SPY Options History — May 2022 In May 2022, SPY traded between $387.72 and $428.43. ATM implied volatility averaged 26.7%, placing in the 83.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 4.2% (HV 20d: 31.0%). Max pain ranged from $425.00 to $441.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.30.
Notable Days 2022-05-20 : Highest Volume — 9,656,527 contracts2022-05-05 : Largest IV spike — 25.8% change2022-05-09 : Highest IV Rank — 100.0%2022-05-09 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $402.87 $387.72 $428.43 $412.50 $414.08 Max Pain $431.90 $425.00 $441.00 $441.00 $425.00 ATM IV 26.7% 22.3% 30.1% 28.1% 23.8% Expected Move 7.9% 6.8% 8.8% 8.7% 7.3% HV 20d 31.0% 23.2% 34.6% 23.6% 32.5% HV 60d 25.2% 22.5% 26.7% 22.6% 26.2% IV Rank 83.2% 61.2% 100.0% 89.8% 68.7% IV Percentile 92.6% 80.2% 100.0% 98.4% 82.1% Term Structure -0.2% -1.3% 0.8% 0.1% 0.0% VWIV 29.0% 26.1% 32.2% 32.2% 26.6% Skew 25d 7.0% 5.3% 9.5% 9.5% 6.1% Skew 10d 13.4% 10.4% 20.4% 20.4% 11.3% Call IV 25d 23.4% 18.6% 26.4% 23.5% 21.3% Put IV 25d 30.3% 26.1% 34.5% 33.1% 27.3% Bid-Ask Spread % 1.32 1.02 1.93 1.10 1.49 Gamma HHI 0.04 0.02 0.07 0.03 0.02 Net GEX -5.84B -9.44B 1.72B -8.46B -945.1M Net DEX 104.25B 14.38B 158.32B 116.73B 27.80B Net VEX -594.9M -646.0M -538.5M -635.1M -610.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 1.08 1.51 1.35 1.18 Total Volume 6,875,428.762 4,712,411 9,656,527 8,240,027 6,992,806 Total OI 17,500,369.524 16,150,764 19,168,334 16,150,764 17,468,469
Daily Data (21 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 2022-05-02 $412.50 $441.00 28.1% 8.7% 23.6% 89.8% 32.2% 9.5% 0.1% -8.46B 116.73B -635.1M 1.35 1.10 N/A N/A 3,513,379 4,726,648 5,794,312 10,356,452 2022-05-03 $415.17 $440.00 26.3% 8.1% 23.2% 81.2% 29.2% 8.5% 0.1% -6.74B 99.96B -636.7M 1.20 1.05 N/A N/A 2,139,791 2,572,620 5,902,889 10,412,161 2022-05-04 $428.43 $440.00 22.3% 6.8% 26.3% 61.2% 26.4% 7.7% -0.5% -2.85B 43.53B -646.0M 1.26 1.30 N/A N/A 3,012,862 3,790,730 6,108,647 10,733,839 2022-05-05 $412.09 $440.00 28.1% 8.1% 29.3% 89.8% 29.3% 9.0% -0.7% -7.86B 112.69B -637.2M 1.32 1.63 N/A N/A 3,162,838 4,165,786 6,056,947 10,743,960 2022-05-06 $410.96 $438.00 26.6% 7.8% 29.0% 82.3% 28.9% 7.6% 0.2% -8.26B 115.24B -632.0M 1.29 1.93 N/A N/A 3,666,775 4,739,004 6,567,679 11,015,467 2022-05-09 $398.54 $437.00 30.1% 8.8% 30.4% 100.0% 31.6% 8.4% 0.6% -9.05B 145.75B -589.2M 1.27 1.22 N/A N/A 3,610,703 4,579,727 6,394,367 10,547,728 2022-05-10 $398.53 $435.00 29.9% 8.6% 30.1% 99.0% 30.9% 7.6% 0.2% -7.40B 136.19B -596.5M 1.09 1.27 N/A N/A 2,958,536 3,213,938 6,797,547 10,545,255 2022-05-11 $392.90 $435.00 29.7% 8.6% 30.2% 97.8% 30.3% 6.9% -0.7% -9.20B 155.43B -577.0M 1.33 1.31 N/A N/A 3,119,661 4,156,542 7,151,798 10,878,684 2022-05-12 $389.74 $434.00 29.8% 8.7% 29.4% 98.5% 31.3% 6.9% -0.8% -8.28B 158.32B -566.6M 1.28 1.47 N/A N/A 2,844,558 3,648,615 7,077,902 10,732,340 2022-05-13 $401.80 $430.00 26.3% 7.8% 32.1% 81.0% 29.4% 6.5% 0.4% -4.76B 107.33B -600.3M 1.43 1.12 N/A N/A 2,970,031 4,236,052 7,530,969 11,061,500 2022-05-16 $399.91 $430.00 26.0% 7.7% 32.1% 79.4% 27.8% 6.3% 0.8% -6.96B 116.09B -569.1M 1.24 1.02 N/A N/A 2,483,469 3,072,282 7,012,508 10,823,499 2022-05-17 $407.22 $430.00 24.6% 7.1% 32.0% 72.4% 26.4% 6.0% 0.7% -4.98B 86.32B -582.5M 1.34 1.19 N/A N/A 2,258,487 3,029,073 6,993,046 10,740,003 2022-05-18 $391.37 $430.00 28.8% 8.3% 34.2% 93.7% 30.0% 7.4% -1.3% -9.10B 154.11B -551.9M 1.18 1.33 N/A N/A 3,691,735 4,350,679 7,191,887 11,266,882 2022-05-19 $391.00 $430.00 26.9% 7.8% 34.0% 84.0% 27.7% 6.7% -1.1% -8.43B 142.07B -550.6M 1.33 1.49 N/A N/A 2,674,985 3,559,533 7,376,686 11,062,443 2022-05-20 $387.72 $429.00 26.9% 7.9% 33.5% 84.1% 29.1% 7.1% -1.2% -9.44B 151.99B -538.5M 1.50 1.78 N/A N/A 3,869,766 5,786,761 7,822,759 11,345,575 2022-05-23 $395.44 $426.00 26.4% 7.9% 34.6% 81.4% 28.7% 6.2% 0.1% -3.09B 87.58B -568.8M 1.42 1.15 N/A N/A 2,927,649 4,157,114 6,692,749 9,846,077 2022-05-24 $394.84 $425.00 27.0% 8.1% 33.8% 84.7% 30.0% 5.8% 0.1% -4.75B 92.99B -582.3M 1.51 1.38 N/A N/A 2,351,242 3,559,520 6,566,051 10,156,982 2022-05-25 $397.58 $425.00 26.4% 7.9% 34.0% 81.3% 29.0% 5.7% -0.6% -2.86B 78.09B -588.1M 1.08 1.09 N/A N/A 2,958,101 3,183,142 6,880,845 10,527,891 2022-05-26 $406.19 $425.00 24.7% 7.4% 33.8% 73.3% 27.9% 5.3% -0.6% -898.0M 46.72B -610.5M 1.47 1.15 N/A N/A 2,279,970 3,344,463 6,786,522 10,462,857 2022-05-27 $414.21 $425.00 23.0% 6.9% 32.5% 64.6% 26.1% 5.5% 0.3% 1.72B 14.38B -624.5M 1.26 1.19 N/A N/A 3,105,133 3,919,298 7,018,336 11,055,250 2022-05-31 $414.08 $425.00 23.8% 7.3% 32.5% 68.7% 26.6% 6.1% 0.0% -945.1M 27.80B -610.2M 1.18 1.49 N/A N/A 3,204,165 3,788,641 6,780,953 10,687,516
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