SPY Options History — January 2021

In January 2021, SPY traded between $368.85 and $384.90. ATM implied volatility averaged 19.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 7.4% (HV 20d: 11.8%). Max pain ranged from $359.00 to $375.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.53.

Notable Days

2021-01-29: Highest Volume — 6,566,341 contracts
2021-01-27: Largest IV spike — 50.0% change
2021-01-27: Highest IV Rank — 24.1%
2021-01-27: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$378.49	$368.85	$384.90	$368.85	$370.90
Max Pain	$368.00	$359.00	$375.00	$359.00	$375.00
ATM IV	19.2%	16.2%	27.1%	21.3%	25.8%
Expected Move	5.5%	4.7%	7.9%	6.1%	7.5%
HV 20d	11.8%	9.9%	18.2%	10.0%	18.2%
HV 60d	16.3%	14.2%	16.9%	16.9%	15.6%
IV Rank	13.4%	8.0%	24.1%	17.2%	22.1%
IV Percentile	30.8%	8.3%	73.8%	45.2%	69.4%
Term Structure	0.0%	-1.2%	0.7%	-0.0%	0.2%
VWIV	22.2%	18.0%	30.0%	23.6%	28.4%
Skew 25d	8.7%	6.8%	13.1%	9.3%	13.1%
Skew 10d	17.7%	14.4%	24.7%	18.6%	24.7%
Call IV 25d	15.7%	13.8%	21.1%	17.0%	19.4%
Put IV 25d	24.5%	20.9%	33.7%	26.3%	32.5%
Bid-Ask Spread %	1.10	0.92	1.64	1.11	1.18
Gamma HHI	0.05	0.02	0.08	0.04	0.05
Net GEX	1.90B	-6.04B	7.23B	-2.20B	-6.04B
Net DEX	-43.52B	-79.34B	22.97B	-16.31B	22.97B
Net VEX	-621.5M	-709.5M	-575.3M	-577.2M	-709.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	1.08	2.17	1.26	1.63
Total Volume	3,950,927.947	2,243,048	6,566,341	5,554,743	6,566,341
Total OI	17,324,373.789	15,007,246	19,829,007	16,464,340	17,964,150

Daily Data (19 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
2021-01-04	$368.85	$359.00	21.3%	6.1%	10.0%	17.2%	23.6%	9.3%	-0.0%	-2.20B	-16.31B	-577.2M	1.26	1.11	N/A	N/A	2,459,776	3,094,967	5,660,280	10,804,060
2021-01-05	$371.46	$360.00	19.9%	5.8%	9.9%	15.1%	23.9%	8.8%	0.6%	822.2M	-30.59B	-582.8M	2.17	0.92	N/A	N/A	903,058	1,963,820	5,791,598	10,924,346
2021-01-06	$373.61	$360.00	20.2%	5.8%	10.0%	15.6%	22.9%	9.6%	-0.4%	2.15B	-38.29B	-599.0M	1.87	1.64	N/A	N/A	1,832,187	3,432,303	6,022,703	11,506,330
2021-01-07	$379.70	$360.00	17.1%	5.0%	11.3%	11.0%	20.2%	7.3%	-0.2%	5.12B	-72.29B	-575.3M	1.28	0.93	N/A	N/A	1,341,942	1,712,334	6,027,517	11,614,798
2021-01-08	$381.02	$362.00	16.6%	5.0%	10.7%	10.2%	20.3%	7.1%	0.3%	7.23B	-79.34B	-575.7M	1.39	0.96	N/A	N/A	1,984,584	2,764,946	6,222,344	11,947,208
2021-01-11	$378.71	$365.00	19.8%	5.6%	11.0%	14.9%	24.1%	8.8%	-0.1%	2.12B	-59.53B	-587.0M	1.56	1.17	N/A	N/A	1,366,730	2,134,963	6,229,406	11,816,944
2021-01-12	$379.12	$365.00	18.4%	5.3%	10.8%	12.9%	20.9%	8.1%	0.6%	3.73B	-62.58B	-588.0M	1.33	0.96	N/A	N/A	1,239,284	1,649,839	6,285,023	11,925,275
2021-01-13	$380.30	$366.00	17.6%	5.0%	10.7%	11.7%	20.8%	7.9%	-0.4%	6.17B	-71.09B	-592.6M	1.79	0.95	N/A	N/A	1,130,148	2,023,502	6,505,703	12,308,191
2021-01-14	$379.40	$367.00	17.8%	5.1%	10.3%	12.1%	18.0%	7.8%	-0.8%	3.55B	-62.85B	-602.9M	1.08	1.00	N/A	N/A	1,365,709	1,480,077	6,485,587	12,567,344
2021-01-15	$375.74	$369.00	18.9%	5.5%	11.0%	13.6%	21.5%	9.1%	-0.5%	-613.6M	-38.44B	-620.9M	1.36	1.03	N/A	N/A	2,080,736	2,837,096	6,872,115	12,956,892
2021-01-19	$379.05	$370.00	17.8%	5.2%	11.3%	12.1%	22.4%	8.5%	0.7%	1.46B	-35.34B	-611.5M	1.67	0.96	N/A	N/A	1,228,256	2,046,768	5,595,499	9,411,747
2021-01-20	$384.76	$370.00	16.6%	4.8%	11.6%	8.7%	19.4%	6.8%	-0.2%	6.05B	-64.69B	-612.1M	1.25	1.04	N/A	N/A	1,886,653	2,355,122	5,753,017	9,749,725
2021-01-21	$384.90	$371.00	16.3%	4.7%	11.4%	8.2%	19.6%	6.9%	-0.2%	5.25B	-62.25B	-629.1M	1.65	1.07	N/A	N/A	1,128,530	1,866,281	6,065,079	10,131,383
2021-01-22	$383.92	$374.00	16.2%	4.7%	11.5%	8.0%	20.1%	7.3%	0.4%	2.20B	-53.38B	-645.1M	1.37	1.09	N/A	N/A	1,253,659	1,716,024	6,328,760	10,622,581
2021-01-25	$383.64	$374.00	17.5%	5.0%	11.5%	9.5%	20.4%	7.8%	0.7%	1.85B	-48.27B	-646.9M	1.60	1.15	N/A	N/A	1,593,036	2,542,221	6,127,036	10,066,515
2021-01-26	$384.46	$375.00	18.1%	5.1%	11.5%	10.4%	20.6%	7.7%	0.7%	2.27B	-49.86B	-650.8M	1.69	1.17	N/A	N/A	835,268	1,407,780	6,172,141	10,297,302
2021-01-27	$373.14	$375.00	27.1%	7.9%	15.7%	24.1%	30.0%	12.6%	-1.2%	-4.17B	15.32B	-701.9M	1.44	1.59	N/A	N/A	2,425,332	3,486,650	6,336,837	10,740,207
2021-01-28	$378.60	$375.00	22.6%	6.4%	16.5%	17.2%	25.4%	11.7%	-0.1%	-823.5M	-20.13B	-699.5M	1.73	1.01	N/A	N/A	1,438,501	2,493,208	6,507,881	10,819,578
2021-01-29	$370.90	$375.00	25.8%	7.5%	18.2%	22.1%	28.4%	13.1%	0.2%	-6.04B	22.97B	-709.5M	1.63	1.18	N/A	N/A	2,496,294	4,070,047	6,719,025	11,245,125