SPY Options History — February 2022

In February 2022, SPY traded between $422.26 and $457.60. ATM implied volatility averaged 21.8%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.2% (HV 20d: 20.7%). Max pain ranged from $446.00 to $455.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.49.

Notable Days

2022-02-11: Highest Volume — 9,543,955 contracts
2022-02-03: Largest IV spike — 24.8% change
2022-02-23: Highest IV Rank — 100.0%
2022-02-23: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$442.42	$422.26	$457.60	$453.02	$434.49
Max Pain	$450.74	$446.00	$455.00	$455.00	$446.00
ATM IV	21.8%	16.7%	27.1%	18.3%	25.2%
Expected Move	6.5%	4.9%	8.1%	5.4%	7.9%
HV 20d	20.7%	17.7%	23.8%	17.7%	23.4%
HV 60d	17.7%	15.9%	19.0%	15.9%	19.0%
IV Rank	70.7%	40.2%	100.0%	49.8%	89.2%
IV Percentile	92.8%	76.2%	100.0%	86.9%	97.2%
Term Structure	-0.1%	-0.8%	0.6%	0.3%	0.1%
VWIV	25.3%	20.1%	30.8%	23.1%	30.8%
Skew 25d	8.7%	6.8%	10.8%	7.3%	9.6%
Skew 10d	16.8%	12.5%	20.0%	14.5%	18.3%
Call IV 25d	18.1%	14.1%	22.9%	15.3%	21.1%
Put IV 25d	26.8%	20.9%	31.9%	22.6%	30.8%
Bid-Ask Spread %	1.47	1.19	2.06	1.48	1.68
Gamma HHI	0.02	0.02	0.04	0.02	0.02
Net GEX	-5.82B	-11.08B	2.82B	-646.2M	-5.91B
Net DEX	55.39B	-17.80B	125.29B	5.24B	59.30B
Net VEX	-670.4M	-693.5M	-631.2M	-657.0M	-680.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	1.04	1.84	1.27	1.61
Total Volume	6,945,811.684	4,665,969	9,543,955	4,940,883	7,626,579
Total OI	17,508,969.684	15,710,448	19,638,071	15,710,448	18,062,755

Daily Data (19 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
2022-02-01	$453.02	$455.00	18.3%	5.4%	17.7%	49.8%	23.1%	7.3%	0.3%	-646.2M	5.24B	-657.0M	1.27	1.48	N/A	N/A	2,177,255	2,763,628	5,416,484	10,293,964
2022-02-02	$457.60	$454.00	17.0%	4.9%	18.2%	42.0%	20.4%	7.0%	-0.3%	2.58B	-17.80B	-660.1M	1.38	1.39	N/A	N/A	2,769,619	3,820,970	5,669,484	10,733,243
2022-02-03	$446.85	$451.00	21.2%	6.2%	19.0%	67.3%	23.9%	8.9%	-0.3%	-6.23B	46.96B	-682.4M	1.44	1.24	N/A	N/A	2,189,450	3,153,285	5,533,713	10,892,437
2022-02-04	$450.54	$452.00	18.9%	5.7%	19.4%	53.5%	22.7%	7.6%	0.0%	-2.40B	22.94B	-679.8M	1.24	1.28	N/A	N/A	3,211,886	3,985,407	5,981,819	11,213,740
2022-02-07	$447.26	$452.00	19.7%	5.9%	19.5%	58.3%	21.6%	7.7%	0.3%	-5.33B	38.05B	-658.3M	1.04	1.25	N/A	N/A	2,972,298	3,080,264	5,539,627	10,729,755
2022-02-08	$450.24	$452.00	18.4%	5.6%	19.7%	50.7%	21.7%	7.3%	0.3%	-3.03B	22.34B	-656.6M	1.32	1.19	N/A	N/A	2,144,528	2,829,469	5,595,863	10,766,915
2022-02-09	$456.81	$451.00	16.7%	5.1%	19.9%	40.2%	20.1%	6.8%	-0.2%	2.82B	-16.13B	-653.8M	1.33	1.29	N/A	N/A	2,818,011	3,755,908	5,845,257	11,235,114
2022-02-10	$448.03	$452.00	20.6%	6.2%	20.8%	63.5%	23.9%	8.5%	-0.4%	-6.74B	45.50B	-683.6M	1.49	1.21	N/A	N/A	2,990,716	4,469,421	5,818,971	11,630,047
2022-02-11	$440.61	$452.00	23.4%	7.0%	21.1%	80.3%	27.4%	10.2%	0.6%	-11.08B	92.57B	-693.5M	1.72	2.06	N/A	N/A	3,507,371	6,036,584	6,119,925	12,126,266
2022-02-14	$438.68	$451.00	24.4%	7.2%	21.1%	86.7%	29.3%	10.8%	0.6%	-10.10B	92.68B	-681.4M	1.84	1.40	N/A	N/A	2,592,928	4,768,372	5,970,334	11,925,478
2022-02-15	$444.51	$450.00	21.9%	6.4%	20.9%	71.6%	25.5%	9.4%	0.6%	-6.67B	57.00B	-689.6M	1.70	1.27	N/A	N/A	1,728,203	2,937,766	5,949,771	12,281,199
2022-02-16	$447.25	$450.00	20.5%	5.9%	21.0%	63.2%	23.3%	8.8%	-0.5%	-5.41B	41.59B	-679.8M	1.45	1.26	N/A	N/A	2,451,618	3,545,697	6,164,010	12,898,638
2022-02-17	$438.49	$450.00	23.6%	6.8%	21.8%	81.8%	26.3%	10.2%	-0.7%	-10.11B	93.50B	-683.2M	1.55	1.37	N/A	N/A	2,013,872	3,113,977	6,120,177	12,843,803
2022-02-18	$435.32	$450.00	24.1%	7.1%	20.7%	85.0%	26.4%	9.6%	0.0%	-11.08B	106.17B	-674.9M	1.72	1.59	N/A	N/A	2,979,423	5,117,124	6,443,911	13,194,160
2022-02-22	$430.26	$450.00	25.6%	7.6%	20.9%	93.5%	27.8%	9.3%	-0.0%	-10.08B	100.14B	-648.0M	1.61	1.53	N/A	N/A	3,066,549	4,948,665	5,617,902	11,257,334
2022-02-23	$422.26	$450.00	27.1%	8.1%	21.9%	100.0%	28.5%	9.1%	-0.8%	-10.50B	125.29B	-631.2M	1.38	1.46	N/A	N/A	3,494,160	4,833,227	5,758,048	11,226,435
2022-02-24	$426.77	$449.00	25.4%	7.7%	22.1%	90.1%	30.1%	9.2%	-0.7%	-8.02B	98.55B	-660.6M	1.79	2.06	N/A	N/A	3,342,674	5,980,622	5,993,789	11,238,617
2022-02-25	$437.04	$447.00	22.9%	6.9%	23.8%	75.7%	27.2%	8.6%	0.1%	-2.55B	38.56B	-682.2M	1.52	1.89	N/A	N/A	3,473,744	5,279,152	6,641,394	11,940,045
2022-02-28	$434.49	$446.00	25.2%	7.9%	23.4%	89.2%	30.8%	9.6%	0.1%	-5.91B	59.30B	-680.9M	1.61	1.68	N/A	N/A	2,918,420	4,708,159	6,181,566	11,881,189