SPY Options History — October 2020 In October 2020, SPY traded between $324.62 and $352.73. ATM implied volatility averaged 25.6%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.9% (HV 20d: 19.7%). Max pain ranged from $325.00 to $333.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.31.
Notable Days 2020-10-28 : Highest Volume — 6,153,143 contracts2020-10-28 : Largest IV spike — 19.4% change2020-10-28 : Highest IV Rank — 37.2%2020-10-28 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $341.21 $324.62 $352.73 $335.88 $324.62 Max Pain $329.77 $325.00 $333.00 $330.00 $332.00 ATM IV 25.6% 21.1% 34.1% 23.4% 33.1% Expected Move 7.5% 6.1% 10.3% 6.8% 10.2% HV 20d 19.7% 15.7% 25.8% 25.8% 22.1% HV 60d 18.5% 17.5% 20.5% 17.5% 20.5% IV Rank 24.7% 18.2% 37.2% 21.5% 35.7% IV Percentile 69.1% 51.6% 86.5% 65.1% 85.3% Term Structure 0.0% -1.3% 2.6% -0.2% 0.1% VWIV 28.3% 24.7% 37.3% 25.0% 37.0% Skew 25d 9.4% 7.6% 12.3% 7.6% 12.2% Skew 10d 16.8% 12.5% 23.6% 12.5% 22.4% Call IV 25d 21.3% 18.0% 27.4% 20.3% 26.4% Put IV 25d 30.7% 26.1% 39.7% 27.9% 38.6% Bid-Ask Spread % 1.29 1.10 1.75 1.11 1.75 Gamma HHI 0.03 0.02 0.05 0.02 0.04 Net GEX 1.07B -4.32B 6.46B 1.09B -4.32B Net DEX -49.28B -118.44B 37.14B -39.67B 37.14B Net VEX -685.7M -709.4M -658.7M -707.1M -698.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.97 1.61 1.25 1.41 Total Volume 3,583,588.5 2,574,465 6,153,143 2,928,378 5,183,865 Total OI 21,161,557.364 19,601,121 23,079,393 20,187,798 22,211,541
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 2020-10-01 $335.88 $330.00 23.4% 6.8% 25.8% 21.5% 25.0% 7.6% -0.2% 1.09B -39.67B -707.1M 1.25 1.11 N/A N/A 1,300,114 1,628,264 7,712,252 12,475,546 2020-10-02 $334.77 $330.00 23.0% 6.5% 21.9% 20.9% 24.7% 7.7% 2.6% 254.3M -32.74B -709.4M 1.45 1.10 N/A N/A 1,786,797 2,589,932 8,021,018 12,857,206 2020-10-05 $339.54 $325.00 24.9% 7.5% 22.6% 23.8% 29.4% 8.4% 1.3% 3.60B -58.33B -686.3M 1.39 1.20 N/A N/A 1,286,988 1,791,937 7,978,358 12,596,405 2020-10-06 $335.25 $325.00 26.7% 7.7% 20.9% 26.4% 30.0% 9.0% 1.2% 252.8M -33.92B -696.7M 1.45 1.64 N/A N/A 1,424,147 2,071,478 7,940,555 12,546,723 2020-10-07 $341.05 $325.00 25.3% 7.2% 20.7% 24.2% 27.9% 8.9% -0.2% 4.43B -65.85B -686.7M 1.40 1.23 N/A N/A 1,386,740 1,941,242 8,163,246 12,996,808 2020-10-08 $343.57 $325.00 23.4% 6.7% 19.8% 21.5% 28.7% 8.3% -0.2% 4.36B -76.51B -685.7M 1.52 1.13 N/A N/A 1,046,327 1,589,870 8,176,588 13,240,812 2020-10-09 $346.51 $325.00 21.3% 6.2% 19.9% 18.5% 26.6% 8.0% 0.2% 6.46B -94.74B -669.6M 1.23 1.21 N/A N/A 1,744,331 2,152,167 8,335,920 13,710,600 2020-10-12 $352.73 $328.00 21.1% 6.1% 20.1% 18.2% 25.0% 8.3% 0.2% 6.37B -118.44B -658.7M 1.07 1.19 N/A N/A 2,037,945 2,189,090 8,212,547 13,631,147 2020-10-13 $351.10 $330.00 22.3% 6.4% 20.2% 19.9% 24.7% 8.6% 0.1% 3.03B -101.23B -672.3M 1.35 1.30 N/A N/A 1,093,659 1,480,806 8,295,364 14,050,388 2020-10-14 $348.74 $330.00 22.7% 6.5% 20.4% 20.5% 24.8% 8.9% -0.2% 1.02B -86.42B -673.7M 1.17 1.22 N/A N/A 1,519,413 1,776,943 8,471,972 14,306,308 2020-10-15 $347.65 $331.00 23.3% 6.7% 19.5% 21.3% 25.5% 9.0% -0.6% 1.97B -81.56B -675.8M 1.14 1.24 N/A N/A 1,391,450 1,583,266 8,412,282 14,145,500 2020-10-16 $348.46 $331.00 23.1% 6.7% 19.0% 21.1% 25.6% 8.8% 0.2% 3.19B -87.36B -671.7M 0.97 1.16 N/A N/A 1,589,781 1,540,674 8,711,765 14,367,628 2020-10-19 $342.11 $331.00 26.2% 7.4% 19.1% 25.7% 27.3% 9.7% -0.5% -1.54B -34.78B -681.7M 1.24 1.36 N/A N/A 1,819,555 2,253,316 7,544,709 12,056,412 2020-10-20 $344.54 $331.00 25.5% 7.3% 18.5% 24.6% 26.1% 9.5% 0.2% 711.8M -47.89B -687.4M 1.08 1.27 N/A N/A 1,493,664 1,620,507 7,597,615 12,157,375 2020-10-21 $343.11 $331.00 25.7% 7.4% 16.3% 24.9% 26.2% 9.5% -0.9% -835.4M -41.88B -684.0M 1.29 1.35 N/A N/A 1,493,482 1,923,083 7,885,515 12,441,457 2020-10-22 $344.71 $331.00 24.7% 7.1% 16.3% 23.4% 27.0% 9.5% -0.5% 703.2M -51.09B -678.5M 1.37 1.29 N/A N/A 1,174,687 1,612,325 7,858,991 12,331,524 2020-10-23 $345.48 $333.00 24.2% 7.0% 15.7% 22.7% 25.0% 9.2% 0.2% 1.50B -55.23B -672.1M 1.43 1.27 N/A N/A 1,176,734 1,677,754 8,008,642 12,671,033 2020-10-26 $337.89 $333.00 28.8% 8.7% 17.0% 29.5% 32.1% 10.5% 0.2% -2.20B -17.76B -687.3M 1.39 1.45 N/A N/A 2,105,735 2,933,845 7,790,153 12,462,994 2020-10-27 $338.93 $333.00 28.6% 8.5% 16.9% 29.1% 30.8% 10.9% -0.5% -976.5M -24.80B -693.4M 1.32 1.18 N/A N/A 1,139,163 1,509,312 7,927,052 12,642,208 2020-10-28 $328.28 $333.00 34.1% 10.3% 20.4% 37.2% 37.3% 12.3% -1.3% -4.03B 27.11B -704.0M 1.61 1.33 N/A N/A 2,361,775 3,791,368 8,163,843 12,922,530 2020-10-29 $331.79 $332.00 31.4% 9.6% 20.8% 33.1% 35.3% 11.9% -0.6% -1.53B 1.77B -703.9M 1.33 1.31 N/A N/A 1,552,913 2,072,503 8,503,665 13,020,065 2020-10-30 $324.62 $332.00 33.1% 10.2% 22.1% 35.7% 37.0% 12.2% 0.1% -4.32B 37.14B -698.9M 1.41 1.75 N/A N/A 2,147,387 3,036,478 8,771,234 13,440,307
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