SPY Options History — December 2021 In December 2021, SPY traded between $450.55 and $478.11. ATM implied volatility averaged 16.2%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.6% (HV 20d: 16.8%). Max pain ranged from $443.00 to $456.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.24.
Notable Days 2021-12-03 : Highest Volume — 8,294,761 contracts2021-12-06 : Largest IV drop — 16.7% change2021-12-03 : Highest IV Rank — 79.5%2021-12-03 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $466.53 $450.55 $478.11 $454.53 $476.48 Max Pain $449.36 $443.00 $456.00 $448.00 $456.00 ATM IV 16.2% 12.5% 23.6% 21.7% 12.5% Expected Move 4.8% 3.4% 7.8% 6.9% 3.4% HV 20d 16.8% 12.0% 20.2% 12.0% 17.3% HV 60d 13.6% 12.7% 14.2% 12.7% 13.2% IV Rank 36.1% 14.7% 79.5% 68.2% 14.7% IV Percentile 61.4% 23.8% 99.2% 97.2% 23.8% Term Structure -0.0% -0.9% 0.6% -0.5% 0.3% VWIV 19.6% 14.0% 30.8% 25.8% 14.2% Skew 25d 7.7% 5.6% 12.5% 11.0% 5.7% Skew 10d 14.9% 10.9% 25.3% 22.6% 10.9% Call IV 25d 13.3% 10.4% 18.5% 17.2% 10.4% Put IV 25d 21.0% 16.0% 31.0% 28.2% 16.0% Bid-Ask Spread % 1.44 1.07 1.86 1.81 1.58 Gamma HHI 0.04 0.02 0.09 0.02 0.04 Net GEX 2.40B -9.28B 12.21B -6.47B 2.46B Net DEX -45.35B -97.71B 45.62B 19.76B -61.86B Net VEX -636.5M -751.9M -586.6M -735.2M -598.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.84 1.78 1.50 0.99 Total Volume 4,986,037.136 2,959,888 8,294,761 7,669,665 3,781,346 Total OI 18,605,228.909 15,660,130 20,617,266 19,968,530 17,492,810
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 2021-12-01 $454.53 $448.00 21.7% 6.9% 12.0% 68.2% 25.8% 11.0% -0.5% -6.47B 19.76B -735.2M 1.50 1.81 N/A N/A 3,071,662 4,598,003 7,106,688 12,861,842 2021-12-02 $458.22 $449.00 20.3% 6.4% 12.2% 60.0% 26.5% 10.4% -0.4% -3.19B -6.74B -737.6M 1.78 1.51 N/A N/A 2,031,319 3,615,385 7,051,150 12,907,787 2021-12-03 $450.55 $449.00 23.6% 7.8% 13.4% 79.5% 30.8% 12.5% 0.4% -9.28B 45.62B -751.9M 1.67 1.69 N/A N/A 3,102,570 5,192,191 7,240,371 13,376,895 2021-12-06 $458.61 $443.00 19.7% 5.7% 14.8% 56.4% 24.4% 10.5% 0.4% -292.2M -18.36B -710.7M 1.55 1.31 N/A N/A 2,083,275 3,235,815 7,029,974 12,871,495 2021-12-07 $467.01 $443.00 16.6% 4.9% 16.3% 38.7% 20.6% 8.2% 0.4% 4.86B -76.99B -657.4M 1.58 1.07 N/A N/A 1,840,466 2,910,630 6,858,750 12,894,003 2021-12-08 $469.41 $445.00 15.0% 4.5% 16.4% 29.3% 18.8% 6.7% -0.5% 6.82B -93.89B -630.0M 1.29 1.17 N/A N/A 1,807,420 2,339,049 6,989,216 13,444,630 2021-12-09 $467.40 $445.00 15.5% 4.6% 16.1% 32.1% 19.0% 7.4% -0.5% 2.84B -72.74B -632.0M 1.41 1.25 N/A N/A 1,441,229 2,033,189 6,811,288 13,117,301 2021-12-10 $470.15 $445.00 13.6% 4.1% 16.2% 21.0% 18.1% 6.7% 0.4% 9.31B -97.71B -605.5M 1.57 1.31 N/A N/A 1,860,333 2,925,820 6,986,594 13,462,356 2021-12-13 $468.23 $445.00 14.9% 4.4% 16.2% 28.7% 18.3% 6.9% 0.3% 2.03B -77.12B -594.3M 1.23 1.37 N/A N/A 1,898,649 2,336,888 6,707,408 12,881,418 2021-12-14 $463.00 $445.00 17.2% 4.9% 16.7% 41.9% 21.0% 7.7% 0.0% -1.25B -38.76B -614.9M 1.28 1.31 N/A N/A 1,837,439 2,352,770 6,710,042 12,906,971 2021-12-15 $468.74 $445.00 15.0% 4.3% 17.1% 29.3% 18.8% 7.0% -0.7% 7.06B -82.56B -599.2M 1.17 1.86 N/A N/A 2,696,031 3,165,473 6,927,739 13,184,300 2021-12-16 $466.88 $447.00 16.1% 4.6% 17.1% 35.7% 18.1% 7.4% -0.3% 2.26B -63.30B -617.1M 0.84 1.51 N/A N/A 3,287,922 2,759,508 6,793,753 13,233,125 2021-12-17 $461.07 $452.00 17.4% 5.1% 17.7% 43.2% 20.2% 8.3% -0.9% -9.05B 16.88B -649.1M 1.13 1.39 N/A N/A 2,857,193 3,240,978 6,181,790 13,696,576 2021-12-20 $454.05 $452.00 19.7% 5.7% 18.4% 56.4% 21.8% 8.6% 0.2% -6.35B 31.99B -638.2M 1.20 1.35 N/A N/A 2,620,992 3,154,169 5,447,267 10,212,863 2021-12-21 $461.48 $451.00 17.4% 5.1% 19.4% 43.4% 20.8% 8.1% 0.6% 261.3M -10.18B -639.9M 1.14 1.36 N/A N/A 2,018,511 2,295,938 5,544,800 10,264,812 2021-12-22 $466.89 $452.00 15.0% 4.3% 19.8% 29.1% 18.7% 6.9% 0.1% 5.27B -41.55B -622.6M 1.09 1.39 N/A N/A 2,261,160 2,467,321 5,746,516 10,755,780 2021-12-23 $471.94 $454.00 13.2% 3.8% 20.2% 18.4% 16.8% 5.9% -0.1% 9.00B -65.57B -609.7M 0.93 1.50 N/A N/A 2,332,586 2,166,537 5,693,246 11,040,885 2021-12-27 $476.60 $455.00 13.2% 3.6% 19.2% 18.8% 15.3% 5.9% 0.2% 10.51B -79.65B -590.0M 0.97 1.54 N/A N/A 2,594,413 2,521,298 5,465,050 10,838,017 2021-12-28 $477.55 $455.00 13.0% 3.5% 18.9% 17.2% 15.2% 5.7% 0.4% 8.35B -77.62B -586.6M 0.92 1.48 N/A N/A 2,227,396 2,045,122 5,444,974 11,060,271 2021-12-29 $478.11 $455.00 12.6% 3.4% 17.6% 15.2% 14.8% 5.6% -0.2% 12.21B -80.61B -590.0M 1.05 1.48 N/A N/A 1,812,992 1,911,941 5,740,734 11,435,261 2021-12-30 $476.75 $455.00 12.9% 3.5% 17.4% 16.6% 14.0% 5.9% 0.1% 5.50B -66.76B -592.1M 1.04 1.42 N/A N/A 1,453,915 1,505,973 5,555,683 11,342,605 2021-12-31 $476.48 $456.00 12.5% 3.4% 17.3% 14.7% 14.2% 5.7% 0.3% 2.46B -61.86B -598.1M 0.99 1.58 N/A N/A 1,897,396 1,883,950 5,787,073 11,705,737
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