SPY Options History — November 2020 In November 2020, SPY traded between $328.99 and $363.20. ATM implied volatility averaged 20.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.8% (HV 20d: 23.4%). Max pain ranged from $320.00 to $330.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.48.
Notable Days 2020-11-09 : Highest Volume — 5,317,333 contracts2020-11-13 : Largest IV drop — 14.5% change2020-11-02 : Highest IV Rank — 34.4%2020-11-02 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $354.62 $328.99 $363.20 $328.99 $361.55 Max Pain $326.20 $320.00 $330.00 $330.00 $330.00 ATM IV 20.6% 17.0% 32.2% 32.2% 17.0% Expected Move 6.2% 5.1% 10.2% 10.2% 5.4% HV 20d 23.4% 17.4% 25.7% 22.0% 17.4% HV 60d 22.1% 20.7% 22.7% 20.7% 20.9% IV Rank 17.4% 12.1% 34.4% 34.4% 12.2% IV Percentile 41.6% 25.4% 84.1% 84.1% 25.4% Term Structure -0.0% -0.7% 0.7% 0.1% 0.0% VWIV 24.8% 19.9% 37.4% 37.4% 19.9% Skew 25d 7.6% 5.9% 12.4% 12.4% 6.0% Skew 10d 14.8% 11.2% 22.0% 22.0% 11.2% Call IV 25d 17.8% 15.0% 25.9% 25.9% 15.0% Put IV 25d 25.4% 20.9% 38.3% 38.3% 21.0% Bid-Ask Spread % 1.42 1.23 1.97 1.44 1.30 Gamma HHI 0.04 0.02 0.06 0.02 0.04 Net GEX 4.81B -998.5M 8.04B -998.5M 3.98B Net DEX -101.30B -142.79B 6.19B 6.19B -104.01B Net VEX -618.4M -693.4M -544.0M -693.4M -544.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 1.12 2.06 1.52 1.57 Total Volume 3,438,779 1,622,744 5,317,333 3,874,441 3,212,843 Total OI 22,770,616.05 20,815,155 25,118,028 21,343,113 21,431,543
Daily Data (20 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 2020-11-02 $328.99 $330.00 32.2% 10.2% 22.0% 34.4% 37.4% 12.4% 0.1% -998.5M 6.19B -693.4M 1.52 1.44 N/A N/A 1,536,095 2,338,346 8,607,714 12,735,399 2020-11-03 $337.29 $330.00 29.0% 9.1% 23.5% 29.7% 35.9% 11.1% 0.1% 868.6M -31.41B -688.3M 1.48 1.85 N/A N/A 1,303,641 1,932,930 8,350,287 12,464,868 2020-11-04 $344.00 $330.00 24.9% 7.6% 23.8% 23.7% 29.6% 9.7% -0.5% 3.86B -67.08B -678.1M 1.47 1.97 N/A N/A 1,897,416 2,790,459 9,011,457 13,673,878 2020-11-05 $349.70 $320.00 23.3% 6.9% 24.3% 21.3% 27.4% 9.0% -0.5% 5.03B -95.44B -673.3M 1.40 1.49 N/A N/A 1,457,974 2,038,824 8,844,654 13,699,070 2020-11-06 $351.15 $320.00 20.7% 6.3% 24.2% 17.6% 25.3% 7.7% 0.3% 5.95B -103.97B -645.1M 1.58 1.43 N/A N/A 1,230,450 1,938,781 9,007,934 14,133,789 2020-11-09 $357.92 $320.00 19.9% 6.0% 24.3% 16.3% 24.1% 6.5% 0.3% 7.46B -132.54B -607.3M 1.30 1.59 N/A N/A 2,309,849 3,007,484 8,682,392 13,464,048 2020-11-10 $354.26 $320.00 20.8% 6.2% 24.6% 17.7% 24.4% 7.3% 0.3% 3.83B -102.26B -627.7M 1.29 1.41 N/A N/A 1,401,725 1,811,640 8,779,358 13,779,600 2020-11-11 $356.20 $321.00 19.6% 5.9% 24.5% 15.9% 30.9% 7.0% -0.3% 5.70B -115.35B -620.5M 2.06 1.30 N/A N/A 1,144,026 2,354,056 9,092,312 14,058,048 2020-11-12 $351.96 $322.00 21.5% 6.4% 24.9% 18.8% 25.4% 8.7% -0.4% 2.59B -86.93B -653.3M 2.00 1.35 N/A N/A 1,185,871 2,374,164 8,957,095 14,529,950 2020-11-13 $358.52 $324.00 18.4% 5.6% 25.7% 14.2% 23.9% 6.9% 0.4% 7.57B -128.14B -623.2M 1.58 1.27 N/A N/A 1,457,359 2,301,982 9,159,546 15,035,265 2020-11-16 $361.29 $325.00 18.6% 5.6% 24.6% 14.4% 22.3% 6.7% 0.7% 8.04B -142.79B -600.5M 1.21 1.30 N/A N/A 1,716,409 2,077,536 9,102,678 14,799,043 2020-11-17 $360.35 $326.00 19.1% 5.6% 24.7% 15.1% 22.4% 6.8% 0.7% 5.65B -134.01B -607.9M 1.52 1.23 N/A N/A 1,214,842 1,843,106 9,126,195 14,809,921 2020-11-18 $357.85 $327.00 19.6% 5.6% 24.8% 15.9% 20.4% 7.0% -0.6% 3.32B -115.63B -612.6M 1.19 1.38 N/A N/A 1,500,524 1,791,209 9,278,999 15,205,059 2020-11-19 $357.90 $329.00 19.0% 5.5% 24.8% 15.1% 20.4% 7.2% -0.6% 4.32B -116.00B -604.3M 1.29 1.32 N/A N/A 1,452,748 1,871,508 9,265,299 15,241,929 2020-11-20 $356.51 $330.00 18.9% 5.5% 24.8% 14.9% 22.9% 7.2% 0.0% 3.30B -107.68B -604.0M 1.23 1.34 N/A N/A 1,477,038 1,810,683 9,503,699 15,614,329 2020-11-23 $357.71 $330.00 18.3% 5.4% 23.2% 14.0% 21.1% 7.1% -0.3% 4.39B -90.32B -579.1M 1.12 1.39 N/A N/A 1,505,949 1,679,935 8,446,649 12,595,316 2020-11-24 $363.20 $330.00 17.5% 5.2% 23.6% 12.9% 21.2% 6.2% -0.7% 7.75B -121.41B -572.6M 1.46 1.31 N/A N/A 1,417,999 2,069,574 8,393,431 12,690,246 2020-11-25 $362.90 $330.00 17.0% 5.1% 19.7% 12.2% 20.2% 6.2% -0.3% 6.68B -118.70B -568.5M 1.49 1.29 N/A N/A 1,083,718 1,614,143 8,603,063 13,373,237 2020-11-27 $363.12 $330.00 17.0% 5.2% 19.6% 12.1% 20.2% 5.9% 0.3% 6.84B -118.56B -565.1M 1.82 1.39 N/A N/A 574,503 1,048,241 8,527,640 13,337,381 2020-11-30 $361.55 $330.00 17.0% 5.4% 17.4% 12.2% 19.9% 6.0% 0.0% 3.98B -104.01B -544.0M 1.57 1.30 N/A N/A 1,251,157 1,961,686 8,314,645 13,116,898
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