SPY Options History — December 2020 In December 2020, SPY traded between $365.12 and $373.32. ATM implied volatility averaged 17.5%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.1% (HV 20d: 11.4%). Max pain ranged from $330.00 to $360.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2020-12-09 : Highest Volume — 4,703,653 contracts2020-12-07 : Largest IV spike — 9.5% change2020-12-14 : Highest IV Rank — 15.4%2020-12-21 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $368.75 $365.12 $373.32 $365.74 $373.32 Max Pain $348.18 $330.00 $360.00 $330.00 $360.00 ATM IV 17.5% 15.9% 19.4% 17.0% 17.8% Expected Move 5.1% 4.7% 5.8% 5.3% 4.9% HV 20d 11.4% 8.8% 17.3% 17.3% 8.9% HV 60d 18.5% 17.0% 21.0% 21.0% 17.0% IV Rank 12.4% 10.2% 15.4% 12.2% 12.0% IV Percentile 25.8% 16.3% 35.3% 25.0% 26.2% Term Structure 0.0% -0.6% 1.4% -0.5% -0.2% VWIV 20.4% 17.8% 22.9% 21.8% 20.7% Skew 25d 7.1% 5.4% 8.7% 5.6% 7.6% Skew 10d 13.8% 10.5% 17.2% 11.3% 15.6% Call IV 25d 15.0% 13.8% 16.1% 15.4% 14.8% Put IV 25d 22.1% 19.5% 24.8% 21.0% 22.4% Bid-Ask Spread % 1.28 1.07 1.59 1.32 1.19 Gamma HHI 0.05 0.03 0.20 0.06 0.05 Net GEX 4.16B -2.22B 14.88B 7.44B 3.75B Net DEX -83.82B -142.17B -16.08B -123.84B -46.21B Net VEX -547.9M -581.1M -520.1M -543.3M -568.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.69 2.05 1.22 1.58 Total Volume 3,085,040.955 1,607,718 4,703,653 3,403,890 2,771,148 Total OI 20,568,398.091 16,531,114 23,621,503 21,075,966 17,895,401
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 2020-12-01 $365.74 $330.00 17.0% 5.3% 17.3% 12.2% 21.8% 5.6% -0.5% 7.44B -123.84B -543.3M 1.22 1.32 N/A N/A 1,532,123 1,871,767 8,255,072 12,820,894 2020-12-02 $366.62 $332.00 16.6% 5.2% 15.6% 11.6% 19.9% 5.9% -0.3% 8.26B -127.58B -539.2M 1.24 1.21 N/A N/A 1,236,122 1,531,447 8,459,269 13,207,131 2020-12-03 $366.32 $338.00 16.7% 5.3% 14.6% 11.6% 20.5% 5.6% -0.6% 7.25B -124.03B -545.2M 1.30 1.39 N/A N/A 1,170,338 1,521,638 8,487,496 13,224,577 2020-12-04 $369.30 $340.00 15.9% 5.1% 13.9% 10.5% 21.7% 5.4% 1.4% 14.88B -142.17B -534.3M 1.40 1.17 N/A N/A 1,325,922 1,856,309 8,706,770 13,668,098 2020-12-07 $368.15 $340.00 17.4% 5.2% 14.0% 12.7% 20.0% 6.6% 0.4% 4.59B -125.74B -532.7M 1.17 1.22 N/A N/A 1,142,935 1,338,597 8,491,626 13,558,803 2020-12-08 $370.22 $340.00 16.5% 4.9% 12.6% 11.5% 19.1% 6.1% 0.3% 6.90B -138.17B -521.7M 1.47 1.17 N/A N/A 995,078 1,462,184 8,562,105 13,665,136 2020-12-09 $367.02 $340.00 17.9% 5.2% 12.4% 13.4% 20.0% 6.8% -0.5% 1.65B -112.18B -542.5M 1.35 1.58 N/A N/A 1,998,733 2,704,920 8,833,218 14,124,540 2020-12-10 $367.34 $342.00 17.7% 5.2% 12.4% 13.1% 20.4% 7.0% -0.2% 4.13B -114.63B -541.6M 1.33 1.21 N/A N/A 1,371,710 1,825,420 8,903,162 14,264,576 2020-12-11 $365.86 $345.00 18.3% 5.4% 11.5% 14.0% 21.0% 7.5% 0.2% 1.94B -98.78B -552.6M 1.39 1.36 N/A N/A 1,793,379 2,501,258 9,044,594 14,576,909 2020-12-14 $365.12 $345.00 19.2% 5.6% 9.8% 15.4% 21.6% 8.2% 0.3% 1.68B -88.25B -547.3M 1.15 1.40 N/A N/A 1,776,011 2,050,872 8,673,843 14,204,580 2020-12-15 $369.02 $345.00 17.9% 5.2% 10.1% 13.4% 20.2% 7.7% 0.3% 4.78B -115.16B -532.2M 1.56 1.31 N/A N/A 1,097,627 1,711,196 8,652,860 14,216,373 2020-12-16 $370.73 $345.00 16.9% 4.9% 10.1% 11.9% 20.1% 7.2% -0.4% 7.73B -129.83B -528.8M 1.39 1.35 N/A N/A 1,261,680 1,752,808 8,795,455 14,660,858 2020-12-17 $371.96 $347.00 16.5% 4.7% 9.6% 11.0% 17.8% 6.5% -0.4% 7.68B -128.43B -520.1M 0.69 1.35 N/A N/A 2,386,106 1,656,965 8,514,678 14,496,312 2020-12-18 $368.29 $355.00 17.9% 5.2% 10.5% 13.2% 19.6% 7.2% -0.4% -2.22B -20.47B -568.2M 1.32 1.59 N/A N/A 1,564,027 2,058,095 6,524,139 14,902,166 2020-12-21 $367.15 $358.00 19.4% 5.8% 10.4% 14.9% 22.9% 8.7% 0.6% -843.7M -16.08B -581.1M 1.33 1.36 N/A N/A 1,833,111 2,446,244 5,924,044 10,607,070 2020-12-22 $367.08 $358.00 19.1% 5.6% 10.4% 14.0% 22.9% 8.4% 0.7% -254.2M -18.37B -577.4M 1.66 1.25 N/A N/A 857,641 1,422,402 6,020,207 10,841,990 2020-12-23 $369.01 $360.00 17.4% 5.0% 9.1% 11.4% 20.1% 7.9% -0.5% 2.51B -28.43B -563.1M 1.39 1.24 N/A N/A 984,762 1,364,008 6,180,966 11,206,844 2020-12-24 $368.45 $360.00 17.1% 4.9% 9.2% 11.0% 18.1% 7.8% -0.1% 82.5M -22.98B -559.0M 1.40 1.20 N/A N/A 670,747 936,971 6,141,092 11,153,979 2020-12-28 $372.23 $360.00 16.6% 4.7% 9.8% 10.2% 18.9% 7.3% 0.4% 6.29B -45.22B -535.7M 1.41 1.09 N/A N/A 1,004,765 1,419,718 6,008,516 10,975,936 2020-12-29 $371.70 $360.00 17.8% 4.9% 9.6% 12.0% 21.6% 7.7% 0.4% 3.10B -37.80B -556.5M 2.05 1.15 N/A N/A 1,047,287 2,145,427 6,007,896 11,154,842 2020-12-30 $371.96 $360.00 17.9% 5.0% 8.8% 12.3% 19.4% 7.4% -0.3% 235.9M -39.58B -562.6M 1.41 1.07 N/A N/A 1,027,018 1,444,385 6,254,014 11,636,721 2020-12-31 $373.32 $360.00 17.8% 4.9% 8.9% 12.0% 20.7% 7.6% -0.2% 3.75B -46.21B -568.9M 1.58 1.19 N/A N/A 1,073,966 1,697,182 6,247,332 11,648,069
« Nov 2020 | All History | Jan 2021 » Home SPY History December 2020