SPY Options History — November 2021 In November 2021, SPY traded between $457.32 and $470.13. ATM implied volatility averaged 13.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 6.1% (HV 20d: 7.7%). Max pain ranged from $436.00 to $449.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.27.
Notable Days 2021-11-05 : Highest Volume — 6,624,461 contracts2021-11-26 : Largest IV spike — 38.1% change2021-11-30 : Highest IV Rank — 59.5%2021-11-30 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $465.96 $457.32 $470.13 $459.70 $457.32 Max Pain $443.52 $436.00 $449.00 $445.00 $449.00 ATM IV 13.7% 11.3% 20.2% 12.4% 20.2% Expected Move 4.2% 3.1% 6.4% 3.5% 6.4% HV 20d 7.7% 6.4% 12.0% 9.1% 12.0% HV 60d 11.6% 11.3% 12.7% 11.5% 12.7% IV Rank 21.4% 6.9% 59.5% 10.1% 59.5% IV Percentile 37.5% 6.3% 96.0% 20.2% 96.0% Term Structure 0.1% -0.5% 0.7% 0.3% 0.3% VWIV 16.8% 12.4% 24.8% 15.1% 24.8% Skew 25d 6.7% 5.1% 10.7% 6.3% 10.3% Skew 10d 13.4% 10.3% 21.4% 13.0% 21.3% Call IV 25d 11.4% 9.5% 15.8% 10.4% 15.8% Put IV 25d 18.1% 14.6% 26.2% 16.6% 26.2% Bid-Ask Spread % 1.48 1.36 1.74 1.36 1.63 Gamma HHI 0.04 0.02 0.08 0.07 0.02 Net GEX 3.06B -8.06B 11.42B 4.10B -4.61B Net DEX -81.84B -123.28B 3.91B -76.50B 3.91B Net VEX -672.8M -726.9M -628.0M -668.3M -720.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.95 1.49 1.19 1.45 Total Volume 4,705,919.714 2,997,906 6,624,461 4,069,970 5,994,005 Total OI 20,036,912.048 18,352,222 22,318,007 18,732,145 19,032,216
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 2021-11-01 $459.70 $445.00 12.4% 3.5% 9.1% 10.1% 15.1% 6.3% 0.3% 4.10B -76.50B -668.3M 1.19 1.36 N/A N/A 1,858,056 2,211,914 5,867,753 12,864,392 2021-11-02 $461.91 $445.00 12.1% 3.4% 8.5% 9.5% 14.4% 5.8% 0.3% 2.87B -84.29B -665.7M 1.32 1.47 N/A N/A 1,320,881 1,741,860 5,900,904 12,862,577 2021-11-03 $464.81 $445.00 11.3% 3.1% 8.4% 6.9% 12.4% 5.1% -0.1% 7.14B -104.61B -645.7M 1.30 1.74 N/A N/A 1,638,624 2,133,950 6,093,477 13,242,758 2021-11-04 $465.89 $436.00 11.6% 3.8% 8.0% 8.9% 15.1% 5.6% -0.1% 6.07B -106.40B -658.3M 1.13 1.39 N/A N/A 1,863,550 2,102,884 6,134,370 13,181,066 2021-11-05 $468.69 $438.00 11.7% 3.8% 7.9% 9.5% 16.7% 5.2% 0.4% 11.42B -123.28B -663.1M 0.95 1.42 N/A N/A 3,388,400 3,236,061 6,512,036 13,574,813 2021-11-08 $468.70 $440.00 12.2% 3.9% 7.2% 13.0% 16.0% 5.8% 0.4% 5.69B -106.78B -676.8M 1.13 1.36 N/A N/A 2,023,085 2,292,387 6,652,880 13,344,400 2021-11-09 $467.22 $440.00 13.3% 4.1% 6.8% 19.1% 17.2% 6.5% 0.4% 2.86B -92.23B -687.1M 1.43 1.41 N/A N/A 1,687,093 2,416,998 6,697,303 13,406,463 2021-11-10 $463.05 $440.00 14.6% 4.4% 8.2% 26.6% 18.0% 7.3% -0.5% -3.90B -58.81B -703.8M 1.40 1.50 N/A N/A 2,651,981 3,714,222 6,927,897 13,808,947 2021-11-11 $464.15 $440.00 13.5% 4.1% 6.5% 20.4% 16.7% 6.7% -0.2% 662.1M -76.44B -676.6M 1.49 1.43 N/A N/A 1,205,406 1,792,500 6,957,692 13,840,777 2021-11-12 $467.18 $441.00 12.3% 3.9% 6.4% 13.0% 14.0% 5.7% 0.7% 7.90B -103.79B -656.3M 1.13 1.46 N/A N/A 2,294,668 2,594,278 7,134,729 14,150,041 2021-11-15 $466.79 $442.00 13.0% 3.9% 6.4% 17.2% 16.1% 6.1% 0.7% 1.92B -97.08B -643.4M 1.11 1.44 N/A N/A 1,949,918 2,167,349 7,027,616 13,766,860 2021-11-16 $469.75 $442.00 12.7% 3.7% 6.4% 15.7% 15.1% 5.4% 0.7% 9.20B -118.65B -628.0M 1.14 1.53 N/A N/A 1,587,980 1,806,915 7,068,651 13,814,029 2021-11-17 $468.67 $442.00 13.3% 3.8% 6.6% 19.0% 15.7% 5.8% -0.3% 2.87B -105.02B -646.1M 1.16 1.44 N/A N/A 2,034,872 2,368,474 7,234,350 14,227,427 2021-11-18 $469.75 $445.00 13.3% 3.9% 6.6% 19.3% 15.2% 6.3% -0.4% 7.13B -111.01B -662.4M 1.06 1.45 N/A N/A 1,936,756 2,056,372 7,262,819 14,344,629 2021-11-19 $468.91 $445.00 13.6% 4.0% 6.7% 20.9% 16.8% 6.6% 0.4% 5.93B -102.99B -680.4M 1.37 1.52 N/A N/A 1,882,677 2,574,273 7,577,154 14,740,853 2021-11-22 $470.13 $447.00 13.7% 4.0% 6.6% 21.7% 16.0% 6.7% 0.1% 5.26B -79.36B -666.5M 1.35 1.44 N/A N/A 2,607,339 3,507,023 6,456,180 11,896,042 2021-11-23 $467.85 $447.00 14.4% 4.2% 6.9% 25.8% 17.1% 7.1% -0.4% -1.48B -55.57B -691.9M 1.37 1.40 N/A N/A 2,420,164 3,317,464 6,506,595 12,386,890 2021-11-24 $469.00 $448.00 14.0% 4.1% 6.6% 23.3% 17.2% 6.9% -0.3% 1.77B -68.44B -676.8M 1.27 1.42 N/A N/A 2,215,572 2,810,325 6,805,828 12,845,685 2021-11-26 $460.45 $449.00 19.4% 6.0% 9.5% 54.6% 23.8% 10.7% 0.1% -8.06B -1.94B -726.9M 1.45 1.74 N/A N/A 2,294,773 3,338,545 6,730,455 12,716,700 2021-11-29 $465.32 $448.00 16.2% 5.0% 10.1% 36.4% 20.2% 8.5% 0.4% -510.5M -49.49B -685.2M 1.42 1.46 N/A N/A 2,391,058 3,393,662 6,780,063 12,398,836 2021-11-30 $457.32 $449.00 20.2% 6.4% 12.0% 59.5% 24.8% 10.3% 0.3% -4.61B 3.91B -720.0M 1.45 1.63 N/A N/A 2,441,694 3,552,311 6,675,038 12,357,178
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