SPY Options History — September 2020 In September 2020, SPY traded between $323.39 and $358.40. ATM implied volatility averaged 22.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.8% (HV 20d: 21.8%). Max pain ranged from $320.00 to $332.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.32.
Notable Days 2020-09-03 : Highest Volume — 6,949,821 contracts2020-09-03 : Largest IV spike — 28.5% change2020-09-03 : Highest IV Rank — 25.5%2020-09-03 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $336.26 $323.39 $358.40 $351.92 $334.71 Max Pain $327.90 $320.00 $332.00 $320.00 $330.00 ATM IV 22.7% 19.1% 26.2% 19.1% 22.8% Expected Move 6.5% 5.4% 7.5% 5.4% 6.6% HV 20d 21.8% 7.5% 26.8% 7.5% 26.8% HV 60d 17.2% 15.4% 19.6% 17.4% 17.5% IV Rank 20.5% 15.1% 25.5% 15.1% 20.6% IV Percentile 63.3% 54.0% 74.2% 54.0% 61.9% Term Structure -0.1% -0.7% 0.5% 0.4% -0.2% VWIV 24.7% 21.7% 28.2% 23.1% 24.4% Skew 25d 7.9% 6.1% 11.3% 7.2% 7.4% Skew 10d 15.1% 12.2% 23.6% 16.3% 12.8% Call IV 25d 19.6% 16.7% 22.3% 16.7% 19.7% Put IV 25d 27.5% 23.9% 33.6% 23.9% 27.1% Bid-Ask Spread % 1.55 1.18 2.38 1.22 1.30 Gamma HHI 0.03 0.02 0.06 0.03 0.02 Net GEX -343.9M -5.30B 5.11B 3.67B 1.82B Net DEX -43.73B -163.07B 27.14B -130.09B -36.46B Net VEX -710.0M -810.3M -674.7M -729.1M -696.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 1.05 1.56 1.24 1.37 Total Volume 4,215,021.619 2,237,804 6,949,821 2,262,951 4,654,296 Total OI 22,180,139.857 19,335,140 24,053,199 22,520,806 20,958,744
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 2020-09-01 $351.92 $320.00 19.1% 5.4% 7.5% 15.1% 23.1% 7.2% 0.4% 3.67B -130.09B -729.1M 1.24 1.22 N/A N/A 1,011,620 1,251,331 8,477,248 14,043,558 2020-09-02 $358.40 $320.00 20.3% 5.7% 9.1% 17.0% 21.7% 6.1% -0.7% 5.11B -163.07B -712.5M 1.30 1.26 N/A N/A 2,004,611 2,611,557 8,632,097 14,334,889 2020-09-03 $344.45 $325.00 26.2% 7.5% 17.9% 25.5% 28.0% 11.3% -0.5% -650.5M -73.10B -810.3M 1.49 1.56 N/A N/A 2,790,104 4,159,717 8,694,514 14,579,961 2020-09-04 $343.68 $325.00 22.9% 6.6% 17.9% 20.8% 26.3% 9.6% -0.1% -994.3M -73.78B -780.2M 1.45 2.38 N/A N/A 2,687,435 3,896,318 9,087,700 14,965,499 2020-09-08 $334.54 $326.00 25.2% 7.2% 20.5% 24.2% 28.2% 9.3% 0.0% -1.74B -33.87B -746.2M 1.23 2.05 N/A N/A 2,225,948 2,730,606 8,875,589 14,510,962 2020-09-09 $340.86 $325.00 22.9% 6.6% 21.5% 20.8% 24.2% 8.2% -0.3% 1.20B -74.26B -720.9M 1.20 1.75 N/A N/A 1,709,675 2,050,511 8,949,554 14,454,925 2020-09-10 $334.89 $326.00 24.2% 6.9% 22.0% 22.7% 25.4% 8.3% -0.6% -1.21B -40.47B -726.9M 1.29 1.89 N/A N/A 1,873,148 2,409,345 8,922,262 14,467,885 2020-09-11 $333.93 $327.00 22.3% 6.5% 22.0% 20.0% 23.1% 7.3% 0.2% -2.07B -36.25B -707.6M 1.46 1.64 N/A N/A 1,952,961 2,843,767 9,228,149 14,809,835 2020-09-14 $339.26 $330.00 21.0% 6.1% 22.7% 17.9% 23.8% 7.0% 0.4% 1.35B -69.61B -680.0M 1.22 1.58 N/A N/A 1,368,608 1,667,601 8,887,344 14,288,990 2020-09-15 $339.71 $330.00 20.8% 6.0% 22.6% 17.6% 23.3% 7.2% 0.4% 1.08B -70.82B -679.3M 1.25 1.53 N/A N/A 996,518 1,241,286 8,879,859 14,267,434 2020-09-16 $340.10 $330.00 20.6% 5.9% 22.6% 17.4% 22.8% 7.4% -0.4% 934.0M -73.46B -674.7M 1.35 1.79 N/A N/A 1,628,002 2,204,504 9,102,187 14,533,030 2020-09-17 $334.83 $330.00 21.6% 6.2% 23.3% 18.9% 23.7% 7.5% -0.5% -1.87B -42.86B -682.2M 1.05 1.72 N/A N/A 2,279,292 2,397,899 9,001,418 14,591,479 2020-09-18 $331.42 $330.00 21.6% 6.3% 23.5% 18.9% 23.6% 7.5% 0.0% -5.30B 5.52B -699.3M 1.28 1.40 N/A N/A 2,303,029 2,950,911 8,345,757 14,957,568 2020-09-21 $325.58 $332.00 24.1% 6.9% 24.2% 22.5% 25.8% 8.2% 0.1% -3.68B 21.82B -686.5M 1.56 1.39 N/A N/A 2,117,441 3,297,152 7,492,141 11,842,999 2020-09-22 $330.76 $330.00 22.7% 6.4% 24.7% 20.4% 24.1% 7.7% 0.1% -238.9M -10.45B -699.2M 1.33 1.34 N/A N/A 1,213,309 1,611,441 7,592,722 12,124,898 2020-09-23 $323.39 $330.00 25.0% 7.2% 25.6% 23.9% 25.6% 8.4% -0.3% -3.68B 27.14B -695.4M 1.43 1.52 N/A N/A 1,867,241 2,676,113 7,741,257 12,473,460 2020-09-24 $323.69 $330.00 24.6% 7.1% 25.2% 23.3% 26.5% 8.5% -0.4% -2.95B 21.46B -701.7M 1.42 1.38 N/A N/A 1,647,132 2,340,507 7,790,047 12,483,266 2020-09-25 $328.26 $330.00 22.6% 6.5% 25.8% 20.4% 24.9% 7.9% 0.5% 347.5M -4.61B -698.7M 1.37 1.37 N/A N/A 1,687,246 2,309,631 8,032,714 12,700,706 2020-09-28 $334.18 $330.00 22.6% 6.5% 26.8% 20.3% 24.6% 7.3% 0.4% 1.42B -34.84B -686.9M 1.19 1.27 N/A N/A 1,547,375 1,847,688 7,742,774 12,424,917 2020-09-29 $332.92 $330.00 23.3% 6.7% 26.7% 21.4% 25.1% 7.3% 0.0% 231.8M -26.25B -695.8M 1.31 1.18 N/A N/A 1,061,655 1,390,923 7,758,993 12,733,606 2020-09-30 $334.71 $330.00 22.8% 6.6% 26.8% 20.6% 24.4% 7.4% -0.2% 1.82B -36.46B -696.1M 1.37 1.30 N/A N/A 1,960,811 2,693,485 7,931,515 13,027,229
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