SPY Options History — February 2021 In February 2021, SPY traded between $376.78 and $392.66. ATM implied volatility averaged 17.9%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.2% (HV 20d: 17.7%). Max pain ranged from $368.00 to $376.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.52.
Notable Days 2021-02-26 : Highest Volume — 5,389,388 contracts2021-02-25 : Largest IV spike — 34.9% change2021-02-01 : Highest IV Rank — 17.2%2021-02-25 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $387.81 $376.78 $392.66 $376.78 $384.10 Max Pain $372.58 $368.00 $376.00 $375.00 $375.00 ATM IV 17.9% 15.9% 22.6% 22.6% 19.9% Expected Move 5.3% 4.7% 6.8% 6.3% 6.1% HV 20d 17.7% 15.0% 19.1% 19.0% 15.0% HV 60d 13.7% 12.8% 15.1% 15.1% 13.8% IV Rank 8.1% 1.4% 17.2% 17.2% 6.5% IV Percentile 18.5% 2.8% 49.6% 49.6% 36.1% Term Structure 0.1% -1.3% 0.7% 0.4% 0.5% VWIV 21.5% 18.9% 27.2% 26.0% 23.8% Skew 25d 8.2% 6.6% 11.8% 11.7% 10.1% Skew 10d 16.7% 14.2% 22.8% 22.5% 18.9% Call IV 25d 15.0% 13.2% 18.5% 17.6% 16.2% Put IV 25d 23.2% 19.8% 30.3% 29.4% 26.3% Bid-Ask Spread % 1.29 1.08 2.22 1.08 1.22 Gamma HHI 0.04 0.02 0.06 0.02 0.02 Net GEX 2.85B -2.61B 7.89B 385.4M -1.66B Net DEX -60.36B -92.26B -5.22B -16.80B -15.28B Net VEX -689.0M -728.9M -660.9M -707.5M -711.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 1.12 1.88 1.72 1.24 Total Volume 3,715,805.526 2,091,272 5,389,388 4,109,638 5,389,388 Total OI 19,037,908.211 17,397,678 21,091,503 17,397,678 19,520,314
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 2021-02-01 $376.78 $375.00 22.6% 6.3% 19.0% 17.2% 26.0% 11.7% 0.4% 385.4M -16.80B -707.5M 1.72 1.08 N/A N/A 1,513,669 2,595,969 6,760,383 10,637,295 2021-02-02 $382.35 $375.00 19.8% 5.4% 19.1% 12.9% 22.3% 9.1% 0.3% 2.57B -46.87B -698.6M 1.74 1.39 N/A N/A 1,220,839 2,128,081 6,769,569 10,902,468 2021-02-03 $382.76 $376.00 18.4% 4.8% 19.0% 10.9% 20.6% 8.3% 0.1% 2.17B -48.27B -695.4M 1.69 1.20 N/A N/A 1,170,901 1,981,352 7,005,842 11,480,696 2021-02-04 $385.21 $368.00 17.1% 5.4% 19.0% 8.9% 22.6% 7.1% -0.1% 4.13B -61.28B -683.7M 1.88 1.28 N/A N/A 929,819 1,744,836 6,862,023 11,450,782 2021-02-05 $387.53 $368.00 16.2% 5.1% 18.3% 7.5% 20.9% 6.7% 0.4% 7.89B -76.81B -679.5M 1.44 1.18 N/A N/A 1,722,000 2,485,781 7,086,911 12,028,940 2021-02-08 $389.65 $369.00 16.4% 5.1% 18.3% 7.8% 20.3% 6.9% 0.3% 6.77B -79.15B -681.0M 1.31 1.26 N/A N/A 1,371,484 1,797,425 6,982,164 11,612,848 2021-02-09 $390.74 $370.00 16.6% 5.1% 18.1% 8.1% 19.0% 7.0% 0.3% 5.84B -84.58B -682.5M 1.56 1.24 N/A N/A 815,427 1,275,845 7,179,764 11,828,196 2021-02-10 $389.60 $370.00 17.5% 5.3% 18.2% 9.5% 21.3% 7.7% -0.1% 2.61B -73.94B -694.1M 1.50 1.32 N/A N/A 1,675,346 2,519,886 7,349,929 12,217,894 2021-02-11 $390.26 $370.00 17.0% 5.1% 18.2% 8.7% 20.9% 7.3% -0.1% 4.00B -76.93B -691.1M 1.58 1.20 N/A N/A 1,231,589 1,948,266 7,337,498 12,224,950 2021-02-12 $391.88 $371.00 15.9% 4.7% 18.2% 7.0% 19.3% 6.6% 0.4% 7.00B -92.26B -674.9M 1.81 1.24 N/A N/A 1,111,946 2,008,387 7,563,632 12,662,699 2021-02-16 $392.66 $372.00 16.6% 4.8% 17.7% 8.0% 20.6% 7.3% 0.7% 5.03B -91.18B -660.9M 1.43 1.32 N/A N/A 1,605,224 2,294,688 7,351,247 12,315,608 2021-02-17 $392.29 $373.00 17.0% 4.9% 17.5% 7.3% 21.1% 7.5% 0.4% 2.47B -83.48B -675.8M 1.54 1.26 N/A N/A 1,382,923 2,125,228 7,412,225 12,573,035 2021-02-18 $391.32 $373.00 17.3% 5.0% 16.9% 7.6% 18.9% 8.0% -0.0% 2.85B -77.96B -683.4M 1.12 1.39 N/A N/A 1,654,779 1,858,696 7,546,858 12,834,215 2021-02-19 $390.43 $374.00 17.0% 4.9% 16.9% 6.3% 19.1% 8.0% 0.1% 1.01B -73.68B -685.4M 1.35 1.18 N/A N/A 1,576,951 2,135,262 7,875,593 13,215,910 2021-02-22 $387.77 $375.00 17.9% 5.2% 17.1% 4.4% 22.2% 8.8% 0.1% -1.96B -35.37B -682.7M 1.63 1.13 N/A N/A 1,320,253 2,145,560 6,851,539 10,907,319 2021-02-23 $388.48 $375.00 18.1% 5.2% 17.1% 3.6% 21.3% 8.3% 0.1% 207.8M -41.54B -690.2M 1.53 1.11 N/A N/A 1,803,231 2,755,312 6,765,839 11,076,969 2021-02-24 $391.77 $375.00 16.7% 4.8% 17.3% 1.4% 20.5% 7.8% 0.3% 5.43B -66.24B -683.9M 1.40 1.20 N/A N/A 1,699,534 2,384,911 7,114,333 11,595,398 2021-02-25 $382.86 $375.00 22.5% 6.8% 15.8% 10.9% 27.2% 11.8% -1.3% -2.61B -5.22B -728.9M 1.31 2.22 N/A N/A 2,256,930 2,962,587 7,061,775 11,757,596 2021-02-26 $384.10 $375.00 19.9% 6.1% 15.0% 6.5% 23.8% 10.1% 0.5% -1.66B -15.28B -711.8M 1.24 1.22 N/A N/A 2,410,435 2,978,953 7,456,027 12,064,287
« Jan 2021 | All History | Mar 2021 » Home SPY History February 2021