SPY Options History — July 2021 In July 2021, SPY traded between $422.80 and $440.90. ATM implied volatility averaged 12.9%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.7% (HV 20d: 11.3%). Max pain ranged from $420.00 to $430.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.25.
Notable Days 2021-07-19 : Highest Volume — 6,520,269 contracts2021-07-19 : Largest IV spike — 34.1% change2021-07-19 : Highest IV Rank — 35.9%2021-07-19 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $434.90 $422.80 $440.90 $430.18 $438.15 Max Pain $425.14 $420.00 $430.00 $420.00 $430.00 ATM IV 12.9% 10.4% 18.9% 10.9% 13.4% Expected Move 3.7% 2.6% 5.4% 2.7% 3.6% HV 20d 11.3% 7.9% 14.2% 8.0% 14.2% HV 60d 11.9% 11.1% 12.7% 11.1% 12.4% IV Rank 10.6% 0.0% 35.9% 2.1% 12.4% IV Percentile 14.1% 0.0% 65.5% 1.2% 17.5% Term Structure 0.1% -0.3% 0.6% -0.1% 0.4% VWIV 15.4% 10.9% 21.8% 10.9% 14.3% Skew 25d 6.9% 5.0% 10.3% 5.5% 7.6% Skew 10d 13.7% 10.2% 19.8% 11.0% 15.0% Call IV 25d 10.5% 8.9% 14.3% 9.2% 10.6% Put IV 25d 17.4% 13.9% 24.6% 14.7% 18.2% Bid-Ask Spread % 1.21 1.03 1.42 1.37 1.11 Gamma HHI 0.05 0.02 0.16 0.04 0.03 Net GEX 3.82B -6.26B 13.24B 6.30B -214.1M Net DEX -54.19B -83.76B 33.98B -60.31B -46.61B Net VEX -673.1M -723.8M -622.7M -630.3M -689.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 1.02 1.58 1.41 1.20 Total Volume 3,921,130.905 2,440,986 6,520,269 2,440,986 4,075,657 Total OI 17,320,135.048 16,029,879 18,742,264 16,029,879 18,207,751
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 2021-07-01 $430.18 $420.00 10.9% 2.7% 8.0% 2.1% 10.9% 5.5% -0.1% 6.30B -60.31B -630.3M 1.41 1.37 N/A N/A 1,011,293 1,429,693 5,356,767 10,673,112 2021-07-02 $433.71 $420.00 10.4% 2.6% 7.9% 0.0% 10.9% 5.0% 0.3% 9.50B -83.76B -622.7M 1.22 1.41 N/A N/A 1,743,889 2,134,975 5,527,855 11,132,995 2021-07-06 $432.98 $420.00 11.6% 3.5% 7.9% 4.7% 14.8% 6.0% 0.3% 3.65B -62.90B -629.7M 1.24 1.13 N/A N/A 1,957,267 2,421,707 5,343,846 11,030,863 2021-07-07 $434.57 $420.00 11.8% 3.6% 8.0% 5.8% 15.4% 6.1% -0.2% 6.84B -69.71B -642.8M 1.18 1.19 N/A N/A 1,850,216 2,182,760 5,425,768 11,255,135 2021-07-08 $429.86 $421.00 14.2% 4.2% 9.0% 15.9% 18.7% 7.8% -0.3% -1.94B -31.15B -674.0M 1.28 1.03 N/A N/A 1,933,179 2,465,216 5,454,603 11,331,562 2021-07-09 $435.42 $421.00 11.5% 3.5% 9.9% 4.4% 16.3% 5.8% 0.2% 10.95B -81.05B -640.1M 1.18 1.18 N/A N/A 1,938,174 2,285,253 5,821,650 11,715,600 2021-07-12 $436.95 $422.00 11.9% 3.5% 10.0% 6.4% 14.8% 6.3% -0.1% 8.72B -80.76B -636.9M 1.14 1.18 N/A N/A 1,578,032 1,791,344 5,640,737 11,633,633 2021-07-13 $435.93 $424.00 12.4% 3.7% 10.1% 8.3% 15.5% 6.7% 0.2% 3.61B -67.71B -652.2M 1.17 1.24 N/A N/A 1,631,844 1,909,366 5,694,257 11,849,842 2021-07-14 $436.43 $425.00 12.3% 3.6% 10.1% 7.7% 14.8% 6.4% -0.2% 5.17B -72.27B -663.5M 1.37 1.29 N/A N/A 1,674,882 2,290,325 5,975,407 12,257,836 2021-07-15 $434.43 $425.00 12.8% 3.8% 10.0% 10.2% 15.3% 6.9% -0.2% 1.68B -55.39B -672.1M 1.58 1.21 N/A N/A 1,379,987 2,186,967 5,901,145 12,294,807 2021-07-16 $431.26 $425.00 14.1% 4.1% 10.5% 15.6% 15.9% 7.5% 0.2% -4.05B -26.92B -698.7M 1.23 1.16 N/A N/A 2,195,280 2,699,187 6,069,300 12,672,964 2021-07-19 $422.80 $428.00 18.9% 5.4% 11.7% 35.9% 21.8% 10.3% -0.3% -6.26B 33.98B -723.8M 1.57 1.16 N/A N/A 2,540,194 3,980,075 5,299,646 10,799,090 2021-07-20 $431.82 $426.00 14.6% 4.2% 13.5% 17.4% 19.1% 8.2% 0.3% 1.93B -30.40B -707.2M 1.21 1.18 N/A N/A 1,970,416 2,385,577 5,594,603 11,135,129 2021-07-21 $433.96 $427.00 13.4% 3.8% 13.4% 12.6% 16.0% 7.2% -0.2% 4.15B -41.54B -708.2M 1.08 1.27 N/A N/A 1,552,353 1,682,883 5,768,158 11,948,890 2021-07-22 $435.35 $428.00 13.2% 3.8% 13.4% 11.6% 16.4% 7.2% -0.2% 2.30B -42.64B -711.6M 1.33 1.31 N/A N/A 1,244,346 1,660,365 5,663,187 11,919,837 2021-07-23 $440.04 $428.00 11.8% 3.4% 13.7% 6.0% 14.7% 6.4% 0.4% 13.24B -78.95B -692.3M 1.02 1.42 N/A N/A 2,469,040 2,521,909 5,833,529 12,272,149 2021-07-26 $440.51 $428.00 12.8% 3.5% 13.7% 9.9% 15.5% 6.7% 0.4% 6.14B -69.63B -677.8M 1.07 1.21 N/A N/A 1,508,007 1,618,577 5,406,174 11,408,241 2021-07-27 $438.10 $430.00 14.1% 3.9% 14.0% 15.6% 15.5% 7.4% 0.6% 1.13B -46.70B -702.9M 1.42 1.27 N/A N/A 1,584,855 2,251,693 5,412,116 11,602,460 2021-07-28 $439.64 $430.00 13.0% 3.5% 14.0% 10.9% 14.0% 7.2% -0.1% 2.58B -57.78B -677.9M 1.13 1.03 N/A N/A 1,638,693 1,854,775 5,638,358 12,040,289 2021-07-29 $440.90 $430.00 12.7% 3.4% 14.0% 9.5% 13.6% 6.9% -0.1% 4.81B -65.74B -681.2M 1.19 1.14 N/A N/A 1,423,101 1,690,397 5,619,113 12,094,432 2021-07-30 $438.15 $430.00 13.4% 3.6% 14.2% 12.4% 14.3% 7.6% 0.4% -214.1M -46.61B -689.9M 1.20 1.11 N/A N/A 1,850,158 2,225,499 5,779,132 12,428,619
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