SPY Options History — June 2021 In June 2021, SPY traded between $416.67 and $428.42. ATM implied volatility averaged 11.9%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.4% (HV 20d: 10.5%). Max pain ranged from $400.00 to $420.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.28.
Notable Days 2021-06-18 : Highest Volume — 4,868,921 contracts2021-06-18 : Largest IV spike — 29.6% change2021-06-18 : Highest IV Rank — 17.8%2021-06-18 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $423.05 $416.67 $428.42 $419.71 $428.42 Max Pain $414.09 $400.00 $420.00 $400.00 $420.00 ATM IV 11.9% 10.4% 14.7% 13.2% 11.3% Expected Move 3.4% 2.8% 4.1% 3.9% 2.8% HV 20d 10.5% 8.0% 15.1% 15.1% 8.1% HV 60d 11.6% 11.1% 11.9% 11.9% 11.1% IV Rank 4.3% 0.0% 17.8% 6.3% 3.6% IV Percentile 2.4% 0.0% 16.7% 2.4% 2.4% Term Structure 0.1% -0.8% 1.0% 0.2% -0.1% VWIV 14.3% 11.5% 17.4% 15.9% 12.3% Skew 25d 5.8% 4.5% 7.5% 6.0% 5.8% Skew 10d 11.5% 9.3% 16.4% 11.5% 11.5% Call IV 25d 10.1% 8.8% 11.5% 11.2% 9.3% Put IV 25d 15.9% 13.8% 18.8% 17.2% 15.1% Bid-Ask Spread % 1.47 1.09 1.75 1.44 1.49 Gamma HHI 0.05 0.02 0.07 0.02 0.04 Net GEX 3.09B -10.91B 9.58B -1.12B 4.74B Net DEX -55.19B -84.88B 22.95B -53.75B -52.43B Net VEX -612.1M -642.5M -582.3M -622.9M -623.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.74 1.73 1.00 1.12 Total Volume 3,162,591.136 2,265,854 4,868,921 3,328,118 2,583,418 Total OI 18,281,946 15,533,894 20,305,373 18,100,720 17,154,568
Daily Data (22 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 2021-06-01 $419.71 $400.00 13.2% 3.9% 15.1% 6.3% 15.9% 6.0% 0.2% -1.12B -53.75B -622.9M 1.00 1.44 N/A N/A 1,660,297 1,667,821 6,240,407 11,860,313 2021-06-02 $419.85 $400.00 12.8% 3.7% 14.6% 4.8% 15.7% 5.8% -0.3% 658.4M -54.94B -621.2M 1.73 1.45 N/A N/A 1,127,799 1,949,206 6,363,064 11,989,681 2021-06-03 $418.83 $412.00 13.3% 3.9% 14.5% 6.8% 15.8% 6.2% -0.4% -1.57B -46.38B -637.4M 1.33 1.09 N/A N/A 1,297,217 1,728,940 6,369,806 12,305,765 2021-06-04 $422.67 $412.00 11.7% 3.6% 14.8% 0.0% 15.1% 5.1% -0.4% 8.51B -79.74B -612.1M 1.37 1.28 N/A N/A 1,394,111 1,906,570 6,599,362 12,676,345 2021-06-07 $421.89 $412.00 11.8% 3.6% 14.3% 0.2% 16.5% 5.0% 0.2% 3.85B -71.21B -597.6M 1.43 1.30 N/A N/A 1,055,695 1,512,863 6,397,984 12,338,381 2021-06-08 $422.54 $413.00 11.8% 3.5% 14.1% 0.5% 14.5% 5.2% 0.4% 3.19B -74.04B -596.2M 1.34 1.33 N/A N/A 1,111,221 1,491,108 6,422,769 12,595,074 2021-06-09 $421.77 $414.00 12.8% 3.8% 13.1% 4.8% 14.3% 5.9% -0.2% 505.4M -65.16B -620.6M 1.49 1.32 N/A N/A 1,014,365 1,516,390 6,611,524 12,952,548 2021-06-10 $423.26 $414.00 11.1% 3.3% 11.0% 0.0% 12.7% 4.8% -0.3% 4.64B -80.27B -591.7M 1.38 1.45 N/A N/A 1,421,242 1,957,914 6,547,629 12,963,238 2021-06-11 $423.68 $415.00 10.4% 3.2% 10.1% 0.0% 14.5% 4.5% 0.3% 6.38B -84.88B -582.3M 1.28 1.45 N/A N/A 1,454,606 1,862,311 6,769,910 13,363,321 2021-06-14 $424.15 $415.00 11.3% 3.3% 9.4% 3.7% 14.1% 5.2% 0.3% 4.30B -82.64B -583.3M 1.32 1.50 N/A N/A 1,143,517 1,512,426 6,569,742 12,927,142 2021-06-15 $424.68 $415.00 11.5% 3.3% 9.3% 4.5% 13.6% 5.3% 0.3% 4.54B -82.70B -590.1M 1.40 1.47 N/A N/A 945,229 1,320,625 6,602,340 13,040,634 2021-06-16 $422.67 $415.00 12.1% 3.5% 9.4% 7.1% 15.3% 6.4% -0.8% -946.2M -63.44B -604.2M 1.10 1.72 N/A N/A 2,080,794 2,297,730 6,763,403 13,435,646 2021-06-17 $422.68 $415.00 11.3% 3.3% 8.1% 3.7% 14.6% 5.7% -0.7% 2.31B -65.81B -600.4M 0.74 1.75 N/A N/A 2,635,014 1,941,996 6,908,345 13,397,028 2021-06-18 $416.67 $416.00 14.7% 4.1% 8.2% 17.8% 17.4% 7.5% 0.2% -10.91B 22.95B -642.5M 1.19 1.19 N/A N/A 2,227,307 2,641,614 5,943,251 13,716,590 2021-06-21 $420.43 $416.00 13.3% 3.8% 8.7% 12.2% 15.5% 7.1% 0.3% 1.76B -17.21B -634.6M 1.34 1.55 N/A N/A 1,757,080 2,354,835 5,220,007 10,313,887 2021-06-22 $423.45 $416.00 11.8% 3.4% 8.1% 5.7% 13.9% 6.1% 1.0% 5.18B -34.56B -624.1M 1.50 1.63 N/A N/A 1,258,144 1,886,597 5,221,544 10,563,375 2021-06-23 $423.25 $416.00 11.7% 3.2% 8.0% 5.1% 12.6% 6.3% -0.4% 4.76B -33.78B -621.3M 1.08 1.62 N/A N/A 1,338,359 1,443,700 5,400,417 11,074,310 2021-06-24 $425.20 $417.00 11.2% 3.1% 8.1% 3.0% 13.7% 6.0% -0.1% 7.95B -45.15B -616.0M 1.32 1.74 N/A N/A 1,195,642 1,577,503 5,383,329 11,043,428 2021-06-25 $426.46 $418.00 10.6% 2.9% 8.2% 0.9% 11.5% 5.4% 0.5% 9.58B -51.84B -617.3M 1.20 1.68 N/A N/A 1,338,086 1,606,893 5,537,739 11,436,908 2021-06-28 $427.24 $419.00 10.8% 2.9% 8.1% 1.7% 12.8% 6.2% 0.7% 4.60B -48.03B -610.9M 1.28 1.48 N/A N/A 1,258,363 1,610,695 5,306,892 11,199,031 2021-06-29 $427.59 $420.00 11.2% 2.8% 8.1% 3.2% 13.0% 5.8% 0.5% 5.14B -49.14B -617.2M 1.23 1.48 N/A N/A 1,118,692 1,373,070 5,396,575 11,279,560 2021-06-30 $428.42 $420.00 11.3% 2.8% 8.1% 3.6% 12.3% 5.8% -0.1% 4.74B -52.43B -623.2M 1.12 1.49 N/A N/A 1,221,360 1,362,058 5,482,869 11,671,699
« May 2021 | All History | Jul 2021 » Home SPY History June 2021