SPY Options History — August 2022 In August 2022, SPY traded between $397.35 and $430.26. ATM implied volatility averaged 19.7%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.7% (HV 20d: 19.1%). Max pain ranged from $395.00 to $410.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.37.
Notable Days 2022-08-26 : Highest Volume — 9,195,507 contracts2022-08-22 : Largest IV spike — 18.6% change2022-08-30 : Highest IV Rank — 64.4%2022-08-30 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $415.32 $397.35 $430.26 $410.93 $397.35 Max Pain $405.61 $395.00 $410.00 $395.00 $410.00 ATM IV 19.7% 16.6% 23.7% 20.2% 23.2% Expected Move 5.8% 5.1% 7.1% 5.7% 6.9% HV 20d 19.1% 16.8% 20.3% 19.8% 19.3% HV 60d 24.6% 23.3% 27.5% 27.5% 24.0% IV Rank 45.8% 31.0% 64.4% 48.1% 61.9% IV Percentile 53.6% 36.5% 72.2% 57.9% 69.8% Term Structure 0.1% -0.6% 1.0% 0.3% -0.5% VWIV 21.6% 19.1% 25.1% 22.6% 24.8% Skew 25d 5.3% 3.7% 6.4% 5.7% 6.2% Skew 10d 10.7% 8.1% 13.1% 10.9% 11.8% Call IV 25d 17.4% 14.9% 20.8% 17.9% 20.4% Put IV 25d 22.7% 18.6% 27.1% 23.6% 26.7% Bid-Ask Spread % 1.29 1.08 1.63 1.43 1.25 Gamma HHI 0.04 0.02 0.10 0.02 0.04 Net GEX -2.16B -9.66B 6.22B -555.3M -9.66B Net DEX -17.41B -94.92B 93.92B -34.75B 92.02B Net VEX -684.0M -718.9M -649.2M -668.5M -678.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 1.09 1.62 1.47 1.35 Total Volume 6,045,546.13 3,810,386 9,195,507 6,579,965 7,372,103 Total OI 19,971,298.391 18,393,766 22,347,699 18,405,784 20,074,653
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 2022-08-01 $410.93 $395.00 20.2% 5.7% 19.8% 48.1% 22.6% 5.7% 0.3% -555.3M -34.75B -668.5M 1.47 1.43 N/A N/A 2,664,783 3,915,182 6,783,813 11,621,971 2022-08-02 $409.37 $396.00 21.2% 6.0% 19.9% 52.6% 22.4% 6.4% 0.3% -1.91B -20.19B -679.1M 1.43 1.42 N/A N/A 2,304,301 3,294,579 6,796,736 11,688,435 2022-08-03 $415.42 $398.00 19.6% 5.4% 20.2% 45.2% 20.5% 5.3% -0.6% 2.80B -54.95B -671.3M 1.23 1.25 N/A N/A 2,968,723 3,659,961 7,113,276 12,359,914 2022-08-04 $413.80 $400.00 19.4% 5.8% 20.2% 44.1% 22.3% 5.3% -0.6% -434.9M -38.27B -680.0M 1.09 1.08 N/A N/A 2,063,798 2,245,878 7,033,672 12,587,955 2022-08-05 $413.07 $401.00 18.4% 5.6% 20.3% 39.6% 21.4% 5.3% -0.6% -1.63B -32.45B -682.7M 1.38 1.12 N/A N/A 2,865,141 3,946,376 7,275,538 12,959,202 2022-08-08 $413.28 $401.00 18.5% 5.8% 19.3% 39.8% 21.6% 5.4% 0.5% -1.28B -27.98B -673.9M 1.32 1.08 N/A N/A 2,615,900 3,465,982 6,984,873 12,364,423 2022-08-09 $411.01 $402.00 19.3% 5.9% 18.9% 43.5% 21.7% 5.5% 0.5% -3.29B -11.43B -687.7M 1.43 1.14 N/A N/A 1,565,546 2,244,840 7,054,160 12,573,031 2022-08-10 $419.88 $404.00 17.3% 5.3% 19.8% 34.5% 21.0% 4.5% -0.3% 3.85B -67.10B -664.2M 1.46 1.28 N/A N/A 2,793,319 4,083,406 7,384,979 12,920,576 2022-08-11 $419.32 $405.00 17.7% 5.4% 19.6% 36.0% 20.2% 4.6% -0.3% 607.2M -55.01B -677.4M 1.43 1.13 N/A N/A 2,296,121 3,288,425 7,372,804 13,090,478 2022-08-12 $426.46 $405.00 16.6% 5.2% 19.6% 31.0% 19.8% 3.7% 0.6% 6.22B -92.68B -676.6M 1.46 1.23 N/A N/A 2,330,914 3,409,729 7,639,529 13,819,518 2022-08-15 $429.02 $406.00 17.4% 5.3% 18.9% 34.6% 19.5% 4.0% 1.0% 3.87B -93.83B -649.2M 1.20 1.38 N/A N/A 2,573,876 3,077,664 7,387,890 13,495,646 2022-08-16 $430.26 $408.00 17.6% 5.2% 16.8% 35.5% 19.1% 4.2% 0.9% 2.96B -94.92B -653.2M 1.56 1.39 N/A N/A 2,019,723 3,143,132 7,460,173 13,454,532 2022-08-17 $427.02 $409.00 18.7% 5.4% 17.3% 40.8% 20.2% 4.9% -0.6% -3.14B -70.84B -675.2M 1.36 1.41 N/A N/A 3,019,792 4,117,887 7,651,692 14,164,053 2022-08-18 $428.15 $409.00 17.7% 5.1% 17.3% 36.1% 19.3% 4.4% -0.5% 892.5M -74.64B -687.0M 1.50 1.44 N/A N/A 1,672,708 2,500,681 7,602,966 14,187,767 2022-08-19 $422.08 $410.00 18.4% 5.4% 17.9% 39.7% 20.2% 5.0% 0.8% -4.31B -31.91B -707.6M 1.32 1.33 N/A N/A 2,931,409 3,863,084 7,725,588 14,622,111 2022-08-22 $412.74 $410.00 21.9% 6.3% 20.1% 55.9% 23.1% 6.2% 0.2% -6.31B 34.34B -707.7M 1.40 1.16 N/A N/A 2,810,082 3,944,613 6,714,536 11,679,230 2022-08-23 $412.57 $410.00 21.6% 6.1% 19.6% 54.5% 22.3% 5.8% 0.2% -5.47B 28.52B -709.8M 1.26 1.23 N/A N/A 1,907,458 2,401,398 6,856,371 11,833,407 2022-08-24 $414.27 $410.00 20.8% 5.9% 17.1% 50.5% 21.2% 5.8% -0.5% -3.49B 16.60B -701.1M 1.21 1.25 N/A N/A 2,556,667 3,102,933 7,103,995 12,163,633 2022-08-25 $418.58 $410.00 19.6% 5.6% 17.2% 45.2% 21.0% 5.3% -0.4% -2.33B -8.31B -694.9M 1.28 1.35 N/A N/A 1,847,182 2,356,626 7,034,137 12,111,424 2022-08-26 $405.84 $410.00 22.6% 6.6% 19.7% 59.0% 23.8% 6.2% 0.2% -9.12B 71.71B -718.9M 1.24 1.30 N/A N/A 4,111,233 5,084,274 7,232,475 12,529,472 2022-08-29 $403.82 $410.00 22.9% 6.8% 19.7% 60.6% 24.4% 6.1% 0.3% -8.30B 71.63B -699.6M 1.62 1.31 N/A N/A 2,786,193 4,508,077 7,234,296 12,164,098 2022-08-30 $398.18 $410.00 23.7% 7.1% 20.2% 64.4% 25.1% 6.3% 0.3% -9.66B 93.92B -686.2M 1.51 1.63 N/A N/A 2,909,325 4,406,537 7,147,518 12,283,317 2022-08-31 $397.35 $410.00 23.2% 6.9% 19.3% 61.9% 24.8% 6.2% -0.5% -9.66B 92.02B -678.9M 1.35 1.25 N/A N/A 3,140,783 4,231,320 7,582,165 12,492,488
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