SPY Options History — June 2022

In June 2022, SPY traded between $366.02 and $416.19. ATM implied volatility averaged 25.4%, placing in the 73.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.2% (HV 20d: 29.6%). Max pain ranged from $396.00 to $425.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.30.

Notable Days

2022-06-13: Highest Volume — 9,253,348 contracts
2022-06-13: Largest IV spike — 24.5% change
2022-06-13: Highest IV Rank — 100.0%
2022-06-13: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$389.38	$366.02	$416.19	$411.62	$377.13
Max Pain	$410.14	$396.00	$425.00	$425.00	$396.00
ATM IV	25.4%	21.4%	31.3%	23.3%	26.4%
Expected Move	7.4%	6.2%	9.0%	7.1%	7.6%
HV 20d	29.6%	25.4%	32.5%	32.5%	30.6%
HV 60d	27.1%	25.4%	28.9%	25.8%	28.7%
IV Rank	73.7%	56.7%	100.0%	66.2%	77.0%
IV Percentile	85.4%	75.8%	100.0%	80.6%	87.7%
Term Structure	-0.2%	-0.8%	0.8%	-0.8%	-0.7%
VWIV	27.0%	23.2%	31.7%	26.2%	27.4%
Skew 25d	5.8%	5.1%	7.2%	6.1%	6.2%
Skew 10d	10.9%	9.4%	14.5%	10.8%	11.0%
Call IV 25d	22.7%	19.1%	27.6%	20.8%	23.4%
Put IV 25d	28.6%	24.5%	34.7%	26.9%	29.6%
Bid-Ask Spread %	1.49	1.13	2.53	1.13	1.51
Gamma HHI	0.04	0.02	0.06	0.03	0.05
Net GEX	-5.19B	-10.46B	-621.7M	-2.88B	-7.06B
Net DEX	95.10B	24.67B	199.71B	43.31B	92.37B
Net VEX	-559.5M	-609.3M	-497.7M	-604.4M	-562.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	1.12	1.61	1.14	1.41
Total Volume	6,646,907	4,781,225	9,253,348	7,606,696	7,421,763
Total OI	18,048,562.81	16,068,122	20,993,641	17,349,733	17,435,074

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
2022-06-01	$411.62	$425.00	23.3%	7.1%	32.5%	66.2%	26.2%	6.1%	-0.8%	-2.88B	43.31B	-604.4M	1.14	1.13	N/A	N/A	3,558,772	4,047,924	6,721,915	10,627,818
2022-06-02	$416.19	$420.00	22.3%	6.4%	30.6%	60.9%	24.0%	5.9%	-0.7%	-621.7M	24.67B	-609.3M	1.23	1.33	N/A	N/A	2,383,952	2,937,496	6,694,504	10,866,065
2022-06-03	$410.04	$420.00	22.7%	6.5%	27.7%	63.1%	24.5%	6.0%	-0.8%	-5.08B	56.52B	-605.9M	1.27	1.45	N/A	N/A	2,906,967	3,701,616	6,930,357	11,465,252
2022-06-06	$411.69	$420.00	22.4%	6.5%	27.8%	61.5%	24.9%	5.7%	0.3%	-2.45B	47.89B	-595.2M	1.31	1.39	N/A	N/A	2,606,314	3,402,639	6,779,789	11,058,125
2022-06-07	$415.67	$420.00	21.4%	6.2%	25.4%	56.7%	23.3%	5.4%	0.3%	-1.66B	31.52B	-594.6M	1.26	1.36	N/A	N/A	2,205,820	2,780,152	6,732,231	11,176,129
2022-06-08	$411.58	$420.00	21.9%	6.3%	25.8%	58.8%	23.2%	5.7%	-0.5%	-5.03B	52.71B	-588.3M	1.12	1.40	N/A	N/A	2,773,234	3,095,814	6,967,802	11,599,158
2022-06-09	$403.29	$420.00	23.8%	6.8%	26.4%	68.4%	24.9%	5.8%	-0.5%	-6.72B	89.35B	-580.6M	1.32	1.64	N/A	N/A	2,344,547	3,090,973	6,891,239	11,426,515
2022-06-10	$391.60	$420.00	25.1%	7.4%	28.4%	75.1%	27.1%	5.5%	0.5%	-10.46B	146.67B	-553.1M	1.61	1.71	N/A	N/A	3,509,388	5,632,911	7,331,687	11,847,904
2022-06-13	$374.46	$419.00	31.3%	9.0%	30.2%	100.0%	31.7%	7.1%	0.2%	-9.53B	193.05B	-518.5M	1.53	1.89	N/A	N/A	3,657,169	5,596,179	7,183,256	11,870,443
2022-06-14	$373.88	$414.00	28.8%	8.3%	30.3%	88.4%	29.2%	5.8%	0.2%	-8.54B	179.62B	-517.3M	1.25	1.53	N/A	N/A	2,649,886	3,311,537	7,458,629	11,981,339
2022-06-15	$379.93	$410.00	26.9%	7.7%	30.1%	79.4%	28.1%	5.7%	-0.7%	-6.71B	151.40B	-527.7M	1.12	2.53	N/A	N/A	3,617,627	4,037,408	8,008,791	11,965,333
2022-06-16	$366.02	$410.00	29.5%	8.5%	29.7%	91.7%	31.0%	7.2%	-0.8%	-8.67B	199.71B	-497.7M	1.46	1.75	N/A	N/A	2,960,937	4,332,184	7,961,035	12,104,387
2022-06-17	$366.41	$405.00	27.6%	8.1%	29.7%	82.6%	29.2%	5.9%	0.3%	-6.74B	191.34B	-513.3M	1.25	1.43	N/A	N/A	3,399,950	4,258,743	8,575,785	12,417,856
2022-06-21	$375.60	$400.00	26.8%	7.8%	31.3%	79.0%	28.5%	5.5%	0.2%	-3.67B	92.99B	-521.5M	1.22	1.16	N/A	N/A	2,769,066	3,372,351	6,654,956	9,413,166
2022-06-22	$374.91	$400.00	26.5%	7.7%	30.2%	77.7%	28.1%	5.6%	-0.6%	-5.10B	94.54B	-534.2M	1.48	1.27	N/A	N/A	2,795,137	4,137,930	6,708,305	9,607,653
2022-06-23	$378.05	$400.00	26.0%	7.6%	30.5%	75.4%	28.4%	5.5%	-0.6%	-3.99B	77.55B	-551.1M	1.26	1.31	N/A	N/A	2,111,133	2,670,092	6,656,396	9,751,072
2022-06-24	$388.58	$400.00	24.2%	7.0%	32.1%	66.9%	27.0%	5.1%	0.8%	-632.0M	33.21B	-575.6M	1.26	1.30	N/A	N/A	3,092,018	3,906,491	6,897,433	10,196,196
2022-06-27	$388.97	$399.00	24.8%	7.1%	31.0%	69.6%	26.5%	5.3%	0.2%	-2.16B	40.29B	-571.1M	1.25	1.45	N/A	N/A	2,567,333	3,221,231	6,556,658	10,166,419
2022-06-28	$381.10	$398.00	25.8%	7.4%	30.5%	74.1%	26.7%	5.8%	0.5%	-5.28B	76.13B	-559.3M	1.27	1.37	N/A	N/A	2,788,097	3,545,199	6,576,273	10,103,039
2022-06-29	$380.31	$397.00	26.2%	7.5%	30.5%	76.2%	27.0%	6.0%	-0.7%	-6.07B	82.17B	-567.7M	1.27	1.47	N/A	N/A	2,814,739	3,572,328	6,986,650	10,667,185
2022-06-30	$377.13	$396.00	26.4%	7.6%	30.6%	77.0%	27.4%	6.2%	-0.7%	-7.06B	92.37B	-562.8M	1.41	1.51	N/A	N/A	3,083,431	4,338,332	6,955,802	10,479,272