SPY Options History — May 2021 In May 2021, SPY traded between $406.46 and $422.36. ATM implied volatility averaged 15.4%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.0% (HV 20d: 13.3%). Max pain ranged from $395.00 to $406.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.38.
Notable Days 2021-05-12 : Highest Volume — 6,088,223 contracts2021-05-12 : Largest IV spike — 27.9% change2021-05-12 : Highest IV Rank — 43.0%2021-05-12 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $416.18 $406.46 $422.36 $418.27 $420.61 Max Pain $399.15 $395.00 $406.00 $405.00 $400.00 ATM IV 15.4% 11.8% 22.0% 14.1% 11.8% Expected Move 4.5% 3.4% 6.3% 4.0% 3.4% HV 20d 13.3% 9.2% 15.6% 9.2% 15.1% HV 60d 13.4% 12.4% 14.6% 12.4% 12.6% IV Rank 12.2% 0.0% 43.0% 6.3% 0.0% IV Percentile 16.0% 0.0% 66.7% 6.0% 0.0% Term Structure 0.1% -0.6% 0.8% 0.3% 0.2% VWIV 18.2% 14.1% 24.1% 16.7% 14.1% Skew 25d 7.1% 5.2% 10.1% 6.2% 5.2% Skew 10d 14.4% 11.6% 21.3% 12.2% 11.6% Call IV 25d 12.7% 10.3% 17.3% 11.9% 10.3% Put IV 25d 19.8% 15.5% 27.4% 18.1% 15.5% Bid-Ask Spread % 1.38 1.18 1.53 1.18 1.50 Gamma HHI 0.03 0.02 0.06 0.03 0.06 Net GEX -662.5M -7.98B 7.33B -504.6M 5.20B Net DEX -42.48B -87.77B 26.40B -54.11B -65.72B Net VEX -679.7M -751.6M -629.4M -673.8M -629.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 1.11 1.59 1.32 1.46 Total Volume 3,931,414.9 2,468,744 6,088,223 3,272,892 3,161,363 Total OI 18,966,689.6 17,262,275 20,523,866 18,031,710 18,944,851
Daily Data (20 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 2021-05-03 $418.27 $405.00 14.1% 4.0% 9.2% 6.3% 16.7% 6.2% 0.3% -504.6M -54.11B -673.8M 1.32 1.18 N/A N/A 1,412,040 1,860,852 6,046,322 11,985,388 2021-05-04 $413.90 $406.00 16.1% 4.6% 10.1% 15.4% 17.7% 7.3% 0.3% -4.99B -25.43B -699.0M 1.11 1.18 N/A N/A 1,926,727 2,146,927 6,062,623 12,003,989 2021-05-05 $416.02 $406.00 15.1% 4.2% 10.2% 10.7% 16.7% 6.9% -0.2% -1.30B -44.02B -684.2M 1.50 1.19 N/A N/A 1,496,640 2,244,053 6,364,985 12,334,471 2021-05-06 $417.71 $395.00 14.6% 4.5% 10.2% 8.3% 18.1% 7.1% -0.3% 775.8M -52.66B -683.9M 1.55 1.42 N/A N/A 1,312,209 2,035,804 6,211,331 12,258,605 2021-05-07 $422.36 $395.00 12.9% 4.1% 10.7% 0.5% 16.3% 5.5% 0.8% 7.33B -87.77B -656.1M 1.28 1.44 N/A N/A 1,967,905 2,525,106 6,388,131 12,691,894 2021-05-10 $419.58 $395.00 14.1% 4.3% 11.0% 6.0% 17.4% 6.4% 0.3% -1.34B -57.14B -672.1M 1.39 1.53 N/A N/A 1,698,801 2,369,398 6,257,620 12,410,135 2021-05-11 $413.92 $396.00 17.2% 5.1% 12.1% 20.5% 19.9% 7.8% 0.5% -4.77B -20.70B -700.4M 1.41 1.34 N/A N/A 1,959,295 2,768,586 6,360,591 12,505,305 2021-05-12 $406.46 $396.00 22.0% 6.3% 13.7% 43.0% 24.1% 10.1% -0.6% -7.98B 26.40B -751.6M 1.51 1.24 N/A N/A 2,423,863 3,664,360 6,710,165 12,830,112 2021-05-13 $412.21 $397.00 18.1% 5.3% 14.0% 24.6% 20.5% 8.4% -0.4% -2.88B -20.89B -726.6M 1.44 1.21 N/A N/A 1,799,997 2,597,496 6,829,808 12,912,935 2021-05-14 $416.74 $397.00 14.7% 4.4% 14.5% 8.7% 19.4% 6.9% 0.2% 2.65B -58.74B -689.4M 1.36 1.43 N/A N/A 1,865,895 2,534,904 7,009,207 13,216,390 2021-05-17 $415.45 $398.00 16.0% 4.8% 14.3% 15.1% 18.6% 7.7% 0.6% -2.37B -41.31B -687.8M 1.24 1.44 N/A N/A 1,619,335 2,011,983 6,685,165 12,931,692 2021-05-18 $414.02 $398.00 16.3% 4.7% 14.3% 16.2% 19.2% 7.6% 0.5% -2.66B -33.97B -683.1M 1.33 1.49 N/A N/A 1,061,347 1,407,397 6,637,913 12,811,656 2021-05-19 $409.21 $399.00 18.7% 5.4% 14.5% 27.7% 21.4% 8.9% -0.4% -7.53B -979.3M -700.7M 1.54 1.28 N/A N/A 2,210,885 3,412,162 6,871,082 13,024,818 2021-05-20 $415.77 $400.00 16.0% 4.6% 15.4% 14.8% 19.6% 7.6% -0.4% 821.6M -52.49B -681.5M 1.18 1.50 N/A N/A 1,758,628 2,078,028 6,860,511 13,008,816 2021-05-21 $415.01 $400.00 15.4% 4.5% 15.0% 12.4% 19.1% 7.8% 0.1% -1.43B -44.25B -684.4M 1.29 1.45 N/A N/A 2,092,225 2,707,167 7,036,482 13,487,384 2021-05-24 $419.74 $400.00 13.7% 4.0% 15.5% 4.1% 17.5% 6.5% 0.2% 4.60B -60.51B -648.1M 1.43 1.45 N/A N/A 1,544,364 2,212,047 6,038,854 11,223,421 2021-05-25 $418.33 $400.00 14.4% 4.2% 15.6% 7.4% 17.2% 6.7% 0.1% 312.7M -46.89B -660.4M 1.59 1.53 N/A N/A 1,181,787 1,875,656 6,153,061 11,611,982 2021-05-26 $418.85 $400.00 13.4% 3.9% 15.6% 2.9% 16.6% 6.1% -0.3% 667.8M -51.56B -651.6M 1.22 1.42 N/A N/A 1,353,164 1,650,339 6,363,234 12,013,178 2021-05-27 $419.46 $400.00 12.7% 3.7% 15.5% 0.0% 14.3% 5.7% -0.2% 2.14B -56.87B -629.4M 1.50 1.45 N/A N/A 1,072,081 1,607,482 6,275,210 11,964,475 2021-05-28 $420.61 $400.00 11.8% 3.4% 15.1% 0.0% 14.1% 5.2% 0.2% 5.20B -65.72B -629.8M 1.46 1.50 N/A N/A 1,283,582 1,877,781 6,473,371 12,471,480
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