SPY Options History — August 2020 In August 2020, SPY traded between $329.25 and $350.92. ATM implied volatility averaged 17.7%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.5% (HV 20d: 10.2%). Max pain ranged from $310.00 to $318.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.38.
Notable Days 2020-08-26 : Highest Volume — 4,312,485 contracts2020-08-31 : Largest IV spike — 12.2% change2020-08-03 : Highest IV Rank — 15.9%2020-08-11 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $338.79 $329.25 $350.92 $329.25 $350.92 Max Pain $313.67 $310.00 $318.00 $314.00 $318.00 ATM IV 17.7% 16.6% 19.6% 19.6% 18.8% Expected Move 5.2% 4.8% 5.8% 5.5% 5.4% HV 20d 10.2% 7.6% 11.8% 11.8% 7.6% HV 60d 19.5% 17.5% 22.0% 22.0% 17.5% IV Rank 13.2% 11.5% 15.9% 15.9% 14.8% IV Percentile 50.1% 45.6% 55.2% 55.2% 54.0% Term Structure 0.1% -0.5% 0.8% 0.4% 0.4% VWIV 21.4% 19.2% 26.6% 22.2% 21.4% Skew 25d 7.4% 5.9% 8.2% 7.9% 7.3% Skew 10d 15.1% 11.9% 17.1% 14.9% 16.1% Call IV 25d 15.2% 14.3% 16.8% 16.3% 16.8% Put IV 25d 22.6% 21.0% 24.1% 24.1% 24.0% Bid-Ask Spread % 1.36 1.21 1.58 1.39 1.38 Gamma HHI 0.04 0.03 0.08 0.04 0.04 Net GEX 3.64B 1.18B 6.79B 3.45B 3.92B Net DEX -100.64B -138.20B -69.14B -71.84B -130.76B Net VEX -697.4M -720.2M -674.6M -689.9M -720.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 1.09 1.93 1.23 1.37 Total Volume 3,230,814.762 2,162,491 4,312,485 2,750,721 3,163,559 Total OI 21,907,408.667 19,823,973 24,282,734 19,823,973 22,493,836
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 2020-08-03 $329.25 $314.00 19.6% 5.5% 11.8% 15.9% 22.2% 7.9% 0.4% 3.45B -71.84B -689.9M 1.23 1.39 N/A N/A 1,231,521 1,519,200 7,441,989 12,381,984 2020-08-04 $329.32 $315.00 19.4% 5.3% 11.4% 15.6% 21.9% 7.5% 0.4% 2.06B -69.14B -692.6M 1.41 1.34 N/A N/A 937,975 1,320,361 7,472,156 12,474,197 2020-08-05 $331.71 $315.00 18.4% 4.9% 11.5% 14.2% 19.2% 7.3% -0.4% 3.81B -80.98B -687.2M 1.78 1.25 N/A N/A 1,100,238 1,955,389 7,631,928 12,871,115 2020-08-06 $334.07 $310.00 17.6% 5.4% 11.3% 13.1% 21.6% 6.9% -0.4% 2.91B -87.31B -690.0M 1.30 1.28 N/A N/A 1,120,476 1,455,231 7,652,009 13,062,748 2020-08-07 $334.44 $310.00 17.4% 5.4% 11.0% 12.7% 21.5% 7.2% -0.4% 3.70B -89.51B -690.8M 1.42 1.44 N/A N/A 1,613,127 2,294,309 7,865,564 13,420,700 2020-08-10 $335.07 $310.00 17.3% 5.4% 10.7% 12.7% 21.7% 7.2% 0.4% 4.24B -90.90B -677.5M 1.27 1.37 N/A N/A 1,356,918 1,726,535 7,871,901 13,098,892 2020-08-11 $333.35 $310.00 19.4% 5.8% 11.0% 15.6% 22.8% 8.2% 0.3% 1.60B -78.76B -690.8M 1.33 1.58 N/A N/A 1,658,743 2,210,481 7,884,709 13,212,493 2020-08-12 $337.79 $310.00 17.4% 5.2% 11.1% 12.7% 22.1% 7.2% -0.3% 5.07B -103.38B -686.1M 1.34 1.40 N/A N/A 1,611,600 2,154,213 8,187,683 13,681,013 2020-08-13 $336.82 $311.00 17.4% 5.3% 11.0% 12.8% 20.3% 7.2% -0.3% 2.70B -95.02B -697.9M 1.14 1.21 N/A N/A 1,480,383 1,693,211 8,200,206 13,718,094 2020-08-14 $336.07 $313.00 17.7% 5.4% 11.1% 13.1% 26.6% 7.7% 0.5% 1.18B -91.43B -703.0M 1.52 1.35 N/A N/A 1,419,234 2,156,236 8,485,915 14,102,450 2020-08-17 $338.01 $313.00 16.9% 5.1% 10.9% 12.0% 21.3% 7.3% 0.7% 4.19B -104.01B -684.5M 1.21 1.35 N/A N/A 979,160 1,183,331 8,413,101 13,967,085 2020-08-18 $338.71 $314.00 17.0% 5.0% 10.9% 12.1% 19.8% 7.1% 0.8% 3.86B -109.22B -674.6M 1.93 1.31 N/A N/A 1,054,909 2,041,162 8,474,332 14,041,555 2020-08-19 $337.52 $315.00 17.7% 5.1% 11.0% 13.2% 21.3% 7.5% -0.4% 1.19B -95.85B -717.6M 1.42 1.39 N/A N/A 1,493,213 2,116,622 8,672,316 14,911,017 2020-08-20 $338.64 $315.00 17.3% 5.0% 9.7% 12.5% 20.9% 7.7% -0.4% 2.36B -100.94B -720.2M 1.45 1.43 N/A N/A 1,132,744 1,638,841 8,653,729 15,125,724 2020-08-21 $339.23 $315.00 17.0% 4.9% 9.0% 12.1% 21.8% 7.9% 0.1% 3.77B -106.00B -716.9M 1.66 1.30 N/A N/A 1,272,434 2,114,329 8,830,396 15,452,338 2020-08-24 $342.38 $315.00 16.8% 4.9% 9.1% 11.8% 21.0% 7.9% 0.1% 5.44B -103.84B -696.0M 1.47 1.41 N/A N/A 1,244,200 1,830,395 8,027,464 13,423,665 2020-08-25 $344.01 $315.00 16.6% 4.8% 8.7% 11.5% 20.0% 7.1% 0.1% 4.42B -111.85B -687.8M 1.21 1.36 N/A N/A 1,103,066 1,335,901 8,062,691 13,505,263 2020-08-26 $347.47 $316.00 17.7% 5.1% 8.7% 13.1% 21.1% 7.6% 0.4% 5.56B -127.36B -697.2M 1.33 1.30 N/A N/A 1,846,997 2,465,488 8,196,940 13,858,197 2020-08-27 $349.07 $316.00 17.9% 5.2% 8.1% 13.4% 20.8% 7.6% -0.5% 4.15B -127.25B -716.6M 1.15 1.32 N/A N/A 1,859,091 2,143,934 8,246,457 14,030,650 2020-08-28 $350.64 $317.00 16.8% 4.9% 8.1% 11.8% 20.7% 5.9% 0.1% 6.79B -138.20B -707.6M 1.09 1.34 N/A N/A 1,820,087 1,992,266 8,534,442 14,416,638 2020-08-31 $350.92 $318.00 18.8% 5.4% 7.6% 14.8% 21.4% 7.3% 0.4% 3.92B -130.76B -720.2M 1.37 1.38 N/A N/A 1,337,424 1,826,135 8,424,546 14,069,290
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