SPY Options History — April 2021

In April 2021, SPY traded between $399.82 and $420.18. ATM implied volatility averaged 13.9%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.6% (HV 20d: 10.2%). Max pain ranged from $388.00 to $405.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.28.

Notable Days

2021-04-22: Highest Volume — 5,096,817 contracts
2021-04-19: Largest IV spike — 11.2% change
2021-04-22: Highest IV Rank — 10.4%
2021-04-22: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$412.89	$399.82	$420.18	$399.82	$416.52
Max Pain	$398.00	$388.00	$405.00	$388.00	$405.00
ATM IV	13.9%	12.8%	15.3%	13.5%	14.8%
Expected Move	4.0%	3.5%	4.4%	3.5%	4.2%
HV 20d	10.2%	9.1%	11.8%	11.8%	10.6%
HV 60d	14.5%	12.2%	15.6%	15.3%	12.4%
IV Rank	3.5%	0.0%	10.4%	0.0%	9.4%
IV Percentile	2.7%	0.0%	8.3%	0.0%	7.9%
Term Structure	-0.0%	-0.7%	0.5%	-0.1%	-0.3%
VWIV	16.2%	14.7%	18.5%	15.3%	16.5%
Skew 25d	5.4%	4.5%	6.8%	5.2%	6.8%
Skew 10d	11.1%	9.2%	13.7%	10.5%	13.7%
Call IV 25d	12.0%	11.2%	12.9%	12.1%	12.6%
Put IV 25d	17.4%	15.8%	19.3%	17.3%	19.3%
Bid-Ask Spread %	1.29	1.13	1.65	1.13	1.25
Gamma HHI	0.05	0.03	0.18	0.18	0.03
Net GEX	3.97B	-3.83B	10.65B	10.65B	-3.83B
Net DEX	-70.76B	-107.53B	-39.85B	-49.84B	-45.11B
Net VEX	-641.3M	-690.3M	-614.0M	-630.4M	-690.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.97	1.57	1.33	1.18
Total Volume	3,671,340.667	2,275,328	5,096,817	4,371,262	4,221,279
Total OI	17,856,131.476	16,506,917	19,756,156	16,638,156	19,157,101

Daily Data (21 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
2021-04-01	$399.82	$388.00	13.5%	3.5%	11.8%	0.0%	15.3%	5.2%	-0.1%	10.65B	-49.84B	-630.4M	1.33	1.13	N/A	N/A	1,876,271	2,494,991	5,970,868	10,667,288
2021-04-05	$406.38	$389.00	14.3%	4.1%	10.8%	2.2%	16.5%	4.6%	-0.1%	7.54B	-77.64B	-617.6M	1.29	1.20	N/A	N/A	1,199,013	1,541,251	5,945,028	10,786,521
2021-04-06	$405.88	$390.00	14.2%	4.2%	10.8%	2.4%	17.6%	5.0%	-0.0%	4.33B	-66.40B	-624.1M	1.24	1.13	N/A	N/A	1,274,197	1,585,528	6,003,226	11,029,968
2021-04-07	$406.65	$390.00	13.5%	3.9%	10.4%	0.0%	15.9%	5.0%	0.1%	5.49B	-69.90B	-621.1M	1.39	1.23	N/A	N/A	1,460,345	2,035,419	6,228,102	11,386,312
2021-04-08	$408.24	$390.00	13.3%	4.0%	10.3%	0.0%	18.5%	4.9%	-0.7%	6.09B	-75.78B	-621.3M	1.40	1.34	N/A	N/A	1,107,492	1,549,103	6,142,757	11,513,505
2021-04-09	$410.82	$391.00	12.9%	3.9%	10.1%	0.0%	15.7%	4.6%	0.2%	8.99B	-91.77B	-617.8M	1.17	1.37	N/A	N/A	1,748,403	2,043,677	6,279,608	11,959,229
2021-04-12	$411.71	$394.00	13.3%	4.0%	10.1%	1.5%	16.5%	4.9%	0.2%	7.32B	-87.37B	-616.8M	1.13	1.30	N/A	N/A	1,728,609	1,956,455	6,212,303	11,790,281
2021-04-13	$412.95	$395.00	13.3%	3.9%	10.1%	1.5%	15.9%	4.5%	0.2%	5.29B	-89.40B	-614.0M	1.33	1.30	N/A	N/A	1,237,931	1,650,551	6,203,815	12,030,019
2021-04-14	$411.10	$396.00	14.0%	4.1%	10.3%	3.9%	16.6%	5.3%	-0.2%	-44.0M	-74.49B	-634.6M	1.33	1.59	N/A	N/A	1,768,365	2,360,012	6,399,555	12,411,693
2021-04-15	$416.04	$399.00	12.9%	3.8%	10.9%	0.0%	15.3%	4.8%	-0.1%	6.99B	-98.66B	-623.9M	1.51	1.65	N/A	N/A	1,382,199	2,088,124	6,266,027	12,437,485
2021-04-16	$417.46	$400.00	12.8%	3.8%	9.1%	0.0%	14.8%	4.5%	0.0%	8.62B	-107.53B	-639.6M	0.97	1.45	N/A	N/A	2,027,675	1,961,568	6,585,263	13,170,893
2021-04-19	$414.71	$400.00	14.2%	4.2%	9.6%	5.1%	17.3%	5.9%	0.2%	-1.14B	-55.44B	-651.0M	1.45	1.26	N/A	N/A	1,889,241	2,740,543	5,663,052	10,843,865
2021-04-20	$412.45	$402.00	15.3%	4.4%	10.1%	8.7%	18.2%	6.3%	0.3%	-2.67B	-39.85B	-674.9M	1.57	1.21	N/A	N/A	1,595,348	2,511,456	5,734,108	11,112,178
2021-04-21	$416.01	$402.00	13.9%	4.0%	9.4%	3.9%	16.6%	5.2%	-0.2%	3.74B	-67.82B	-650.2M	1.31	1.32	N/A	N/A	1,402,770	1,830,967	5,953,598	11,497,173
2021-04-22	$412.96	$403.00	15.3%	4.4%	10.0%	10.4%	16.8%	6.1%	-0.2%	-2.43B	-42.02B	-677.9M	1.39	1.35	N/A	N/A	2,134,019	2,962,798	5,828,768	11,591,067
2021-04-23	$417.27	$404.00	13.7%	3.9%	10.3%	3.9%	15.8%	5.5%	0.3%	6.60B	-73.44B	-654.8M	1.17	1.23	N/A	N/A	2,122,233	2,487,868	6,091,745	12,019,541
2021-04-26	$417.73	$405.00	14.1%	4.0%	10.2%	6.1%	16.3%	5.7%	0.5%	2.75B	-66.37B	-649.9M	1.03	1.24	N/A	N/A	1,647,245	1,689,606	5,870,068	11,679,017
2021-04-27	$417.92	$405.00	14.1%	3.9%	10.1%	6.0%	15.4%	5.8%	0.3%	2.22B	-65.47B	-653.2M	1.29	1.21	N/A	N/A	991,854	1,283,474	5,912,536	11,899,103
2021-04-28	$417.88	$405.00	13.8%	3.8%	10.0%	4.7%	15.1%	5.9%	-0.3%	2.16B	-65.17B	-652.6M	1.30	1.18	N/A	N/A	1,336,224	1,738,445	6,086,248	12,326,324
2021-04-29	$420.18	$405.00	13.8%	3.8%	10.0%	4.6%	14.7%	5.9%	-0.3%	4.66B	-76.48B	-652.3M	1.12	1.18	N/A	N/A	2,092,476	2,343,129	6,014,217	12,279,306
2021-04-30	$416.52	$405.00	14.8%	4.2%	10.6%	9.4%	16.5%	6.8%	-0.3%	-3.83B	-45.11B	-690.3M	1.18	1.25	N/A	N/A	1,935,256	2,286,023	6,282,118	12,874,983