SPY Options History — April 2022

In April 2022, SPY traded between $413.83 and $455.94. ATM implied volatility averaged 20.5%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.7% (HV 20d: 18.8%). Max pain ranged from $443.00 to $450.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.36.

Notable Days

2022-04-25: Highest Volume — 8,378,346 contracts
2022-04-11: Largest IV spike — 18.6% change
2022-04-29: Highest IV Rank — 87.8%
2022-04-29: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$438.13	$413.83	$455.94	$450.54	$413.83
Max Pain	$448.00	$443.00	$450.00	$450.00	$443.00
ATM IV	20.5%	15.1%	27.7%	16.2%	27.7%
Expected Move	6.0%	4.6%	8.4%	5.1%	8.4%
HV 20d	18.8%	16.7%	23.7%	21.5%	23.7%
HV 60d	21.5%	20.9%	23.0%	20.9%	23.0%
IV Rank	52.1%	25.1%	87.8%	30.7%	87.8%
IV Percentile	81.4%	60.3%	98.4%	67.9%	98.4%
Term Structure	-0.1%	-1.5%	0.7%	0.7%	-1.4%
VWIV	22.9%	18.5%	30.4%	18.7%	30.4%
Skew 25d	8.0%	5.9%	10.1%	6.2%	9.9%
Skew 10d	15.6%	12.2%	21.3%	12.4%	21.1%
Call IV 25d	16.7%	12.7%	23.6%	13.5%	23.6%
Put IV 25d	24.8%	18.6%	33.5%	19.7%	33.5%
Bid-Ask Spread %	1.15	1.00	1.57	1.57	1.12
Gamma HHI	0.03	0.02	0.06	0.04	0.04
Net GEX	-7.14B	-11.26B	-209.6M	-7.49B	-11.26B
Net DEX	55.54B	-14.13B	130.82B	17.51B	130.82B
Net VEX	-665.6M	-699.1M	-644.4M	-683.9M	-646.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	1.17	1.71	1.28	1.29
Total Volume	5,783,188.85	4,093,259	8,378,346	6,162,054	7,384,560
Total OI	16,451,273.55	14,339,617	17,780,334	17,553,845	16,881,992

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
2022-04-01	$450.54	$450.00	16.2%	5.1%	21.5%	30.7%	18.7%	6.2%	0.7%	-7.49B	17.51B	-683.9M	1.28	1.57	N/A	N/A	2,699,295	3,462,759	5,185,649	12,368,196
2022-04-04	$455.94	$450.00	15.1%	4.6%	19.4%	25.1%	18.5%	5.9%	0.4%	-209.6M	-14.13B	-663.4M	1.21	1.21	N/A	N/A	1,851,617	2,241,642	5,053,216	11,880,103
2022-04-05	$450.73	$450.00	17.4%	5.1%	19.8%	36.6%	20.5%	7.3%	0.4%	-5.84B	17.81B	-686.3M	1.46	1.27	N/A	N/A	1,748,602	2,552,405	4,988,783	11,712,985
2022-04-06	$446.82	$450.00	18.7%	5.4%	18.4%	43.1%	21.6%	8.1%	-0.2%	-11.09B	42.61B	-687.8M	1.54	1.27	N/A	N/A	2,952,896	4,546,394	5,264,661	12,088,882
2022-04-07	$450.20	$450.00	17.5%	5.2%	18.1%	37.5%	20.5%	7.6%	-0.4%	-4.94B	16.40B	-699.1M	1.23	1.14	N/A	N/A	2,088,040	2,567,768	5,263,264	12,027,149
2022-04-08	$448.66	$450.00	17.2%	5.1%	17.6%	35.9%	19.3%	7.4%	0.3%	-5.35B	23.48B	-690.8M	1.25	1.12	N/A	N/A	2,324,659	2,915,067	5,472,512	12,307,822
2022-04-11	$440.13	$450.00	20.4%	5.9%	18.8%	51.9%	22.3%	8.3%	0.2%	-11.09B	66.75B	-673.6M	1.28	1.07	N/A	N/A	2,182,100	2,782,430	5,254,437	11,881,134
2022-04-12	$437.76	$450.00	20.9%	6.0%	17.7%	54.0%	22.5%	8.5%	0.2%	-9.89B	71.36B	-671.6M	1.38	1.15	N/A	N/A	2,226,354	3,073,612	5,329,063	11,829,641
2022-04-13	$443.93	$450.00	18.1%	5.2%	17.4%	40.5%	20.6%	7.4%	-0.4%	-3.97B	34.10B	-670.5M	1.17	1.08	N/A	N/A	2,384,582	2,782,840	5,632,248	12,015,975
2022-04-14	$438.92	$450.00	19.1%	5.5%	16.9%	45.0%	21.4%	7.3%	-0.2%	-9.92B	60.10B	-656.6M	1.42	1.17	N/A	N/A	2,224,433	3,161,895	5,602,883	11,909,460
2022-04-18	$436.19	$449.00	20.0%	5.8%	16.7%	49.9%	20.7%	7.5%	0.2%	-8.44B	62.03B	-644.9M	1.26	1.04	N/A	N/A	2,208,652	2,782,605	4,824,263	9,515,354
2022-04-19	$444.63	$448.00	17.8%	5.1%	18.1%	38.9%	20.2%	6.7%	0.2%	-2.84B	22.01B	-652.9M	1.71	1.01	N/A	N/A	1,599,197	2,728,687	4,900,449	9,518,210
2022-04-20	$445.69	$448.00	17.6%	5.0%	17.1%	37.6%	19.5%	7.0%	-0.4%	-1.41B	17.40B	-652.3M	1.32	1.02	N/A	N/A	2,342,426	3,091,546	5,077,939	10,065,740
2022-04-21	$438.05	$448.00	20.0%	5.8%	17.9%	49.8%	21.9%	7.7%	-0.4%	-7.65B	56.07B	-652.5M	1.36	1.01	N/A	N/A	2,610,069	3,536,929	5,020,402	9,922,267
2022-04-22	$428.60	$447.00	23.2%	6.8%	19.0%	65.6%	25.5%	9.1%	0.4%	-10.62B	101.58B	-657.0M	1.41	1.07	N/A	N/A	3,334,128	4,712,676	5,465,251	10,361,770
2022-04-25	$427.92	$445.00	23.9%	7.0%	18.8%	69.2%	27.4%	9.2%	0.2%	-8.31B	88.05B	-650.1M	1.45	1.34	N/A	N/A	3,416,725	4,961,621	5,460,927	10,260,898
2022-04-26	$417.98	$445.00	27.5%	8.1%	19.8%	86.9%	30.0%	10.1%	0.1%	-8.51B	115.59B	-644.4M	1.38	1.00	N/A	N/A	2,460,340	3,400,829	5,570,753	10,171,225
2022-04-27	$418.04	$444.00	27.0%	7.9%	18.5%	84.4%	29.0%	10.1%	-1.5%	-8.64B	113.89B	-645.7M	1.41	1.23	N/A	N/A	2,941,208	4,140,924	6,080,776	10,534,393
2022-04-28	$428.08	$443.00	24.3%	7.2%	21.1%	71.4%	28.1%	9.6%	-0.9%	-5.28B	67.30B	-681.7M	1.42	1.11	N/A	N/A	2,162,207	3,079,058	5,866,878	10,457,921
2022-04-29	$413.83	$443.00	27.7%	8.4%	23.7%	87.8%	30.4%	9.9%	-1.4%	-11.26B	130.82B	-646.8M	1.29	1.12	N/A	N/A	3,224,566	4,159,994	6,036,496	10,845,496