SPY Options History — August 2021 In August 2021, SPY traded between $437.64 and $452.49. ATM implied volatility averaged 12.4%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.4% (HV 20d: 10.0%). Max pain ranged from $424.00 to $433.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.30.
Notable Days 2021-08-19 : Highest Volume — 5,108,036 contracts2021-08-27 : Largest IV drop — 20.1% change2021-08-19 : Highest IV Rank — 22.7%2021-08-19 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $444.53 $437.64 $452.49 $437.64 $451.70 Max Pain $428.77 $424.00 $433.00 $430.00 $433.00 ATM IV 12.4% 10.5% 15.8% 14.3% 11.1% Expected Move 3.6% 2.9% 4.6% 3.8% 3.0% HV 20d 10.0% 6.8% 14.1% 14.0% 7.4% HV 60d 10.6% 9.8% 12.4% 12.4% 10.1% IV Rank 8.3% 0.4% 22.7% 16.3% 2.7% IV Percentile 12.6% 0.8% 38.5% 26.6% 2.8% Term Structure 0.1% -0.4% 0.7% 0.3% 0.2% VWIV 14.9% 11.1% 18.6% 15.9% 13.3% Skew 25d 7.0% 5.7% 9.4% 8.3% 6.8% Skew 10d 13.8% 11.3% 17.6% 16.2% 13.5% Call IV 25d 10.2% 8.9% 12.8% 11.5% 9.5% Put IV 25d 17.2% 14.6% 22.1% 19.8% 16.3% Bid-Ask Spread % 1.41 1.04 1.81 1.24 1.46 Gamma HHI 0.05 0.02 0.13 0.03 0.05 Net GEX 5.29B -5.20B 13.23B -526.5M 6.35B Net DEX -66.09B -103.88B -28.09B -33.69B -88.75B Net VEX -660.5M -708.8M -621.4M -692.5M -660.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 1.00 1.79 1.15 1.24 Total Volume 3,469,538.045 1,950,370 5,108,036 3,647,262 2,628,922 Total OI 18,533,398.773 17,391,591 20,654,907 17,391,591 18,509,024
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 2021-08-02 $437.64 $430.00 14.3% 3.8% 14.0% 16.3% 15.9% 8.3% 0.3% -526.5M -33.69B -692.5M 1.15 1.24 N/A N/A 1,693,192 1,954,070 5,506,160 11,885,431 2021-08-03 $440.70 $431.00 13.0% 3.3% 14.1% 10.9% 14.6% 7.2% 0.3% 3.29B -54.06B -671.3M 1.71 1.04 N/A N/A 1,261,517 2,152,441 5,547,659 12,107,405 2021-08-04 $439.65 $432.00 13.1% 3.3% 14.1% 11.3% 13.4% 7.3% -0.3% 3.22B -45.62B -684.1M 1.22 1.30 N/A N/A 1,351,203 1,642,850 5,759,530 12,527,075 2021-08-05 $441.17 $424.00 12.8% 3.9% 13.5% 10.1% 15.6% 7.3% -0.2% 3.93B -54.35B -677.8M 1.05 1.30 N/A N/A 951,030 999,340 5,676,560 12,566,325 2021-08-06 $442.15 $424.00 12.0% 3.7% 12.8% 6.5% 15.0% 6.3% -0.2% 10.15B -68.64B -649.7M 1.32 1.25 N/A N/A 1,404,984 1,861,273 5,848,480 12,815,680 2021-08-09 $442.18 $425.00 11.9% 3.7% 12.7% 6.4% 16.4% 6.3% 0.4% 4.12B -60.62B -641.3M 1.42 1.28 N/A N/A 1,070,485 1,520,505 5,582,160 12,182,807 2021-08-10 $442.43 $425.00 12.1% 3.7% 12.7% 7.2% 14.6% 6.6% 0.2% 3.45B -58.53B -645.4M 1.25 1.34 N/A N/A 1,065,444 1,332,962 5,621,952 12,453,964 2021-08-11 $443.49 $425.00 11.8% 3.6% 12.7% 5.6% 18.0% 6.3% -0.1% 6.38B -66.50B -645.4M 1.40 1.42 N/A N/A 1,193,779 1,666,629 5,796,987 12,793,667 2021-08-12 $444.96 $426.00 11.1% 3.4% 12.6% 3.0% 15.2% 6.3% -0.1% 8.12B -75.72B -637.5M 1.59 1.46 N/A N/A 930,322 1,476,249 5,749,943 12,847,684 2021-08-13 $445.68 $426.00 10.6% 3.3% 12.2% 0.8% 14.0% 5.7% 0.3% 13.23B -85.06B -628.4M 1.45 1.44 N/A N/A 1,251,724 1,812,109 5,907,087 13,213,739 2021-08-16 $446.46 $427.00 11.4% 3.5% 9.2% 4.2% 14.5% 6.4% 0.7% 7.20B -85.79B -621.4M 1.38 1.52 N/A N/A 1,747,885 2,411,315 5,693,603 12,868,453 2021-08-17 $442.89 $428.00 13.3% 3.9% 7.0% 12.0% 15.5% 7.2% 0.5% -548.8M -50.61B -659.3M 1.00 1.42 N/A N/A 2,548,305 2,553,557 5,701,986 13,096,117 2021-08-18 $440.60 $429.00 14.7% 4.2% 7.2% 18.1% 16.9% 8.3% -0.4% -5.20B -28.09B -683.3M 1.08 1.81 N/A N/A 2,065,898 2,237,561 5,963,865 13,671,685 2021-08-19 $439.82 $430.00 15.8% 4.6% 7.2% 22.7% 18.6% 9.4% -0.4% -1.74B -29.59B -708.8M 1.44 1.18 N/A N/A 2,094,876 3,013,160 6,261,126 13,699,479 2021-08-20 $443.60 $430.00 12.8% 3.7% 6.8% 10.2% 17.0% 7.5% 0.4% 5.11B -65.06B -686.8M 1.35 1.52 N/A N/A 1,886,600 2,553,353 6,546,389 14,108,518 2021-08-23 $447.60 $430.00 11.8% 3.3% 7.5% 5.9% 14.2% 7.1% 0.4% 7.30B -78.06B -652.0M 1.12 1.48 N/A N/A 1,913,448 2,140,793 5,763,801 11,733,169 2021-08-24 $448.02 $430.00 11.9% 3.3% 7.1% 6.0% 13.5% 7.1% 0.3% 7.81B -77.77B -668.8M 1.11 1.46 N/A N/A 1,178,329 1,307,137 5,854,592 11,838,392 2021-08-25 $449.35 $432.00 11.4% 3.2% 7.1% 4.3% 13.0% 6.9% -0.4% 10.50B -89.53B -649.3M 1.27 1.55 N/A N/A 1,383,526 1,762,479 6,064,063 12,350,805 2021-08-26 $446.49 $432.00 13.2% 3.7% 7.5% 11.6% 15.8% 8.0% 0.1% 3.52B -56.63B -694.8M 1.79 1.56 N/A N/A 1,408,197 2,518,461 6,036,796 12,297,609 2021-08-27 $450.54 $432.00 10.5% 2.9% 7.6% 0.4% 11.9% 5.9% 0.6% 10.13B -97.35B -649.9M 1.20 1.51 N/A N/A 2,158,276 2,583,224 6,255,517 12,768,828 2021-08-30 $452.49 $432.00 11.6% 3.0% 7.6% 5.1% 11.1% 5.7% -0.4% 10.48B -103.88B -622.5M 1.07 1.47 N/A N/A 1,758,386 1,884,041 5,946,773 12,313,888 2021-08-31 $451.70 $433.00 11.1% 3.0% 7.4% 2.7% 13.3% 6.8% 0.2% 6.35B -88.75B -660.2M 1.24 1.46 N/A N/A 1,172,780 1,456,142 6,144,004 12,365,020
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