SPY Options History — June 2020 In June 2020, SPY traded between $301.04 and $322.35. ATM implied volatility averaged 25.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.7% (HV 20d: 26.2%). Max pain ranged from $295.00 to $306.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.38.
Notable Days 2020-06-12 : Highest Volume — 9,036,668 contracts2020-06-11 : Largest IV spike — 51.1% change2020-06-11 : Highest IV Rank — 35.9%2020-06-11 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $309.99 $301.04 $322.35 $305.65 $308.60 Max Pain $300.82 $295.00 $306.00 $295.00 $306.00 ATM IV 25.5% 19.2% 33.2% 22.9% 24.4% Expected Move 7.4% 5.7% 9.4% 6.9% 7.0% HV 20d 26.2% 21.9% 29.9% 21.9% 29.3% HV 60d 39.4% 29.8% 51.6% 51.6% 29.8% IV Rank 24.6% 15.4% 35.9% 20.7% 22.9% IV Percentile 76.5% 69.4% 86.1% 74.2% 71.4% Term Structure -0.1% -1.0% 0.4% 0.3% 0.4% VWIV 28.1% 22.7% 35.3% 26.9% 27.2% Skew 25d 10.2% 6.7% 14.4% 9.8% 9.8% Skew 10d 18.4% 11.6% 27.6% 17.6% 17.3% Call IV 25d 21.4% 17.0% 27.4% 19.2% 20.0% Put IV 25d 31.6% 23.7% 41.8% 29.0% 29.8% Bid-Ask Spread % 1.33 1.14 1.68 1.14 1.68 Gamma HHI 0.03 0.02 0.04 0.03 0.02 Net GEX -368.1M -5.12B 3.78B 817.3M 327.3M Net DEX -33.39B -111.68B 34.96B -42.45B -11.58B Net VEX -706.3M -758.4M -640.4M -654.5M -715.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 1.11 1.65 1.48 1.34 Total Volume 4,988,084.364 3,097,082 9,036,668 3,241,243 3,733,750 Total OI 23,755,065.636 20,074,747 26,562,763 23,244,135 21,352,955
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 2020-06-01 $305.65 $295.00 22.9% 6.9% 21.9% 20.7% 26.9% 9.8% 0.3% 817.3M -42.45B -654.5M 1.48 1.14 N/A N/A 1,309,580 1,931,663 8,465,019 14,779,116 2020-06-02 $306.60 $295.00 22.0% 6.5% 21.9% 19.4% 25.4% 9.2% -0.6% 616.2M -46.69B -647.0M 1.32 1.14 N/A N/A 1,334,681 1,762,401 8,527,107 14,775,932 2020-06-03 $312.74 $295.00 20.4% 6.0% 22.6% 17.1% 23.6% 7.7% -0.6% 3.38B -82.55B -641.7M 1.46 1.28 N/A N/A 1,931,450 2,823,575 8,848,761 15,178,062 2020-06-04 $310.15 $295.00 21.2% 6.2% 22.8% 18.3% 23.6% 8.1% -0.8% 524.1M -59.57B -651.3M 1.57 1.25 N/A N/A 1,554,497 2,435,256 8,848,641 15,477,568 2020-06-05 $318.64 $295.00 19.2% 5.7% 24.2% 15.4% 23.0% 6.7% 0.3% 3.78B -108.38B -640.4M 1.17 1.39 N/A N/A 3,042,889 3,564,641 8,899,692 16,169,981 2020-06-08 $322.35 $297.00 20.8% 6.1% 24.0% 17.7% 22.7% 7.0% 0.3% 2.83B -111.68B -644.4M 1.21 1.34 N/A N/A 1,630,597 1,969,680 8,836,070 16,079,529 2020-06-09 $321.43 $300.00 22.4% 6.5% 24.1% 20.1% 24.6% 7.7% 0.3% 1.64B -99.36B -672.4M 1.19 1.28 N/A N/A 1,421,438 1,685,229 8,849,498 16,094,853 2020-06-10 $319.89 $300.00 22.0% 6.3% 22.9% 19.4% 24.9% 8.3% -0.5% 1.33B -91.89B -672.8M 1.11 1.60 N/A N/A 2,159,608 2,401,327 9,162,794 16,462,743 2020-06-11 $302.10 $300.00 33.2% 9.4% 29.9% 35.9% 35.3% 14.4% -1.0% -3.18B 15.35B -758.4M 1.55 1.50 N/A N/A 3,434,352 5,314,098 9,155,121 16,550,863 2020-06-12 $303.33 $300.00 30.0% 8.7% 29.7% 31.2% 33.3% 12.5% 0.3% -2.39B 2.76B -751.1M 1.65 1.23 N/A N/A 3,408,714 5,627,954 9,801,614 16,761,149 2020-06-15 $305.51 $300.00 28.9% 8.4% 29.7% 29.6% 32.1% 11.5% 0.3% -1.27B -13.78B -726.7M 1.36 1.30 N/A N/A 2,730,666 3,706,240 9,328,485 16,389,823 2020-06-16 $311.60 $300.00 28.4% 8.2% 27.3% 28.9% 30.7% 10.6% 0.2% 606.2M -49.35B -734.4M 1.14 1.43 N/A N/A 2,539,106 2,906,672 9,351,331 16,286,844 2020-06-17 $311.54 $300.00 27.9% 8.0% 27.0% 28.0% 30.1% 11.1% -0.7% -182.9M -46.24B -723.8M 1.30 1.17 N/A N/A 1,766,485 2,305,288 9,440,476 16,670,065 2020-06-18 $311.06 $300.00 27.0% 7.8% 26.8% 26.7% 29.3% 10.4% -0.6% -882.5M -40.42B -715.2M 1.13 1.29 N/A N/A 1,753,144 1,975,035 9,096,430 16,547,437 2020-06-19 $309.55 $305.00 26.9% 7.8% 26.7% 26.6% 29.4% 11.5% 0.3% -1.97B 3.56B -748.2M 1.52 1.19 N/A N/A 2,561,833 3,887,100 8,162,565 17,091,160 2020-06-22 $310.35 $305.00 26.6% 7.7% 26.7% 26.2% 28.4% 11.3% 0.3% -1.28B -7.50B -743.5M 1.47 1.22 N/A N/A 1,586,105 2,339,175 7,129,906 12,944,841 2020-06-23 $312.82 $306.00 25.4% 7.4% 26.4% 24.5% 27.8% 10.7% 0.4% -108.0M -20.61B -738.9M 1.25 1.32 N/A N/A 1,662,774 2,073,305 7,241,488 12,986,635 2020-06-24 $305.31 $306.00 28.8% 8.3% 27.8% 29.5% 30.0% 11.8% -0.6% -3.29B 16.32B -742.8M 1.61 1.50 N/A N/A 2,780,296 4,474,833 7,452,740 13,353,027 2020-06-25 $306.51 $306.00 27.0% 7.8% 27.8% 26.8% 28.9% 11.6% -0.6% -1.92B 6.11B -746.8M 1.42 1.29 N/A N/A 1,840,969 2,618,492 7,550,587 13,522,859 2020-06-26 $301.04 $306.00 28.8% 8.5% 28.6% 29.5% 30.6% 11.9% 0.4% -5.12B 34.96B -743.4M 1.62 1.29 N/A N/A 2,313,223 3,750,573 7,777,886 13,868,237 2020-06-29 $303.07 $306.00 27.4% 8.0% 28.6% 27.3% 29.4% 11.7% 0.3% -2.35B 18.36B -724.3M 1.51 1.40 N/A N/A 1,471,532 2,217,630 7,750,782 13,590,772 2020-06-30 $308.60 $306.00 24.4% 7.0% 29.3% 22.9% 27.2% 9.8% 0.4% 327.3M -11.58B -715.7M 1.34 1.68 N/A N/A 1,597,459 2,136,291 7,734,080 13,618,875
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