SPY Options History — October 2021 In October 2021, SPY traded between $428.95 and $458.73. ATM implied volatility averaged 14.3%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.4% (HV 20d: 14.6%). Max pain ranged from $438.00 to $445.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.30.
Notable Days 2021-10-01 : Highest Volume — 6,678,961 contracts2021-10-14 : Largest IV drop — 14.7% change2021-10-04 : Highest IV Rank — 40.7%2021-10-04 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $444.70 $428.95 $458.73 $434.42 $458.73 Max Pain $440.71 $438.00 $445.00 $442.00 $445.00 ATM IV 14.3% 11.5% 19.8% 17.4% 12.0% Expected Move 4.1% 3.3% 5.5% 5.1% 3.5% HV 20d 14.6% 10.7% 17.2% 14.5% 10.7% HV 60d 11.9% 11.2% 12.7% 12.2% 11.5% IV Rank 17.7% 6.2% 40.7% 30.6% 8.5% IV Percentile 35.8% 8.7% 83.7% 64.3% 16.3% Term Structure 0.0% -0.4% 0.4% 0.3% 0.4% VWIV 16.6% 14.1% 20.6% 19.4% 15.9% Skew 25d 6.8% 5.2% 8.8% 8.7% 6.3% Skew 10d 13.1% 11.1% 16.0% 15.8% 12.6% Call IV 25d 11.6% 9.7% 15.5% 13.3% 9.9% Put IV 25d 18.4% 15.1% 24.2% 22.0% 16.2% Bid-Ask Spread % 1.12 0.93 1.40 1.02 1.20 Gamma HHI 0.04 0.02 0.06 0.04 0.06 Net GEX 837.2M -8.51B 7.78B -8.51B 5.52B Net DEX -30.57B -84.16B 54.03B 36.04B -84.16B Net VEX -667.7M -697.1M -635.7M -697.1M -692.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 1.12 1.57 1.29 1.57 Total Volume 4,698,603.333 3,318,027 6,678,961 6,678,961 4,742,227 Total OI 18,469,092.571 16,507,073 19,827,625 18,017,746 19,827,625
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 2021-10-01 $434.42 $442.00 17.4% 5.1% 14.5% 30.6% 19.4% 8.7% 0.3% -8.51B 36.04B -697.1M 1.29 1.02 N/A N/A 2,918,841 3,760,120 6,235,081 11,782,665 2021-10-04 $428.95 $440.00 19.8% 5.5% 14.9% 40.7% 20.6% 8.8% -0.1% -7.79B 54.03B -684.2M 1.18 1.07 N/A N/A 2,884,146 3,396,166 6,082,165 11,289,441 2021-10-05 $434.29 $440.00 17.6% 5.1% 15.9% 31.7% 19.3% 8.4% 0.2% -4.80B 22.93B -681.7M 1.22 0.95 N/A N/A 1,750,681 2,137,031 6,049,269 11,420,714 2021-10-06 $433.99 $439.00 18.2% 5.1% 15.9% 33.8% 20.1% 8.4% -0.4% -3.05B 18.38B -685.4M 1.26 1.12 N/A N/A 2,660,887 3,358,168 6,417,331 11,864,129 2021-10-07 $438.65 $438.00 16.1% 4.7% 16.5% 25.1% 18.7% 7.8% -0.1% 446.1M -9.17B -689.2M 1.28 1.04 N/A N/A 2,143,322 2,745,726 6,458,581 12,012,279 2021-10-08 $438.12 $438.00 15.4% 4.5% 16.2% 22.2% 17.2% 7.3% 0.3% 827.4M -9.44B -677.8M 1.34 1.09 N/A N/A 2,030,541 2,729,457 6,777,511 12,355,293 2021-10-11 $435.54 $440.00 16.3% 4.7% 16.3% 26.2% 17.8% 7.7% 0.1% -5.46B 14.17B -666.5M 1.35 1.07 N/A N/A 1,915,877 2,593,400 6,367,417 12,051,389 2021-10-12 $433.09 $440.00 16.8% 4.8% 16.4% 28.1% 18.4% 7.7% 0.1% -7.13B 29.21B -660.9M 1.37 1.10 N/A N/A 1,496,734 2,047,829 6,449,510 12,127,148 2021-10-13 $434.80 $440.00 15.6% 4.5% 15.9% 23.3% 17.4% 7.1% -0.2% -7.31B 19.19B -650.7M 1.29 1.17 N/A N/A 1,987,897 2,557,343 6,801,365 12,482,708 2021-10-14 $441.99 $440.00 13.3% 3.9% 17.2% 13.7% 16.8% 6.2% -0.2% 2.93B -33.43B -650.1M 1.45 1.29 N/A N/A 2,108,455 3,065,581 6,691,572 12,368,546 2021-10-15 $445.64 $440.00 12.1% 3.6% 16.7% 8.5% 15.1% 5.9% 0.3% 6.66B -65.99B -638.8M 1.30 1.40 N/A N/A 2,252,022 2,938,632 6,902,668 12,646,215 2021-10-18 $447.27 $440.00 12.6% 3.6% 14.7% 10.6% 15.6% 6.0% 0.1% 6.05B -56.24B -635.7M 1.12 1.35 N/A N/A 1,837,300 2,057,566 5,547,115 10,959,958 2021-10-19 $450.04 $440.00 12.2% 3.5% 14.7% 8.9% 14.6% 5.6% 0.3% 5.46B -63.25B -649.0M 1.26 1.00 N/A N/A 1,744,494 2,203,159 5,640,230 11,297,716 2021-10-20 $452.07 $440.00 12.0% 3.5% 14.5% 8.4% 14.3% 5.2% -0.1% 7.78B -74.10B -656.6M 1.15 1.05 N/A N/A 2,269,104 2,599,790 6,017,900 12,315,898 2021-10-21 $453.05 $440.00 11.5% 3.3% 14.0% 6.2% 14.5% 5.3% -0.1% 5.87B -74.26B -650.6M 1.22 0.93 N/A N/A 1,495,381 1,828,924 6,047,930 12,403,453 2021-10-22 $453.15 $440.00 11.8% 3.4% 14.0% 7.2% 14.4% 6.0% 0.3% 6.35B -72.54B -667.8M 1.24 0.95 N/A N/A 2,511,743 3,115,520 6,202,303 12,720,178 2021-10-25 $455.30 $442.00 12.0% 3.4% 14.0% 8.2% 14.6% 5.6% -0.1% 6.33B -75.87B -651.5M 1.22 1.09 N/A N/A 1,779,561 2,167,911 5,945,717 12,355,913 2021-10-26 $457.22 $443.00 12.0% 3.4% 11.5% 8.1% 14.1% 5.7% -0.1% 4.95B -80.43B -659.1M 1.28 1.22 N/A N/A 2,213,869 2,823,547 5,958,253 12,382,929 2021-10-27 $455.12 $443.00 12.9% 3.7% 11.8% 11.8% 14.9% 6.4% -0.1% -1.35B -62.11B -682.8M 1.43 1.25 N/A N/A 1,847,428 2,636,263 6,238,759 13,055,969 2021-10-28 $457.21 $445.00 12.4% 3.6% 10.9% 9.7% 14.7% 6.1% -0.4% 3.82B -74.93B -692.8M 1.52 1.20 N/A N/A 1,315,619 2,002,408 6,188,269 13,111,832 2021-10-29 $458.73 $445.00 12.0% 3.5% 10.7% 8.5% 15.9% 6.3% 0.4% 5.52B -84.16B -692.7M 1.57 1.20 N/A N/A 1,841,762 2,900,465 6,311,385 13,516,240
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