SPY Options History — July 2022

In July 2022, SPY traded between $377.83 and $412.73. ATM implied volatility averaged 22.9%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.2% (HV 20d: 24.0%). Max pain ranged from $390.00 to $400.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.34.

Notable Days

2022-07-22: Highest Volume — 7,806,047 contracts
2022-07-15: Largest IV drop — 9.3% change
2022-07-05: Highest IV Rank — 74.4%
2022-07-05: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$389.84	$377.83	$412.73	$381.29	$412.73
Max Pain	$393.75	$390.00	$400.00	$395.00	$394.00
ATM IV	22.9%	18.6%	25.8%	24.9%	18.6%
Expected Move	6.5%	5.2%	7.3%	7.1%	5.2%
HV 20d	24.0%	18.3%	30.6%	30.5%	19.7%
HV 60d	28.6%	28.0%	29.1%	28.8%	28.3%
IV Rank	60.5%	40.4%	74.4%	69.8%	40.4%
IV Percentile	70.2%	49.6%	83.3%	80.2%	49.6%
Term Structure	-0.0%	-0.9%	0.7%	0.0%	0.4%
VWIV	24.5%	20.5%	27.3%	25.5%	20.5%
Skew 25d	6.0%	4.5%	6.8%	5.8%	4.5%
Skew 10d	10.5%	9.2%	11.9%	10.2%	9.2%
Call IV 25d	20.0%	16.8%	22.5%	21.6%	16.8%
Put IV 25d	25.9%	21.3%	28.8%	27.4%	21.3%
Bid-Ask Spread %	1.37	1.03	1.83	1.50	1.52
Gamma HHI	0.04	0.02	0.05	0.04	0.05
Net GEX	-2.28B	-8.27B	4.65B	-3.35B	4.65B
Net DEX	26.89B	-64.31B	75.62B	63.59B	-64.31B
Net VEX	-612.9M	-654.3M	-560.7M	-569.3M	-651.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	1.04	1.73	1.19	1.41
Total Volume	6,314,495.6	4,008,095	7,806,047	7,157,445	7,434,322
Total OI	17,511,513.5	16,158,626	19,185,212	16,490,774	19,185,212

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
2022-07-01	$381.29	$395.00	24.9%	7.1%	30.5%	69.8%	25.5%	5.8%	0.0%	-3.35B	63.59B	-569.3M	1.19	1.50	N/A	N/A	3,270,717	3,886,728	6,480,443	10,010,331
2022-07-05	$381.18	$400.00	25.8%	7.3%	30.3%	74.4%	27.3%	6.3%	0.4%	-3.84B	63.93B	-560.7M	1.12	1.26	N/A	N/A	3,157,910	3,549,177	6,278,230	10,040,234
2022-07-06	$384.43	$400.00	25.2%	7.1%	30.5%	71.4%	26.6%	6.4%	-0.6%	-2.58B	48.27B	-571.4M	1.04	1.26	N/A	N/A	2,871,719	2,983,062	6,419,391	10,077,497
2022-07-07	$388.84	$398.00	24.0%	6.9%	30.6%	65.6%	26.7%	6.4%	-0.4%	-1.70B	32.72B	-585.3M	1.31	1.18	N/A	N/A	2,133,135	2,802,322	6,464,913	10,207,059
2022-07-08	$389.28	$398.00	22.4%	6.6%	30.6%	58.5%	24.5%	6.0%	0.4%	-1.63B	29.88B	-595.5M	1.23	1.24	N/A	N/A	3,153,905	3,894,131	6,804,623	10,886,046
2022-07-11	$383.87	$399.00	24.4%	7.0%	30.1%	67.9%	25.0%	6.5%	0.2%	-5.51B	57.14B	-589.3M	1.19	1.14	N/A	N/A	2,820,094	3,367,774	6,589,226	10,616,241
2022-07-12	$379.85	$398.00	25.4%	7.2%	28.6%	72.2%	26.6%	6.8%	0.1%	-6.31B	73.35B	-585.0M	1.34	1.56	N/A	N/A	2,094,592	2,809,796	6,617,060	10,764,383
2022-07-13	$379.42	$395.00	25.0%	7.1%	23.6%	70.7%	26.2%	6.5%	-0.9%	-8.27B	75.62B	-584.3M	1.73	1.32	N/A	N/A	2,772,587	4,788,323	6,995,004	11,231,973
2022-07-14	$377.83	$393.00	24.6%	7.0%	23.7%	68.5%	26.1%	6.2%	-0.6%	-6.93B	74.36B	-585.3M	1.36	1.22	N/A	N/A	2,604,597	3,535,903	6,956,308	11,072,424
2022-07-15	$384.35	$390.00	22.3%	6.5%	23.8%	57.7%	24.3%	6.1%	0.3%	-2.50B	35.94B	-594.9M	1.37	1.03	N/A	N/A	2,819,937	3,874,600	7,341,291	11,339,164
2022-07-18	$381.14	$390.00	23.9%	6.9%	19.5%	65.5%	25.2%	6.6%	0.2%	-4.65B	50.28B	-597.3M	1.44	1.21	N/A	N/A	2,698,775	3,899,433	6,234,223	9,924,403
2022-07-19	$392.51	$390.00	22.4%	6.5%	21.8%	58.4%	24.3%	6.5%	0.2%	153.5M	6.39B	-629.9M	1.43	1.28	N/A	N/A	2,537,130	3,622,278	6,389,083	10,134,610
2022-07-20	$395.27	$390.00	22.2%	6.4%	20.3%	57.4%	23.9%	5.8%	-0.5%	2.76B	-7.94B	-646.7M	1.20	1.45	N/A	N/A	3,512,914	4,200,988	6,756,952	11,060,708
2022-07-21	$397.73	$390.00	20.8%	6.0%	20.3%	50.5%	22.5%	5.3%	-0.5%	452.0M	-8.59B	-653.6M	1.14	1.44	N/A	N/A	2,489,189	2,832,431	6,649,700	10,998,315
2022-07-22	$394.21	$390.00	20.8%	6.0%	20.6%	50.5%	23.0%	5.2%	0.4%	-2.82B	10.16B	-652.7M	1.37	1.60	N/A	N/A	3,295,123	4,510,924	6,880,579	11,429,766
2022-07-25	$394.31	$391.00	21.2%	6.1%	18.3%	52.6%	22.4%	5.5%	0.7%	-2.25B	15.03B	-648.8M	1.49	1.39	N/A	N/A	2,069,831	3,074,940	6,681,576	10,871,983
2022-07-26	$390.71	$391.00	22.7%	6.5%	18.6%	59.7%	24.0%	6.0%	0.7%	-4.35B	34.66B	-650.1M	1.52	1.43	N/A	N/A	1,590,707	2,417,388	6,620,625	10,882,923
2022-07-27	$402.14	$391.00	21.0%	5.9%	19.6%	51.6%	23.3%	5.8%	-0.4%	1.45B	-21.48B	-652.9M	1.46	1.83	N/A	N/A	2,691,454	3,921,253	6,862,199	11,138,759
2022-07-28	$405.68	$392.00	19.8%	5.6%	19.6%	46.0%	21.2%	4.8%	-0.4%	1.61B	-31.11B	-654.3M	1.43	1.62	N/A	N/A	2,595,823	3,704,000	6,813,424	11,523,389
2022-07-29	$412.73	$394.00	18.6%	5.2%	19.7%	40.4%	20.5%	4.5%	0.4%	4.65B	-64.31B	-651.5M	1.41	1.52	N/A	N/A	3,084,424	4,349,898	7,042,726	12,142,486