. ATM implied volatility averaged 26.3%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.9% (HV 20d: 28.3%). Max pain ranged from $280.00 to $295.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.52.
Notable Days 2020-05-13 : Highest Volume — 6,693,537 contracts2020-05-13 : Largest IV spike — 21.2% change2020-05-13 : Highest IV Rank — 34.7%2020-05-01 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $291.74 $280.18 $303.96 $282.54 $303.96 Max Pain $292.10 $280.00 $295.00 $280.00 $295.00 ATM IV 26.3% 22.5% 32.4% 31.7% 22.7% Expected Move 7.8% 6.6% 9.5% 9.5% 6.8% HV 20d 28.3% 24.3% 37.9% 37.9% 24.3% HV 60d 53.8% 52.0% 55.0% 53.7% 52.0% IV Rank 25.8% 20.2% 34.7% 33.6% 20.5% IV Percentile 79.8% 74.2% 85.7% 85.3% 74.2% Term Structure 0.0% -0.8% 0.8% 0.4% 0.1% VWIV 30.0% 25.6% 35.1% 35.1% 25.6% Skew 25d 11.2% 9.1% 14.5% 14.5% 9.1% Skew 10d 20.0% 17.1% 25.0% 25.0% 17.1% Call IV 25d 21.4% 18.6% 25.8% 24.5% 19.2% Put IV 25d 32.6% 28.3% 39.1% 38.9% 28.3% Bid-Ask Spread % 1.16 0.92 1.47 1.26 1.35 Gamma HHI 0.03 0.02 0.05 0.03 0.03 Net GEX -355.1M -3.74B 2.12B -2.77B -381.1M Net DEX -43.2M -40.72B 58.65B 38.28B -38.40B Net VEX -660.5M -690.5M -639.5M -690.5M -663.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 1.15 1.75 1.59 1.49 Total Volume 4,360,845.4 3,197,870 6,693,537 5,272,392 5,333,628 Total OI 24,420,468.35 21,945,885 26,647,608 25,173,542 24,466,834
Daily Data (20 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 2020-05-01 $282.54 $280.00 31.7% 9.5% 37.9% 33.6% 35.1% 14.5% 0.4% -2.77B 38.28B -690.5M 1.59 1.26 N/A N/A 2,033,006 3,239,386 9,279,058 15,894,484 2020-05-04 $283.76 $293.00 30.6% 9.1% 36.9% 32.1% 34.9% 13.4% 0.5% -1.54B 28.73B -679.4M 1.58 1.02 N/A N/A 1,428,611 2,263,275 9,230,727 15,423,254 2020-05-05 $286.01 $293.00 28.9% 8.7% 29.1% 29.6% 33.6% 12.3% 0.6% -837.0M 16.60B -680.1M 1.51 1.21 N/A N/A 1,306,662 1,979,524 9,277,190 15,428,479 2020-05-06 $284.85 $293.00 29.4% 8.7% 28.8% 30.2% 31.6% 12.7% -0.6% -2.09B 24.65B -672.3M 1.42 1.02 N/A N/A 1,572,731 2,231,339 9,442,445 15,751,407 2020-05-07 $287.67 $292.00 27.4% 8.3% 28.4% 27.4% 32.4% 11.9% -0.5% -469.1M 8.69B -674.2M 1.58 1.02 N/A N/A 1,292,390 2,039,814 9,478,329 15,695,148 2020-05-08 $292.35 $292.00 23.5% 7.3% 28.1% 21.6% 29.4% 10.2% 0.7% 1.94B -18.12B -664.4M 1.75 0.93 N/A N/A 1,543,899 2,706,242 9,662,019 16,076,672 2020-05-11 $293.21 $292.00 22.9% 6.9% 27.6% 20.8% 28.0% 9.6% 0.5% 932.1M -16.84B -639.5M 1.40 1.02 N/A N/A 1,646,863 2,307,871 9,458,719 15,880,661 2020-05-12 $287.92 $292.00 26.7% 7.9% 26.7% 26.4% 30.7% 11.6% 0.4% -1.57B 14.29B -644.0M 1.38 1.25 N/A N/A 1,649,286 2,269,489 9,457,818 15,983,862 2020-05-13 $280.18 $292.00 32.4% 9.4% 27.5% 34.7% 34.1% 13.2% -0.8% -3.74B 58.65B -641.7M 1.69 1.08 N/A N/A 2,491,199 4,202,338 9,707,401 16,410,822 2020-05-14 $284.10 $292.00 29.1% 8.5% 27.9% 29.9% 32.9% 12.6% -0.6% -2.19B 32.21B -648.3M 1.66 0.94 N/A N/A 1,924,881 3,187,866 9,664,513 16,420,214 2020-05-15 $285.07 $292.00 27.5% 8.1% 26.5% 27.4% 30.0% 12.1% 0.3% -1.42B 25.18B -643.7M 1.35 0.92 N/A N/A 2,370,698 3,193,567 9,881,444 16,766,164 2020-05-18 $296.49 $292.00 23.9% 7.1% 29.5% 22.2% 29.3% 10.1% 0.7% 1.59B -24.48B -657.0M 1.48 1.12 N/A N/A 1,936,224 2,871,198 8,369,931 13,575,954 2020-05-19 $293.74 $293.00 25.4% 7.4% 27.4% 24.4% 29.2% 10.6% 0.8% -157.3M -3.94B -664.5M 1.15 1.36 N/A N/A 1,486,386 1,711,484 8,369,697 13,964,302 2020-05-20 $297.07 $293.00 24.5% 7.0% 26.7% 23.1% 27.9% 9.7% -0.7% 1.84B -24.15B -657.0M 1.51 1.15 N/A N/A 1,636,804 2,470,294 8,678,080 14,196,408 2020-05-21 $295.05 $293.00 25.3% 7.3% 26.9% 24.3% 27.5% 10.0% -0.7% -221.3M -7.60B -666.7M 1.55 1.13 N/A N/A 1,409,930 2,179,671 8,596,912 14,632,578 2020-05-22 $295.10 $293.00 24.6% 7.2% 26.6% 23.3% 28.2% 9.8% 0.2% -375.2M -6.87B -665.8M 1.45 1.26 N/A N/A 1,528,030 2,221,802 8,815,462 14,821,381 2020-05-26 $299.43 $293.00 23.7% 6.9% 26.6% 22.0% 26.4% 9.6% 0.3% 2.12B -28.88B -644.4M 1.64 1.47 N/A N/A 1,603,624 2,627,820 8,588,793 14,352,407 2020-05-27 $302.83 $293.00 22.5% 6.6% 26.6% 20.2% 26.0% 10.0% -0.3% 1.64B -40.72B -648.9M 1.65 1.40 N/A N/A 1,773,031 2,919,294 8,524,296 14,664,950 2020-05-28 $303.53 $294.00 23.5% 7.0% 25.1% 21.7% 27.5% 10.7% -0.4% 587.1M -38.17B -664.4M 1.63 1.29 N/A N/A 1,759,315 2,867,436 8,512,706 15,007,846 2020-05-29 $303.96 $295.00 22.7% 6.8% 24.3% 20.5% 25.6% 9.1% 0.1% -381.1M -38.40B -663.7M 1.49 1.35 N/A N/A 2,143,512 3,190,116 8,787,899 15,678,935
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