SPY Options History — July 2020 In July 2020, SPY traded between $311.71 and $326.74. ATM implied volatility averaged 21.9%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.5% (HV 20d: 18.4%). Max pain ranged from $306.00 to $313.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.43.
Notable Days 2020-07-13 : Highest Volume — 5,455,408 contracts2020-07-13 : Largest IV spike — 13.0% change2020-07-13 : Highest IV Rank — 24.7%2020-07-13 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $320.02 $311.71 $326.74 $311.71 $325.31 Max Pain $309.64 $306.00 $313.00 $306.00 $313.00 ATM IV 21.9% 19.4% 25.6% 23.0% 19.7% Expected Move 6.3% 5.4% 7.4% 6.4% 5.6% HV 20d 18.4% 11.8% 28.7% 28.7% 11.8% HV 60d 24.1% 21.9% 26.7% 26.7% 21.9% IV Rank 19.3% 15.7% 24.7% 20.9% 16.1% IV Percentile 63.8% 56.0% 73.8% 69.0% 56.3% Term Structure -0.0% -0.5% 0.4% -0.4% 0.4% VWIV 24.7% 21.6% 28.6% 26.0% 22.2% Skew 25d 8.8% 7.5% 10.8% 9.1% 8.0% Skew 10d 16.3% 13.2% 20.6% 16.2% 14.6% Call IV 25d 18.3% 16.2% 20.9% 19.4% 16.2% Put IV 25d 27.1% 24.2% 31.7% 28.5% 24.2% Bid-Ask Spread % 1.20 0.88 1.58 1.46 1.55 Gamma HHI 0.03 0.02 0.10 0.02 0.04 Net GEX 1.43B -2.23B 4.78B 1.23B 2.32B Net DEX -46.26B -69.46B -25.62B -26.39B -56.28B Net VEX -699.9M -721.0M -671.8M -715.0M -695.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 1.17 1.77 1.31 1.56 Total Volume 3,575,934.909 2,159,362 5,455,408 3,776,722 4,237,290 Total OI 20,570,872.455 18,725,507 22,591,170 20,502,427 20,431,005
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 2020-07-01 $311.71 $306.00 23.0% 6.4% 28.7% 20.9% 26.0% 9.1% -0.4% 1.23B -26.39B -715.0M 1.31 1.46 N/A N/A 1,637,060 2,139,662 7,479,921 13,022,506 2020-07-02 $312.74 $307.00 22.2% 6.0% 28.5% 19.7% 23.7% 8.9% -0.4% 1.92B -29.92B -714.3M 1.31 1.49 N/A N/A 1,929,025 2,518,550 7,515,094 13,103,948 2020-07-06 $316.56 $306.00 22.5% 6.7% 27.1% 20.1% 25.5% 8.7% 0.3% 1.88B -43.45B -700.6M 1.25 0.93 N/A N/A 1,690,312 2,109,911 7,434,408 12,932,532 2020-07-07 $314.40 $307.00 24.3% 7.1% 26.8% 22.8% 26.9% 9.5% 0.3% -497.0M -27.62B -709.4M 1.57 0.88 N/A N/A 1,082,700 1,699,491 7,403,419 13,171,080 2020-07-08 $315.67 $309.00 23.4% 6.8% 26.9% 21.5% 27.1% 9.6% -0.5% 212.8M -33.94B -704.1M 1.58 0.97 N/A N/A 1,304,171 2,058,278 7,606,717 13,443,106 2020-07-09 $314.17 $309.00 24.5% 7.1% 26.9% 23.1% 27.2% 10.3% -0.5% -793.3M -25.62B -709.7M 1.50 1.01 N/A N/A 1,679,547 2,519,765 7,571,017 13,463,668 2020-07-10 $317.35 $310.00 22.6% 6.7% 17.0% 20.4% 26.9% 9.3% 0.3% 2.19B -45.45B -705.1M 1.52 0.95 N/A N/A 1,553,161 2,365,361 7,810,316 13,798,220 2020-07-13 $316.04 $310.00 25.6% 7.4% 17.2% 24.7% 28.6% 10.8% 0.2% -85.3M -34.15B -721.0M 1.35 1.11 N/A N/A 2,324,744 3,130,664 7,782,064 13,645,134 2020-07-14 $318.05 $310.00 24.6% 7.1% 17.1% 23.2% 28.1% 10.3% 0.2% 968.1M -44.14B -710.2M 1.77 1.04 N/A N/A 1,501,726 2,665,333 7,940,935 13,773,632 2020-07-15 $322.06 $310.00 23.0% 6.6% 16.3% 20.9% 26.3% 9.0% -0.5% 3.85B -68.84B -703.9M 1.17 1.01 N/A N/A 2,331,161 2,736,114 8,157,350 14,059,945 2020-07-16 $320.80 $310.00 22.4% 6.5% 16.4% 20.0% 24.6% 8.9% -0.5% 1.98B -59.90B -703.5M 1.20 0.93 N/A N/A 1,293,960 1,548,344 8,096,538 14,124,759 2020-07-17 $322.09 $310.00 20.8% 6.1% 16.4% 17.7% 24.9% 7.7% 0.3% 3.48B -69.46B -691.6M 1.22 1.02 N/A N/A 1,618,013 1,978,065 8,283,534 14,307,636 2020-07-20 $324.88 $310.00 19.6% 5.7% 16.4% 16.0% 23.5% 7.5% 0.3% 4.78B -61.56B -671.8M 1.26 1.16 N/A N/A 1,333,309 1,686,538 7,259,814 11,465,693 2020-07-21 $325.12 $310.00 20.4% 5.9% 16.4% 17.1% 23.2% 7.8% 0.2% 2.32B -59.36B -684.7M 1.29 1.23 N/A N/A 1,305,762 1,681,668 7,304,517 11,714,765 2020-07-22 $326.74 $310.00 19.7% 5.6% 16.3% 16.1% 22.9% 7.9% -0.4% 3.55B -65.91B -686.1M 1.45 1.21 N/A N/A 1,149,765 1,667,860 7,524,744 12,120,187 2020-07-23 $322.68 $310.00 21.1% 6.1% 14.1% 18.2% 23.4% 8.7% -0.4% 197.8M -43.04B -698.7M 1.32 1.26 N/A N/A 1,585,395 2,093,397 7,460,928 12,116,229 2020-07-24 $320.41 $310.00 21.3% 6.2% 14.5% 18.4% 23.9% 8.6% 0.4% -2.23B -31.16B -702.5M 1.77 1.33 N/A N/A 1,442,667 2,557,493 7,722,499 12,400,913 2020-07-27 $323.10 $310.00 20.1% 5.8% 12.6% 16.7% 22.8% 8.4% 0.4% 1.36B -47.87B -685.4M 1.38 1.43 N/A N/A 1,126,641 1,554,744 7,393,339 12,134,431 2020-07-28 $321.74 $311.00 20.6% 5.9% 12.8% 17.4% 22.4% 8.6% 0.4% 784.9K -39.91B -689.3M 1.44 1.52 N/A N/A 886,051 1,273,311 7,377,224 12,177,061 2020-07-29 $325.18 $311.00 19.4% 5.4% 11.9% 15.7% 21.6% 7.9% -0.2% 2.38B -57.22B -689.2M 1.51 1.58 N/A N/A 1,088,566 1,639,320 7,554,874 12,487,524 2020-07-30 $323.68 $313.00 20.6% 5.8% 11.8% 17.4% 22.7% 8.4% -0.3% 461.8M -46.52B -705.1M 1.66 1.41 N/A N/A 1,106,155 1,839,518 7,474,885 12,511,083 2020-07-31 $325.31 $313.00 19.7% 5.6% 11.8% 16.1% 22.2% 8.0% 0.4% 2.32B -56.28B -695.9M 1.56 1.55 N/A N/A 1,655,405 2,581,885 7,629,470 12,801,535
« Jun 2020 | All History | Aug 2020 » Home SPY History July 2020