SPY Options History — March 2021 In March 2021, SPY traded between $376.10 and $396.76. ATM implied volatility averaged 16.7%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.8% (HV 20d: 15.9%). Max pain ranged from $370.00 to $388.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.28.
Notable Days 2021-03-05 : Highest Volume — 6,144,675 contracts2021-03-05 : Largest IV drop — 20.7% change2021-03-04 : Highest IV Rank — 11.6%2021-03-04 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $390.57 $376.10 $396.76 $389.71 $396.71 Max Pain $379.17 $370.00 $388.00 $375.00 $388.00 ATM IV 16.7% 14.2% 23.0% 17.4% 14.9% Expected Move 4.9% 4.0% 6.4% 5.3% 4.0% HV 20d 15.9% 12.6% 17.7% 13.5% 14.0% HV 60d 15.1% 13.9% 15.5% 13.9% 15.3% IV Rank 2.9% 0.0% 11.6% 2.5% 1.6% IV Percentile 11.5% 0.0% 56.7% 15.9% 1.2% Term Structure 0.1% -1.3% 0.9% 0.2% 0.3% VWIV 19.4% 15.8% 24.7% 21.9% 15.8% Skew 25d 7.0% 4.6% 11.3% 8.3% 6.1% Skew 10d 13.8% 8.9% 20.5% 16.2% 13.1% Call IV 25d 14.4% 12.6% 18.6% 14.8% 12.9% Put IV 25d 21.4% 18.3% 29.9% 23.1% 19.1% Bid-Ask Spread % 1.37 1.12 1.60 1.19 1.47 Gamma HHI 0.04 0.02 0.06 0.03 0.05 Net GEX 2.63B -3.93B 7.93B 4.01B 6.18B Net DEX -41.29B -97.48B 24.66B -55.33B -41.16B Net VEX -645.9M -694.0M -604.3M -679.3M -637.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.75 1.66 1.31 1.21 Total Volume 4,245,820.783 2,823,701 6,144,675 4,647,495 4,051,115 Total OI 18,773,808.652 15,746,536 20,859,801 18,731,821 17,650,238
Daily Data (23 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 2021-03-01 $389.71 $375.00 17.4% 5.3% 13.5% 2.5% 21.9% 8.3% 0.2% 4.01B -55.33B -679.3M 1.31 1.19 N/A N/A 2,007,694 2,639,801 7,270,149 11,461,672 2021-03-02 $388.04 $375.00 18.0% 5.4% 12.7% 3.5% 21.6% 8.7% -1.1% 705.8M -40.94B -694.0M 1.28 1.13 N/A N/A 1,330,310 1,707,654 7,431,274 11,768,327 2021-03-03 $383.35 $375.00 19.7% 6.2% 12.6% 6.3% 23.4% 9.5% -1.3% -2.69B -10.41B -689.5M 1.24 1.23 N/A N/A 1,992,178 2,465,121 7,651,235 12,019,394 2021-03-04 $376.10 $370.00 23.0% 6.4% 14.3% 11.6% 24.7% 11.3% -0.5% -3.93B 24.66B -689.1M 1.39 1.40 N/A N/A 2,465,264 3,438,265 7,629,923 11,804,249 2021-03-05 $384.31 $370.00 18.2% 5.5% 16.2% 3.9% 22.8% 8.7% 0.3% 1.73B -29.43B -686.0M 1.37 1.51 N/A N/A 2,593,455 3,551,220 8,008,186 12,207,635 2021-03-08 $383.71 $370.00 19.1% 5.7% 16.1% 5.2% 21.2% 9.0% 0.6% 1.07B -27.12B -671.4M 1.48 1.12 N/A N/A 1,881,181 2,776,679 7,720,435 11,855,046 2021-03-09 $387.86 $370.00 18.0% 5.4% 16.4% 3.5% 22.2% 7.8% 0.8% 3.22B -51.32B -660.8M 1.66 1.22 N/A N/A 1,232,994 2,052,060 7,599,693 11,929,340 2021-03-10 $390.01 $374.00 17.4% 5.1% 16.5% 2.5% 20.5% 7.2% -0.2% 5.65B -64.85B -654.4M 1.34 1.24 N/A N/A 1,603,478 2,154,951 7,798,012 12,410,509 2021-03-11 $393.80 $375.00 16.4% 4.9% 16.9% 0.9% 19.9% 6.4% -0.2% 6.80B -85.22B -639.2M 1.50 1.12 N/A N/A 1,621,343 2,434,620 7,585,946 12,287,570 2021-03-12 $393.96 $375.00 15.7% 4.7% 16.8% 0.0% 19.5% 5.5% 0.4% 4.27B -84.68B -639.7M 1.22 1.24 N/A N/A 1,695,856 2,076,341 7,841,066 13,018,735 2021-03-15 $395.39 $378.00 15.1% 4.5% 16.8% 0.0% 17.9% 5.0% 0.5% 7.93B -92.44B -613.6M 1.20 1.36 N/A N/A 1,542,142 1,848,844 7,654,251 12,448,680 2021-03-16 $396.35 $379.00 15.2% 4.4% 16.8% 0.2% 18.4% 5.3% 0.5% 6.73B -96.03B -604.3M 1.36 1.41 N/A N/A 1,447,147 1,972,241 7,582,980 12,452,539 2021-03-17 $396.76 $380.00 14.8% 4.2% 16.8% 0.0% 17.0% 4.6% 0.3% 7.08B -97.48B -604.3M 1.10 1.56 N/A N/A 1,977,924 2,181,762 7,763,931 12,924,412 2021-03-18 $391.24 $380.00 17.1% 4.9% 17.6% 3.7% 18.6% 6.7% -0.2% 1.66B -48.01B -620.5M 0.75 1.57 N/A N/A 2,726,808 2,043,529 7,420,822 12,679,212 2021-03-19 $391.15 $385.00 15.8% 4.5% 17.6% 2.1% 17.4% 6.3% 0.3% 56.8M -12.98B -633.2M 1.17 1.45 N/A N/A 2,175,864 2,536,774 6,780,378 12,961,941 2021-03-22 $392.67 $385.00 14.2% 4.2% 17.4% 0.0% 16.6% 5.7% 0.9% 2.97B -25.73B -618.3M 1.26 1.48 N/A N/A 1,452,122 1,829,434 5,974,287 9,772,249 2021-03-23 $389.18 $386.00 16.3% 4.7% 17.7% 4.9% 19.0% 7.0% 0.5% -1.62B -4.21B -627.2M 1.21 1.60 N/A N/A 1,686,547 2,032,469 5,912,555 9,992,879 2021-03-24 $388.92 $386.00 16.3% 4.6% 17.5% 4.8% 17.7% 6.9% -0.6% -3.07B -801.0M -634.0M 1.30 1.54 N/A N/A 2,027,509 2,642,782 6,180,661 10,379,661 2021-03-25 $389.98 $386.00 15.4% 4.4% 15.3% 2.8% 17.8% 6.5% -0.2% -1.29B -8.09B -636.5M 1.19 1.50 N/A N/A 2,225,979 2,638,660 6,097,775 10,517,729 2021-03-26 $393.54 $386.00 14.2% 4.0% 15.5% 0.0% 16.6% 6.6% 0.4% 6.50B -33.14B -640.7M 1.47 1.55 N/A N/A 2,054,069 3,024,420 6,373,069 10,922,798 2021-03-29 $395.83 $386.00 16.2% 4.5% 14.9% 4.6% 19.0% 6.2% -0.0% 4.33B -37.75B -641.7M 1.20 1.36 N/A N/A 2,264,999 2,726,572 6,031,900 10,822,898 2021-03-30 $394.64 $387.00 15.3% 4.2% 14.8% 2.7% 16.3% 6.4% 0.2% 2.27B -27.28B -640.1M 1.30 1.24 N/A N/A 1,226,799 1,596,902 6,104,673 11,096,685 2021-03-31 $396.71 $388.00 14.9% 4.0% 14.0% 1.6% 15.8% 6.1% 0.3% 6.18B -41.16B -637.3M 1.21 1.47 N/A N/A 1,831,948 2,219,167 6,306,637 11,343,601
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