SPY Options History — January 2022

In January 2022, SPY traded between $432.60 and $478.48. ATM implied volatility averaged 19.2%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.3% (HV 20d: 14.9%). Max pain ranged from $454.00 to $465.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.33.

Notable Days

2022-01-24: Highest Volume — 11,277,879 contracts
2022-01-18: Largest IV spike — 26.6% change
2022-01-26: Highest IV Rank — 97.2%
2022-01-26: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$455.95	$432.60	$478.48	$477.25	$448.27
Max Pain	$460.70	$454.00	$465.00	$456.00	$454.00
ATM IV	19.2%	12.3%	26.7%	12.3%	20.8%
Expected Move	5.6%	3.3%	8.0%	3.4%	6.3%
HV 20d	14.9%	13.1%	17.1%	15.8%	17.1%
HV 60d	14.1%	13.1%	15.8%	13.1%	15.8%
IV Rank	53.8%	13.6%	97.2%	13.6%	65.1%
IV Percentile	77.0%	22.6%	99.6%	22.6%	94.4%
Term Structure	-0.2%	-1.1%	0.6%	0.6%	0.2%
VWIV	21.7%	12.8%	29.9%	14.1%	25.1%
Skew 25d	8.1%	5.8%	10.6%	5.9%	8.3%
Skew 10d	15.7%	11.5%	19.9%	12.3%	16.1%
Call IV 25d	15.6%	10.3%	21.7%	10.5%	17.4%
Put IV 25d	23.7%	16.1%	32.2%	16.4%	25.7%
Bid-Ask Spread %	1.33	0.96	2.65	1.39	1.43
Gamma HHI	0.03	0.02	0.04	0.04	0.02
Net GEX	-5.17B	-12.01B	4.75B	4.75B	-1.86B
Net DEX	31.56B	-58.68B	120.51B	-55.95B	23.30B
Net VEX	-632.9M	-670.8M	-585.8M	-585.8M	-669.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.97	1.68	1.05	1.30
Total Volume	6,222,187.8	3,624,568	11,277,879	4,018,990	6,259,176
Total OI	16,250,074.15	14,256,633	18,223,263	15,071,740	15,677,582

Daily Data (20 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
2022-01-03	$477.25	$456.00	12.3%	3.4%	15.8%	13.6%	14.1%	5.9%	0.6%	4.75B	-55.95B	-585.8M	1.05	1.39	N/A	N/A	1,961,090	2,057,900	5,017,385	10,054,355
2022-01-04	$478.48	$457.00	12.6%	3.3%	14.8%	14.8%	12.8%	5.8%	0.4%	3.97B	-58.68B	-589.5M	1.25	1.29	N/A	N/A	1,612,119	2,012,449	4,903,541	10,219,115
2022-01-05	$470.25	$460.00	15.3%	4.2%	15.1%	31.1%	14.6%	7.3%	-0.3%	-6.82B	-3.16B	-623.5M	1.45	1.42	N/A	N/A	2,145,754	3,108,920	5,072,984	10,672,701
2022-01-06	$468.20	$465.00	16.0%	4.7%	15.1%	35.1%	18.9%	7.7%	-0.3%	-5.90B	3.79B	-632.5M	1.46	0.96	N/A	N/A	1,883,220	2,756,024	5,195,236	10,772,396
2022-01-07	$466.84	$465.00	15.1%	4.5%	15.0%	29.5%	18.0%	7.1%	0.5%	-8.56B	9.14B	-627.2M	1.60	0.97	N/A	N/A	1,855,189	2,974,349	5,430,119	11,179,227
2022-01-10	$463.74	$465.00	16.1%	4.7%	15.0%	35.3%	19.5%	7.5%	0.2%	-7.71B	20.19B	-617.0M	1.39	1.18	N/A	N/A	2,859,309	3,960,350	5,120,959	10,830,402
2022-01-11	$469.09	$465.00	14.8%	4.4%	15.6%	28.2%	17.5%	6.9%	0.5%	-514.7M	-20.92B	-621.7M	0.97	1.04	N/A	N/A	2,305,750	2,244,615	5,345,062	11,029,962
2022-01-12	$471.30	$465.00	14.4%	4.2%	15.0%	25.4%	18.2%	6.6%	-0.2%	2.52B	-38.09B	-609.6M	1.12	1.21	N/A	N/A	2,671,144	2,990,731	5,547,780	11,340,588
2022-01-13	$465.22	$465.00	16.5%	4.8%	15.2%	38.1%	17.9%	7.7%	-0.3%	-5.19B	8.42B	-639.5M	1.21	1.16	N/A	N/A	2,244,799	2,725,131	5,482,867	11,518,356
2022-01-14	$464.76	$465.00	15.8%	4.6%	15.1%	33.6%	19.4%	7.2%	0.2%	-5.99B	9.79B	-629.5M	1.68	1.19	N/A	N/A	2,446,786	4,100,834	5,773,341	11,769,487
2022-01-18	$455.96	$465.00	20.0%	5.7%	16.0%	58.2%	21.9%	8.2%	0.1%	-10.00B	54.36B	-621.2M	1.26	1.50	N/A	N/A	2,834,546	3,585,606	5,484,196	11,485,167
2022-01-19	$453.97	$465.00	20.0%	5.7%	15.1%	58.4%	21.3%	7.7%	-0.7%	-9.99B	56.84B	-621.7M	1.08	1.03	N/A	N/A	2,717,262	2,946,363	5,724,661	11,623,656
2022-01-20	$448.89	$463.00	21.0%	6.1%	14.3%	64.4%	22.0%	7.9%	-0.6%	-10.19B	76.50B	-626.6M	1.48	1.27	N/A	N/A	2,321,420	3,443,495	5,756,533	11,700,075
2022-01-21	$439.71	$462.00	24.6%	7.2%	15.0%	85.3%	26.2%	9.4%	-1.0%	-12.01B	120.51B	-634.6M	1.53	1.33	N/A	N/A	3,781,790	5,796,884	6,171,656	12,051,607
2022-01-24	$436.26	$459.00	26.3%	7.8%	14.1%	95.4%	29.9%	10.3%	-0.3%	-7.50B	95.92B	-648.8M	1.42	1.60	N/A	N/A	4,660,216	6,617,663	5,116,332	9,140,301
2022-01-25	$436.22	$455.00	26.3%	7.9%	13.3%	95.0%	29.7%	10.6%	-0.3%	-5.13B	79.93B	-663.9M	1.24	1.39	N/A	N/A	2,874,020	3,571,316	5,393,732	9,417,270
2022-01-26	$432.60	$454.00	26.7%	8.0%	13.1%	97.2%	29.6%	10.5%	-1.1%	-6.38B	93.35B	-659.9M	1.31	2.65	N/A	N/A	3,472,575	4,562,315	5,738,712	9,993,665
2022-01-27	$433.32	$455.00	25.8%	7.8%	13.1%	94.7%	29.1%	10.2%	-0.7%	-6.57B	90.53B	-664.5M	1.39	1.36	N/A	N/A	2,714,410	3,761,708	5,626,251	10,136,111
2022-01-28	$438.70	$454.00	23.1%	7.0%	14.5%	78.4%	27.3%	8.8%	0.1%	-4.28B	65.52B	-670.8M	1.43	1.18	N/A	N/A	3,131,267	4,475,261	6,041,839	10,446,274
2022-01-31	$448.27	$454.00	20.8%	6.3%	17.1%	65.1%	25.1%	8.3%	0.2%	-1.86B	23.30B	-669.2M	1.30	1.43	N/A	N/A	2,720,637	3,538,539	5,536,522	10,141,060