SPY Options History — September 2021 In September 2021, SPY traded between $430.81 and $453.23. ATM implied volatility averaged 14.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.6% (HV 20d: 10.0%). Max pain ranged from $434.00 to $445.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.24.
Notable Days 2021-09-20 : Highest Volume — 8,519,377 contracts2021-09-20 : Largest IV spike — 39.2% change2021-09-20 : Highest IV Rank — 45.1%2021-09-20 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $443.80 $430.81 $453.23 $451.96 $430.81 Max Pain $443.52 $434.00 $445.00 $434.00 $443.00 ATM IV 14.6% 10.0% 20.9% 11.0% 19.5% Expected Move 4.3% 3.0% 6.1% 3.0% 5.8% HV 20d 10.0% 7.3% 14.1% 7.3% 14.1% HV 60d 10.8% 9.8% 12.3% 10.1% 12.3% IV Rank 18.9% 0.0% 45.1% 2.6% 39.3% IV Percentile 37.1% 0.0% 82.5% 2.8% 81.0% Term Structure 0.1% -0.4% 0.6% 0.5% -0.2% VWIV 17.1% 12.8% 23.7% 12.8% 21.1% Skew 25d 8.0% 5.5% 11.2% 5.9% 10.0% Skew 10d 15.3% 9.9% 21.3% 12.6% 17.5% Call IV 25d 11.6% 8.7% 15.9% 9.4% 14.7% Put IV 25d 19.6% 14.3% 27.1% 15.2% 24.7% Bid-Ask Spread % 1.43 1.08 2.16 1.54 1.39 Gamma HHI 0.04 0.03 0.06 0.04 0.03 Net GEX -1.67B -9.60B 9.93B 4.08B -9.60B Net DEX -22.91B -105.58B 65.73B -89.93B 65.73B Net VEX -669.3M -705.6M -617.6M -664.8M -694.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.75 1.48 1.30 1.30 Total Volume 4,866,682.19 3,020,447 8,519,377 3,264,552 6,164,552 Total OI 18,894,003.81 15,734,721 20,629,334 19,433,454 18,831,135
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 2021-09-01 $451.96 $434.00 11.0% 3.0% 7.3% 2.6% 12.8% 5.9% 0.5% 4.08B -89.93B -664.8M 1.30 1.54 N/A N/A 1,422,197 1,842,355 6,473,340 12,960,114 2021-09-02 $452.35 $442.00 11.5% 3.5% 7.3% 4.5% 15.3% 6.0% 0.6% 6.04B -92.13B -661.8M 1.29 1.45 N/A N/A 1,317,097 1,703,350 6,368,118 12,929,097 2021-09-03 $453.23 $443.00 10.0% 3.3% 7.3% 0.0% 13.5% 5.5% 0.3% 9.93B -105.58B -637.7M 1.29 1.28 N/A N/A 1,531,878 1,982,045 6,562,062 13,435,106 2021-09-07 $451.74 $444.00 12.1% 3.6% 7.4% 8.5% 14.5% 6.9% -0.2% 3.39B -83.38B -644.1M 0.97 1.28 N/A N/A 1,812,361 1,766,683 6,314,461 12,836,866 2021-09-08 $450.70 $444.00 12.1% 3.6% 7.5% 8.5% 17.5% 6.9% -0.1% 1.87B -74.54B -643.2M 1.25 1.28 N/A N/A 1,923,078 2,400,123 6,433,705 12,958,671 2021-09-09 $449.90 $444.00 12.6% 3.8% 7.6% 10.6% 15.2% 7.0% -0.2% 1.61B -67.60B -655.6M 1.10 1.45 N/A N/A 1,807,146 1,990,654 6,569,036 13,108,832 2021-09-10 $445.96 $444.00 14.5% 4.2% 8.2% 18.4% 16.8% 8.3% 0.2% -5.13B -26.68B -685.1M 1.20 1.44 N/A N/A 2,478,681 2,962,521 6,696,462 13,525,692 2021-09-13 $445.79 $445.00 14.2% 4.1% 8.2% 17.2% 16.8% 8.1% 0.2% -2.45B -34.51B -651.7M 1.42 1.28 N/A N/A 2,142,750 3,053,039 6,430,754 13,046,548 2021-09-14 $443.79 $444.00 14.6% 4.2% 8.3% 18.8% 16.7% 8.1% 0.3% -3.67B -22.88B -652.1M 1.23 1.38 N/A N/A 1,995,353 2,447,947 6,510,631 13,242,456 2021-09-15 $448.32 $445.00 12.7% 3.6% 8.6% 11.1% 14.2% 6.6% -0.2% 1.84B -64.58B -617.6M 1.16 1.55 N/A N/A 2,430,921 2,815,995 6,743,480 13,595,199 2021-09-16 $447.55 $445.00 12.6% 3.6% 8.4% 10.7% 14.6% 6.9% -0.2% -1.38B -46.76B -631.1M 0.75 1.73 N/A N/A 2,869,601 2,146,796 6,614,141 13,337,195 2021-09-17 $441.54 $445.00 15.0% 4.4% 9.8% 20.7% 16.7% 8.7% 0.2% -7.52B 2.25B -681.1M 1.00 1.35 N/A N/A 3,236,591 3,234,688 6,796,313 13,833,021 2021-09-20 $432.26 $445.00 20.9% 6.1% 11.9% 45.1% 23.7% 11.2% 0.1% -7.99B 60.39B -690.0M 1.40 1.35 N/A N/A 3,556,656 4,962,721 5,080,494 10,654,227 2021-09-21 $434.92 $445.00 18.8% 5.5% 11.6% 36.5% 21.2% 9.7% 0.1% -8.31B 47.18B -692.1M 1.39 1.23 N/A N/A 1,955,274 2,724,275 5,353,117 10,978,673 2021-09-22 $438.40 $445.00 16.6% 4.8% 12.0% 27.4% 17.7% 8.7% -0.3% -4.20B 18.45B -696.1M 1.31 1.59 N/A N/A 2,442,529 3,197,312 5,982,490 11,719,573 2021-09-23 $443.55 $445.00 13.9% 3.9% 12.8% 16.2% 17.3% 7.5% -0.2% 779.4M -15.39B -688.6M 1.38 1.31 N/A N/A 2,049,490 2,833,109 5,934,350 11,657,645 2021-09-24 $444.57 $442.00 12.9% 3.6% 12.7% 11.9% 15.5% 7.3% 0.3% 3.53B -30.02B -687.5M 1.30 1.27 N/A N/A 1,909,367 2,473,307 6,418,055 12,118,206 2021-09-27 $443.07 $443.00 13.8% 3.8% 12.2% 15.7% 16.0% 8.0% 0.3% -1.03B -13.46B -676.0M 1.02 1.08 N/A N/A 1,862,157 1,895,937 6,112,386 11,800,284 2021-09-28 $434.35 $443.00 18.8% 5.6% 13.8% 36.2% 21.7% 9.7% 0.2% -7.74B 45.84B -705.6M 1.48 2.16 N/A N/A 2,445,896 3,609,022 6,191,754 11,951,529 2021-09-29 $435.02 $444.00 18.8% 5.5% 13.8% 36.3% 20.7% 9.9% -0.4% -9.11B 46.59B -698.4M 1.47 1.61 N/A N/A 1,942,075 2,862,797 6,397,730 12,271,132 2021-09-30 $430.81 $443.00 19.5% 5.8% 14.1% 39.3% 21.1% 10.0% -0.2% -9.60B 65.73B -694.3M 1.30 1.39 N/A N/A 2,680,892 3,483,660 6,504,862 12,326,273
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