SPY Options History — March 2022 In March 2022, SPY traded between $416.80 and $461.62. ATM implied volatility averaged 22.5%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.3% (HV 20d: 23.9%). Max pain ranged from $443.00 to $450.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.53.
Notable Days 2022-03-16 : Highest Volume — 7,532,035 contracts2022-03-02 : Largest IV drop — 13.0% change2022-03-01 : Highest IV Rank — 100.0%2022-03-07 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $437.95 $416.80 $461.62 $428.62 $454.47 Max Pain $447.65 $443.00 $450.00 $446.00 $450.00 ATM IV 22.5% 15.0% 30.1% 28.9% 17.2% Expected Move 7.0% 4.7% 9.9% 9.2% 5.2% HV 20d 23.9% 21.5% 26.1% 22.4% 21.5% HV 60d 20.3% 18.8% 21.1% 19.1% 21.1% IV Rank 63.3% 24.6% 100.0% 100.0% 35.5% IV Percentile 86.5% 59.1% 100.0% 100.0% 72.6% Term Structure -0.2% -1.1% 0.4% 0.0% -0.3% VWIV 26.7% 19.9% 36.0% 34.5% 22.4% Skew 25d 8.6% 5.8% 11.3% 11.3% 6.7% Skew 10d 16.2% 11.6% 21.1% 21.1% 13.0% Call IV 25d 18.8% 12.8% 24.8% 23.9% 14.2% Put IV 25d 27.5% 18.6% 35.4% 35.2% 20.9% Bid-Ask Spread % 1.60 1.16 2.72 1.70 1.46 Gamma HHI 0.03 0.02 0.05 0.02 0.02 Net GEX -3.35B -10.37B 4.53B -7.05B -5.30B Net DEX 36.66B -53.55B 119.65B 86.60B -5.84B Net VEX -653.3M -696.8M -607.3M -696.4M -693.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 1.24 1.82 1.52 1.73 Total Volume 5,876,880.609 3,909,537 7,532,035 5,729,145 5,225,087 Total OI 17,985,196.609 15,705,801 19,358,639 17,667,781 18,423,668
Daily Data (23 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 2022-03-01 $428.62 $446.00 28.9% 9.2% 22.4% 100.0% 34.5% 11.3% 0.0% -7.05B 86.60B -696.4M 1.52 1.70 N/A N/A 2,270,709 3,458,436 6,013,416 11,654,365 2022-03-02 $438.95 $445.00 25.2% 7.7% 23.8% 80.2% 29.8% 10.6% -1.0% -1.63B 34.14B -694.1M 1.60 1.84 N/A N/A 2,748,849 4,386,439 6,372,813 12,146,257 2022-03-03 $434.24 $445.00 26.3% 8.2% 23.6% 86.3% 30.7% 11.0% -1.1% -5.68B 62.45B -696.8M 1.33 1.43 N/A N/A 2,504,921 3,335,468 6,231,625 12,252,377 2022-03-04 $430.80 $445.00 27.0% 8.4% 22.4% 89.7% 31.2% 10.3% 0.1% -8.57B 81.46B -688.2M 1.50 1.62 N/A N/A 2,752,462 4,115,013 6,522,277 12,745,900 2022-03-07 $420.76 $445.00 30.1% 9.9% 23.3% 100.0% 36.0% 10.7% -0.1% -9.79B 115.66B -656.7M 1.24 1.51 N/A N/A 3,126,177 3,869,632 5,925,105 12,098,351 2022-03-08 $417.67 $445.00 29.6% 9.9% 23.3% 97.3% 35.3% 10.0% 0.1% -8.99B 119.65B -647.0M 1.43 1.47 N/A N/A 2,980,608 4,247,797 6,148,288 11,957,585 2022-03-09 $428.71 $445.00 26.6% 8.7% 25.3% 82.5% 32.0% 10.1% -0.5% -3.84B 66.47B -661.3M 1.73 1.91 N/A N/A 2,374,233 4,095,860 6,530,088 12,520,252 2022-03-10 $424.89 $445.00 26.3% 8.5% 24.6% 81.1% 30.5% 9.5% -0.7% -7.47B 86.99B -645.7M 1.55 1.81 N/A N/A 2,037,439 3,155,898 6,216,378 12,508,228 2022-03-11 $420.95 $443.00 26.5% 8.6% 24.0% 82.2% 30.0% 8.9% 0.2% -10.37B 103.16B -631.4M 1.45 1.95 N/A N/A 2,487,312 3,607,203 6,497,723 12,860,916 2022-03-14 $416.80 $450.00 28.1% 7.8% 23.6% 90.2% 27.3% 9.6% -0.1% -9.79B 114.05B -613.6M 1.61 1.89 N/A N/A 2,239,045 3,610,967 6,051,692 12,215,346 2022-03-15 $425.59 $449.00 25.5% 7.2% 25.1% 77.2% 27.1% 9.2% -0.9% -5.56B 71.74B -616.5M 1.82 1.89 N/A N/A 1,585,997 2,890,640 6,007,005 12,110,805 2022-03-16 $432.99 $448.00 22.3% 6.5% 25.4% 61.2% 26.5% 8.4% -0.9% -973.4M 35.93B -607.3M 1.60 2.72 N/A N/A 2,896,173 4,635,862 6,211,199 12,580,192 2022-03-17 $440.31 $448.00 20.5% 6.1% 26.1% 52.3% 24.8% 7.7% -0.8% 1.17B 7.37B -617.8M 1.43 1.85 N/A N/A 2,115,113 3,030,323 6,145,548 12,705,423 2022-03-18 $444.40 $449.00 19.4% 5.8% 25.3% 46.9% 23.6% 7.6% 0.3% 2.64B 3.56B -634.5M 1.39 1.55 N/A N/A 2,584,229 3,590,386 5,967,374 13,246,687 2022-03-21 $442.70 $449.00 20.0% 5.9% 25.2% 49.7% 23.5% 8.1% 0.2% -1.26B 6.89B -632.9M 1.49 1.20 N/A N/A 2,551,388 3,808,055 4,917,531 10,788,270 2022-03-22 $449.80 $449.00 18.3% 5.5% 25.3% 41.0% 22.4% 7.5% 0.2% 1.24B -17.32B -637.7M 1.66 1.39 N/A N/A 1,749,334 2,910,908 4,967,370 10,768,671 2022-03-23 $445.54 $450.00 18.9% 5.6% 24.5% 44.5% 22.0% 7.7% -0.3% -4.47B 6.35B -646.1M 1.44 1.29 N/A N/A 2,124,411 3,068,175 5,214,968 11,408,418 2022-03-24 $449.40 $450.00 17.7% 5.4% 24.4% 38.2% 20.6% 7.2% -0.3% 265.5M -11.22B -642.9M 1.65 1.16 N/A N/A 1,473,185 2,436,352 5,089,731 11,388,360 2022-03-25 $451.09 $450.00 17.0% 5.3% 23.1% 34.7% 21.8% 7.1% 0.3% 3.11B -18.81B -652.7M 1.55 1.30 N/A N/A 2,699,500 4,180,292 5,311,513 11,940,947 2022-03-28 $454.82 $450.00 15.9% 5.0% 23.0% 29.4% 20.9% 6.7% 0.3% 2.51B -26.86B -661.7M 1.55 1.28 N/A N/A 2,035,165 3,155,912 5,206,465 11,902,045 2022-03-29 $461.62 $450.00 15.0% 4.7% 22.6% 24.6% 19.9% 5.8% 0.4% 4.53B -53.55B -660.7M 1.46 1.27 N/A N/A 2,208,106 3,224,166 5,261,067 12,175,530 2022-03-30 $457.67 $450.00 16.3% 5.0% 21.7% 31.3% 20.6% 6.6% -0.3% -1.82B -25.81B -690.4M 1.45 1.39 N/A N/A 2,281,507 3,303,520 5,522,452 12,929,301 2022-03-31 $454.47 $450.00 17.2% 5.2% 21.5% 35.5% 22.4% 6.7% -0.3% -5.30B -5.84B -693.2M 1.73 1.46 N/A N/A 1,913,556 3,311,531 5,427,192 12,996,476
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